UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21484
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Strategic Total
Return Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2007
DATE OF REPORTING PERIOD: January 31, 2007
CALAMOS STRATEGIC TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2007 (UNAUDITED)
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CORPORATE BONDS (38.4%)
CONSUMER DISCRETIONARY (13.1%)
$ 4,431,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 $ 4,519,620
7,090,000 Aztar Corp.
7.875%, 06/15/14 7,749,370
10,064,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 10,391,080
4,431,000 Boyd Gaming Corp. <
7.750%, 12/15/12 4,580,546
8,198,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 8,618,148
EchoStar DBS Corp.
13,738,000 7.125%, 02/01/16 13,858,207
1,950,000 6.625%, 10/01/14 1,915,875
5,761,000 GBP EMI Group, PLC
8.250%, 05/20/08 11,823,438
18,612,000 Expedia, Inc.* <
7.456%, 08/15/18 19,206,988
7,977,000 GameStop Corp. <
8.000%, 10/01/12 8,475,563
13,294,000 General Motors Corp.
7.200%, 01/15/11 12,994,885
17,726,000 Goodyear Tire & Rubber Company <
7.857%, 08/15/11 18,213,465
7,534,000 Group 1 Automotive, Inc. <
8.250%, 08/15/13 7,797,690
15,067,000 Hanes Brands, Inc.* < ++
8.735%, 12/15/14 15,556,677
7,977,000 Hovnanian Enterprises, Inc. <
7.750%, 05/15/13 7,977,000
7,977,000 Idearc, Inc.*
8.000%, 11/15/16 8,146,511
6,744,000 Jarden Corp. <
9.750%, 05/01/12 7,173,930
2,874,000 Kellwood Company
7.625%, 10/15/17 2,628,397
6,647,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 6,580,530
4,431,000 Liberty Media Corp.
8.250%, 02/01/30 4,401,419
15,289,000 Linens 'n Things, Inc. < ++
10.985%, 01/15/14 14,906,775
Mandalay Resort Group <
12,891,000 10.250%, 08/01/07 13,197,161
5,761,000 7.625%, 07/15/13 5,732,195
11,522,000 Meritage Corp.
7.000%, 05/01/14 11,118,730
5,318,000 NCL Holding, ASA
10.625%, 07/15/14 5,437,655
4,431,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,608,240
Pinnacle Entertainment, Inc.
7,977,000 8.250%, 03/15/12 8,206,339
4,560,000 8.750%, 10/01/13 < 4,845,000
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 8,876,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 $ 9,120,090
11,522,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 11,370,244
16,840,000 Service Corp. International
6.750%, 04/01/16 16,545,300
13,294,000 Standard Pacific Corp. <
9.250%, 04/15/12 13,726,055
1,950,000 Station Casinos, Inc.
6.875%, 03/01/16 1,794,000
4,431,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,386,690
Warner Music Group
16,396,000 7.375%, 04/15/14 < 16,232,040
2,216,000 GBP 8.125%, 04/15/14 4,473,500
1,950,000 Wynn Las Vegas, LLC <
6.625%, 12/01/14 1,940,250
---------------
330,249,603
---------------
CONSUMER STAPLES (2.9%)
1,773,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 1,812,893
7,534,000 Central Garden & Pet Company
9.125%, 02/01/13 7,891,865
13,073,000 Chiquita Brands International, Inc. <
7.500%, 11/01/14 11,831,065
10,192,000 Del Monte Foods Company
8.625%, 12/15/12 10,803,520
15,067,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 15,745,015
9,749,000 NBTY, Inc.
7.125%, 10/01/15 9,773,372
Pilgrim's Pride Corp.
10,636,000 8.375%, 05/01/17 < 10,529,640
5,318,000 7.625%, 05/01/15 5,291,410
---------------
73,678,780
---------------
ENERGY (5.0%)
10,636,000 Arch Western Finance, LLC
6.750%, 07/01/13 10,556,230
Chesapeake Energy Corp.
6,204,000 6.875%, 01/15/16 < 6,172,980
3,545,000 7.500%, 06/15/14 3,664,644
4,773,000 Comstock Resources, Inc.
6.875%, 03/01/12 4,599,979
1,764,000 Energy Partners, Ltd.
8.750%, 08/01/10 1,799,280
13,117,000 Giant Industries, Inc.
8.000%, 05/15/14 14,149,964
4,431,000 Houston Exploration Company
7.000%, 06/15/13 4,486,387
4,431,000 Petrohawk Energy Corp.
7.125%, 04/01/12 4,253,760
Petroleo Brasileiro, SA
14,624,000 9.125%, 07/02/13 17,128,360
13,738,000 8.375%, 12/10/18 16,293,268
1,773,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,820,367
See accompanying notes to Schedule of Investments
1
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 4,431,000 Superior Energy Services, Inc.
6.875%, 06/01/14 $ 4,364,535
10,037,000 Swift Energy Company <
9.375%, 05/01/12 10,589,035
6,692,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,675,270
17,726,000 Williams Companies, Inc.
7.750%, 06/15/31 18,700,930
---------------
125,254,989
---------------
FINANCIALS (3.7%)
35,452,000 Dow Jones & Company, Inc.* <
8.000%, 12/29/11 36,005,051
E*TRADE Financial Corp.
17,159,000 7.375%, 09/15/13 17,888,257
11,832,000 7.875%, 12/01/15 < 12,719,400
3,013,000 8.000%, 06/15/11 3,159,884
13,294,000 Leucadia National Corp.
7.000%, 08/15/13 13,393,705
9,306,000 Senior Housing Properties Trust
8.625%, 01/15/12 10,143,540
---------------
93,309,837
---------------
HEALTH CARE (3.0%)
4,431,000 Ameripath, Inc.
10.500%, 04/01/13 4,829,790
2,659,000 Angiotech Pharmaceuticals, Inc. <
7.750%, 04/01/14 2,459,575
4,431,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 4,608,240
5,096,000 Biovail Corp.
7.875%, 04/01/10 5,229,770
1,950,000 DaVita, Inc. <
7.250%, 03/15/15 1,984,125
HCA, Inc.*
3,102,000 9.125%, 11/15/14 < 3,307,508
1,329,000 9.250%, 11/15/16 1,415,385
1,418,000 Omnicare, Inc. <
6.875%, 12/15/15 1,407,365
9,749,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 9,773,372
15,687,000 Tenet Healthcare Corp.
9.250%, 02/01/15 15,726,217
11,522,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 11,118,730
11,965,000 Vanguard Health Systems, Inc. <
9.000%, 10/01/14 12,308,994
---------------
74,169,071
---------------
INDUSTRIALS (2.8%)
5,894,000 American Airlines, Inc. <
7.250%, 02/05/09 6,041,350
2,659,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,791,950
14,624,000 CNH Global, NV
9.250%, 08/01/11 15,574,560
1,773,000 FTI Consulting, Inc. <
7.625%, 06/15/13 1,823,974
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 4,431,000 Gardner Denver, Inc.
8.000%, 05/01/13 $ 4,641,472
8,420,000 General Cable Corp. <
9.500%, 11/15/10 8,925,200
4,015,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 4,265,938
3,328,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,573,440
4,431,000 Sequa Corp.
8.875%, 04/01/08 4,575,007
5,096,000 Trinity Industries, Inc.
6.500%, 03/15/14 5,032,300
4,431,000 WESCO International, Inc.
7.500%, 10/15/17 4,475,310
4,431,000 Westinghouse Air Brake Technologies
Corp.
6.875%, 07/31/13 4,408,845
4,875,000 Williams Scotsman International,
Inc. <
8.500%, 10/01/15 5,094,375
---------------
71,223,721
---------------
INFORMATION TECHNOLOGY (2.1%)
16,195,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 16,599,875
1,972,000 Anixter International, Inc.
5.950%, 03/01/15 1,875,865
1,950,000 Avago Technologies* <
11.875%, 12/01/15 2,145,000
7,534,000 Celestica, Inc. <
7.875%, 07/01/11 7,402,155
15,067,000 Freescale Semiconductor, Inc.* <
8.875%, 12/15/14 15,067,000
975,000 Sanmina-SCI Corp.
8.125%, 03/01/16 933,563
9,306,000 SunGard Data Systems, Inc. <
9.125%, 08/15/13 9,841,095
---------------
53,864,553
---------------
MATERIALS (2.8%)
2,216,000 Agrium, Inc.
7.125%, 05/23/36 2,332,925
2,659,000 Century Aluminum Company <
7.500%, 08/15/14 2,712,180
7,737,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 8,172,206
1,950,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 1,930,500
Ineos Group Holdings, PLC*
11,965,000 EUR 7.875%, 02/15/16 14,736,873
2,216,000 8.500%, 02/15/16 < 2,132,900
8,863,000 IPSCO, Inc.
8.750%, 06/01/13 9,549,883
2,659,000 P.H. Glatfelter Company
7.125%, 05/01/16 2,692,238
Union Carbide Corp.
9,705,000 7.875%, 04/01/23 < 10,395,744
7,666,000 7.500%, 06/01/25 7,915,459
See accompanying notes to Schedule of Investments
2
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 6,514,000 Westlake Chemical Corp. <
6.625%, 01/15/16 $ 6,416,290
---------------
68,987,198
---------------
TELECOMMUNICATION SERVICES (2.0%)
11,522,000 Alamosa Holdings, Inc. <
8.500%, 01/31/12 12,218,747
1,507,000 Citizens Communications Company
9.000%, 08/15/31 1,631,328
3,988,000 IPCS, Inc.
11.500%, 05/01/12 4,426,680
7,977,000 Leap Wireless International, Inc.*
9.375%, 11/01/14 8,415,735
5,761,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 5,347,234
4,431,000 Sprint Nextel Corp.
11.000%, 07/31/10 4,762,926
4,431,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 4,464,232
7,977,000 Windstream Corp.
8.625%, 08/01/16 8,744,786
---------------
50,011,668
---------------
UTILITIES (1.0%)
10,636,000 Edison International
7.730%, 06/15/09 11,008,260
15,953,000 TXU Corp.
6.500%, 11/15/24 14,852,945
---------------
25,861,205
---------------
TOTAL CORPORATE BONDS
(Cost $950,028,881) 966,610,625
---------------
CONVERTIBLE BONDS (13.6%)
CONSUMER DISCRETIONARY (5.5%)
7,000,000 General Motors Corp.
6.250%, 07/15/33 6,678,000
5,680,000 Liberty Media Corp. (CBS Corp.) < &
3.250%, 03/15/31 4,913,200
16,500,000 GBP Punch Taverns Redwood Jersey Company Ltd.
5.000%, 12/14/10 39,873,552
21,500,000 The Interpublic Group of Companies, Inc.* ++
5.710%, 06/15/09 27,827,450
United Auto Group, Inc.
10,151,000 3.500%, 04/01/26* 11,838,604
5,849,000 3.500%, 04/01/26 6,821,396
32,000,000 Walt Disney Company <
2.125%, 04/15/23 39,960,000
---------------
137,912,202
---------------
FINANCIALS (1.1%)
4,350,000 Host Hotels & Resorts, Inc.*
3.250%, 04/15/24 6,911,063
18,750,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 19,320,000
---------------
26,231,063
---------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
HEALTH CARE (0.9%)
$ 20,000,000 Wyeth < ++
4.877%, 01/15/24 $ 21,486,000
---------------
INDUSTRIALS (1.2%)
16,000,000 Lockheed Martin Corp. < ++
5.124%, 08/15/33 22,114,880
7,500,000 Quanta Services, Inc.*
3.750%, 04/30/26 8,615,625
---------------
30,730,505
---------------
INFORMATION TECHNOLOGY (2.2%)
17,000,000 Electronic Data Systems Corp. <
3.875%, 07/15/23 17,828,750
8,000,000 Mentor Graphics Corp.*
6.250%, 03/01/26 10,700,000
27,970,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 27,900,075
---------------
56,428,825
---------------
UTILITIES (2.7%)
20,000,000 CenterPoint Energy, Inc.
3.750%, 05/15/23 30,600,000
5,750,000 EUR International Power, PLC
3.250%, 07/20/13 9,126,250
8,750,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 29,120,795
---------------
68,847,045
---------------
TOTAL CONVERTIBLE BONDS
(Cost $296,992,245) 341,635,640
---------------
SYNTHETIC CONVERTIBLE SECURITIES (5.8%)
CORPORATE BONDS (4.9%)
CONSUMER DISCRETIONARY (1.7%)
569,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 580,380
910,000 Aztar Corp.
7.875%, 06/15/14 994,630
1,291,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,332,957
569,000 Boyd Gaming Corp. <
7.750%, 12/15/12 588,204
1,052,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 1,105,915
EchoStar DBS Corp.
1,762,000 7.125%, 02/01/16 1,777,417
250,000 6.625%, 10/01/14 245,625
739,000 GBP EMI Group, PLC
8.250%, 05/20/08 1,516,667
2,388,000 Expedia, Inc.* <
7.456%, 08/15/18 2,464,340
1,023,000 GameStop Corp. <
8.000%, 10/01/12 1,086,938
1,706,000 General Motors Corp.
7.200%, 01/15/11 1,667,615
2,274,000 Goodyear Tire & Rubber Company <
7.857%, 08/15/11 2,336,535
See accompanying notes to Schedule of Investments
3
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 966,000 Group 1 Automotive, Inc. <
8.250%, 08/15/13 $ 999,810
1,933,000 Hanes Brands, Inc.* < ++
8.735%, 12/15/14 1,995,822
1,023,000 Hovnanian Enterprises, Inc. <
7.750%, 05/15/13 1,023,000
1,023,000 Idearc, Inc.*
8.000%, 11/15/16 1,044,739
865,000 Jarden Corp. <
9.750%, 05/01/12 920,144
369,000 Kellwood Company
7.625%, 10/15/17 337,466
853,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 844,470
569,000 Liberty Media Corp.
8.250%, 02/01/30 565,201
1,961,000 Linens 'n Things, Inc. < ++
10.985%, 01/15/14 1,911,975
Mandalay Resort Group <
1,654,000 10.250%, 08/01/07 1,693,282
739,000 7.625%, 07/15/13 735,305
1,478,000 Meritage Corp.
7.000%, 05/01/14 1,426,270
682,000 NCL Holding, ASA
10.625%, 07/15/14 697,345
569,000 Oxford Industries, Inc.
8.875%, 06/01/11 591,760
Pinnacle Entertainment, Inc.
1,023,000 8.250%, 03/15/12 1,052,411
585,000 8.750%, 10/01/13 < 621,563
1,139,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 1,170,323
1,478,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 1,458,533
2,160,000 Service Corp. International
6.750%, 04/01/16 2,122,200
1,706,000 Standard Pacific Corp. <
9.250%, 04/15/12 1,761,445
250,000 Station Casinos, Inc.
6.875%, 03/01/16 230,000
569,000 Vail Resorts, Inc.
6.750%, 02/15/14 563,310
Warner Music Group
2,104,000 7.375%, 04/15/14 < 2,082,960
284,000 GBP 8.125%, 04/15/14 573,319
250,000 Wynn Las Vegas, LLC <
6.625%, 12/01/14 248,750
---------------
42,368,626
---------------
CONSUMER STAPLES (0.4%)
227,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 232,108
966,000 Central Garden & Pet Company
9.125%, 02/01/13 1,011,885
1,677,000 Chiquita Brands International, Inc. <
7.500%, 11/01/14 1,517,685
1,308,000 Del Monte Foods Company
8.625%, 12/15/12 1,386,480
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 1,933,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 $ 2,019,985
1,251,000 NBTY, Inc.
7.125%, 10/01/15 1,254,127
Pilgrim's Pride Corp.
1,364,000 8.375%, 05/01/17 < 1,350,360
682,000 7.625%, 05/01/15 678,590
---------------
9,451,220
---------------
ENERGY (0.6%)
1,364,000 Arch Western Finance, LLC
6.750%, 07/01/13 1,353,770
Chesapeake Energy Corp.
796,000 6.875%, 01/15/16 < 792,020
455,000 7.500%, 06/15/14 470,356
612,000 Comstock Resources, Inc.
6.875%, 03/01/12 589,815
226,000 Energy Partners, Ltd.
8.750%, 08/01/10 230,520
1,683,000 Giant Industries, Inc.
8.000%, 05/15/14 1,815,536
569,000 Houston Exploration Company
7.000%, 06/15/13 576,113
569,000 Petrohawk Energy Corp.
7.125%, 04/01/12 546,240
Petroleo Brasileiro, SA
1,876,000 9.125%, 07/02/13 2,197,265
1,762,000 8.375%, 12/10/18 2,089,732
227,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 233,065
569,000 Superior Energy Services, Inc.
6.875%, 06/01/14 560,465
1,288,000 Swift Energy Company <
9.375%, 05/01/12 1,358,840
858,000 Whiting Petroleum Corp.
7.250%, 05/01/12 855,855
2,274,000 Williams Companies, Inc.
7.750%, 06/15/31 2,399,070
---------------
16,068,662
---------------
FINANCIALS (0.5%)
4,548,000 Dow Jones & Company, Inc.* <
8.000%, 12/29/11 4,618,949
E*TRADE Financial Corp.
2,201,000 7.375%, 09/15/13 2,294,543
1,518,000 7.875%, 12/01/15 < 1,631,850
387,000 8.000%, 06/15/11 405,866
1,706,000 Leucadia National Corp.
7.000%, 08/15/13 1,718,795
1,194,000 Senior Housing Properties Trust
8.625%, 01/15/12 1,301,460
---------------
11,971,463
---------------
HEALTH CARE (0.4%)
569,000 Ameripath, Inc.
10.500%, 04/01/13 620,210
341,000 Angiotech Pharmaceuticals, Inc. <
7.750%, 04/01/14 315,425
See accompanying notes to Schedule of Investments
4
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 569,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 $ 591,760
654,000 Biovail Corp.
7.875%, 04/01/10 671,168
250,000 DaVita, Inc. <
7.250%, 03/15/15 254,375
HCA, Inc.*
398,000 9.125%, 11/15/14 < 424,368
171,000 9.250%, 11/15/16 182,115
182,000 Omnicare, Inc. <
6.875%, 12/15/15 180,635
1,251,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 1,254,127
2,013,000 Tenet Healthcare Corp.
9.250%, 02/01/15 2,018,032
1,478,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 1,426,270
1,535,000 Vanguard Health Systems, Inc. <
9.000%, 10/01/14 1,579,131
---------------
9,517,616
---------------
INDUSTRIALS (0.4%)
756,000 American Airlines, Inc. <
7.250%, 02/05/09 774,900
341,000 Armor Holdings, Inc.
8.250%, 08/15/13 358,050
1,876,000 CNH Global, NV
9.250%, 08/01/11 1,997,940
227,000 FTI Consulting, Inc. <
7.625%, 06/15/13 233,526
569,000 Gardner Denver, Inc.
8.000%, 05/01/13 596,027
1,080,000 General Cable Corp. <
9.500%, 11/15/10 1,144,800
515,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 547,188
427,000 Manitowoc Company, Inc.
10.500%, 08/01/12 458,491
569,000 Sequa Corp.
8.875%, 04/01/08 587,493
654,000 Trinity Industries, Inc.
6.500%, 03/15/14 645,825
569,000 WESCO International, Inc.
7.500%, 10/15/17 574,690
569,000 Westinghouse Air Brake Technologies
Corp.
6.875%, 07/31/13 566,155
625,000 Williams Scotsman International,
Inc. <
8.500%, 10/01/15 653,125
---------------
9,138,210
---------------
INFORMATION TECHNOLOGY (0.3%)
2,078,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 2,129,950
253,000 Anixter International, Inc.
5.950%, 03/01/15 240,666
250,000 Avago Technologies* <
11.875%, 12/01/15 275,000
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 966,000 Celestica, Inc. <
7.875%, 07/01/11 $ 949,095
1,933,000 Freescale Semiconductor, Inc.* <
8.875%, 12/15/14 1,933,000
125,000 Sanmina-SCI Corp.
8.125%, 03/01/16 119,688
1,194,000 SunGard Data Systems, Inc. <
9.125%, 08/15/13 1,262,655
---------------
6,910,054
---------------
MATERIALS (0.3%)
284,000 Agrium, Inc.
7.125%, 05/23/36 298,985
341,000 Century Aluminum Company <
7.500%, 08/15/14 347,820
993,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 1,048,856
250,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 247,500
Ineos Group Holdings, PLC*
1,535,000 EUR 7.875%, 02/15/16 1,890,606
284,000 8.500%, 02/15/16 < 273,350
1,137,000 IPSCO, Inc.
8.750%, 06/01/13 1,225,117
341,000 P.H. Glatfelter Company
7.125%, 05/01/16 345,263
Union Carbide Corp.
1,245,000 7.875%, 04/01/23 < 1,333,612
984,000 7.500%, 06/01/25 1,016,020
836,000 Westlake Chemical Corp. <
6.625%, 01/15/16 823,460
---------------
8,850,589
---------------
TELECOMMUNICATION SERVICES (0.2%)
1,478,000 Alamosa Holdings, Inc. <
8.500%, 01/31/12 1,567,376
193,000 Citizens Communications Company
9.000%, 08/15/31 208,922
512,000 IPCS, Inc.
11.500%, 05/01/12 568,320
1,023,000 Leap Wireless International, Inc.*
9.375%, 11/01/14 1,079,265
739,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 685,924
569,000 Sprint Nextel Corp.
11.000%, 07/31/10 611,624
569,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 573,267
1,023,000 Windstream Corp.
8.625%, 08/01/16 1,121,464
---------------
6,416,162
---------------
UTILITIES (0.1%)
1,364,000 Edison International
7.730%, 06/15/09 1,411,740
See accompanying notes to Schedule of Investments
5
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 2,047,000 TXU Corp.
6.500%, 11/15/24 $ 1,905,847
---------------
3,317,587
---------------
TOTAL CORPORATE BONDS 124,010,189
---------------
NUMBER OF
CONTRACTS VALUE
------------ ---------------
OPTIONS (0.9%)
CONSUMER DISCRETIONARY (0.3%)
2,250 Comcast Corp.#
Call, 01/17/09, Strike $42.50 2,058,750
600 Garmin, Ltd.#
Call, 01/19/08, Strike $50.00 447,000
1,450 Harley-Davidson, Inc.#
Call, 01/17/09, Strike $70.00 1,522,500
Nike, Inc.#
560 Call, 01/17/09, Strike $100.00 742,000
560 Call, 01/17/09, Strike $90.00 1,066,800
760 Office Depot, Inc.#
Call, 01/19/08, Strike $40.00 277,400
1,100 Omnicom Group, Inc.#
Call, 01/17/09, Strike $100.00 1,991,000
---------------
8,105,450
---------------
CONSUMER STAPLES (0.1%)
1,300 Kroger Company#
Call, 01/19/08, Strike $22.50 598,000
635 PepsiCo, Inc.#
Call, 01/19/08, Strike $60.00 520,700
---------------
1,118,700
---------------
ENERGY (0.0%)
315 BJ Services Company#
Call, 01/19/08, Strike $40.00 22,050
500 Nabors Industries, Ltd.#
Call, 01/19/08, Strike $37.50 77,500
215 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike $90.00 371,950
360 Schlumberger, Ltd.#
Call, 01/19/08, Strike $65.00 284,400
330 Weatherford International, Ltd.#
Call, 01/19/08, Strike $55.00 44,550
---------------
800,450
---------------
FINANCIALS (0.2%)
1,150 Charles Schwab Corp.#
Call, 01/19/08, Strike $17.50 350,750
55 Chicago Mercantile Exchange
Holdings, Inc.#
Call, 01/19/08, Strike $510.00 559,075
650 E*TRADE Financial Corp.#
Call, 01/19/08, Strike $25.00 208,000
Goldman Sachs Group, Inc.#
265 Call, 01/17/09, Strike $195.00 1,283,925
175 Call, 01/19/08, Strike $190.00 684,250
360 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike $75.00 520,200
NUMBER OF
CONTRACTS VALUE
------------ ---------------
380 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike $85.00 $ 564,300
---------------
4,170,500
---------------
HEALTH CARE (0.0%)
215 Allergan, Inc.#
Call, 01/19/08, Strike $110.00 374,100
---------------
INDUSTRIALS (0.1%)
1,400 General Dynamics Corp.#
Call, 01/17/09, Strike $75.00 1,911,000
---------------
INFORMATION TECHNOLOGY (0.2%)
2,100 Apple Computer, Inc.#
Call, 01/19/08, Strike $90.00 2,667,000
820 Hewlett-Packard Company#
Call, 01/19/08, Strike $40.00 582,200
750 Intuit, Inc.#
Call, 01/19/08, Strike $35.00 181,875
800 Motorola, Inc.#
Call, 01/19/08, Strike $22.50 110,000
580 NVIDIA Corp.#
Call, 01/19/08, Strike $40.00 142,100
230 Sandisk Corp.#
Call, 01/19/08, Strike $65.00 32,775
---------------
3,715,950
---------------
MATERIALS (0.0%)
320 Alcan, Inc.#
Call, 01/19/08, Strike $55.00 153,600
849 Harmony Gold Mining Company, Ltd.#
Call, 01/19/08, Strike $15.00 152,820
230 United States Steel Corp.#
Call, 01/19/08, Strike $70.00 456,550
---------------
762,970
---------------
TELECOMMUNICATION SERVICES (0.0%)
500 America Movil, S.A. de CV#
Call, 01/19/08, Strike $40.00 450,000
350 NII Holdings, Inc.#
Call, 01/19/08, Strike $70.00 474,250
---------------
924,250
---------------
TOTAL OPTIONS 21,883,370
---------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $146,353,890) 145,893,559
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
CONVERTIBLE PREFERRED STOCKS (17.4%)
CONSUMER DISCRETIONARY (3.9%)
2,652,400 Ford Motor Company Capital Trust II
6.500% 97,793,988
---------------
ENERGY (1.1%)
110,000 Chesapeake Energy Corp.
6.250% 28,058,250
---------------
See accompanying notes to Schedule of Investments
6
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
NUMBER OF
SHARES VALUE
------------ ---------------
FINANCIALS (10.5%)
850,000 Citigroup, Inc. (Genworth Financial,
Inc.)++&
5.020% $ 27,965,000
27,600 Fortis Insurance, N.V. (Assurant, Inc.)*&
7.750% 39,139,560
650,000 Genworth Financial, Inc.
6.000% 24,238,500
725,000 Lazard, Ltd.
6.625% 31,617,250
1,950,000 Lehman Brothers Holdings, Inc.
(General Mills, Inc.)&
6.250% 53,371,500
460,000 Merrill Lynch & Co., Inc. (Nuveen
Investments, Inc.)&
6.750% 20,470,000
1,400,000 Metlife, Inc.
6.375% 43,988,000
470,000 National Australia Bank, Ltd.
7.875% 24,064,000
---------------
264,853,810
---------------
HEALTH CARE (1.5%)
639,000 Schering-Plough Corp.
6.000% 37,637,100
---------------
UTILITIES (0.4%)
200,000 Southern Union Company
5.000% 10,593,000
---------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $405,558,997) 438,936,148
---------------
COMMON STOCKS (66.0%)
CONSUMER DISCRETIONARY (5.0%)
400,000 Carnival Corp. 20,624,000
300,000 CBS Corp. 9,351,000
340,000 SEK Hennes & Mauritz AB 18,394,377
550,000 Home Depot, Inc. < 22,407,000
51,950 Idearc, Inc. < # 1,684,219
375,000 Mattel, Inc. 9,135,000
375,000 Tupperware Corp. < 8,748,750
450,000 V.F. Corp. < 34,141,500
---------------
124,485,846
---------------
CONSUMER STAPLES (8.9%)
320,000 Altria Group, Inc. < 27,964,800
350,000 Anheuser-Busch Companies, Inc. 17,839,500
1,300,000 Coca-Cola Company < 62,244,000
425,000 H. J. Heinz Company < 20,026,000
250,000 Kraft Foods, Inc. < 8,730,000
410,000 Procter & Gamble Company 26,596,700
840,000 Reynolds American, Inc. < 54,180,000
156,200 Universal Corp. 7,549,146
---------------
225,130,146
---------------
ENERGY (6.0%)
775,000 Chevron Corp. < 56,482,000
550,000 ConocoPhillips 36,525,500
250,000 Marathon Oil Corp. 22,585,000
NUMBER OF
SHARES VALUE
------------ ---------------
295,000 PetroChina Company, Ltd. < $ 36,382,350
---------------
151,974,850
---------------
FINANCIALS (13.1%)
500,000 Bank of America Corp. < 26,290,000
1,372,000 Citigroup, Inc. 75,638,360
250,000 Federal Home Loan Mortgage Corp. < 16,232,500
777,000 Federal National Mortgage Association 43,923,810
600,000 J.P. Morgan Chase & Company 30,558,000
158,074 Lincoln National Corp. 10,613,088
500,000 U.S. Bancorp < 17,800,000
360,000 Wachovia Corp. < 20,340,000
2,000,000 Washington Mutual, Inc. 89,180,000
---------------
330,575,758
---------------
HEALTH CARE (12.6%)
525,000 Abbott Laboratories 27,825,000
300,000 Eli Lilly and Company 16,236,000
1,600,000 Johnson & Johnson 106,880,000
1,755,000 Merck & Company, Inc. 78,536,250
3,300,000 Pfizer, Inc. 86,592,000
---------------
316,069,250
---------------
INDUSTRIALS (4.1%)
1,175,000 General Electric Company 42,358,750
450,000 Masco Corp. < 14,395,500
350,000 R.R. Donnelley & Sons Company < 12,985,000
435,000 Raytheon Company 22,576,500
375,000 Tyco International, Ltd. < 11,955,000
---------------
104,270,750
---------------
INFORMATION TECHNOLOGY (7.4%)
450,000 Cisco Systems, Inc.# 11,965,500
615,000 Electronic Data Systems Corp. < 16,180,650
850,000 Hewlett-Packard Company < 36,788,000
570,000 Infosys Technologies, Ltd. < 33,060,000
1,382,000 Intel Corp. 28,966,720
1,225,000 Microsoft Corp. 37,803,500
500,000 Nokia Corp.# 11,050,000
600,000 Oracle Corp.# 10,296,000
---------------
186,110,370
---------------
TELECOMMUNICATION SERVICES (8.9%)
4,044,875 AT&T, Inc. 152,208,646
823,500 CAD BCE Inc. 21,651,164
1,500,000 GBP BT Group, PLC# 9,067,600
1,039,000 Verizon Communications, Inc. 40,022,280
---------------
222,949,690
---------------
TOTAL COMMON STOCKS
(Cost $1,436,575,886) 1,661,566,660
---------------
NUMBER OF
CONTRACTS VALUE
------------ ---------------
PUT OPTIONS (0.2%)
FINANCIALS (0.2%)
1,930 S & P 500 Index#
Put, 12/22/07, $350.00
(Cost $7,474,890) 5,259,250
---------------
See accompanying notes to Schedule of Investments
7
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
SHORT-TERM INVESTMENT (0.9%)
COMMERCIAL PAPER (0.9%)
$ 23,850,000 Citigroup, Inc.
5.210%, 02/01/07
(Cost $23,850,000) $ 23,850,000
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN (14.3%)
360,016,000 Bank of New York Institutional Cash
Reserve Fund
current rate 5.384%
(Cost $360,016,000) 360,016,000
---------------
TOTAL INVESTMENTS (156.6%)
(Cost $3,626,850,789) 3,943,767,882
---------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-14.3%) (360,016,000)
---------------
OTHER ASSETS, LESS LIABILITIES (0.6%) 15,105,155
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-42.9%) (1,081,058,120)
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 2,517,798,917
---------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in U.S.
dollars.
* 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that
is exempt from registration (e.g. a sale to another QIB), or the security
must be registered for public sale. At January 31, 2007, the market value
of 144A securities that were not subject to mandatory issuer registration
obligations is $216,195,255 or 8.6% of net assets.
< Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate or step bond security. The interest rate shown is the rate in
effect at January 31, 2007.
& Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
SEK Swedish Krona
See accompanying notes to Schedule of Investments
8
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Strategic Total Return Fund (the "Fund") was organized as
a Delaware statutory trust on December 31, 2003 and is registered under the
Investment Company Act of 1940 (the "1940 Act") as a diversified, closed-end
management investment company. The Fund commenced operations on March 26, 2004.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances, the Fund
will invest primarily in common and preferred stocks and income producing
securities such as investment grade and below investment grade debt securities.
PORTFOLIO VALUATION. 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.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as
of which the Fund determines its NAV. Securities traded in the over-the-counter
("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq
Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the
last current reported sale price on Nasdaq at the time as of which the Fund
determines its NAV.
When a most recent last sale or closing price is not available, portfolio
securities, other than option securities, that are traded on a U.S. securities
exchange and other securities traded in the OTC market are valued at the mean
between the most recent bid and asked quotations in accordance with guidelines
adopted by the Board of Trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote
for the option security, also in accordance with guidelines adopted by the Board
of Trustees. Each OTC option that is not traded through the Options Clearing
Corporation is valued by the counterparty to such option. If the pricing
committee determines that the valuation of a security in accordance with the
methods described above is not reflective of a fair value for such security, the
security, including any thinly-traded security, junk bond or synthetic
convertible instrument, is valued at a fair value by the pricing committee,
under the ultimate supervision of the Board of Trustees, following the
guidelines and/or procedures adopted by the Board of Trustees.
Trading in securities on European and Far Eastern securities exchanges and OTC
markets is typically completed at various times before the close of business on
each day on which the NYSE is open. Each security trading on these exchanges or
OTC markets is evaluated 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
current sale price at the time as of which the Fund determines its NAV, or when
reliable market prices or quotations are not readily available, at the mean
between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines
adopted by the Board of Trustees. Trading 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. As stated above, if the market prices
are not readily available or are not reflective of a security's fair value, the
security is valued at a fair value by the pricing committee, under the ultimate
supervision of the Board of Trustees, following the guidelines and/or procedures
adopted by the Board of Trustees.
9
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
The Fund also may use fair value pricing, pursuant to Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the close of the primary market or exchange
on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used
by the Fund to calculate its NAV may differ from market quotations or official
closing prices.
INVESTMENT TRANSACTIONS. Short-term and long-term investment transactions are
recorded on a trade date basis on January 31, 2007.
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 market value should the counterparty not perform under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased put options are decreased by the premiums
paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
NOTE 2 - INVESTMENTS
The following information is presented on a Federal income tax basis as of
January 31, 2007. Differences between the cost basis under U.S. generally
accepted accounting principles and Federal income tax purposes are primarily due
to timing differences.
Cost basis of investments $3,638,504,145
--------------
Gross unrealized appreciation 371,315,196
Gross unrealized depreciation (66,051,459)
--------------
Net unrealized appreciation (depreciation) $ 305,263,737
--------------
10
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward foreign currency contracts at January 31, 2007.
NOTE 4 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component",
which may be a convertible or non-convertible security) and the right to acquire
equity securities ("convertible component"). The fixed-income component is
achieved by investing in fixed income securities such as bonds, preferred stocks
and money market instruments. The convertible component is achieved by investing
in warrants or options to buy common stock at a certain exercise price, or
options on a stock index. In establishing a synthetic instrument, the Fund may
pool a basket of fixed-income securities and a basket of warrants or options
that produce the economic characteristics similar to a convertible security.
Within each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic convertible instruments created by other
parties, typically investment banks, including convertible structured notes.
Convertible structured notes are fixed-income debentures linked to equity.
Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit
risk associated with the investment, rather than the issuer of the underlying
common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible
security.
NOTE 5 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 43,200 shares of Preferred Shares outstanding
consist of seven series, 7,040 shares of M, 7,040 shares of TU, 7,040 shares of
W, 7,040 shares of TH, 7,040 shares of F, 4,000 shares of A, and 4,000 shares of
B. The Preferred Shares have a liquidation value of $25,000 per share plus any
accumulated but unpaid dividends, whether or not declared.
NOTE 6 - INTEREST RATE TRANSACTIONS
Swap agreements are stated at fair value. The contracts are marked-to-market
daily based on dealer-supplied valuations and changes in value are recorded as
unrealized appreciation (depreciation).
Details of the interest rate swap agreements outstanding as of January 31, 2007
were as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ------------ ------------ ----------- --------------- --------------
Citibank NA June 4, 2007 150,000 3.61% 1month LIBOR 1,066,651
Citibank NA June 4, 2009 200,000 4.34% 1month LIBOR 3,730,576
----------
$4,797,227
==========
11
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 7 - SECURITIES LENDING
For the three-month period ended January 31, 2007, the Fund loaned certain of
its securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, the Fund's securities
lending agent monitors, and reports to Calamos Advisors on, the creditworthiness
of the firms to which a Fund lends securities. At January 31, 2007, the Fund had
securities valued at $349,735,117 that were on loan to broker-dealers and banks
and $360,016,000 in cash or cash equivalent collateral.
12
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 28, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 28, 2007
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 28, 2007