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, 2008 
 
DATE OF REPORTING PERIOD:   January 31, 2008 
 
 

 

 

ITEM 1.  SCHEDULE OF INVESTMENTS January 31, 2008 (UNAUDITED)
STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
Corporate Bonds (31.3%)        
       
Consumer Discretionary (11.0%)
        
$ 4,524,000    
Asbury Automotive Group, Inc.
        
       
8.000%,03/15/14
   $ 4,048,980  
  4,524,000    
Boyd Gaming Corp.
       
     
7.750%,12/15/12
     4,229,940  
       
D.R. Horton, Inc.
        
  2,714,000    
8.000%,02/01/09
     2,680,075  
  1,810,000    
9.750%,09/15/10
     1,776,063  
  8,369,000    
DIRECTV Financing Company, Inc.
        
       
8.375%,03/15/13
     8,693,299  
  14,024,000    
EchoStar DBS Corp.
        
       
7.125%,02/01/16
     14,076,590  
  19,001,000    
Expedia, Inc.
        
       
7.456%,08/15/18
     19,824,997  
  38,906,000    
Ford Motor Company
        
       
9.875%,08/10/11
     37,356,179  
  13,572,000    
General Motors Corp.^
        
       
7.200%,01/15/11
     12,452,310  
  18,096,000    
Goodyear Tire & Rubber Company
        
       
7.857%,08/15/11
     18,322,200  
  7,691,000    
Group 1 Automotive, Inc.^
        
       
8.250%,08/15/13
     7,267,995  
  15,382,000    
Hanes Brands, Inc.^‡
        
       
8.204%,12/15/14
     13,997,620  
  4,524,000    
Idearc, Inc.
        
       
8.000%,11/15/16
     4,071,600  
  3,800,000    
Jarden Corp.^
        
       
7.500%,05/01/17
     3,268,000  
  2,934,000    
Kellwood Company
        
       
7.625%,10/15/17
     2,435,220  
  4,524,000    
Liberty Media Corp.^
        
       
8.250%,02/01/30
     4,123,635  
  5,881,000    
Mandalay Resort Group^
        
       
7.625%,07/15/13
     5,572,248  
  4,420,000    
MGM Mirage
        
       
7.500%,06/01/16
     4,265,300  
  5,429,000    
NCL Holding, ASA
        
       
10.625%,07/15/14
     5,510,435  
       
Pinnacle Entertainment, Inc.
        
  8,143,000    
8.250%,03/15/12
     7,857,995  
  4,655,000    
8.750%, 10/01/13^
     4,561,900  
  7,238,000    
Pulte Homes, Inc.^
        
       
8.125%,03/01/11
     7,114,715  
  11,762,000    
Royal Caribbean Cruises, Ltd.
        
       
7.500%,10/15/27
     10,753,291  
  17,191,000    
Service Corp. International
        
       
6.750%,04/01/16
     16,890,157  
  5,881,000    
Toll Brothers, Inc.^
        
       
8.250%,12/01/11
     5,675,165  
  4,524,000    
Vail Resorts, Inc.
        
       
6.750%,02/15/14
     4,365,660  
       
Warner Music Group
        
  13,617,000    
7.375%,04/15/14
     10,689,345  
  2,262,000   GBP
8.125%, 04/15/14
     3,261,122  
       
 
      
       
 
     245,142,036  
       
 
      
 
       
Consumer Staples (2.7%)
        
  1,810,000    
Alimentation Couche-Tard Inc.
        
       
7.500%,12/15/13
     1,807,738  
  13,346,000    
Chiquita Brands International, Inc.
        
       
7.500%,11/01/14
     11,277,370  
  10,405,000    
Del Monte Foods Company
        
       
8.625%,12/15/12
     10,561,075  
  9,953,000    
NBTY, Inc.
        
       
7.125%,10/01/15
     9,306,055  
       
Pilgrim’s Pride Corp.
        
  10,858,000    
8.375%, 05/01/17^
     9,527,895  
  5,429,000    
7.625%,05/01/15
     5,171,122  
  13,572,000    
Smithfield Foods, Inc.^
        
       
7.750%,07/01/17
     12,893,400  
       
 
      
       
 
     60,544,655  
       
 
      
       
 
        
       
Energy (3.7%)
        
  10,858,000    
Arch Western Finance, LLC
        
       
6.750%,07/01/13
     10,559,405  
       
Chesapeake Energy Corp.
        
  6,334,000    
6.875%,01/15/16
     6,302,330  
  3,619,000    
7.500%,06/15/14
     3,709,475  
  1,810,000    
Dresser-Rand Group, Inc.
        
       
7.375%,11/01/14
     1,782,850  
  2,714,000    
GulfMark Offshore, Inc.
        
       
7.750%,07/15/14
     2,768,280  
  6,334,000    
Mariner Energy, Inc.
        
       
8.000%,05/15/17
     6,080,640  
  4,524,000    
Petrohawk Energy Corp.
        
       
7.125%,04/01/12
     4,320,420  
  9,500,000    
Petróleo Brasileiro, SA
        
       
8.375%,12/10/18
     11,400,000  
  1,810,000    
Premcor Refining Group, Inc.
        
       
7.500%,06/15/15
     1,906,232  
  1,991,000    
Southwestern Energy Company*
        
       
7.500%,02/01/18
     2,055,708  
  4,524,000    
Superior Energy Services, Inc.
        
       
6.875%,06/01/14
     4,388,280  
  6,831,000    
Whiting Petroleum Corp.
        
       
7.250%,05/01/12
     6,796,845  
  18,096,000    
Williams Companies, Inc.
        
       
7.750%,06/15/31
     19,724,640  
       
 
      
       
 
     81,795,105  
       
 
      
       
 
        
       
Financials (2.3%)
        
       
Leucadia National Corp.
        
  15,056,000    
8.125%,09/15/15
     15,056,000  
  9,953,000    
7.000%,08/15/13
     9,679,293  
  16,286,000    
Nuveen Investments, Inc. ^*
        
       
10.500%,11/15/15
     15,878,850  
  9,500,000    
Senior Housing Properties Trust
        
       
8.625%,01/15/12
     10,117,500  
       
 
      
       
 
     50,731,643  
       
 
      
       
 
        
       
Health Care (2.3%)
        
  4,524,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%,08/15/13
     4,591,860  
  16,286,000    
Community Health Systems, Inc.
        
       
8.875%,07/15/15
     16,469,217  
See accompanying notes to Schedule of Investments

1

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
$ 1,991,000    
DaVita, Inc.
        
       
7.250%,03/15/15
   $ 1,991,000  
       
HCA, Inc.
        
  3,167,000    
9.125%,11/15/14
     3,297,639  
  1,357,000    
9.250%,11/15/16
     1,426,546  
  9,953,000    
Psychiatric Solutions, Inc.
        
       
7.750%,07/15/15
     9,853,470  
  11,762,000    
Valeant Pharmaceuticals International
        
       
7.000%,12/15/11
     11,379,735  
  2,760,000    
Vanguard Health Systems, Inc.
        
       
9.000%,10/01/14
     2,628,900  
       
 
      
       
 
     51,638,367  
       
 
      
       
 
        
       
Industrials (1.4%)
        
  2,036,000    
Belden CDT, Inc.
        
       
7.000%,03/15/17
     1,959,650  
  1,810,000    
FTI Consulting, Inc.^
        
       
7.625%,06/15/13
     1,855,250  
  4,524,000    
Gardner Denver, Inc.
        
       
8.000%,05/01/13
     4,524,000  
  4,099,000    
H&E Equipment Service, Inc.
        
       
8.375%,07/15/16
     3,648,110  
  3,131,000    
SPX Corp. ^*
        
       
7.625%,12/15/14
     3,213,189  
  1,810,000    
Terex Corp.
        
       
8.000%,11/15/17
     1,787,375  
  5,203,000    
Trinity Industries, Inc.
        
       
6.500%,03/15/14
     5,020,895  
  4,524,000    
WESCO International, Inc.
        
       
7.500%,10/15/17
     4,116,840  
  4,524,000    
Westinghouse Air Brake Technologies Corp.^
        
       
6.875%,07/31/13
     4,456,140  
       
 
      
       
 
     30,581,449  
       
 
      
       
 
        
       
Information Technology (2.3%)
        
  15,629,000    
Advanced Micro Devices, Inc.
        
       
7.750%,11/01/12
     12,854,852  
  8,143,000    
Amkor Tech, Inc.^
        
       
9.250%,06/01/16
     7,705,314  
  1,991,000    
Avago Technologies^
        
       
11.875%,12/01/15
     2,090,550  
  7,691,000    
Celestica, Inc.
        
       
7.875%,07/01/11
     7,498,725  
  13,120,000    
Freescale Semiconductor, Inc.
        
       
8.875%,12/15/14
     10,725,600  
  9,500,000    
SunGard Data Systems, Inc.
        
       
9.125%,08/15/13
     9,690,000  
       
 
      
       
 
     50,565,041  
       
 
      
       
 
        
       
Materials (2.0%)
        
  2,714,000    
Century Aluminum Company
        
       
7.500%,08/15/14
     2,591,870  
       
Ineos Group Holdings, PLC*
        
  12,215,000   EUR
7.875%, 02/15/16
     13,256,823  
  2,262,000    
8.500%, 02/15/16^
     1,809,600  
  2,714,000    
P.H. Glatfelter Company
        
       
7.125%,05/01/16
     2,693,645  
       
Union Carbide Corp.
        
  9,908,000    
7.875%,04/01/23
     10,157,681  
  7,826,000    
7.500%, 06/01/25
     7,683,567  
  6,650,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     6,084,750  
       
 
      
       
 
     44,277,936  
       
 
      
       
 
        
       
Telecommunication Services (3.0%)
        
  11,762,000    
Alamosa Holdings, Inc.
        
       
8.500%, 01/31/12
     11,950,686  
  16,015,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     15,474,494  
       
Leap Wireless International, Inc.
        
  8,143,000    
9.375%, 11/01/14
     7,450,845  
  8,143,000    
9.375%, 11/01/14*
     7,450,845  
  13,147,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     11,700,830  
  4,524,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     4,371,315  
  8,143,000    
Windstream Corp.
        
       
8.625%, 08/01/16
    8,468,720  
       
 
      
       
 
     66,867,735  
       
 
      
       
 
        
       
Utilities (0.6%)
        
  12,667,000    
TXU Corp.*
        
       
10.250%, 11/01/15
     12,508,663  
       
 
      
       
TOTAL CORPORATE BONDS
        
       
(Cost $729,831,009)
     694,652,630  
       
 
      
       
 
        
Convertible Bonds (19.6%)        
       
Consumer Discretionary (4.6%)
        
  16,000,000    
Amazon.com, Inc.
        
       
4.750%, 02/01/09
     18,040,000  
  40,000,000    
Ford Motor Company^
        
       
4.250%, 12/15/36
     40,150,000  
  7,000,000    
General Motors Corp.
        
       
6.250% 07/15/33
     5,908,000  
  5,680,000    
Liberty Media Corp. (Time Warner)¥
       
       
3.250%, 03/15/31
     4,238,700  
  32,000,000    
Walt Disney Company^
        
       
2.125%, 04/15/23
    34,520,000  
       
 
      
       
 
     102,856,700  
       
 
      
       
 
        
       
Energy (1.2%)
        
  17,000,000    
Penn Virginia Corp.
        
       
4.500%, 11/15/12
     17,892,500  
  8,290,000    
St. Mary Land & Exploration Company
        
       
3.500%, 04/01/27
     8,466,163  
       
 
      
       
 
     26,358,663  
       
 
      
       
 
        
       
Financials (1.6%)
        
  35,000,000    
Prudential Financial, Inc.^‡
        
       
2.733%, 12/12/36
     34,412,000  
       
 
      
       
 
        
       
Health Care (1.8%)
        
  26,000,000    
Invitrogen Corp.
        
       
3.250%, 06/15/25
     29,120,000  
See accompanying notes to Schedule of Investments

2

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
$ 10,995,000    
OSI Pharmaceuticals, Inc.
  
       
3.250%, 09/08/23
   $ 11,489,775  
       
 
      
       
 
     40,609,775  
       
 
      
       
 
        
       
Industrials (3.3%)
        
  32,750,000    
L-3 Communications Holdings, Inc.^
  
       
3.000%, 08/01/35
     41,387,812  
  16,000,000    
Lockheed Martin Corp.‡
 
       
4.619%, 08/15/33
     24,001,600  
  7,500,000    
Quanta Services, Inc.
 
       
3.750%, 04/30/26
     8,906,250  
       
 
      
       
 
     74,295,662  
       
 
      
       
 
        
       
Information Technology (5.4%)
        
  16,000,000    
Euronet Worldwide, Inc.
 
       
3.500%, 10/15/25
     15,540,000  
  34,000,000    
Intel Corp.^
  
       
2.950%, 12/15/35
     34,000,000  
  33,900,000    
Linear Technology Corp.*
 
       
3.000%, 05/01/27
     31,315,125  
  32,000,000    
VeriSign, Inc.*
 
       
3.250%, 08/15/37
     38,440,000  
       
 
      
       
 
     119,295,125  
       
 
      
       
 
        
       
Utilities (1.7%)
        
  20,000,000    
CenterPoint Energy, Inc.
 
       
3.750%, 05/15/23
     28,775,000  
  5,750,000   EUR
International Power, PLC
 
       
3.250%, 07/20/13
     9,653,180  
       
 
      
       
 
     38,428,180  
       
 
      
       
TOTAL CONVERTIBLE BONDS
        
       
(Cost $429,498,243)
     436,256,105  
       
 
      
       
 
        
Sovereign Bonds (2.2%)        
       
Consumer Discretionary (2.2%)
        
  16,739,000   EUR
Deutschland Republic Treasury
  
       
4.500%, 07/04/09
    25,199,396  
  11,310,000   GBP
United Kingdom Treasury
 
       
5.750%, 12/07/09
     23,072,284  
       
 
      
       
 
     48,271,680  
       
 
      
       
 
        
 
TOTAL SOVEREIGN BONDS
  
       
(Cost$45,978,526)
    48,271,680  
       
 
      
       
 
        
Synthetic Convertible Securities (4.1%)        
       
 
        
Corporate Bonds (3.3%)        
       
Consumer Discretionary (1.2%)
        
  476,000    
Asbury Automotive Group, Inc.
  
       
8.000%, 03/15/14
     426,020  
  476,000    
Boyd Gaming Corp.
  
       
7.750%, 12/15/12
     445,060  
       
D.R. Horton, Inc.
        
  286,000    
8.000%, 02/01/09
     282,425  
  190,000    
9.750%, 09/15/10
     186,437  
  881,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     915,139  
  1,476,000    
EchoStar DBS Corp.
        
       
7.125%,02/01/16
     1,481,535  
  1,999,000    
Expedia, Inc.
        
       
7.456%,08/15/18
     2,085,689  
  4,094,000    
Ford Motor Company
        
       
9.875%,08/10/11
     3,930,916  
  1,428,000    
General Motors Corp.^
        
       
7.200%,01/15/11
     1,310,190  
  1,904,000    
Goodyear Tire & Rubber Company
        
       
7.857%,08/15/11
     1,927,800  
  809,000    
Group 1 Automotive, Inc.^
        
       
8.250%,08/15/13
     764,505  
  1,618,000    
Hanes Brands, Inc.^‡
        
       
8.204%,12/15/14
     1,472,380  
  476,000    
Idearc, Inc.
        
       
8.000%,11/15/16
     428,400  
  400,000    
Jarden Corp.^
        
       
7.500%,05/01/17
     344,000  
  309,000    
Kellwood Company
        
       
7.625%,10/15/17
     256,470  
  476,000    
Liberty Media Corp.^
        
       
8.250%,02/01/30
     433,875  
  619,000    
Mandalay Resort Group^
        
       
7.625%,07/15/13
     586,502  
  465,000    
MGM Mirage
        
       
7.500%,06/01/16
     448,725  
  571,000    
NCL Holding, ASA
        
       
10.625%,07/15/14
     579,565  
       
Pinnacle Entertainment, Inc.
        
  857,000    
8.250%,03/15/12
     827,005  
  490,000    
8.750%, 10/01/13^
     480,200  
  762,000    
Pulte Homes, Inc.^
        
       
8.125%,03/01/11
     749,021  
  1,238,000    
Royal Caribbean Cruises, Ltd.
        
       
7.500%,10/15/27
     1,131,829  
  1,809,000    
Service Corp. International
        
       
6.750%,04/01/16
     1,777,342  
  619,000    
Toll Brothers, Inc.^
        
       
8.250%,12/01/11
     597,335  
  476,000    
Vail Resorts, Inc.
        
       
6.750%,02/15/14
     459,340  
       
Warner Music Group
        
  1,433,000    
7.375%,04/15/14
     1,124,905  
  238,000   GBP
8.125%, 04/15/14
     343,124  
       
 
      
       
 
     25,795,734  
       
 
      
       
 
        
       
Consumer Staples (0.3%)
        
  190,000    
Alimentation Couche-Tard Inc.
        
       
7.500%,12/15/13
     189,763  
  1,404,000    
Chiquita Brands International, Inc.
        
       
7.500%,11/01/14
     1,186,380  
  1,095,000    
Del Monte Foods Company
        
       
8.625%,12/15/12
     1,111,425  
  1,047,000    
NBTY, Inc.
        
       
7.125%,10/01/15
     978,945  
       
Pilgrim’s Pride Corp.
        
  1,142,000    
8.375%, 05/01/17^
     1,002,105  
  571,000    
7.625%,05/01/15
     543,877  
See accompanying notes to Schedule of Investments

3

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
 
$ 1,428,000    
Smithfield Foods, Inc.^
        
       
7.750%,07/01/17
   $ 1,356,600  
       
 
      
       
 
     6,369,095  
       
 
      
       
 
        
       
Energy (0.4%)
        
  1,142,000    
Arch Western Finance, LLC
        
       
6.750%,07/01/13
     1,110,595  
       
Chesapeake Energy Corp.
        
  666,000    
6.875%,01/15/16
     662,670  
  381,000    
7.500%,06/15/14
     390,525  
  190,000    
Dresser-Rand Group, Inc.
        
       
7.375%,11/01/14
     187,150  
  286,000    
GulfMark Offshore, Inc.
        
       
7.750%,07/15/14
     291,720  
  666,000    
Mariner Energy, Inc.
        
       
8.000%,05/15/17
     639,360  
  476,000    
Petrohawk Energy Corp.
        
       
7.125%,04/01/12
     454,580  
  1,000,000    
Petróleo Brasileiro, SA
        
       
8.375%,12/10/18
     1,200,000  
  190,000    
Premcor Refining Group, Inc.
        
       
7.500%,06/15/15
     200,102  
  209,000    
Southwestern Energy Company*
        
       
7.500%,02/01/18
     215,792  
  476,000    
Superior Energy Services, Inc.
        
       
6.875%,06/01/14
     461,720  
  719,000    
Whiting Petroleum Corp.
        
       
7.250%,05/01/12
     715,405  
  1,904,000    
Williams Companies, Inc.
        
       
7.750%,06/15/31
     2,075,360  
       
 
      
       
 
     8,604,979  
       
 
      
       
 
        
       
Financials (0.2%)
        
       
Leucadia National Corp.
        
  1,584,000    
8.125%,09/15/15
     1,584,000  
  1,047,000    
7.000%,08/15/13
     1,018,208  
  1,714,000    
Nuveen Investments, Inc. ^*
        
       
10.500%,11/15/15
     1,671,150  
  1,000,000    
Senior Housing Properties Trust
        
       
8.625%,01/15/12
     1,065,000  
       
 
      
       
 
     5,338,358  
       
 
      
       
 
        
       
Health Care (0.2%)
        
  476,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%,08/15/13
     483,140  
  1,714,000    
Community Health Systems, Inc.
        
       
8.875%,07/15/15
     1,733,282  
  209,000    
DaVita, Inc.
        
       
7.250%,03/15/15
     209,000  
       
HCA, Inc.
        
  333,000    
9.125%,11/15/14
     346,736  
  143,000    
9.250%,11/15/16
     150,329  
  1,047,000    
Psychiatric Solutions, Inc.
        
       
7.750%,07/15/15
     1,036,530  
  1,238,000    
Valeant Pharmaceuticals International
        
       
7.000%,12/15/11
     1,197,765  
  290,000    
Vanguard Health Systems, Inc.
        
       
9.000%,10/01/14
     276,225  
       
 
      
       
 
     5,433,007  
       
 
      
       
 
        
       
Industrials (0.2%)
        
  214,000    
Belden CDT, Inc.
        
       
7.000%,03/15/17
     205,975  
  190,000    
FTI Consulting, Inc.^
        
       
7.625%,06/15/13
     194,750  
  476,000    
Gardner Denver, Inc.
        
       
8.000%,05/01/13
     476,000  
  431,000    
H&E Equipment Service, Inc.
        
       
8.375%,07/15/16
     383,590  
  329,000    
SPX Corp. ^*
        
       
7.625%,12/15/14
     337,636  
  190,000    
Terex Corp.
        
       
8.000%,11/15/17
     187,625  
  547,000    
Trinity Industries, Inc.
        
       
6.500%,03/15/14
     527,855  
  476,000    
WESCO International, Inc.
        
       
7.500%,10/15/17
     433,160  
  476,000    
Westinghouse Air Brake Technologies Corp.^
        
       
6.875%,07/31/13
     468,860  
       
 
      
       
 
     3,215,451  
       
 
      
       
 
        
       
Information Technology (0.2%)
        
  1,644,000    
Advanced Micro Devices, Inc.
        
       
7.750%,11/01/12
     1,352,190  
  857,000    
Amkor Tech, Inc.^
        
       
9.250%,06/01/16
     810,936  
  209,000    
Avago Technologies^
        
       
11.875%,12/01/15
     219,450  
  809,000    
Celestica, Inc.
        
       
7.875%,07/01/11
     788,775  
  1,380,000    
Freescale Semiconductor, Inc.
        
       
8.875%,12/15/14
     1,128,150  
  1,000,000    
SunGard Data Systems, Inc.
        
       
9.125%,08/15/13
     1,020,000  
       
 
      
       
 
     5,319,501  
       
 
      
       
 
        
       
Materials (0.2%)
        
  286,000    
Century Aluminum Company
        
       
7.500%,08/15/14
     273,130  
       
Ineos Group Holdings, PLC*
        
  1,285,000   EUR
7.875%, 02/15/16
     1,394,598  
  238,000    
8.500%, 02/15/16^
     190,400  
  286,000    
P.H. Glatfelter Company
        
       
7.125%,05/01/16
     283,855  
       
Union Carbide Corp.
        
  1,042,000    
7.875%,04/01/23
     1,068,259  
  824,000    
7.500%,06/01/25
     809,003  
  700,000    
Westlake Chemical Corp.
        
       
6.625%,01/15/16
     640,500  
       
 
      
       
 
     4,659,745  
       
 
      
       
 
        
       
Telecommunication Services (0.3%)
        
  1,238,000    
Alamosa Holdings, Inc.
        
       
8.500%,01/31/12
     1,257,860  
  1,685,000    
Citizens Communications Company
        
       
9.000%,08/15/31
     1,628,131  
       
Leap Wireless International, Inc.
        
  857,000    
9.375%,11/01/14
     784,155  
See accompanying notes to Schedule of Investments

4

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
$ 857,000    
9.375%, 11/01/14*
   $ 784,155  
  1,383,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     1,230,870  
  476,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     459,935  
  857,000    
Windstream Corp.
        
       
8.625%, 08/01/16
     891,280  
       
 
      
       
 
     7,036,386  
       
 
      
       
Utilities (0.1%)
        
  1,333,000    
TXU Corp.*
        
       
10.250%, 11/01/15
     1,316,338  
       
 
      
       
TOTAL CORPORATE BONDS
     73,088,594  
       
 
      
 
Sovereign Bonds (0.2%)        
 
       
Consumer Discretionary (0.2%)
        
  1,761,000   EUR 
Deutschland Republic Treasury
        
       
4.500%, 07/04/09
     2,651,063  
  1,190,000   GBP 
United Kingdom Treasury
        
       
5.750%, 12/07/09
     2,427,588  
       
 
      
       
 
     5,078,651  
       
 
      
       
TOTAL SOVEREIGN BONDS
     5,078,651  
       
 
      
                 
Number of            
Contracts         Value  
 
Options (0.6%)        
       
Consumer Discretionary (0.1%)
        
  2,000    
Nike, Inc.#
        
       
Call, 01/17/09, Strike $55.00
     2,130,000  
  2,200    
Omnicom Group, Inc.#
        
       
Call, 01/17/09, Strike $50.00
     682,000  
       
 
      
       
 
     2,812,000  
       
 
      
       
 
        
       
Energy (0.1%)
        
  780    
Schlumberger, Ltd.#
        
       
Call, 01/17/09, Strike $90.00
     510,900  
  800    
Transocean, Inc.#
        
       
Call, 01/17/09, Strike $135.00
     1,120,000  
       
 
      
       
 
     1,630,900  
       
 
      
       
 
        
       
Health Care (0.2%)
        
  800    
Alcon, Inc.#
        
       
Call, 01/17/09, Strike $140.00
     1,484,000  
  1,700    
Express Scripts, Inc.#
        
       
Call, 01/17/09, Strike $65.00
     1,963,500  
       
 
      
       
 
     3,447,500  
       
 
      
       
 
        
       
Industrials (0.0%)
        
  1,285    
General Dynamics Corp.#
        
       
Call, 01/17/09, Strike $90.00
     963,750  
       
 
      
       
 
        
       
Information Technology (0.2%)
        
  1,330    
Apple Computer, Inc.#
        
       
Call, 01/17/09, Strike $190.00
     1,293,425  
  2,650    
Cisco Systems, Inc.#
        
       
Call, 01/17/09, Strike $30.00
     384,250  
  150    
Google, Inc.#
        
       
Call, 01/17/09, Strike $710.00
     536,250  
  570    
Hewlett-Packard Company#
        
       
Call, 01/17/09, Strike $45.00
     313,500  
  4,560    
Oracle Corp.#
        
       
Call, 01/17/09, Strike $20.00
     1,550,400  
  2,000    
SAP, AG#
        
       
Call, 01/17/09, Strike $55.00
     610,000  
       
 
      
       
 
     4,687,825  
       
 
      
       
 
        
       
Telecommunication Services (0.0%)
        
  275    
America Movil, S.A. de C.V.#
        
       
Call, 01/17/09, Strike $60.00
     253,000  
       
 
      
       
TOTAL OPTIONS
     13,794,975  
       
 
      
       
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
        
       
(Cost $107,076,256)
     91,962,220  
                 
Number of            
Shares         Value  
 
Convertible Preferred Stocks (20.2%)        
       
Consumer Discretionary (2.3%)
        
  205,200    
Deutsche Bank (Amazon.com, Inc.)*y
        
       
15.000%
     16,572,978  
  213,000    
Deutsche Bank (Apollo Group, Inc.)*y
        
       
12.000%
     16,966,515  
  20,000    
Stanley Works^‡
        
       
6.530%
     18,172,500  
       
 
      
       
 
     51,711,993  
       
 
      
       
Consumer Staples (0.9%)
        
  18,000    
Bunge, Ltd.
        
       
5.125%
     19,755,000  
       
 
      
       
Energy (0.7%)
        
  134,000    
Lehman Brothers Holding (Transocean, Inc.)*y
        
       
12.000%
     16,810,300  
       
 
      
       
 
        
       
Financials (4.5%)
        
  167,900    
Citigroup, Inc.
        
       
6.500%
     9,129,562  
  725,000    
Lazard, Ltd.
        
       
6.625%
     24,280,250  
  1,600,000    
MetLife, Inc.
        
       
6.375%
     46,608,000  
  350,000    
Washington Mutual, Inc.
        
       
5.375%
     13,965,000  
  312,300    
XL Capital, Ltd.
        
       
7.000%
     5,352,822  
       
 
      
       
 
     99,335,634  
       
 
      
       
 
        
       
Health Care (2.7%)
        
  220,000    
Schering-Plough Corp.
        
       
6.000%
     42,149,800  
  300,000    
Wachovia Bank NA (Biogen Idec, Inc.)* y
        
       
12.000%
     17,599,500  
       
 
      
       
 
     59,749,300  
       
 
      
See accompanying notes to Schedule of Investments

5

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Number of            
Shares         Value  
 
       
Industrials (0.7%)
        
  270,800    
Credit Suisse (CNH Global NV)*y
        
       
12.000%
   $ 15,029,400  
       
 
      
 
       
Information Technology (3.7%)
        
  314,000    
Deutsche Bank (Electronic Arts, Inc.)*y
        
       
12.000%
     15,528,870  
  487,000    
Deutsche Bank (Nokia Corp.)*y
        
       
12.000%
     17,807,155  
  879,800    
JPMorgan Chase & Company (Intel Corp.)*
        
       
12.000%
     18,216,259  
  331,700    
Morgan Stanley (SAP, AG)*y
        
       
12.000%
     15,982,965  
  550,000    
Wachovia Bank NA (eBay, Inc.)*y
        
       
12.000 %
    15,232,250  
       
 
      
       
 
     82,767,499  
       
 
      
 
       
Materials (4.7%)
        
  400   EUR
Bayer, AG
        
       
6.625%
     43,887,362  
  315,000    
Freeport-McMoRan Copper & Gold, Inc.
        
       
6.750%
     41,832,000  
  2,000   CHF
Givaudan SA
        
       
5.375%
     17,729,249  
       
 
      
       
 
     103,448,611  
       
 
      
 
       
TOTAL CONVERTIBLE PREFERRED STOCKS
        
       
(Cost $471,328,426)
     448,607,737  
       
 
      
       
 
        
Common Stocks (68.9%)
       
 
        
       
Consumer Discretionary (1.8%)
        
  400,000    
Carnival Corp.^
     17,796,000  
  300,000    
CBS Corp.^
     7,557,000  
  375,000    
Tupperware Corp.^
     13,875,000  
       
 
      
       
 
     39,228,000  
       
 
      
 
       
Consumer Staples (12.8%)
        
  320,000    
Altria Group, Inc.^
     24,262,400  
  350,000    
Anheuser-Busch Companies, Inc.
     16,282,000  
  1,100,000    
Coca-Cola Company
     65,087,000  
  898,755    
General Mills, Inc.~
     49,081,011  
  425,000    
H. J. Heinz Company
     18,088,000  
  250,000    
Kimberly-Clark Corp.
     16,412,500  
  471,447    
Kraft Foods, Inc.
     13,794,539  
  410,000    
Procter & Gamble Company
     27,039,500  
  840,000    
Reynolds American, Inc.^
     53,197,200  
       
 
      
       
 
     283,244,150  
       
 
      
 
       
Energy (6.8%)
        
  775,000    
Chevron Corp.
     65,487,500  
  775,000    
ConocoPhillips^
     62,248,000  
  500,000    
Marathon Oil Corp.
     23,425,000  
       
 
      
       
 
     151,160,500  
       
 
      
 
       
Financials (8.8%)
        
  500,000    
Bank of America Corp.^
     22,175,000  
  1,372,000    
Citigroup, Inc.
     38,717,840  
  772,000    
Federal National Mortgage Association~
     26,139,920  
  600,000    
JPMorgan Chase & Company^
     28,530,000  
  158,074    
Lincoln National Corp.
     8,592,903  
  500,000    
U.S. Bancorp^
     16,975,000  
  360,000    
Wachovia Corp.^
     14,014,800  
  2,000,000    
Washington Mutual, Inc.~
     39,840,000  
       
 
      
       
 
     194,985,463  
       
 
      
 
       
Health Care (15.1%)
        
  525,000    
Abbott Laboratories
     29,557,500  
  1,375,000    
Bristol-Myers Squibb Company^
     31,886,250  
  300,000    
Eli Lilly and Company
     15,456,000  
  1,600,000    
Johnson & Johnson~
     101,216,000  
  1,755,000    
Merck & Company, Inc.
     81,221,400  
  3,300,000    
Pfizer, Inc.
     77,187,000  
       
 
      
       
 
     336,524,150  
       
 
      
 
       
Industrials (5.6%)
        
  1,650,000    
General Electric Company~
     58,426,500  
  480,000    
Honeywell International, Inc.^
     28,353,600  
  450,000    
Masco Corp.^
     10,318,500  
  435,000    
Raytheon Company
     28,335,900  
       
 
      
       
 
     125,434,500  
       
 
      
 
       
Information Technology (9.5%)
        
  900,000    
Cisco Systems, Inc.#
     22,050,000  
  850,000    
Hewlett-Packard Company
     37,187,500  
  1,337,000    
Intel Corp.~
     28,344,400  
  1,325,000    
Microsoft Corp.
     43,195,000  
  227,800    
Nintendo Company, Ltd.
     14,193,990  
  1,250,000    
Nokia Corp.^
     46,187,500  
  950,000    
Oracle Corp.#
     19,522,500  
       
 
      
       
 
     210,680,890  
       
 
      
 
       
Telecommunication Services (8.5%)
        
  3,043,450    
AT&T, Inc.^
     117,142,390  
  1,500,000   GBP
BT Group, PLC
     7,793,850  
  450,000   EUR
France Telecom, AG
     15,870,535  
  1,239,000    
Verizon Communications, Inc.^
    48,122,760  
       
 
      
       
 
     188,929,535  
       
 
      
 
       
TOTAL COMMON STOCKS
        
       
(Cost $1,480,415,860)
     1,530,187,188  
       
 
      
                 
Number of            
Contracts         Value  
 
Put Options (0.4%)
       
Financials (0.4%)
        
  6,850    
Federal National Mortgage Association#
        
       
Put, 03/22/08, Strike $25.00
     633,625  
  1,250    
S & P 500 Index#
        
       
Put, 03/22/08, Strike $1400.00
     7,181,250  
       
Washington Mutual Inc.#
        
  15,822    
Put, 04/19/08, Strike $15.00
     1,542,645  
  900    
Put, 04/19/08, Strike $12.50
     51,750  
       
 
      
 
       
TOTAL OPTIONS
       
       
(COST $12,197,906)
   $ 9,409,270  
       
 
     
See accompanying notes to Schedule of Investments

6

 

STRATEGIC TOTAL RETURN FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Number of            
Shares         Value  
 
Investment in Affiliated Fund (1.8%)        
  39,807,227    
Calamos Government Money Market Fund - Class I Shares W
 
       
(Cost $39,807,227)
    39,807,227  
       
 
     
Investments of Cash Collateral for Securities on Loan (12.0%)        
  146,669,000    
Bank of New York Institutional Cash Reserve Fund
    146,669,000  
  120,000,000    
Goldman Sachs Financial Square Prime Obligations Fund
    120,000,000  
       
 
     
       
TOTAL INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN
 
       
(Cost $266,669,000)
     266,669,000  
       
 
     
TOTAL INVESTMENTS (160.5%)  
(Cost $3,582,802,453)     3,565,823,057  
       
 
     
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-12.0%)     (266,669,000 )
       
 
     
OTHER ASSETS, LESS LIABILITIES (0.2%)     3,720,383  
       
 
     
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-48.7%)     (1,081,012,439 )
       
 
     
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 2,221,862,001  
       
 
     
 
Number of            
Contracts         Value  
 
 
Written Options (-1.1%)        
       
Financials (-1.1%)
        
       
Federal National Mortgage Association#
        
  4,115    
Call, 03/22/08, Strike $35.00
    (1,296,225 )
  3,300    
Call, 03/22/08, Strike $40.00
    (478,500 )
       
SPDR Trust Series 1#
        
  10,000    
Call, 06/21/08, Strike $141.00
    (6,100,000 )
  10,000    
Call, 04/19/08, Strike $140.00
    (4,650,000 )
  7,000    
Call, 06/21/08, Strike $140.00
     (4,637,500 )
       
Washington Mutual, Inc.#
        
  10,300    
Call, 04/19/08, Strike $17.50
    (4,017,000 )
  5,000    
Call, 04/19/08, Strike $15.00
    (2,925,000 )
       
 
     
       
TOTAL WRITTEN OPTIONS
 
       
(Premium $18,335,484)
    (24,104,225 )
       
 
     
NOTES TO SCHEDULE OF INVESTMENTS
 
Note: Value for Securities denominated in foreign currencies are shown in U.S. dollars. The principal amount for such securities are shown in the respective foreign currency. The date shown on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
^     Security, or portion of security, is on loan.
 
‡    Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2008.
 
*   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 or excepted from such registration requirements. At January 31, 2008, the value of 144A securities that could not be exchanged to the registered form is $266,269,938 or 12% of net assets.
 
¥   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.
 
~     Security, or portion of security, is held in a segregated account as collateral for written options aggregating a total market value of $292,652,701.
 
y    The security of the financial institution is linked to, and may be exchangeable or convertible to, the equity security shown in the parenthetical.
 
W    Investment in affiliated fund. During the period from November 1, 2007 through January 31, 2008, the fund had net redemptions of $45,968,214, and received $538,398 in dividend payments from the affiliated fund. As of October 31, 2007, the fund had $85,775,441 of the affiliated fund.
     
FOREIGN CURRENCY ABBREVIATIONS
 
CHF
  Swiss Franc
EUR
  European Monetary Unit
GBP
  British Pound Sterling
See accompanying notes to Schedule of Investments

7

 

                                                  
INTEREST RATE SWAPS - (unaudited)
                        Unrealized  
                        Appreciation/  
SWAP Counterparty   Payments Made by the Fund   Payments Received by the Fund   Termination Date   Notional Amount     (Depreciation)  
 
Citibank, N.A.
  4.34% monthly   1 month LIBOR   6/4/2009   $ 200,000,000     $ (4,072,772 )
 
                         
 
                      $ (4,072,772 )
 
                         

 

 

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 a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time as of which a 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 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.
Trading in securities on European and Far Eastern securities 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 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.
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, below investment grade 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.

 

 

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 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 a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade date basis on January 31, 2008.
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 call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When a 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, 2008. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at January 31, 2008 was as follows:
         
Cost basis of investments
   $ 3,592,359,174  
 
      
Gross unrealized appreciation
     272,483,004  
Gross unrealized depreciation
     (299,019,121 )
 
      
Net unrealized appreciation (depreciation)
   $ (26,536,117 )
 
      

 

 

NOTE 3 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at January 31, 2008.
NOTE 4 — 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 5 — 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, 2008 were as follows:
                                         
    Fixed Rate   Floating Rate       Notional   Unrealized
    (Fund   (Fund   Termination   Amount   Appreciation/
Counterparty   Pays)   Receives)   Date   (USD)   (Depreciation)
   
Citibank, N.A.
   4.34% monthly   1 month LIBOR     06/04/2009     $ 200,000,000     $ (4,072,772 )
 
                                      
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 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 — SECURITIES LENDING
For the period ended January 31, 2008, the Fund may loan one or more 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 receive an additional return that may be in the form of a fixed fee or a percentage of the income earned on 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 less 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 their rights. In an effort to reduce these risks, the Fund’s securities lending agent monitors and reports to Calamos Advisors LLC on the creditworthiness of the firms to which a Fund lends securities. At January 31, 2008, the Fund had securities valued at $261,253,620 that were on loan to broker-dealers and banks and $266,801,441 in cash or cash equivalent collateral.
NOTE 8 — 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.

 

 

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

 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
         
By:
   /s/ John P. Calamos, Sr.     
Name:
 
 
John P. Calamos, Sr.
    
Title: Principal Executive Officer
    
Date: March 24, 2008    
         
By:
   /s/ Nimish S. Bhatt     
Name:
 
 
Nimish S. Bhatt
    
Title: Principal Financial Officer
    
Date: March 24, 2008
    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Strategic Total Return Fund
         
By:
   /s/ John P. Calamos, Sr.     
Name:
 
 
John P. Calamos, Sr. 		   
Title: Principal Executive Officer    
Date: March 24, 2008    
         
By:
   /s/ Nimish S. Bhatt     
Name:
 
 
Nimish S. Bhatt 		   
Title: Principal Financial Officer    
Date: March 24, 2008