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 |
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
CORPORATE BONDS
(18.9%)
|
||||||||
Consumer Discretionary (3.3%) | ||||||||
2,000,000 |
Boyd Gaming Corp. μ 7.125%, 02/01/16 |
$ | 1,425,000 | |||||
2,000,000 |
D.R. Horton, Inc. 9.750%, 09/15/10 |
1,970,000 | ||||||
2,000,000 |
EchoStar Communications Corp. 7.125%, 02/01/16 |
1,855,000 | ||||||
2,000,000 |
General Motors Corp. 7.200%, 01/15/11 |
1,320,000 | ||||||
2,000,000 |
Hanesbrands, Inc. 6.508%, 12/15/14 |
1,790,000 | ||||||
2,000,000 |
Jarden Corp. 7.500%, 05/01/17 |
1,750,000 | ||||||
2,000,000 |
Liberty Media Corp. 8.500%, 07/15/29 |
1,779,300 | ||||||
5,000,000 |
McDonalds Corp. 5.350%, 03/01/18 |
4,906,295 | ||||||
2,000,000 |
MGM Mirage μ 7.500%, 06/01/16 |
1,605,000 | ||||||
2,000,000 |
Pulte Homes, Inc. 7.875%, 08/01/11 |
1,940,000 | ||||||
2,210,000 |
Royal Caribbean Cruises, Ltd. μ 7.500%, 10/15/27 |
1,712,750 | ||||||
2,000,000 |
The Interpublic Group of Companies, Inc. 6.250%, 11/15/14 |
1,712,500 | ||||||
23,765,845 | ||||||||
Consumer Staples (1.8%) | ||||||||
1,000,000 |
Alliance One International, Inc. 8.500%, 05/15/12 |
942,500 | ||||||
1,000,000 |
Del Monte Foods Company 8.625%, 12/15/12 |
1,027,500 | ||||||
6,000,000 |
Diageo, PLC 5.500%, 09/30/16 |
5,864,220 | ||||||
2,000,000 |
NBTY, Inc. 7.125%, 10/01/15 |
1,890,000 | ||||||
2,000,000 |
Pilgrims Pride Corp. 7.625%, 05/01/15 |
1,700,000 | ||||||
2,000,000 |
Smithfield Foods, Inc. 7.750%, 07/01/17 |
1,720,000 | ||||||
13,144,220 | ||||||||
Energy (1.1%) | ||||||||
2,000,000 |
Complete Production Services, Inc. 8.000%, 12/15/16 |
1,995,000 | ||||||
2,000,000 |
Dresser-Rand Group, Inc. 7.375%, 11/01/14 |
1,990,000 | ||||||
2,000,000 |
Superior Energy Services, Inc. μ 6.875%, 06/01/14 |
1,870,000 | ||||||
2,000,000 |
Williams Companies, Inc. μ 7.750%, 06/15/31 |
2,080,000 | ||||||
7,935,000 | ||||||||
Financials (2.5%) | ||||||||
15,000,000 |
Federal National Mortgage Association μ 5.125%, 09/02/08 |
15,031,110 | ||||||
2,000,000 |
Ford Motor Credit Company, LLC 9.875%, 08/10/11 |
1,631,858 | ||||||
Leucadia National Corp. | ||||||||
1,000,000 | 7.000%, 08/15/13 | 967,500 | ||||||
880,000 | 8.125%, 09/15/15 | 881,100 | ||||||
18,511,568 | ||||||||
Health Care (0.6%) | ||||||||
2,000,000 |
Bio-Rad Laboratories, Inc. μ 7.500%, 08/15/13 |
2,005,000 | ||||||
2,000,000 |
HCA, Inc. 9.125%, 11/15/14 |
2,065,000 | ||||||
4,070,000 | ||||||||
Industrials (4.4%) | ||||||||
1,000,000 |
Belden CDT, Inc. μ 7.000%, 03/15/17 |
952,500 | ||||||
2,000,000 |
Deluxe Corp. 7.375%, 06/01/15 |
1,752,500 | ||||||
2,000,000 |
General Cable Corp. 7.125%, 04/01/17 |
1,900,000 | ||||||
10,000,000 |
General Electric Company 5.250%, 12/06/17 |
9,705,720 | ||||||
5,000,000 |
Honeywell International, Inc. 5.300%, 03/01/18 |
4,891,590 | ||||||
1,000,000 |
Interline Brands, Inc. 8.125%, 06/15/14 |
960,000 | ||||||
2,000,000 |
Manitowoc Company, Inc. μ 7.125%, 11/01/13 |
1,885,000 | ||||||
6,000,000 |
Siemens, AG 5.750%, 10/17/16 |
5,977,728 | ||||||
2,000,000 |
SPX Corp.* 7.625%, 12/15/14 |
2,047,500 | ||||||
2,000,000 |
Terex Corp. 7.375%, 01/15/14 |
1,965,000 | ||||||
32,037,538 | ||||||||
Information Technology (3.6%) | ||||||||
2,000,000 |
Amkor Technology, Inc. 9.250%, 06/01/16 |
1,905,000 | ||||||
10,000,000 |
Cisco Systems, Inc. 5.500%, 02/22/16 |
10,128,760 | ||||||
10,000,000 |
Oracle Corp. 5.250%, 01/15/16 |
9,909,080 | ||||||
2,000,000 |
SunGard Data Systems, Inc. μ 9.125%, 08/15/13 |
2,055,000 | ||||||
2,000,000 |
Xerox Corp. μ 8.000%, 02/01/27 |
1,910,956 | ||||||
25,908,796 | ||||||||
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
Materials (0.6%) | ||||||||
2,000,000 |
Century Aluminum Company 7.500%, 08/15/14 |
$ | 1,975,000 | |||||
2,305,000 |
Terra Industries, Inc. 7.000%, 02/01/17 |
2,287,713 | ||||||
4,262,713 | ||||||||
Telecommunication Services (1.0%) | ||||||||
2,000,000 |
Citizens Communications Company 9.000%, 08/15/31 |
1,780,000 | ||||||
2,000,000 |
Leap Wireless International, Inc. 9.375%, 11/01/14 |
1,970,000 | ||||||
2,000,000 |
Qwest Communications International, Inc. μ 7.750%, 02/15/31 |
1,570,000 | ||||||
2,000,000 |
Windstream Corp. μ 8.625%, 08/01/16 |
2,035,000 | ||||||
7,355,000 | ||||||||
TOTAL CORPORATE BONDS (Cost $143,546,121) |
136,990,680 | |||||||
CONVERTIBLE BONDS
(13.4%)
|
||||||||
Consumer Discretionary (2.4%) | ||||||||
1,650,000 | EUR |
Adidas, AG 2.500%, 10/08/18 |
4,019,379 | |||||
1,800,000 |
Central European Media Enterprises, Ltd.* 3.500%, 03/15/13 |
1,851,750 | ||||||
3,500,000 |
Ford Motor Company μ 4.250%, 12/15/36 |
2,450,000 | ||||||
4,250,000 |
General Motors Corp. μ 6.250%, 07/15/33 |
1,941,400 | ||||||
5,000,000 |
Interpublic Group of Companies, Inc.* 4.250%, 03/15/23 |
5,075,000 | ||||||
1,500,000 | EUR |
Intralot SA 2.250%, 12/20/13 |
2,233,843 | |||||
17,571,372 | ||||||||
Consumer Staples (0.3%) | ||||||||
1,500,000 |
Smithfield Foods, Inc. 4.000%, 06/30/13 |
1,770,000 | ||||||
Energy (2.6%) | ||||||||
3,200,000 |
Carrizo Oil & Gas, Inc. 4.375%, 06/01/28 |
2,896,000 | ||||||
3,000,000 |
Grey Wolf, Inc. 2.741%, 04/01/24 |
4,113,600 | ||||||
3,500,000 |
Petroleum Geo-Services, ASA 2.700%, 12/03/12 |
3,066,875 | ||||||
4,300,000 |
SeaDrill, Ltd. 3.625%, 11/08/12 |
4,657,103 | ||||||
3,500,000 |
Subsea 7, Inc. 2.800%, 06/06/11 |
3,753,750 | ||||||
18,487,328 | ||||||||
Financials (1.9%) | ||||||||
2,000,000 |
Affiliated Managers Group, Inc. 3.950%, 08/15/38 |
1,919,000 | ||||||
2,000,000 |
American Equity Investment Life Holding Company 5.250%, 12/06/24 |
1,855,000 | ||||||
2,000,000 |
Banco Espirito Santo, SA 1.250%, 02/26/11 |
2,055,000 | ||||||
3,000,000 |
Health Care REIT, Inc. 4.750%, 07/15/27 |
3,337,500 | ||||||
5,000,000 |
Prudential Financial, Inc. 0.386%, 12/12/36 |
4,915,000 | ||||||
14,081,500 | ||||||||
Health Care (2.6%) | ||||||||
3,300,000 |
Emdeon Corp. 3.125%, 09/01/25 |
2,945,250 | ||||||
700,000 |
Five Star Quality Care, Inc. 3.750%, 10/15/26 |
471,625 | ||||||
3,000,000 |
Millipore Corp. 3.750%, 06/01/26 |
3,067,500 | ||||||
6,500,000 |
Shire, PLC 2.750%, 05/09/14 |
5,528,691 | ||||||
6,200,000 |
Teva Pharmaceutical Industries, Ltd. μ 1.750%, 02/01/26 |
6,858,750 | ||||||
18,871,816 | ||||||||
Industrials (1.0%) | ||||||||
1,800,000 | EUR |
MTU Aero Engines Holdings, AG 2.750%, 02/01/12 |
2,209,362 | |||||
3,000,000 |
School Specialty, Inc. 3.750%, 11/30/26 |
2,711,250 | ||||||
2,000,000 |
Waste Connections, Inc. 3.750%, 04/01/26 |
2,367,500 | ||||||
7,288,112 | ||||||||
Information Technology (1.6%) | ||||||||
Cap Gemini, SA | ||||||||
1,350,000 | EUR | 1.000%, 01/01/12 | 993,937 | |||||
1,200,000 | EUR | 2.500%, 01/01/10 | 992,567 | |||||
5,500,000 |
Intel Corp. μ 2.950%, 12/15/35 |
5,355,625 | ||||||
4,000,000 |
Mentor Graphics Corp. 6.250%, 03/01/26 |
4,220,000 | ||||||
11,562,129 | ||||||||
Materials (0.4%) | ||||||||
3,000,000 |
Sino-Forest Corp.* 5.000%, 08/01/13 |
3,052,500 | ||||||
Telecommunication Services (0.2%) | ||||||||
1,350,000 |
NII Holdings, Inc. 2.750%, 08/15/25 |
1,689,188 | ||||||
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
Utilities (0.4%) | ||||||||
1,700,000 | EUR |
International Power, PLC 3.250%, 07/20/13 |
$ | 2,800,961 | ||||
TOTAL CONVERTIBLE BONDS (Cost $107,631,207) |
97,174,906 | |||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS
(5.4%)
|
||||||||
Consumer Staples (0.5%) | ||||||||
4,000 |
Bunge, Ltd. 5.125% |
3,680,000 | ||||||
Financials (1.7%) | ||||||||
9,500 |
Alleghany Corp. 5.750% |
2,808,293 | ||||||
1,800 |
Bank of America Corp. 7.250% |
1,679,400 | ||||||
38,400 |
Citigroup, Inc. 6.500% |
1,694,400 | ||||||
185,000 |
MetLife, Inc. 6.375% |
4,658,300 | ||||||
2,000 |
SLM Corp. 7.250% |
1,774,750 | ||||||
12,615,143 | ||||||||
Health Care (1.4%) | ||||||||
52 | EUR |
Bayer, AG 6.625% |
6,057,056 | |||||
2,000 |
Mylan Laboratories, Inc. 6.500% |
1,788,200 | ||||||
11,000 |
Schering-Plough Corp. μ 6.000% |
2,157,650 | ||||||
10,002,906 | ||||||||
Industrials (0.2%) | ||||||||
40,000 |
Avery Dennison Corp. 7.875% |
1,760,000 | ||||||
Materials (1.3%) | ||||||||
38,000 |
Cia Vale do Rio Doce 5.500% |
2,199,250 | ||||||
21,000 |
Freeport-McMoRan Copper & Gold, Inc. μ 6.750% |
2,944,830 | ||||||
4,900 | CHF |
Givaudan, SA 5.375% |
3,879,165 | |||||
9,023,245 | ||||||||
Utilities (0.3%) | ||||||||
30,000 |
Entergy Corp. 7.625% |
1,875,000 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $45,253,403) |
38,956,294 | |||||||
NUMBER OF |
||||||||
UNITS | VALUE | |||||||
STRUCTURED EQUITY-LINKED
SECURITIES (16.6%)
|
||||||||
Consumer Discretionary (5.1%) | ||||||||
265,200 |
Credit Suisse Group (Coach, Inc.)* 15.000%, 11/14/08 |
$ | 7,245,264 | |||||
132,000 |
Deutsche Bank (Amazon.com, Inc.)* 12.000%, 02/06/09 |
10,007,950 | ||||||
116,100 |
Deutsche Bank (ITT Educational Services, Inc.)* 12.000%, 01/15/09 |
10,388,628 | ||||||
151,000 |
Goldman Sachs Group, Inc. (Apollo Group, Inc.)* 12.000%, 02/02/09 |
9,172,344 | ||||||
36,814,186 | ||||||||
Energy (3.9%) | ||||||||
161,700 |
Bank of America Corp. (Noble Corp.)* 12.000%, 12/26/08 |
8,807,799 | ||||||
188,400 |
Credit Swiss Group (Chesapeake Energy Corp.)* 12.000%, 12/05/08 |
9,366,306 | ||||||
68,805 |
JPMorgan Chase & Company (Transocean, Inc.)* 12.000%, 12/01/08 |
9,695,313 | ||||||
27,869,418 | ||||||||
Information Technology (6.5%) | ||||||||
217,500 |
Credit Suisse Group (QUALCOMM, Inc.)* 12.000%, 12/24/08 |
11,338,275 | ||||||
365,000 |
Deutsche Bank (eBay, Inc.)* 12.000%, 01/16/09 |
9,515,550 | ||||||
45,900 |
Deutsche Bank (MasterCard, Inc.)* 12.000%, 08/12/08 |
10,066,559 | ||||||
450,200 |
JP Morgan Chase & Company (Intel Corp.)* 12.000%, 12/01/08 |
10,190,277 | ||||||
505,051 |
JPMorgan Chase & Company (NVIDIA Corp.)* 15.000%, 11/14/08 |
6,227,279 | ||||||
47,337,940 | ||||||||
Telecommunication Services (1.1%) | ||||||||
156,800 |
Wachovia Corp. (America Movil, SA de CV)* 12.000%, 11/14/08 |
8,177,904 | ||||||
TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $129,474,052) |
120,199,448 | |||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
COMMON STOCKS (77.5%)
|
||||||||
Consumer Discretionary (5.8%) | ||||||||
41,000 | EUR | Adidas, AG | 2,509,976 | |||||
18,750 | Amazon.com, Inc.# μ | 1,431,375 | ||||||
15,000 | Apollo Group, Inc.# μ | 934,350 | ||||||
145,000 | GBP | British Sky Broadcasting Group, PLC | 1,299,622 |
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
38,500 | Carnival Corp. μ | $ | 1,422,190 | |||||
400,000 | GBP | Carphone Warehouse Group, Plc | 1,490,647 | |||||
30,000 | CBS Corp. μ | 490,800 | ||||||
21,500 |
Central European Media Enterprises, Ltd.# |
1,789,875 | ||||||
31,500 | CHF | Compagnie Generale Richemont, SA | 1,882,164 | |||||
400,000 | AUD | Harvey Norman Holdings, Ltd. | 1,213,600 | |||||
61,000 | EUR | Industria de Diseno Textil, SA | 2,934,581 | |||||
39,000 | JPY | Makita Corp. | 1,334,469 | |||||
83,000 | JPY |
Matsushita Electric Industrial Company, Ltd. |
1,749,970 | |||||
72,000 | News Corp. μ | 1,051,920 | ||||||
38,000 | Nike, Inc. μ | 2,229,840 | ||||||
140,000 | JPY | Nikon Corp. | 4,067,584 | |||||
7,000 | Nordstrom, Inc. μ | 201,180 | ||||||
54,500 | EUR | Paddy Power, PLC | 1,521,712 | |||||
9,000 | EUR | Porsche Holding GmbH | 1,348,904 | |||||
110,000 | JPY | Suzuki Motor Corp. | 2,402,371 | |||||
85,000 | CHF | Swatch Group, AG | 3,721,330 | |||||
8,000 | Target Corp. | 361,840 | ||||||
70,000 | Time Warner, Inc. μ | 1,002,400 | ||||||
31,000 | JPY | Toyota Motor Corp. | 1,336,333 | |||||
67,500 | Walt Disney Company μ | 2,048,625 | ||||||
41,777,658 | ||||||||
Consumer Staples (6.4%) | ||||||||
40,000 | Avon Products, Inc. | 1,696,000 | ||||||
53,000 | EUR | Beiersdorf, AG | 3,418,535 | |||||
37,500 | Coca-Cola Company | 1,931,250 | ||||||
32,000 | CVS Corp. μ | 1,168,000 | ||||||
180,000 | GBP | Diageo, PLC | 3,135,682 | |||||
53,000 | EUR | InBev, NV | 3,552,236 | |||||
160 | JPY | Japan Tobacco, Inc. | 745,785 | |||||
12,000 | Kimberly-Clark Corp. μ | 693,960 | ||||||
225,000 | CHF | Nestle Holdings, Inc. | 9,869,617 | |||||
23,000 | PepsiCo, Inc. μ | 1,530,880 | ||||||
40,000 | Philip Morris International, Inc. | 2,066,000 | ||||||
45,000 | Procter & Gamble Company μ | 2,946,600 | ||||||
52,000 | GBP | Reckitt Benckiser Group, PLC | 2,835,038 | |||||
53,000 | GBP | Unilever, PLC | 1,453,101 | |||||
900,000 | MXN | Wal-Mart de Mexico SA de CV | 3,661,412 | |||||
72,000 | Wal-Mart Stores, Inc. μ | 4,220,640 | ||||||
46,000 | Walgreen Company μ | 1,579,640 | ||||||
46,504,376 | ||||||||
Energy (7.4%) | ||||||||
782,000 | GBP | BP, PLC | 8,026,000 | |||||
26,000 | Chevron Corp. μ | 2,198,560 | ||||||
40,000 | ConocoPhillips μ | 3,264,800 | ||||||
12,500 | Devon Energy Corp. μ | 1,186,125 | ||||||
95,000 | EUR | ENI S.p.A. | 3,205,746 | |||||
100,000 | Exxon Mobil Corp. μ | 8,043,000 | ||||||
46,500 | Halliburton Company μ | 2,084,130 | ||||||
31,000 | Marathon Oil Corp. μ | 1,533,570 | ||||||
24,000 | Noble Corp. | 1,244,880 | ||||||
15,000 | Occidental Petroleum Corp. μ | 1,182,450 | ||||||
115,000 | NOK | Petroleum Geo-Services ASA# | 2,654,043 | |||||
82,300 | GBP | Royal Dutch Shell, PLC | 2,922,099 | |||||
22,000 | Schlumberger, Ltd. μ | 2,235,200 | ||||||
124,000 | NOK | SeaDrill, Ltd. | 3,702,859 | |||||
40,000 | CAD | Suncor Energy, Inc. | 2,174,325 | |||||
74,000 | EUR | TOTAL, SA | 5,666,111 | |||||
16,500 | Transocean, Inc.# μ | 2,244,495 | ||||||
53,568,393 | ||||||||
Financials (12.1%) | ||||||||
27,500 | AFLAC, Inc. μ | 1,529,275 | ||||||
80,000 | American International Group, Inc. μ | 2,084,000 | ||||||
24,000 | Aon Corp. μ | 1,099,200 | ||||||
95,000 | AUD | Australian Stock Exchange, Ltd. | 3,063,899 | |||||
135,000 | EUR | Banco Santander Central Hispano, SA | 2,586,131 | |||||
105,000 | Bank of America Corp. μ | 3,454,500 | ||||||
41,000 | Bank of New York Mellon Corp. μ | 1,455,500 | ||||||
18,700 | EUR | BNP Paribas | 1,843,489 | |||||
153,000 | Citigroup, Inc. μ | 2,859,570 | ||||||
62,500 | AUD | Commonwealth Bank of Australia | 2,317,624 | |||||
29,000 | EUR | Deutsche Börse, AG | 3,301,525 | |||||
197,000 | EUR | EFG Eurobank Ergasias | 4,887,350 | |||||
12,000 | Franklin Resources, Inc. μ | 1,207,320 | ||||||
19,000 | Hartford Financial Services Group, Inc. μ | 1,204,410 | ||||||
100,000 | HKD | Hong Kong Exchanges and Clearing, Ltd. | 1,472,471 | |||||
91,500 | JPMorgan Chase & Company μ | 3,717,645 | ||||||
80,000 | CHF | Julius Baer Holding, AG | 5,072,035 | |||||
99,000 | Manulife Financial Corp. | 3,646,170 | ||||||
40,000 | MetLife, Inc. μ | 2,030,800 | ||||||
360 | JPY | Mizuho Financial Group, Inc. | 1,723,756 | |||||
40,000 | Morgan Stanley μ | 1,579,200 | ||||||
47,000 | EUR | Piraeus Bank, SA | 1,403,616 | |||||
98,000 | CAD | Power Financial Corp. | 3,234,924 | |||||
25,500 | Prudential Financial, Inc. μ | 1,758,735 | ||||||
262,000 | AUD | QBE Insurance Group, Ltd. | 5,530,791 | |||||
290,000 | GBP | Schroders, PLC | 5,497,230 | |||||
387,000 | SGD | Singapore Exchange, Ltd. | 1,902,162 | |||||
140,000 | GBP | Standard Chartered, PLC | 4,262,452 | |||||
8,000 | State Street Corp. μ | 573,120 | ||||||
230 | JPY | Sumitomo Mitsui Financial Group, Inc. | 1,784,503 | |||||
23,500 | T Rowe Price Group, Inc. | 1,406,475 |
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
64,000 | U.S. Bancorp μ | $ | 1,959,040 | |||||
67,000 | Wachovia Corp. | 1,157,090 | ||||||
102,500 | Wells Fargo & Company | 3,102,675 | ||||||
8,300 | CHF | Zurich Financial Services, AG | 2,181,543 | |||||
87,890,226 | ||||||||
Health Care (8.9%) | ||||||||
77,000 | Abbott Laboratories μ | 4,338,180 | ||||||
60,000 | Alcon, Inc. | 10,345,800 | ||||||
25,000 | JPY | Astellas Pharma, Inc. | 1,083,996 | |||||
24,000 | EUR | Bayer, AG | 2,065,457 | |||||
83,000 | Bristol-Myers Squibb Company μ | 1,752,960 | ||||||
62,000 | AUD | Cochlear, Ltd. | 2,570,200 | |||||
150,000 | AUD | CSL, Ltd. | 4,850,029 | |||||
34,250 | Eli Lilly and Company μ | 1,613,518 | ||||||
80,000 | Johnson & Johnson μ | 5,477,600 | ||||||
42,000 | Medtronic, Inc. μ | 2,218,860 | ||||||
92,500 | Merck & Company, Inc. μ | 3,043,250 | ||||||
54,000 | CHF | Novartis International, AG | 3,205,746 | |||||
107,000 | DKK | Novo Nordisk, AS - B Shares | 6,784,407 | |||||
98,000 | JPY | OLYMPUS Corp. | 3,290,611 | |||||
190,000 | Pfizer, Inc. μ | 3,547,300 | ||||||
13,276 | CHF | Roche Holding, AG | 2,452,898 | |||||
40,000 | St. Jude Medical, Inc.# | 1,863,200 | ||||||
18,500 | Stryker Corp. μ | 1,187,515 | ||||||
42,000 | UnitedHealth Group, Inc. μ | 1,179,360 | ||||||
17,000 | Wyeth μ | 688,840 | ||||||
17,000 | Zimmer Holdings, Inc.# | 1,171,470 | ||||||
64,731,197 | ||||||||
Industrials (10.9%) | ||||||||
27,000 | 3M Company μ | 1,900,530 | ||||||
270,000 | CHF | ABB, Ltd.# | 7,078,473 | |||||
54,000 | EUR | Alstom | 6,044,639 | |||||
610,000 | GBP | BAE Systems, PLC | 5,412,876 | |||||
28,000 | Boeing Company μ | 1,711,080 | ||||||
500,000 | CAD | Bombardier, Inc. | 3,584,159 | |||||
10,000 | Burlington Northern Santa Fe Corp. μ | 1,041,300 | ||||||
164,516 | GBP | Capita Group, PLC | 2,232,279 | |||||
7,000 | Danaher Corp. μ | 557,550 | ||||||
18,000 | Emerson Electric Company μ | 876,600 | ||||||
63,000 | GBP | FirstGroup, PLC | 643,946 | |||||
19,000 | General Dynamics Corp. μ | 1,693,660 | ||||||
242,500 | General Electric Company μ | 6,860,325 | ||||||
60,000 | Honeywell International, Inc. μ | 3,050,400 | ||||||
25,000 | Illinois Tool Works, Inc. μ | 1,171,250 | ||||||
44,000 | EUR | KCI Konecranes Oyj | 1,748,047 | |||||
160,000 | JPY | Komatsu, Ltd. | 3,973,478 | |||||
47,000 | EUR | Krones, AG | 3,718,831 | |||||
10,000 | Lockheed Martin Corp. μ | 1,043,300 | ||||||
30,000 | EUR | MAN, AG | 3,008,808 | |||||
44,000 | EUR | MTU Aero Engines Holdings, AG | 1,359,279 | |||||
14,000 | EUR | Nexans, SA | 1,661,796 | |||||
21,000 | Raytheon Company μ | 1,195,530 | ||||||
455,000 | GBP | Rolls-Royce Group, PLC# | 3,207,666 | |||||
40,000 | EUR | Royal Philips Electronics, NV | 1,333,243 | |||||
28,000 | EUR | SGL Carbon# | 1,863,685 | |||||
50,000 | EUR | Siemens, AG | 6,109,668 | |||||
12,800 | Union Pacific Corp. μ | 1,055,232 | ||||||
20,000 | United Parcel Service, Inc. | 1,261,600 | ||||||
43,000 | United Technologies Corp. μ | 2,751,140 | ||||||
79,150,370 | ||||||||
Information Technology (18.4%) | ||||||||
31,000 | Apple, Inc.# μ | 4,927,450 | ||||||
391,000 | GBP | Autonomy Corp. PLC# | 8,237,844 | |||||
60,000 | JPY | Canon, Inc. | 2,742,314 | |||||
29,500 | EUR | Cap Gemini, SA | 1,883,329 | |||||
90,000 | JPY | Capcom Company, Ltd. | 2,803,113 | |||||
145,000 | Cisco Systems, Inc.# μ | 3,188,550 | ||||||
132,500 | Dell, Inc.# μ | 3,255,525 | ||||||
85,000 | eBay, Inc.# μ | 2,139,450 | ||||||
65,000 | EMC Corp.# μ | 975,650 | ||||||
6,250 | Google, Inc.# μ | 2,960,938 | ||||||
140,000 | Infosys Technologies, Ltd. | 5,514,600 | ||||||
185,000 | Intel Corp. μ | 4,105,150 | ||||||
40,000 | International Business Machines Corp. μ | 5,119,200 | ||||||
113,000 | JPY | Konami Corp. | 3,573,440 | |||||
285,000 | SEK | LM Ericsson Telephone Company | 2,990,780 | |||||
85,000 | CHF | Logitech International, SA# | 2,250,943 | |||||
230,000 | Microsoft Corp. μ | 5,915,600 | ||||||
45,000 | Motorola, Inc. μ | 388,800 | ||||||
70,000 | NDS Group, PLC# | 4,041,800 | ||||||
28,400 | JPY | Nintendo Company, Ltd. | 13,779,279 | |||||
370,000 | EUR | NOKia Corp. | 10,098,209 | |||||
92,000 | JPY | Nomura Reasearch Institute, Ltd. | 2,055,463 | |||||
150,000 | Oracle Corp.# μ | 3,229,500 | ||||||
67,000 | QUALCOMM, Inc. | 3,707,780 | ||||||
100,000 | BRL | Redecard, SA | 1,864,266 | |||||
5,560 | KRW | Samsung Electronics Co., Ltd. | 3,076,108 | |||||
118,000 | EUR | SAP, AG | 6,832,577 | |||||
65,000 | Satyam Computer Services, Ltd. | 1,387,100 | ||||||
75,000 | Symantec Corp.# | 1,580,250 | ||||||
165,000 | NOK | Tandberg, ASA | 2,879,102 | |||||
170,000 | CHF | Temenos Group, AG# | 5,007,419 | |||||
60,000 | Texas Instruments, Inc. μ | 1,462,800 | ||||||
71,000 | JPY | Trend Micro, Inc. | 2,470,035 |
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
66,000 | EUR | Ubisoft Entertainment, SA# | $ | 6,495,850 | ||||
103,000 | HKD | Vtech Holdings | 625,457 | |||||
133,565,671 | ||||||||
Materials (3.1%) | ||||||||
47,000 | GBP | Anglo American, PLC | 2,686,828 | |||||
20,500 | EUR | BASF, AG | 1,297,604 | |||||
110,000 | AUD | BHP Billiton, Ltd. | 4,104,739 | |||||
60,000 | GBP | BHP Billiton, PLC | 1,985,710 | |||||
87,000 | Cia Vale do Rio Doce | 2,612,610 | ||||||
36,000 | E.I. du Pont de Nemours and Company μ | 1,577,160 | ||||||
7,000 | Freeport-McMoRan Copper & Gold, Inc. μ | 677,250 | ||||||
30,000 | GBP | Rio Tinto Group | 3,139,369 | |||||
41,000 | The Dow Chemical Company μ | 1,365,710 | ||||||
37,000 | NOK | Yara International, ASA | 2,628,535 | |||||
22,075,515 | ||||||||
Telecommunication Services (3.3%) | ||||||||
93,500 | America Movil, SA de CV | 4,720,815 | ||||||
145,000 | AT&T, Inc. μ | 4,467,450 | ||||||
35,000 | EUR | Bouygues, SA | 2,262,675 | |||||
265,000 | GBP | BT Group, PLC | 895,464 | |||||
96,000 | EUR | France Telecom, AG | 3,035,436 | |||||
83,000 | Verizon Communications, Inc. μ | 2,825,320 | ||||||
2,157,000 | GBP | Vodafone Group, PLC | 5,778,212 | |||||
23,985,372 | ||||||||
Utilities (1.2%) | ||||||||
47,500 | Duke Energy Corp. μ | 835,050 | ||||||
10,500 | Exelon Corp. μ | 825,510 | ||||||
15,500 | FPL Goup, Inc. | 1,000,215 | ||||||
29,000 | EUR | RWE, AG | 3,470,147 | |||||
48,000 | EUR | Suez | 2,871,643 | |||||
9,002,565 | ||||||||
TOTAL COMMON STOCKS (Cost $657,627,286) |
562,251,343 | |||||||
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
U.S. GOVERNMENT SECURITY
(0.5%)
|
||||||||
4,000,000 |
United States Treasury Notes 4.875%, 10/31/08 μ (Cost $4,029,969) |
4,032,816 | ||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
INVESTMENT IN AFFILIATED FUND
(15.4%)
|
||||||||
112,035,244 | Calamos Government Money Market Fund - | |||||||
Class I Shares W (Cost $112,035,244) |
$ | 112,035,244 | ||||||
TOTAL INVESTMENTS (147.7%)
(Cost $1,199,597,282) |
1,071,640,731 | |||||||
LIABILITIES, LESS OTHER ASSETS (-40.8)%
|
(296,079,048 | ) | ||||||
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-6.9)%
|
(50,017,059 | ) | ||||||
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) | $ | 725,544,624 | ||||||
COMMON STOCKS SOLD SHORT
(-3.4%)
|
||||||||
Consumer Discretionary (-0.2%) | ||||||||
(206,600 | ) | Interpublic Group of Companies, Inc.# | (1,816,014 | ) | ||||
Consumer Staples (-0.5%) | ||||||||
(31,000 | ) | Bunge, Ltd. | (3,066,520 | ) | ||||
(39,900 | ) | Smithfield Foods, Inc.# | (857,052 | ) | ||||
(3,923,572 | ) | |||||||
Energy (-0.4%) | ||||||||
(17,500 | ) | Carrizo Oil & Gas, Inc.# | (880,950 | ) | ||||
(250,000 | ) | Grey Wolf, Inc.# | (2,135,000 | ) | ||||
(3,015,950 | ) | |||||||
Financials (-0.7%) | ||||||||
(9,000 | ) | Affiliated Managers Group, Inc.# | (777,600 | ) | ||||
(7,956 | ) | Alleghany Corp.# | (2,508,288 | ) | ||||
(77,000 | ) | American Equity Investment Life Holding Company | (672,980 | ) | ||||
(61,000 | ) | SLM Corp.# | (1,044,930 | ) | ||||
(5,003,798 | ) | |||||||
Health Care (-0.6%) | ||||||||
(28,000 | ) | Five Star Quality Care, Inc.# | (122,920 | ) | ||||
(127,900 | ) | HLTH Corp.# | (1,399,226 | ) | ||||
(19,900 | ) | Millipore Corp.# | (1,399,965 | ) | ||||
(114,000 | ) | Mylan Laboratories, Inc.# | (1,478,580 | ) | ||||
(4,400,691 | ) | |||||||
Industrials (-0.4%) | ||||||||
(29,000 | ) | School Specialty, Inc.# | (965,990 | ) | ||||
(44,500 | ) | Waste Connections, Inc.# | (1,619,355 | ) | ||||
(2,585,345 | ) | |||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
Information Technology (-0.1%) | ||||||||
(55,600 | ) | Mentor Graphics Corp.# | $ | (771,728 | ) | |||
Materials (-0.2%) | ||||||||
(88,600 | ) CAD | Sino-Forest Corp.# | (1,410,401 | ) | ||||
Utilities (-0.3%) | ||||||||
(17,000 | ) | Entergy Corp. | (1,817,640 | ) | ||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $26,402,313) |
(24,745,139 | ) | ||||||
NUMBER OF |
||||||||
CONTRACTS | VALUE | |||||||
WRITTEN OPTIONS
(-1.9%)
|
||||||||
Financials (-1.9%) | ||||||||
iShares MSCI EAFE Index Fund# | ||||||||
16,550 | Call, 12/20/08, Strike $69.00 | (4,096,125 | ) | |||||
14,400 | Call, 09/20/08, Strike $72.00 | (288,000 | ) | |||||
8,775 | Call, 12/20/08, Strike $70.00 | (1,798,875 | ) | |||||
7,600 | Call, 12/20/08, Strike $74.00 | (646,000 | ) | |||||
3,600 | Call, 12/20/08, Strike $73.00 | (387,000 | ) | |||||
SPDR Trust Series 1# | ||||||||
3,725 | Call, 12/20/08, Strike $130.00 | (1,983,562 | ) | |||||
2,025 | Call, 12/20/08, Strike $127.00 | (1,397,250 | ) | |||||
2,000 | Call, 12/20/08, Strike $126.00 | (1,495,000 | ) | |||||
1,900 | Call, 12/20/08, Strike $132.00 | (836,000 | ) | |||||
1,750 | Call, 09/20/08, Strike $135.00 | (162,750 | ) | |||||
1,375 | Call, 12/20/08, Strike $136.00 | (390,500 | ) | |||||
1,300 | Call, 09/20/08, Strike $140.00 | (28,600 | ) | |||||
825 | Call, 09/20/08, Strike $134.00 | (96,525 | ) | |||||
(13,606,187 | ) | |||||||
TOTAL WRITTEN OPTIONS (Premium $20,463,685) |
(13,606,187 | ) | ||||||
μ | Security, or portion of security, is held in a segregated account as collateral for written options, swaps, or securities held short aggregating a total value of $211,634,481. | |
* | 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 July 31, 2008, the value of 144A securities that could not be exchanged to the registered form is $105,424,295 or 15% of net assets applicable to common Shareholders. | |
| Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2008. | |
# | Non-income producing security. | |
W | Investment in an affiliated fund. During the period from November 1, 2007, through July 31, 2008, the fund had net purchases of $59,235,248 and received $1,659,179 in dividend payments from the affiliated fund. As of October 31, 2007, the fund had holdings of $52,799,996 of the affiliated fund. |
AUD
|
Australian Dollar | |
BRL
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
CHF
|
Swiss Franc | |
DKK
|
Danish Krone | |
EUR
|
European Monetary Unit | |
GBP
|
British Pound Sterling | |
HKD
|
Hong Kong Dollar | |
JPY
|
Japanese Yen | |
KRW
|
South Korean Won | |
MXN
|
Mexican Peso | |
NOK
|
Norwegian Krone | |
SEK
|
Swedish Krona | |
SGD
|
Singapore Dollar |
Swap |
Referenced |
Buy/Sell |
Fund
Pays/Receives |
Termination |
Notional |
Unrealized |
||||||||||||
Counterparty | Obligation | Protection | Fixed Rate | Date | Amount | Appreciation/Depreciation | ||||||||||||
Bank of America Corp.
|
Ltd Brands Inc. | BUY | 2.30 BPS Quarterly | 6/20/2013 | $ | 5,000,000 | $ | 151,189 | ||||||||||
Citibank, N.A.
|
Centex Corporation | BUY | 1.35 BPS Quarterly | 9/20/2012 | 5,000,000 | 544,147 | ||||||||||||
Goldman Sachs
|
Jones Apparel Group | BUY | 1.32 BPS Quarterly | 9/20/2012 | 5,000,000 | 359,670 | ||||||||||||
Goldman Sachs
|
Temple-Inland | BUY | 1.00 BPS Quarterly | 9/20/2012 | 5,000,000 | 417,443 | ||||||||||||
Lehman Brothers Special Financing Inc.
|
Iac/Interactivecorp | BUY | 1.25 BPS Quarterly | 9/20/2012 | 5,000,000 | 553,078 | ||||||||||||
Citibank, N.A.
|
Radian Corporation | BUY | 8.600 BPS Quarterly | 9/20/2012 | 3,000,000 | 840,532 | ||||||||||||
Merrill Lynch
|
CDX.NA.IG.8, 3-7% 10 Year Fixed |
SELL | 5.62 BPS Quarterly | 6/20/2017 | 4,000,000 | (492,108 | ) | |||||||||||
Merrill Lynch
|
CDX.NA.IG.8, 7-10% 10 Year Fixed |
SELL | 1.78 BPS Quarterly | 6/20/2017 | 20,000,000 | (3,030,658 | ) | |||||||||||
Lehman Brothers Special Financing Inc.
|
CDX.NA.IG.8, 3-7% 10 Year Fixed |
SELL | 5.64 BPS Quarterly | 6/20/2017 | 20,000,000 | (2,437,978 | ) | |||||||||||
Citibank, N.A.
|
CDX.NA.IG.8, 7-10% 10 Year Fixed |
SELL | 1.68 BPS Quarterly | 6/20/2017 | 20,000,000 | (3,161,165 | ) | |||||||||||
Goldman Sachs
|
CDX.NA.IG.8, 3-7% 10 Year Fixed |
SELL | 5.43 BPS Quarterly | 6/20/2017 | 10,000,000 | (1,337,442 | ) | |||||||||||
Goldman Sachs
|
CDX.NA.IG.8, 7-10% 10 Year Fixed |
SELL | 1.67 BPS Quarterly | 6/20/2017 | 10,000,000 | (1,587,108 | ) | |||||||||||
Merrill Lynch
|
CDX.NA.IG.8, 3-7% 10 Year Fixed |
SELL | 5.72 BPS Quarterly | 6/20/2017 | 13,000,000 | (1,526,023 | ) | |||||||||||
$ | (10,706,423 | ) | ||||||||||||||||
COUNTRY ALLOCATION AS OF JULY 31, 2008 | ||
Country | % of Portfolio | |
United States
|
44.9% | |
Germany
|
10.7% | |
Switzerland
|
9.2% | |
United Kingdom
|
9.0% | |
Japan
|
5.5% | |
France
|
3.7% | |
Australia
|
2.6% | |
Canada
|
1.6% | |
Bermuda
|
1.4% | |
Finland
|
1.3% | |
Norway
|
1.2% | |
Greece
|
0.9% | |
Mexico
|
0.9% | |
India
|
0.8% | |
Cayman Islands
|
0.8% | |
Denmark
|
0.7% | |
Israel
|
0.7% | |
Brazil
|
0.7% | |
Spain
|
0.6% | |
Belgium
|
0.4% | |
Italy
|
0.4% | |
South Korea
|
0.3% | |
Sweden
|
0.3% | |
Hong Kong
|
0.2% | |
Singapore
|
0.2% | |
Netherlands Antilles
|
0.2% | |
Portugal
|
0.2% | |
Ireland
|
0.2% | |
Liberia
|
0.2% | |
Netherlands
|
0.2% | |
Total:
|
100.0% | |
Country
allocations vary over time.
|
Cost basis of investments
|
$ | 1,199,824,782 | ||
Gross unrealized appreciation
|
28,665,649 | |||
Gross unrealized depreciation
|
(156,849,700 | ) | ||
Net unrealized appreciation (depreciation)
|
$ | (128,184,051 | ) | |
NOTE 8 | STRUCTURED EQUITY-LINKED SECURITIES |
Calamos Global Dynamic Income Fund | ||||
By: |
/s/ John P. Calamos, Sr. | |||
Name:
|
John P. Calamos, Sr. | |||
Title:
|
Principal Executive Officer | |||
Date: | September 24, 2008 | |||
By:
|
/s/ Nimish S. Bhatt | |||
Name:
|
Nimish S. Bhatt | |||
Title:
|
Principal Financial Officer | |||
Date: | September 24, 2008 |
Calamos Global Dynamic Income Fund | ||||
By:
|
/s/ John P. Calamos, Sr. | |||
Name:
|
John P. Calamos, Sr. | |||
Title:
|
Principal Executive Officer | |||
Date: | September 24, 2008 | |||
By:
|
/s/ Nimish S. Bhatt | |||
Name:
|
Nimish S. Bhatt | |||
Title:
|
Principal Financial Officer | |||
Date: | September 24, 2008 |