UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT 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: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2004
DATE OF REPORTING PERIOD: November 1, 2003 through April 30, 2004
Item 1. Reports to Stockholders
CALAMOS STRATEGIC
TOTAL RETURN FUND
SEMI-ANNUAL REPORT APRIL 30, 2004
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(R)
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CORPORATE BONDS (31.3%)
BASIC INDUSTRIES (3.8%)
Boise Cascade Corp.
$ 6,267,000 7.350%, 02/01/16 $ 6,399,848
1,790,000 7.000%, 11/01/13 1,887,941
725,000 9.450%, 11/01/09 840,400
5,595,000 Century Aluminum Company
11.750%, 04/15/08 6,278,984
14,082,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 15,556,577
8,952,000 Ipsco, Inc.
8.750%, 06/01/13 10,068,750
7,610,000 Ispat International, NV(a)
9.750%, 04/01/14 7,797,688
3,581,000 Jarden Corp.
9.750%, 05/01/12 4,045,400
8,952,000 Phelps Dodge Corp.
9.500%, 06/01/31 12,415,037
Steel Dynamics, Inc.
7,305,000 9.500%, 03/15/09 8,197,842
304,000 9.500%, 03/15/09(a) 341,577
Union Carbide Corp.
5,953,000 7.500%, 06/01/25 5,594,645
4,364,000 7.875%, 04/01/23 4,232,231
--------------
83,656,920
--------------
CAPITAL GOODS - INDUSTRIAL (3.4%)
15,219,000 EUR AGCO Corp.
6.875%, 04/15/14 18,011,001
4,476,000 Asbury Automotive Group,
Inc.(a)
8.000%, 03/15/14 4,407,875
12,981,000 CNH Global, NV, Inc.(a)
9.250%, 08/01/11 14,534,800
12,086,000 Cummins, Inc.
9.500%, 12/01/10 14,076,112
7,610,000 Imco Recycling, Inc.
10.375%, 10/15/10 8,159,044
4,476,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 5,034,375
Manitowoc Company, Inc.
4,476,000 10.500%, 08/01/12 5,123,875
3,581,000 EUR 10.375%, 05/15/11 4,785,052
--------------
74,132,134
--------------
CAPITAL GOODS - TECHNOLOGY (3.9%)
17,010,000 Avnet, Inc.
9.750%, 02/15/08 19,640,775
10,922,000 Global iTechnology, Inc.
10.250%, 02/15/12 12,529,553
4,476,000 Monitronics International,
Inc.(a)
11.750%, 09/01/10 4,810,625
1,790,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,969,000
5,371,000 Rayovac Corp.
8.500%, 10/01/13 5,772,750
15,219,000 Sanmina-Sci Corp.
10.375%, 01/15/10 17,877,625
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 7,610,000 Stoneridge, Inc.
11.500%, 05/01/12 $ 9,129,000
4,476,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 4,475,000
8,952,000 Xerox Corp.
7.625%, 06/15/13 9,173,750
--------------
85,378,078
--------------
CONSUMER CYCLICAL (4.2%)
4,476,000 AMR Corp.(a)
7.250%, 02/05/09 4,368,719
7,610,000 Central Garden & Pet Company
9.125%, 02/01/13 8,482,363
7,610,000 GBP EMI Group, PLC
9.750%, 05/20/08 14,528,212
4,476,000 IMAX Corp.(a)
9.625%, 12/01/10 4,542,125
Intrawest Corp.
4,029,000 7.500%, 10/15/13 4,138,256
3,581,000 10.500%, 02/01/10 3,929,050
19,288,000 Mandalay Resort Group
10.250%, 08/01/07 22,512,640
4,476,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 4,799,437
15,219,000 RH Donnelley Financial Corp.
10.875%, 12/15/12 18,181,925
1,343,000 Royal Caribbean Cruises, Ltd.
7.250%, 03/15/18 1,345,856
Warner Music Group(a)
2,238,000 GBP 8.125%, 04/15/14 3,938,115
448,000 7.375%, 04/15/14 451,975
--------------
91,218,673
--------------
CONSUMER GROWTH STAPLES (4.8%)
4,476,000 Alpharma, Inc.(a)
8.625%, 05/01/11 4,721,125
4,476,000 Ameripath, Inc.
10.500%, 04/01/13 4,609,250
1,437,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,450,543
Charter Communications, Inc.
11,638,000 10.000%, 04/01/09 10,093,363
9,892,000 9.625%, 11/15/09 8,455,736
8,952,000 11.125%, 01/15/11 7,920,750
4,924,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 4,965,572
4,476,000 Quintiles Transisional
Corp.(a)
10.000%, 10/01/13 4,654,000
Rite Aid Corp.
4,700,000 11.250%, 07/01/08 5,227,359
3,581,000 6.875%, 08/15/13 3,383,100
3,357,000 9.250%, 06/01/13 3,574,406
10,743,000 Service Corp. International(a)
6.750%, 04/01/16 10,713,150
7,610,000 Spanish Broadcasting System,
Inc.
9.625%, 11/01/09 8,082,969
14,772,000 Steinway Musical Instruments,
Inc.
8.750%, 04/15/11 16,096,575
See accompanying Notes to Schedule of Investments. 1
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 8,952,000 WH Intermediate Holdings, Ltd.
11.750%, 07/15/10 $ 10,382,000
--------------
104,329,898
--------------
CREDIT CYCLICALS (2.0%)
7,610,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 8,273,156
8,057,000 Hovnanian Enterprises, Inc.
7.750%, 05/15/13 8,316,788
10,743,000 Meritage Corp.(a)
7.000%, 05/01/14 10,444,650
Standard Pacific Corp.
7,162,000 9.250%, 04/15/12 7,929,700
2,498,000 9.500%, 09/15/10 2,765,483
4,476,000 Texas Industries, Inc.
10.250%, 06/15/11 5,101,500
--------------
42,831,277
--------------
ENERGY (3.2%)
13,250,000 Giant Industries, Inc.
8.000%, 05/15/14 13,262,557
4,476,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 4,497,375
8,952,000 Paramount Resources, Ltd.
7.875%, 11/01/10 8,905,250
Petrobras International
Finance Co.
14,772,000 9.125%, 07/02/13 14,878,256
4,924,000 8.375%, 12/10/18 4,651,763
5,662,000 Swift Energy Company
9.375%, 05/01/12 6,311,876
4,476,000 Tesoro Petroleum Corp.
9.625%, 04/01/12 5,067,937
985,000 Western Gas Resources, Inc.
10.000%, 06/15/09 1,038,648
8,952,000 Williams Companies, Inc.
8.125%, 03/15/12 9,777,875
--------------
68,391,537
--------------
FINANCIAL (2.3%)
17,905,000 Dow Jones TRAC-X North America
High Yield Series 2 March 2009
Trust 3(a)
8.000%, 03/25/09 17,497,250
17,905,000 Dow Jones TRAC-X North America
High Yield Series 2 March 2009
Trust 4(a)
10.125%, 03/25/09 17,542,000
4,566,000 LNR Property Corp.
7.625%, 07/15/13 4,724,258
9,400,000 Senior Housing Properties
Trust
8.625%, 01/15/12 10,572,187
--------------
50,335,695
--------------
TELECOMMUNICATIONS (1.7%)
18,353,000 AT&T Corp.
8.750%, 11/15/31 19,469,780
7,610,000 General Cable Corp.(a)
9.500%, 11/15/10 8,368,250
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 4,029,000 IPCS Escrow Company(a)
11.500%, 05/01/12 $ 4,108,050
4,476,000 Nextel Communications, Inc.
7.375%, 08/01/15 4,670,781
--------------
36,616,861
--------------
TRANSPORTATION (0.1%)
1,790,000 Overseas Shipholding Group,
Inc.
8.750%, 12/01/13 2,049,550
--------------
UTILITIES (1.9%)
Calpine Corp.
22,918,000 8.500%, 05/01/08 16,267,520
17,457,000 8.500%, 02/15/11 12,304,012
4,355,000 7.750%, 04/15/09 3,037,036
8,952,000 Edison International
9.875%, 04/15/11 9,263,250
--------------
40,871,818
--------------
TOTAL CORPORATE BONDS
(Cost $689,712,169) 679,812,441
==============
CONVERTIBLE BONDS (6.7%)
BASIC INDUSTRIES (0.7%)
10,700,000 Freeport-McMoRan Copper &
Gold, Inc.
7.000%, 02/11/11 14,725,875
--------------
CAPITAL GOODS - INDUSTRIAL (1.1%)
7,000,000 General Motors Corp.
6.250%, 07/15/33 8,534,400
13,000,000 Kaydon Corp.
4.000%, 05/23/23 15,112,500
--------------
23,646,900
--------------
CAPITAL GOODS - TECHNOLOGY (3.3%)
33,000,000 Advanced Micro Devices, Inc.
4.750%, 02/01/22 33,618,750
16,000,000 Fairchild Semiconductor
International, Inc.
5.000%, 11/01/08 16,500,000
22,000,000 LSI Logic Corp.
4.000%, 05/15/10 22,550,000
--------------
72,668,750
--------------
ENERGY (0.8%)
15,000,000 Repsol YPF, SA
4.500%, 01/26/11 16,575,000
--------------
FINANCIAL (0.4%)
8,700,000 Host Marriott Corp.(a)
3.250%, 04/15/24 8,536,875
--------------
TELECOMMUNICATIONS (0.4%)
7,700,000 Nextel Communications, Inc.
6.000%, 06/01/11 8,277,500
--------------
TOTAL CONVERTIBLE BONDS
(Cost $153,284,626) 144,430,900
==============
2 See accompanying Notes to Schedule of Investments.
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
SYNTHETIC CONVERTIBLE SECURITIES (4.4%)
CORPORATE BONDS (3.7%)
BASIC INDUSTRIES (0.4%)
Boise Cascade Corp.
$ 733,000 7.350%, 02/01/16 $ 750,820
210,000 7.000%, 11/01/13 221,490
85,000 9.450%, 11/01/09 98,594
655,000 Century Aluminum Company
11.750%, 04/15/08 736,641
1,648,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 1,825,073
1,048,000 Ipsco, Inc.
8.750%, 06/01/13 1,181,250
890,000 Ispat International, NV(a)
9.750%, 04/01/14 914,813
419,000 Jarden Corp.
9.750%, 05/01/12 474,600
1,048,000 Phelps Dodge Corp.
9.500%, 06/01/31 1,456,513
Steel Dynamics, Inc.
855,000 9.500%, 03/15/09 961,758
36,000 9.500%, 03/15/09 (a) 40,073
Union Carbide Corp.
697,000 7.500%, 06/01/25 656,355
511,000 7.875%, 04/01/23 496,519
--------------
9,814,499
--------------
CAPITAL GOODS - INDUSTRIAL (0.4%)
1,781,000 EUR AGCO Corp.
6.875%, 04/15/14 2,113,022
524,000 Asbury Automotive Group,
Inc.(a)
8.000%, 03/15/14 517,125
1,519,000 CNH Global, NV, Inc.(a)
9.250%, 08/01/11 1,705,200
1,414,000 Cummins, Inc.
9.500%, 12/01/10 1,651,388
890,000 Imco Recycling, Inc.
10.375%, 10/15/10 957,206
524,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 590,625
Manitowoc Company, Inc.
524,000 10.500%, 08/01/12 601,125
419,000 EUR 10.375%, 05/15/11 561,375
--------------
8,697,066
--------------
CAPITAL GOODS - TECHNOLOGY (0.5%)
1,990,000 Avnet, Inc.
9.750%, 02/15/08 2,304,225
1,278,000 Global iTechnology, Inc.
10.250%, 02/15/12 1,469,948
524,000 Monitronics International,
Inc.(a)
11.750%, 09/01/10 564,375
210,000 Orbital Sciences Corp.
9.000%, 07/15/11 231,000
629,000 Rayovac Corp.
8.500%, 10/01/13 677,250
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 1,781,000 Sanmina-Sci Corp.
10.375%, 01/15/10 $ 2,097,375
890,000 Stoneridge, Inc.
11.500%, 05/01/12 1,071,000
524,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 525,000
1,048,000 Xerox Corp.
7.625%, 06/15/13 1,076,250
--------------
10,016,423
--------------
CONSUMER CYCLICAL (0.5%)
524,000 AMR Corp.(a)
7.250%, 02/05/09 512,531
890,000 Central Garden & Pet Company
9.125%, 02/01/13 995,138
890,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,704,427
524,000 IMAX Corp.(a)
9.625%, 12/01/10 532,875
Intrawest Corp.
471,000 7.500%, 10/15/13 485,494
419,000 10.500%, 02/01/10 460,950
2,257,000 Mandalay Resort Group
10.250%, 08/01/07 2,641,148
524,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 563,062
1,781,000 RH Donnelley Financial Corp.
10.875%, 12/15/12 2,133,075
157,000 Royal Caribbean Cruises, Ltd.
7.250%, 03/15/18 157,894
Warner Music Group(a)
262,000 GBP 8.125%, 04/15/14 462,013
52,000 7.375%, 04/15/14 53,025
--------------
10,701,632
--------------
CONSUMER GROWTH STAPLES (0.5%)
524,000 Alpharma, Inc.(a)
8.625%, 05/01/11 553,875
524,000 Ameripath, Inc.
10.500%, 04/01/13 540,750
168,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 170,175
Charter Communications, Inc.
1,362,000 10.000%, 04/01/09 1,184,137
1,158,000 9.625%, 11/15/09 992,014
1,048,000 11.125%, 01/15/11 929,250
576,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 582,553
524,000 Quintiles Transisional
Corp.(a)
10.000%, 10/01/13 546,000
Rite Aid Corp.
550,000 11.250%, 07/01/08 613,266
419,000 6.875%, 08/15/13 396,900
393,000 9.250%, 06/01/13 419,344
1,257,000 Service Corp. International(a)
6.750%, 04/01/16 1,256,850
890,000 Spanish Broadcasting System,
Inc.
9.625%, 11/01/09 948,281
See accompanying Notes to Schedule of Investments. 3
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 1,728,000 Steinway Musical Instruments,
Inc.
8.750%, 04/15/11 $ 1,888,425
1,048,000 WH Intermediate Holdings, Ltd.
11.750%, 07/15/10 1,218,000
--------------
12,239,820
--------------
CREDIT CYCLICALS (0.2%)
890,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 970,594
943,000 Hovnanian Enterprises, Inc.
7.750%, 05/15/13 975,712
1,257,000 Meritage Corp.(a)
7.000%, 05/01/14 1,225,350
Standard Pacific Corp.
838,000 9.250%, 04/15/12 930,300
292,000 9.500%, 09/15/10 324,442
524,000 Texas Industries, Inc.
10.250%, 06/15/11 598,500
--------------
5,024,898
--------------
ENERGY (0.4%)
1,550,000 Giant Industries, Inc.
8.000%, 05/15/14 1,555,942
524,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 527,625
1,048,000 Paramount Resources, Ltd.
7.875%, 11/01/10 1,044,750
Petrobras International
Finance Co.
1,728,000 9.125%, 07/02/13 1,745,494
576,000 8.375%, 12/10/18 545,738
663,000 Swift Energy Company
9.375%, 05/01/12 740,499
524,000 Tesoro Petroleum Corp.
9.625%, 04/01/12 594,562
115,000 Western Gas Resources, Inc.
10.000%, 06/15/09 121,853
1,048,000 Williams Companies, Inc.
8.125%, 03/15/12 1,147,125
--------------
8,023,588
--------------
FINANCIAL (0.3%)
2,095,000 Dow Jones TRAC-X North America
High Yield Series 2 March 2009
Trust 3(a)
8.000%, 03/25/09 2,052,750
2,095,000 Dow Jones TRAC-X North America
High Yield Series 2 March 2009
Trust 4(a)
10.125%, 03/25/09 2,058,000
534,000 LNR Property Corp.
7.625%, 07/15/13 554,243
1,100,000 Senior Housing Properties
Trust
8.625%, 01/15/12 1,240,312
--------------
5,905,305
--------------
TELECOMMUNICATIONS (0.2%)
2,147,000 AT&T Corp.
8.750%, 11/15/31 2,284,164
890,000 General Cable Corp.(a)
9.500%, 11/15/10 981,750
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 471,000 IPCS Escrow Company(a)
11.500%, 05/01/12 $ 481,950
524,000 Nextel Communications, Inc.
7.375%, 08/01/15 547,969
--------------
4,295,833
--------------
TRANSPORTATION (0.1%)
210,000 Overseas Shipholding Group,
Inc.
8.750%, 12/01/13 240,450
--------------
UTILITIES (0.2%)
Calpine Corp.
2,682,000 8.500%, 05/01/08 1,908,480
2,043,000 8.500%, 02/15/11 1,443,488
510,000 7.750%, 04/15/09 356,300
1,048,000 Edison International
9.875%, 04/15/11 1,086,750
--------------
4,795,018
--------------
TOTAL CORPORATE BONDS 79,754,532
--------------
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
OPTIONS (0.7%)
CONSUMER CYCLICAL (0.1%)
3,400 Carnival Corp.(b)
Call, 01/21/06, Strike 45 1,836,000
900 Mandalay Resort Group(b)
Call, 01/21/06, Strike 60 837,000
--------------
2,673,000
--------------
CONSUMER GROWTH STAPLES (0.2%)
100 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 65 98,000
1,400 Biogen, Inc.(b)
Call, 01/21/06, Strike 70 1,302,000
1,840 Gillette Company(b)
Call, 01/21/06, Strike 40 956,800
1,300 Nike, Inc.(b)
Call, 01/21/06, Strike 80 988,000
3,400 Starbucks Corp.(b)
Call, 01/21/06, Strike 40 2,312,000
--------------
5,656,800
--------------
CONSUMER STAPLES (0.2%)
3,500 Altria Group, Inc.(b)
Call, 01/21/06, Strike 55 2,100,000
2,513 Coca-Cola Company(b)
Call, 01/21/06, Strike 50 1,407,280
1,330 Kellogg Company(b)
Call, 01/21/06, Strike 45 425,600
--------------
3,932,880
--------------
FINANCIAL (0.1%)
13,000 Allstate Corp.(b)
Call, 01/21/06, Strike 45 702,000
--------------
4 See accompanying Notes to Schedule of Investments.
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
TELECOMMUNICATIONS (0.1%)
2,400 QUALCOMM, Inc.(b)
Call, 01/21/06, Strike 75 $ 1,728,000
--------------
TOTAL OPTIONS 14,692,680
--------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $96,345,822) 94,447,212
==============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (7.6%)
CAPITAL GOODS - INDUSTRIAL (1.8%)
$ 80,000 Cummins, Inc.
7.000% $ 5,730,000
575,000 Ford Motor Company
Capital Trust II
6.500% 32,447,250
--------------
38,177,250
--------------
CAPITAL GOODS - TECHNOLOGY (1.5%)
255,000 Xerox Corp.
6.250% 31,987,200
--------------
CONSUMER GROWTH STAPLES (1.6%)
635,000 Baxter International, Inc.
7.000% 34,397,950
--------------
ENERGY (0.8%)
140,000 Amerada Hess Corp.
7.000% 9,392,600
150,000 Southern Union Company
5.750% 9,091,500
--------------
18,484,100
--------------
FINANCIAL (1.1%)
300,000 Chubb Corp.
7.000% 8,511,000
220,000 National Australia Bank, Ltd.
7.875% 7,900,200
35,000 State Street Corp.
6.750% 8,128,750
--------------
24,539,950
--------------
TELECOMMUNICATIONS (0.4%)
170,000 ALLTEL Corp.
7.750% 8,474,500
--------------
UTILITIES (0.4%)
200,000 Calpine Capital Trust III
5.000% 9,225,000
--------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $168,197,765) 165,285,950
==============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
COMMON STOCKS (47.3%)
BASIC INDUSTRIES (0.8%)
210,000 3M Company $ 18,160,800
--------------
CAPITAL GOODS - INDUSTRIAL (4.4%)
215,000 Caterpillar, Inc. 16,711,950
1,275,000 Ford Motor Company 19,584,000
560,000 General Electric Company 16,772,000
365,000 General Motors Corp. 17,308,300
920,000 Waste Management, Inc. 26,128,000
--------------
96,504,250
--------------
CAPITAL GOODS - TECHNOLOGY (3.8%)
280,000 Emerson Electric Company 16,861,600
945,000 Intel Corp. 24,314,850
280,000 International Business
Machines Corp. 24,687,600
495,000 Rockwell Automation, Inc. 16,181,550
--------------
82,045,600
--------------
CONSUMER CYCLICAL (4.7%)
300,000 Eaton Corp. 17,814,000
280,000 Kimberly-Clark Corp. 18,326,000
500,000 May Department Stores Company 15,400,000
335,000 Maytag Corp. 9,346,500
165,000 Procter & Gamble Company 17,448,750
980,000 Saks, Inc. 14,112,000
240,000 Sears Roebuck & Company 9,612,000
--------------
102,059,250
--------------
CONSUMER GROWTH STAPLES (10.3%)
2,000,000 AUD APN News & Media, Ltd. 5,676,492
2,835,000 Bristol-Myers Squibb Company 71,158,500
440,000 Gillette Company 18,004,800
35,000 CHF Givaudan, SA 17,410,921
540,000 Johnson & Johnson 29,176,200
1,200,000 Merck & Company, Inc. 56,400,000
740,000 Pfizer, Inc. 26,462,400
--------------
224,289,313
--------------
CONSUMER STAPLES (1.8%)
1,600,000 GBP Enterprise Inns, PLC 17,307,910
650,000 Sara Lee Corp. 15,002,000
210,000 Supervalu, Inc. 6,465,900
--------------
38,775,810
--------------
See accompanying Notes to Schedule of Investments. 5
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
CREDIT CYCLICALS (3.8%)
130,000 Independence Community Bank
Corp. $ 4,735,900
484,100 New York Community Bancorp,
Inc. 12,136,387
1,660,000 Washington Mutual, Inc. 65,387,400
--------------
82,259,687
--------------
ENERGY (3.3%)
400,000 Chevrontexaco Corp. 36,600,000
250,000 Conocophillips 17,825,000
29,000 EUR OMV, AG 5,301,474
270,000 PetroChina Company, Ltd. 11,610,000
--------------
71,336,474
--------------
FINANCIAL (8.0%)
295,900 Allstate Corp. 13,581,810
335,000 Bank of America Corp. 26,964,150
665,000 Citigroup, Inc. 31,979,850
230,000 Federal National Mortgage
Association 15,805,600
150,000 Fidelity National Corp. 5,490,000
549,700 General Growth Properties,
Inc. 14,902,367
120,000 Jefferson-Pilot Corp. 5,950,800
307,600 Mills Corp. 12,488,560
300,000 Morgan Stanley 15,417,000
81,900 UnionBanCal Corp. 4,375,917
585,000 Wachovia Corp. 26,763,750
--------------
173,719,804
--------------
TELECOMMUNICATIONS (6.4%)
1,265,000 Bellsouth Corp. 32,649,650
420,000 QUALCOMM, Inc. 26,233,200
2,100,000 SBC Communications, Inc. 52,290,000
710,000 Verizon Communications, Inc. 26,795,400
--------------
137,968,250
--------------
TOTAL COMMON STOCKS
(Cost $1,053,698,017) 1,027,119,238
==============
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
SHORT TERM INVESTMENTS (7.0%)
$ 50,000,000 Citigroup, Inc. Commercial
Paper
0.840%, 05/03/04 $ 49,997,667
53,259,000 Exxon Mobil Corporation
Commercial Paper
0.840%, 05/03/04 53,256,514
50,000,000 UBS Finance, Inc. Commercial
Paper
0.840%, 05/03/04 49,997,667
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $153,251,848) 153,251,848
==============
TOTAL INVESTMENTS (104.3%)
(Cost $2,314,490,247) 2,264,347,589
==============
LIABILITIES, LESS OTHER ASSETS (-4.3%) (93,910,150)
--------------
NET ASSETS (100.0%) $2,170,437,439
==============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars.
(a) 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 April 30, 2004, the market value of 144A
securities that cannot currently be exchanged to the registered form is
$167,173,028 or 7.7% of net assets of the Fund.
(b) Non-income producing security.
FOREIGN CURRENCY ABBREVIATIONS
AUD: Australian Dollar
CHF: Swiss Franc
EUR: European Monetary Unit
GBP: British Pound Sterling
6 See accompanying Notes to Financial Statements.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2004 (UNAUDITED)
------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $2,314,490,247) $2,264,347,589
Cash with custodian (interest bearing) 18,482,943
Accrued interest and dividends receivable 26,040,771
--------------
Total Assets 2,308,871,303
--------------
LIABILITIES
Payable for investments purchased 134,918,025
Payable to investment advisor 1,721,121
Payable for offering and organizational fees 1,671,687
Other accounts payable and accrued liabilities 123,031
--------------
Total Liabilities 138,433,864
--------------
NET ASSETS $2,170,437,439
==============
COMPOSITION OF NET ASSETS
Common stock, no par value, unlimited shares authorized,
154,514,000 shares issued and outstanding $2,211,682,859
Undistributed net investment income (loss) 8,923,878
Accumulated net realized gain (loss) on foreign currency
transactions 23,081
Net unrealized appreciation (depreciation) on investments
and foreign currency translations (50,192,379)
--------------
NET ASSETS $2,170,437,439
==============
Net asset value per common share based on 154,514,000 shares
issued and outstanding $ 14.05
==============
See accompanying Notes to Financial Statements. 7
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2004* (UNAUDITED)
----------------------------------------------------------------------------
INVESTMENT INCOME
Interest (net of foreign taxes withheld of $1,500) $ 3,733,546
Dividends (net of foreign taxes withheld of $75,168) 7,241,102
------------
Total investment income 10,974,648
------------
EXPENSES
Investment advisory fees 1,831,010
Organization fees 96,729
Accounting fees 41,267
Financial accounting fees 21,092
Printing and mailing fees 20,832
Custodian fees 12,960
Audit and legal fees 9,472
Registration fees 9,088
Other 3,936
Transfer agent fees 2,624
Trustees' fees 1,760
------------
Total expenses 2,050,770
------------
NET INVESTMENT INCOME (LOSS) 8,923,878
------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND
FOREIGN CURRENCY
Net realized gain (loss) from:
Foreign currency transactions 23,081
Change in net unrealized appreciation/depreciation on:
Investments (50,142,658)
Foreign currency translations (49,721)
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND
FOREIGN CURRENCY (50,169,298)
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $(41,245,420)
============
* The Fund commenced operations on March 26, 2004.
8 See accompanying Notes to Financial Statements.
STATEMENT OF CHANGES
IN NET ASSETS
FOR THE PERIOD ENDED APRIL 30. 2004* (UNAUDITED)
------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss) $ 8,923,878
Net realized gain (loss) from foreign currency transactions 23,081
Change in net unrealized appreciation/depreciation on
investments and foreign currency translations (50,192,379)
--------------
Net increase (decrease) in net assets resulting from
operations (41,245,420)
--------------
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering 2,213,412,630
Offering costs on common shares (1,729,771)
--------------
Net increase (decrease) in net assets from capital stock
transactions 2,211,682,859
--------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 2,170,437,439
--------------
NET ASSETS
Beginning of period* --
End of period $2,170,437,439
==============
Undistributed net investment income (loss) $ 8,923,878
* The Fund commenced operations on March 26, 2004.
See accompanying Notes to Financial Statements. 9
NOTES TO FINANCIAL STATEMENTS
(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 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.
PORTFOLIO VALUATION - In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation. Securities traded in the over-the counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. Short-term securities
with maturities of 60 days or less are valued at amortized cost which
approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is valued at a fair value following procedures approved by the Board of
Trustees or a committee thereof. These procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees or a committee
thereof, 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.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and over-the-counter
markets is normally completed at various times before the close of business on
each day on which the New York Stock Exchange ("NYSE") is open. Trading of these
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 net asset value is not calculated.
Therefore, such calculation does not take place contemporaneously with the
determination of the prices of many of the portfolio securities used in such
calculation and the value of the Fund's portfolio may be significantly affected
on days when shares of the Fund may not be purchased or redeemed. As stated
above, if the market price is not readily available or is not reflective of the
fair value of the security, the security will be valued at a fair value
following procedures approved by the Board of Trustees or a committee thereof.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME - Short term investment
transactions are recorded on a trade date basis. Long term investment
transactions are recorded on a trade date plus one basis, except for April 30th
and October 31st, which are recorded on trade date. Realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION - Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange. Purchases and sales of investments and dividend and interest income
are translated into U.S. dollars using the spot market rate of exchange
prevailing on the respective dates of such transaction.
FEDERAL INCOME TAXES - No provision has been made for Federal income taxes since
the Fund is taxed as a "regulated investment company" under Subchapter M of the
Internal Revenue Code of 1986.
DIVIDENDS - Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from accounting principles
generally
10
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
accepted in the United States. These differences are primarily due to differing
treatments for foreign currency transaction and contingent payment debt
instruments.
USE OF ESTIMATES - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. Actual results may differ from
those estimates.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC.
("CAM"), the Fund pays an annual fee, payable monthly, equal to 1.00% based on
the average weekly managed assets. "Managed Assets" means the total assets of
the Fund (including any assets attributable to any leverage that may be
outstanding) minus the sum of total liabilities (other than debt representing
financial leverage).
Effective April 1, 2004, CAM receives a fee payable monthly at the annual rate
of 0.0175% on the first $1 billion of Combined Assets (Calamos Investment Trust,
Calamos Advisor Trust, Calamos Convertible and High Income Fund and Calamos
Strategic Total Return Fund); 0.0150% on the next $1 billion of Combined Assets;
and 0.0110% on Combined Assets above $2 billion for financial accounting
services. The Fund will pay its pro rata share of the financial accounting
service fee payable to CAM based on relative managed assets of the Fund.
Certain portfolio transactions for the Fund may be executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the period ended April 30, 2004, the
Fund paid no brokerage commissions to CFS on purchases or sales of Fund
securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. All officers and affiliated trustees serve without direct compensation
from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a Trustee who is not an "interested person" of CAM and has elected to
participate in the Plan (a "participating trustee") may defer receipt of all or
a portion of his compensation from the Fund. The deferred compensation payable
to the participating trustee is credited to the trustee's deferral account as of
the business day such compensation would have been paid to the trustee. The
value of a trustee's deferred compensation account at any time is equal to what
would be the value if the amounts credited to the account had instead been
invested in shares of one or more of the Funds of the Calamos Investment Trust
as designated by the trustee. Thus, the value of the account increases with
contributions to the account or with increases in the value of the measuring
shares, and the value of the account decreases with withdrawals from the account
or with declines in the value of the measuring shares. If a participating
trustee retires, the trustee may elect to receive payments under the plan in a
lump sum or in equal installments over a period of five years. If a
participating trustee dies, any amount payable under the Plan will be paid to
the trustee's beneficiaries. The Fund's obligation to make payments under the
Plan is a general obligation of the Fund. There were no deferred compensation
investments as of April 30, 2004.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the
period ended April 30, 2004 were as follows:
Purchases $2,161,346,301
Proceeds from sales --
The following information is presented on an income tax basis as of April 30,
2004. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
11
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The cost basis of investments for Federal income tax purposes at April 30, 2004
was as follows:
Cost basis of investments $2,315,400,247
Gross unrealized appreciation 20,588,338
Gross unrealized depreciation (71,640,996)
--------------
Net unrealized appreciation (depreciation) $ (51,052,658)
==============
NOTE 4 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include movement in the value of the
foreign currency relative to the U.S. dollar and the ability of the counterparty
to perform. The net unrealized gain, if any, represents the credit risk to the
Fund on a forward foreign currency contract. The contracts are valued daily at
forward exchange rates, and an unrealized gain or loss is recorded. The Fund
realizes a gain or loss upon settlement of the contracts. There were no open
forward foreign currency contracts at April 30, 2004.
NOTE 5 - OPTIONS TRANSACTIONS
The Funds may engage in options transactions and in doing so achieve the similar
objectives to what they would achieve through the sale or purchase of individual
securities. For the period ended April 30, 2004 there were no net realized gains
or losses on option transactions.
NOTE 6 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
154,514,000 shares outstanding at April 30, 2004. CAM owned 14,000 of the
outstanding shares. Transactions in common shares were as follows:
PERIOD ENDED
APRIL 30, 2004*
-------------------------------------------------------------------------------
Beginning Shares --
Shares Sold 154,514,000
Shares Issued Through Reinvestment of Distributions --
-----------
Ending Shares 154,514,000
===========
* The Fund commenced operations on March 26, 2004.
NOTE 7 - SUBSEQUENT EVENT
On May 6, 2004, the Fund offered 43,200 Preferred Shares. The Preferred Shares
consisted of seven series, 7,040 shares of Series M, 7,040 shares of Series TU,
7,040 shares of Series W, 7,040 shares of Series TH, 7,040 shares of Series F,
4,000 shares of Series A, and 4,000 shares of Series B. The Preferred Shares
have a liquidation preference of $25,000 per share, plus any accumulated, unpaid
dividends and also have priority over the Fund's common shares as to
distribution of assets. The Preferred Shares pay dividends based on a rate set
at auction, usually held weekly in the case of Series M, TU, W, TH, and F and
every 28 days in the case of Series A and B. Dividends on the Preferred Shares
are cumulative. The Preferred Shares were offered with a rating of "Aaa" from
Moody's and "AAA" from Fitch Ratings.
12
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
March 26, 2004*
through
April 30, 2004
(unaudited)
-------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.32(a)
----------
Income from investment operations:
Net investment income (loss) 0.06
Net realized and unrealized gain (loss) from investments
and foreign currency (0.32)
----------
Total from investment operations (0.26)
-------------------------------------------------------------------------------
Less dividends to common shareholders from:
Net investment income --
Capital charge resulting from issuance of common shares (0.01)
-------------------------------------------------------------------------------
Net asset value, end of period $ 14.05
==========
Market value, end of period $ 14.55
-------------------------------------------------------------------------------
Total investment return based on(b):
Net Asset Value -1.92%
Market Value -3.00%
-------------------------------------------------------------------------------
Ratios and Supplemental Data:
Net assets, end of period (000's omitted) $2,170,437
Ratios to Average Net Assets:
Net expenses(c) 1.12%
Net investment income (loss)(c) 4.86%
Portfolio turnover rate 0.00%
-------------------------------------------------------------------------------
* Commencement of operations.
(a) Net of sales load of $0.675 on initial shares issued and beginning net asset
value of $14.325.
(b) Total investment return is calculated assuming a purchase of common stock on
the opening of the first day and a sale on the closing of the last day of
the period reported. Dividends and distributions are assumed, for purposes
of this calculation, to be reinvested at prices obtained under the Fund's
dividend reinvestment plan. Total return is not annualized for periods less
than one year. Brokerage commissions are not reflected.
(c) Annualized.
See accompanying Notes to Financial Statements. 13
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
CALAMOS Strategic Total Return Fund
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Strategic Total Return Fund (the "Fund")
as of April 30, 2004, and the related statements of operations and changes in
net assets and the financial highlights for the period from March 26, 2004
(commencement of operations) through April 30, 2004. These interim financial
statements and financial highlights are the responsibility of the Fund's
management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). A review of interim financial
information consists principally of applying analytical procedures and making
inquiries of persons responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in accordance with standards
of the Public Company Accounting Oversight Board (United States), the objective
of which is the expression of an opinion regarding the financial statements
taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 15, 2004
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
www.calamos.com
INVESTMENT ADVISER
CALAMOS ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1463
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, New York 10286
800.524.4458
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
[RECYCLED LOGO] 1946 04/04
ITEM 2. CODE OF ETHICS.
Not applicable
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END FUNDS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. 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-CSR
was recorded, processed, summarized, and reported on a timely basis.
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 half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics -- Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) 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: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 2004
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: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 2004