nvcsrs
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
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: |
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2020 Calamos Court, Naperville, |
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Illinois 60563-2787 |
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NAME AND ADDRESS OF AGENT FOR SERVICE: |
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John P. Calamos, Sr., President |
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Calamos Advisors LLC |
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2020 Calamos Court |
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Naperville, Illinois |
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60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR
END: October 31, 2008
DATE OF REPORTING
PERIOD: November 1, 2007 through April 30, 2008
ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
Managing Your Calamos Funds Investments
Calamos Investments offers several convenient means to monitor, manage and feel confident about
your Calamos investment choice.
TABLE OF CONTENTS
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PERSONAL ASSISTANCE |
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800.582.6959
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Dial this toll-free number to speak with a knowledgeable
Client Services Representative who can help answer questions or address
issues concerning your Calamos Fund. |
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YOUR FINANCIAL ADVISOR |
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We encourage you to talk to your financial
advisor to determine how Calamos Investments can
benefit your investment portfolio based on your
financial goals, risk tolerance, time horizon and
income needs. |
Go Paperless!
Sign Up for e-Delivery
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You can view shareholder communications, including fund prospectuses,
annual reports and other shareholder materials online long before the
printed publications would have arrived by traditional mail.
Visit www.calamos.com and sign up for e-delivery.
Visit www.calamos.com for timely fund performance, detailed fund profiles,
fund news and insightful market commentary.
Letter to Shareholders
Dear Fellow Shareholders:
Enclosed is your semiannual report for the six-month period ended April 30,
2008. We appreciate the opportunity to correspond with you and encourage you
to carefully review this report, which includes market and fund commentary
from our investment team, a listing of portfolio holdings, financial data and
highlights, as well as detailed information regarding performance and
allocations of Calamos Strategic Total Return Fund (CSQ).
CSQ seeks total return through a combination of capital appreciation and
current income. In pursuit of this goal, our investment management team
dynamically blends equities, convertible securities and
below-investment-grade (high-yield) fixed-income securities. We believe this
approach provides us with enhanced opportunities to pursue income and
returns, and manage risk over full market cycles.
During the period, market volatility and economic uncertainty created
considerable turbulence across the markets. Nonetheless, the Fund provided
common shareholders with an increasing monthly distribution. In December of
2007, CSQ raised its monthly distribution to $0.1025 per share from $0.0975.
We were able to raise the distribution of the Fund because of our strong past
performance as well as our investment managers expectations about the
prospects of the securities within CSQs portfolio.
As the broad market struggled, closed-end funds faced added challenges due
to the conditions in the credit markets, specifically the auction rate
preferred securities (ARPS) market. Like many other closed-end funds, CSQ
uses ARPS as a way to leverage portfolios and potentially increase returns
for common shareholders. During the period, the credit crunch that
originated in the subprime mortgage sector cascaded across other areas of
the credit market, including the ARPS market. However, unlike many other segments of the credit market, the problems in
the closed-end fund ARPS market were liquidity-based, and not driven by
problematic credit quality or fundamentals.
As liquidity in the ARPS market deteriorated, Calamos Investments worked
diligently to protect the interests of all of the Funds shareholdersboth
the investors who entrusted us with funds through the ARPS market (investors
in the preferred share class) and the common shareholders who account for
the majority of fund assets. As we discuss in this report, we have made
considerable strides in this regard, and have secured refinancing for the
majority of ARPS financing in the Fund. We remain dedicated to securing
financing for all outstanding ARPS, in a manner which considers the best
interest of all Fund shareholders.
We recognize that periods such as these can unsettle even seasoned investors.
However, our experience in the markets has taught us that investment success
is best measured over full market cycles rather than quarters, months or a
year. Moreover, short-term market volatility can create considerable
opportunities for investors with long-term perspective. For example, we
believe anxious investors sold many fundamentally strong investments during
the reporting period, providing buying opportunities for our discipline.
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Strategic Total Return Fund
Letter to Shareholders SEMIANNUAL REPORT
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1 |
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Letter to Shareholders
Should you have any questions about your portfolio, please contact your
financial advisor. Or, you can contact us at 800.582.6959, Monday through
Friday from 8:00 a.m. to 6:00 p.m., Central Time. We invite you to visit our
website at www.calamos.com on an ongoing basis, where you can sign up for
e-delivery of reports and view market commentary and additional information
about the Fund and our investment process. Our website also includes a
section dedicated to the auction rate preferred securities market and our
refinancing efforts.
Thank you for the trust you have placed in Calamos Investments. We are
honored that you have chosen us to help you meet your long-term investment
goals.
Sincerely,
John P. Calamos, Sr.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
This report is for informational purposes only and should not be considered investment advice.
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2
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Strategic Total Return Fund
SEMIANNUAL REPORT Letter to Shareholders |
Economic and Market Review
For the latest market and economic outlook, please visit our website at www.calamos.com and
select the Fund Investors link.
During the semiannual period, the global credit crisis cast a shadow over the
markets as investors weighed the probability of recession in the United
States and the potential implications to the global economy. Access to credit
remained tight as the subprime mortgage market collapse that began in the
summer of 2007 continued to reverberate. Banking and financial institutions
were among those that suffered most. One of Wall Streets leading
institutions, Bear Stearns, faced a near-certain demise if not for a bailout
orchestrated by JP Morgan Chase and the Federal Reserve in March. Commodity
prices soared to new heights, inflationary pressures increased, the housing
market floundered, and the U.S. dollar weakened.
Yet, even as uncertainty prevailed, the U.S. economy persevered. First
quarter GDP growth continued on a slow-yet-positive pace, as it did in the
fourth quarter of 2007. Throughout the period, the Federal Reserve
responded aggressively to support the economy and to shore up investor
confidence. Most notably, the central bank cut the federal funds target
rate five times during the six months ended April 30, from 4.5% to 2.0%.
Against this backdrop, markets retreated sharply for the six-month period
ended April 30, 2008. Economic concerns weighed most heavily on stocks, which
returned -9.64%, as measured by the S&P 500 Index1. Convertible
securities once again illustrated the benefits of their hybrid
characteristics, and returned -5.86% (as measured by the Value Line
Convertible Index2)a considerably less severe drop than the broad
equity market. (Convertibles are hybrid securities in that they combine the
opportunity for upside equity market participation with the potential
downside protection of fixed-income securities.) Issuance trends remained
favorable, as companies in the troubled financial sector turned to the
convertible market for capital. Additionally, convertibles benefited from
surging volatility in the equity markets. (Volatility increases the value of
the conversion feature of a convertible bond.)
High-yield corporate bonds also struggled. The CS High Yield Index3
returned -0.90% as tight credit conditions, recessionary fears,
increased volatility and stagnant supply weighed on investor sentiment.
Although default and bankruptcy rates remain near historical lows, there was
evidence of those rates rising in March and April. Spooked by the credit
crisis, investors favored high-quality issues over the riskier, more
speculative lower-grade tiers during the early portion of the reporting
period. Credit spreads widened to levels not seen in years, although they did
come down late in the period as investors became more willing to take on
increased risk. (Credit spreads measure the yields between bonds with
different levels of credit quality risk. When spreads widen, investors
receive more compensation for taking on risk.)
Despite the uncertainty and volatility, investor sentiment brightened
toward the end of the reporting period. The bailout of Bear Stearns,
ongoing action from the Fed and strong earnings reports for the broad
market (excluding the financial sector) boosted investor confidence. Stock
and bond markets rallied briskly during the final weeks of the reporting
period.
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Strategic Total Return Fund
Economic and Market Review SEMIANNUAL REPORT
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3 |
Economic and Market Review
As always, we encourage investors to stay focused on the long term. While the
near-term outlook for the U.S. and global economy remains more clouded than in
years past, periods of slower growth and contraction are a normal part of the
economic cycle. Having invested through many different market cycles, we
continue to have conviction in the Funds portfolio and investment discipline.
We believe the Fund is well positioned to provide income and total return
through full market cycles.
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1 |
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S&P 500 Index is an unmanaged index generally representative of the U.S. stock market.
Source: Lipper, Inc. |
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2 |
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Value Line Convertible Index is an equally-weighted index of
the larger convertibles, representing 90% of the U.S. convertible
securities market. |
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3 |
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CS High Yield Index is an unmanaged index of high yield debt securities. |
This report is for informational purposes only and should not be considered investment advice.
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4
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Strategic Total Return Fund
SEMIANNUAL REPORT Economic and Market Review |
Investment Team Interview
The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr.
and Nick P. Calamos, CFA, discusses the Funds performance, strategy and positioning during the
six-month period ended April 30, 2008.
TOTAL RETURN*
Common Shares Inception 3/26/04
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6 MONTHS |
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1 YEAR |
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SINCE INCEPTION ** |
On Market Price
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-9.00
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-10.09
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3.54 |
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On NAV
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-12.37
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-7.01
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7.37 |
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* |
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Total return measures net
investment income and capital gain
or loss from portfolio investments,
assuming reinvestment of income and
capital gains distributions. |
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** |
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Annualized since inception. |
DISTRIBUTION HISTORY
(LATEST 12 MONTHS)
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Date Paid |
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Per share |
April 2008
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$ |
0.1025 |
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March 2008
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0.1025 |
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February 2008
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0.1025 |
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January 2008
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0.1423 |
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December 2007
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0.1025 |
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November 2007
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0.0975 |
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October 2007
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0.0975 |
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September 2007
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0.0975 |
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August 2007
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0.0975 |
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July 2007
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0.0975 |
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June 2007
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0.0975 |
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May 2007
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0.0975 |
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Monthly distributions are from net
investment income, short-term
capital gains and/or long-term
capital gains. For more details
please go to the Tax Center located
at www.calamos.com.
Q. How did the Fund perform during the period?
A. The underlying portfolio (as represented by net asset value, or NAV) of
Calamos Strategic Total Return Fund returned -12.37% for the six-month period
while the S&P 500 Index1 returned -9.64%. On a market price basis,
the Fund returned -9.00% assuming reinvestment of distributions.
Q. Did the Fund provide steady distributions throughout the period?
A. Throughout the period, the Fund provided common shareholders with a
steady distribution stream, and in fact raised its monthly payout in
December from $0.0975 to $0.1025 per share. The Funds current annualized
distribution rate was 9.66%, based on its closing market price of $12.73 as
of April 30, 2008.
SINCE INCEPTION MARKET PRICE AND NAV HISTORY
Q. Whats the difference between market return and NAV return?
A. Closed-end funds trade on exchanges, where the price of a share may be
driven by factors other than the value of the underlying securities. The
price of a share in the market is called the market value. The market value
may be influenced by factors that are unrelated to the performance of the
Funds holdings. The Funds NAV return measures the return of the individual
securities within the portfolio less Fund expenses, but more importantly, it
is a measure of how well the manager is able to avoid or capitalize on market
disruptions or opportunities. The higher the return, the more value the
Funds management team added through its security selection decisions.
Typically, the market price will trade at a premium or discount to NAV. It
is our practice to monitor excessive premiums and discounts in order to
serve the interests of the shareholders.
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Strategic Total Return Fund
Investment Team Interview SEMIANNUAL REPORT
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5 |
Investment Team Interview
SECTOR ALLOCATION
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Financials |
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17.4 |
% |
Health Care |
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13.4 |
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Information Technology |
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12.5 |
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Industrials |
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11.8 |
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Consumer Discretionary |
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11.5 |
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Energy |
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10.3 |
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Telecommunication Services |
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8.4 |
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Consumer Staples |
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7.5 |
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Materials |
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5.1 |
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Utilities |
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0.8 |
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Treasurys |
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0.8 |
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Sector allocations are based on
managed assets and may vary over
time.
Q. What factors influenced performance?
A. As we discuss in the Economic and Market Review, the six-month period was
very volatile across the markets, due to concerns about global credit
conditions and the potential for a U.S. recession. These conditions created
an inhospitable climate, and the Fund declined against this backdrop. That
said, we continue to have a high degree of conviction in the Fund, and
encourage investors to maintain long-term perspective.
More specifically, our security selection within the information technology
and consumer discretionary sectors enhanced performance, while an underweight
position and selection in the more-cyclical energy sector hindered
performance. Although we have found some securities that meet our investment
criteria, the Funds underweighted position to the energy sector reflects our
continued concerns about the sustainability of earnings growth and security
valuations of many companies.
Q. Broadly speaking, did you make any changes to the portfolio during the period?
A. Our risk-conscious investment criteria led us to selectively increase
holdings in the energy, materials and industrial sectors. Within industrials,
our additions favored companies involved in infrastructure rebuilding. Our
view is that infrastructure rebuilding is a dire need (both in the United
States and globally), and will provide a tailwind to companies involved in
repairing public structures,
such as dams and highways. We have reduced positions in consumer names and
health care companies.
Q. How is the Fund positioned?
A. We continue to favor traditional growth sectors, with information
technology and consumer discretionary among the largest sectors in the Fund.
Convertibles continue to be a very important component of the Fund and
account for approximately 24% of the portfolio. The use of convertibles helps
us not only in managing volatility, but also provides our clients with
another source of value-added return. (Convertible securities combine
characteristics of stocks and fixed-income securities. Like stocks,
convertibles provide the opportunity for participation in equity market
upside. Like fixed-income securities, convertibles provide coupon income and
potential downside protection in falling markets.) In our view, from a
risk/reward perspective, convertibles look particularly attractive versus
stocks in areas such as energy and materials, along with some industries
within consumer discretionary and financials.
Q. Please explain how the Fund employs leverage.
A. Leverage strategies continued to contribute favorably to returns earned
by the Funds common shareholders, despite turmoil in the credit markets.
Leverage strategies typically entail borrowing at short-term interest rates
and investing the proceeds at higher rates of return. Traditionally,
closed-end funds, including CSQ, have leveraged with auction rate preferred
securities (ARPS), which are long-term, high-quality equity securities in
which the interest rates are adjusted every seven or 28 days through an
auction process.
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6
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Strategic Total Return Fund
SEMIANNUAL REPORT Investment Team Interview |
Investment Team Interview
QUALITY ALLOCATION
Weighted Average Credit Quality
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AAA |
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2.5 |
% |
AA |
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0.0 |
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A |
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14.5 |
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BBB |
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13.5 |
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BB |
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26.8 |
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B |
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19.8 |
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CCC or below |
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3.4 |
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Not Rated |
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19.5 |
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Data is based on portfolio
holdings. Credit quality shown
reflects the higher of the ratings
of Standard & Poors Corporation or
Moodys Investors Service, Inc.
Ratings are relative, subjective
and not absolute standards of
quality. Excludes equity
securities, options, cash and
short-term investments.
Q. Havent some of these auctions been failing?
A. Yes. Many auctions, including those of CSQ, failed early this year because
of a confluence of events. In simple terms, a failed auction results when
there are not enough buyers entering the market to purchase the shares
available for sale. When an auction fails, the pre-auction preferred holders
keep the securities and are paid a maximum dividend from a calculation based
on other, more liquid short-term rates such as commercial paper or LIBOR
(London Interbank Offered Rate). As the ARPS auctions began to falter,
limited trading initially occurred, but eventually shares stopped changing
hands due to an absence of buyers. Potential sellers were not able to
liquidate their positions.
This is a problem that has affected the entire ARPS market and is not
particular to CSQ. These failed auctions are liquidity events and are not
related to the underlying ability of the Fund to pay dividends on the ARPS.
While rating agencies are monitoring the situation, a liquidity issue does
not trigger a downgrade. Rating agency guidelines are driven by the ratings
or valuations of the underlying fund portfolio. Net asset values of many
funds in the final days of the period moved higher as the broad markets
rebounded. The ARPS in CSQ have continued to maintain their AAA/Aaa credit
ratings.
Q. Have the higher dividend rates being paid on ARPS hurt common
shareholders of the Fund?
A. Overall, common shareholders benefitted from the Funds use of ARPS,
although not to the same degree as one might expect during more typical
environments. The maximum rates of the Funds ARPS dividends historically
tracked short-term benchmarks (such as LIBOR and commercial paper), which in
turn, are closely correlated with the Federal funds target rate. During the
period, the Federal Reserve slashed the target rate dramatically, which
drove short-term rates lower and reduced the maximum ARPS distribution
rates. So,
while the auction failures caused the rates of ARPS to rise above the
short-term benchmarks, the cost of leverage actually came down during the
reporting period significantly (in the neighborhood of 200 to 300 basis
points).
Q. What kind of solutions have you sought for ARPS holders?
A. We recognize that the lack of liquidity has created both uncertainty and
frustration for our preferred shareholders. On April 23, Calamos announced a
plan to redeem 81.5%, or $880 million, of the Funds outstanding ARPS under a
refinancing program. Our ability to refinance all preferred shares with debt
was constrained by regulations that require total assets in closed-end funds
to be at least three times the amount of debt leverage, which is higher than
the asset-coverage the Fund must maintain when utilizing equity leverage such
as preferred shares.
We remain committed to obtaining permanent financing solutions and to do so
in a manner consistent with the best interests of all shareholders.
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Strategic Total Return Fund
Investment Team Interview SEMIANNUAL REPORT
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7 |
Investment Team Interview
Q. Given recent events, how do you view leverage?
A. Our decision to refinance reflects our belief that leverage continues to
contribute favorably to returns and to be in the best interests of the
common shareholders. As our efforts in respect to refinancing continue, we
intend to maintain this emphasis.
Q. Do you have any closing thoughts for investors?
A. We encourage investors to keep a long-term view of their investment plans,
investment goals and measurement of success. Having invested through many
market and economic environments, we remain confident in our investment
philosophy, and believe the Fund is well positioned to pursue income and
total return through its dynamically allocated portfolio.
Moreover, our extensive experience in the markets affirms our belief that
volatility can create opportunity, particularly for long-term investors such
as us. We believe the current market has provided us with significant
opportunity to own solid businesses at attractive prices. We continue to find
securities that we believe offer the opportunity for participation in upward
moving markets and for greater resilience in downward moving markets.
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1 |
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S&P 500 Index is an unmanaged index generally representative of the U.S. stock market.
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8
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Strategic Total Return Fund
SEMIANNUAL REPORT Investment Team Interview |
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
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PRINCIPAL |
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AMOUNT |
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VALUE |
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CORPORATE BONDS (33.2%) |
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Consumer Discretionary (9.7%) |
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4,477,000 |
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Asbury Automotive Group, Inc.
8.000%, 03/15/14
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$ |
4,074,070 |
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4,477,000 |
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Boyd Gaming Corp.
7.750%, 12/15/12
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4,202,784 |
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2,686,000 |
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D.R. Horton, Inc.
8.000%, 02/01/09
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2,686,000 |
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1,791,000 |
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9.750%, 09/15/10
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1,795,478 |
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8,283,000 |
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DIRECTV Financing Company, Inc.
8.375%, 03/15/13
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8,552,198 |
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13,880,000 |
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EchoStar DBS Corp.
7.125%, 02/01/16
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13,706,500 |
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18,805,000 |
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Expedia, Inc.
7.456%, 08/15/18
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20,104,425 |
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38,506,000 |
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Ford Motor Company
9.875%, 08/10/11
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37,284,397 |
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13,432,000 |
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General Motors Corp.^
7.200%, 01/15/11
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11,920,900 |
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15,223,000 |
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Hanesbrands, Inc.
8.204%, 12/15/14
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14,423,792 |
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3,761,000 |
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Jarden Corp.
7.500%, 05/01/17
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3,478,925 |
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2,904,000 |
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Kellwood Company
7.625%, 10/15/17
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1,902,120 |
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4,477,000 |
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Liberty Media Corp.^
8.250%, 02/01/30
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3,994,630 |
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5,821,000 |
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Mandalay Resort Group
7.625%, 07/15/13
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5,268,005 |
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14,328,000 |
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McDonalds Corp.
5.350%, 03/01/18
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14,562,134 |
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4,375,000 |
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MGM Mirage
7.500%, 06/01/16
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3,981,250 |
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7,164,000 |
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Pulte Homes, Inc.
8.125%, 03/01/11
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7,092,360 |
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11,641,000 |
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Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27
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9,953,055 |
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17,014,000 |
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Service Corp. International
6.750%, 04/01/16
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16,886,395 |
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16,119,000 |
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Target Corp.
6.000%, 01/15/18
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16,772,174 |
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5,821,000 |
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Toll Brothers, Inc.
8.250%, 12/01/11
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5,588,160 |
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2,239,000 |
GBP |
Warner Music Group
8.125%, 04/15/14
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3,516,926 |
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211,746,678 |
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Consumer Staples (2.8%) |
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13,209,000 |
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Chiquita Brands International, Inc.^
7.500%, 11/01/14
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11,987,167 |
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10,298,000 |
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Del Monte Foods Company
8.625%, 12/15/12
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10,709,920 |
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9,850,000 |
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NBTY, Inc.
7.125%, 10/01/15
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9,505,250 |
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10,746,000 |
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Pilgrims Pride Corp.
8.375%, 05/01/17^
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9,617,670 |
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5,373,000 |
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7.625%, 05/01/15
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5,131,215 |
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13,432,000 |
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Smithfield Foods, Inc.
7.750%, 07/01/17
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13,398,420 |
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|
|
|
|
|
|
|
|
|
|
60,349,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (3.7%) |
|
|
|
|
|
10,746,000 |
|
|
Arch Western Finance, LLC
6.750%, 07/01/13
|
|
|
10,987,785 |
|
|
6,268,000 |
|
|
Chesapeake Energy Corp.
6.875%, 01/15/16
|
|
|
6,362,020 |
|
|
3,582,000 |
|
|
7.500%, 06/15/14
|
|
|
3,734,235 |
|
|
1,791,000 |
|
|
Dresser-Rand Group, Inc.
7.375%, 11/01/14
|
|
|
1,799,955 |
|
|
2,686,000 |
|
|
GulfMark Offshore, Inc.
7.750%, 07/15/14
|
|
|
2,793,440 |
|
|
6,268,000 |
|
|
Mariner Energy, Inc.
8.000%, 05/15/17
|
|
|
6,189,650 |
|
|
4,477,000 |
|
|
Petrohawk Energy Corp.
7.125%, 04/01/12
|
|
|
4,365,075 |
|
|
9,403,000 |
|
|
Petróleo Brasileiro, SA
8.375%, 12/10/18
|
|
|
11,142,555 |
|
|
1,791,000 |
|
|
Premcor Refining Group, Inc.
7.500%, 06/15/15
|
|
|
1,867,667 |
|
|
1,970,000 |
|
|
Southwestern Energy Company*
7.500%, 02/01/18
|
|
|
2,098,048 |
|
|
4,477,000 |
|
|
Superior Energy Services, Inc.
6.875%, 06/01/14
|
|
|
4,409,845 |
|
|
5,803,000 |
|
|
Whiting Petroleum Corp.
7.250%, 05/01/12
|
|
|
5,846,523 |
|
|
17,910,000 |
|
|
Williams Companies, Inc.
7.750%, 06/15/31
|
|
|
19,432,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
81,029,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.3%) |
|
|
|
|
|
14,901,000 |
|
|
Leucadia National Corp.
8.125%, 09/15/15
|
|
|
15,273,525 |
|
|
9,850,000 |
|
|
7.000%, 08/15/13
|
|
|
9,800,750 |
|
|
16,119,000 |
|
|
Nuveen Investments, Inc.*
10.500%, 11/15/15
|
|
|
15,595,132 |
|
|
9,403,000 |
|
|
Senior Housing Properties Trust
8.625%, 01/15/12
|
|
|
9,802,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,472,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.1%) |
|
|
|
|
|
4,477,000 |
|
|
Bio-Rad Laboratories, Inc.
7.500%, 08/15/13
|
|
|
4,510,578 |
|
|
11,641,000 |
|
|
Community Health Systems, Inc.
8.875%, 07/15/15
|
|
|
12,164,845 |
|
|
1,970,000 |
|
|
DaVita, Inc.
7.250%, 03/15/15
|
|
|
1,984,775 |
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
|
|
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT
|
|
|
9 |
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
|
4,477,000 |
|
|
HCA, Inc.
9.125%, 11/15/14
|
|
$ |
4,756,813 |
|
|
9,850,000 |
|
|
Psychiatric Solutions, Inc.
7.750%, 07/15/15
|
|
|
10,120,875 |
|
|
11,641,000 |
|
|
Valeant Pharmaceuticals International
7.000%, 12/15/11
|
|
|
11,262,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,800,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (3.4%) |
|
|
|
|
|
2,015,000 |
|
|
Belden CDT, Inc.
7.000%, 03/15/17
|
|
|
2,007,444 |
|
|
1,791,000 |
|
|
FTI Consulting, Inc.
7.625%, 06/15/13
|
|
|
1,867,118 |
|
|
4,477,000 |
|
|
Gardner Denver, Inc.
8.000%, 05/01/13
|
|
|
4,532,962 |
|
|
14,328,000 |
|
|
General Electric Company
5.250%, 12/06/17
|
|
|
14,285,632 |
|
|
4,057,000 |
|
|
H&E Equipment Service, Inc.
8.375%, 07/15/16
|
|
|
3,549,875 |
|
|
14,328,000 |
|
|
Honeywell International, Inc.
5.300%, 03/01/18
|
|
|
14,618,242 |
|
|
3,098,000 |
|
|
SPX Corp.*
7.625%, 12/15/14
|
|
|
3,241,283 |
|
|
1,791,000 |
|
|
Terex Corp.
8.000%, 11/15/17
|
|
|
1,840,253 |
|
|
5,149,000 |
|
|
Trinity Industries, Inc.
6.500%, 03/15/14
|
|
|
5,136,127 |
|
|
14,328,000 |
|
|
United Technologies Corp.
5.375%, 12/15/17
|
|
|
14,646,741 |
|
|
4,477,000 |
|
|
WESCO International, Inc.
7.500%, 10/15/17
|
|
|
4,096,455 |
|
|
4,477,000 |
|
|
Westinghouse Air Brake Technologies Corp.
6.875%, 07/31/13
|
|
|
4,443,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,265,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (2.9%) |
|
|
|
|
|
15,468,000 |
|
|
Advanced Micro Devices, Inc.
7.750%, 11/01/12
|
|
|
12,645,090 |
|
|
8,059,000 |
|
|
Amkor Tech, Inc.
9.250%, 06/01/16
|
|
|
8,079,147 |
|
|
7,612,000 |
|
|
Celestica, Inc.
7.875%, 07/01/11
|
|
|
7,697,635 |
|
|
12,985,000 |
|
|
Freescale Semiconductor, Inc.
8.875%, 12/15/14
|
|
|
11,491,725 |
|
|
14,328,000 |
|
|
Oracle Corp.
5.250%, 01/15/16
|
|
|
14,416,762 |
|
|
9,403,000 |
|
|
SunGard Data Systems, Inc.
9.125%, 08/15/13
|
|
|
9,873,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,203,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.0%) |
|
|
|
|
|
2,686,000 |
|
|
Century Aluminum Company
7.500%, 08/15/14
|
|
|
2,686,000 |
|
|
12,089,000 |
EUR |
|
Ineos Group Holdings, PLC*
7.875%, 02/15/16
|
|
|
14,204,476 |
|
|
2,239,000 |
|
|
8.500%, 02/15/16
|
|
|
1,824,785 |
|
|
2,686,000 |
|
|
P.H. Glatfelter Company
7.125%, 05/01/16
|
|
|
2,659,140 |
|
|
9,806,000 |
|
|
Union Carbide Corp.
7.875%, 04/01/23
|
|
|
9,838,360 |
|
|
7,746,000 |
|
|
7.500%, 06/01/25
|
|
|
7,502,775 |
|
|
6,582,000 |
|
|
Westlake Chemical Corp.
6.625%, 01/15/16
|
|
|
5,825,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,540,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (3.7%) |
|
|
|
|
|
11,641,000 |
|
|
Alamosa Holdings, Inc.
8.500%, 01/31/12
|
|
|
10,798,809 |
|
|
15,850,000 |
|
|
Citizens Communications Company
9.000%, 08/15/31
|
|
|
14,700,875 |
|
|
8,059,000 |
|
|
Leap Wireless International, Inc.
9.875%, 11/01/14*
|
|
|
7,948,189 |
|
|
8,059,000 |
|
|
9.375%, 11/01/14
|
|
|
7,948,189 |
|
|
13,012,000 |
|
|
Qwest Communications International, Inc.
7.750%, 02/15/31
|
|
|
11,352,970 |
|
|
4,477,000 |
|
|
Syniverse Technologies, Inc.
7.750%, 08/15/13
|
|
|
4,281,131 |
|
|
14,328,000 |
|
|
Verizon Communications, Inc.
5.500%, 04/01/17
|
|
|
14,411,346 |
|
|
8,059,000 |
|
|
Windstream Corp.
8.625%, 08/01/16
|
|
|
8,482,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,923,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.6%) |
|
|
|
|
|
12,537,000 |
|
|
TXU Corp.*
10.250%, 11/01/15
|
|
|
13,132,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $746,805,564)
|
|
|
724,463,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS (16.8%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (4.0%) |
|
|
|
|
|
16,000,000 |
|
|
Amazon.com, Inc.
4.750%, 02/01/09
|
|
|
17,540,000 |
|
|
40,000,000 |
|
|
Ford Motor Company
4.250%, 12/15/36
|
|
|
44,650,000 |
|
|
7,000,000 |
|
|
General Motors Corp.
6.250% 07/15/33
|
|
|
5,205,200 |
|
|
15,000,000 |
|
|
Liberty Media Corp.
(Time Warner)∞
3.125%, 03/30/23
|
|
|
15,281,250 |
|
|
5,680,000 |
|
|
Liberty Media Corp.
(Viacom-B)∞ 3.250%, 03/15/31 |
|
|
3,976,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,652,450 |
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
|
10 |
|
Strategic Total Return Fund
SEMIANNUAL REPORT Schedule of Investments |
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
Energy (1.3%) |
|
|
|
|
|
17,000,000 |
|
|
Penn Virginia Corp.
4.500%, 11/15/12 |
|
$ |
20,123,750 |
|
|
8,290,000 |
|
|
St. Mary Land & Exploration Company^
3.500%, 04/01/27 |
|
|
8,839,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,962,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.6%) |
|
|
|
|
|
11,970,000 |
|
|
Health Care REIT, Inc.
4.750%, 07/15/27 |
|
|
13,167,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.4%) |
|
|
|
|
|
26,000,000 |
|
|
Invitrogen Corp.
3.250%, 06/15/25 |
|
|
29,997,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (3.5%) |
|
|
|
|
|
32,750,000 |
|
|
L-3 Communications Holdings, Inc.
3.000%, 08/01/35 |
|
|
41,551,562 |
|
|
16,000,000 |
|
|
Lockheed Martin Corp.
2.815%, 08/15/33 |
|
|
23,376,000 |
|
|
7,500,000 |
|
|
Quanta Services, Inc.
3.750%, 04/30/26 |
|
|
10,228,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,155,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (5.5%) |
|
|
|
|
|
16,000,000 |
|
|
Euronet Worldwide, Inc.
3.500%, 10/15/25 |
|
|
13,040,000 |
|
|
34,000,000 |
|
|
Intel Corp.^
2.950%, 12/15/35 |
|
|
33,915,000 |
|
|
33,900,000 |
|
|
Linear Technology Corp.*
3.000%, 05/01/27 |
|
|
33,688,125 |
|
|
32,000,000 |
|
|
VeriSign, Inc.*
3.250%, 08/15/37 |
|
|
40,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120,643,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.5%) |
|
|
|
|
|
5,750,000 |
EUR |
|
International Power, PLC
3.250%, 07/20/13 |
|
|
10,417,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $352,376,977) |
|
|
364,995,861 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN BONDS (1.1%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (1.1%) |
|
|
|
|
|
11,194,000 |
GBP |
|
United Kingdom Treasury
5.750%, 12/07/09
(Cost $22,721,350) |
|
|
22,740,752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES (4.7%) |
|
|
|
|
Corporate Bonds (3.8%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (1.1%) |
|
|
|
|
|
523,000 |
|
|
Asbury Automotive Group, Inc.
8.000%, 03/15/14 |
|
|
475,930 |
|
|
523,000 |
|
|
Boyd Gaming Corp.
7.750%, 12/15/12 |
|
|
490,966 |
|
|
|
|
|
D.R. Horton, Inc. |
|
|
|
|
|
314,000 |
|
|
8.000%, 02/01/09 |
|
|
314,000 |
|
|
209,000 |
|
|
9.750%, 09/15/10 |
|
|
209,523 |
|
|
967,000 |
|
|
DIRECTV Financing Company, Inc.
8.375%, 03/15/13 |
|
|
998,428 |
|
|
1,620,000 |
|
|
EchoStar DBS Corp.
7.125%, 02/01/16 |
|
|
1,599,750 |
|
|
2,195,000 |
|
|
Expedia, Inc.
7.456%, 08/15/18 |
|
|
2,346,674 |
|
|
4,494,000 |
|
|
Ford Motor Company
9.875%, 08/10/11 |
|
|
4,351,428 |
|
|
1,568,000 |
|
|
General Motors Corp.^
7.200%, 01/15/11 |
|
|
1,391,600 |
|
|
1,777,000 |
|
|
Hanesbrands, Inc.
8.204%, 12/15/14 |
|
|
1,683,707 |
|
|
439,000 |
|
|
Jarden Corp.
7.500%, 05/01/17 |
|
|
406,075 |
|
|
339,000 |
|
|
Kellwood Company
7.625%, 10/15/17 |
|
|
222,045 |
|
|
523,000 |
|
|
Liberty Media Corp.^
8.250%, 02/01/30 |
|
|
466,650 |
|
|
679,000 |
|
|
Mandalay Resort Group
7.625%, 07/15/13 |
|
|
614,495 |
|
|
1,672,000 |
|
|
McDonalds Corp.
5.350%, 03/01/18 |
|
|
1,699,322 |
|
|
510,000 |
|
|
MGM Mirage
7.500%, 06/01/16 |
|
|
464,100 |
|
|
836,000 |
|
|
Pulte Homes, Inc.
8.125%, 03/01/11 |
|
|
827,640 |
|
|
1,359,000 |
|
|
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 |
|
|
1,161,945 |
|
|
1,986,000 |
|
|
Service Corp. International
6.750%, 04/01/16 |
|
|
1,971,105 |
|
|
1,881,000 |
|
|
Target Corp.
6.000%, 01/15/18 |
|
|
1,957,222 |
|
|
679,000 |
|
|
Toll Brothers, Inc.
8.250%, 12/01/11 |
|
|
651,840 |
|
|
261,000 |
GBP |
|
Warner Music Group
8.125%, 04/15/14 |
|
|
409,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,714,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.3%) |
|
|
|
|
|
1,541,000 |
|
|
Chiquita Brands International, Inc.^
7.500%, 11/01/14 |
|
|
1,398,457 |
|
|
1,202,000 |
|
|
Del Monte Foods Company
8.625%, 12/15/12 |
|
|
1,250,080 |
|
|
1,150,000 |
|
|
NBTY, Inc.
7.125%, 10/01/15 |
|
|
1,109,750 |
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Strategic Total Return Fund |
|
|
11 |
|
|
|
Schedule of Investments |
|
SEMIANNUAL REPORT |
|
|
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
Pilgrims Pride Corp. |
|
|
|
|
|
1,254,000 |
|
|
8.375%, 05/01/17^ |
|
$ |
1,122,330 |
|
|
627,000 |
|
|
7.625%, 05/01/15 |
|
|
598,785 |
|
|
1,568,000 |
|
|
Smithfield Foods, Inc.
7.750%, 07/01/17 |
|
|
1,564,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,043,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.4%) |
|
|
|
|
|
1,254,000 |
|
|
Arch Western Finance, LLC
6.750%, 07/01/13 |
|
|
1,282,215 |
|
|
|
|
|
Chesapeake Energy Corp. |
|
|
|
|
|
732,000 |
|
|
6.875%, 01/15/16 |
|
|
742,980 |
|
|
418,000 |
|
|
7.500%, 06/15/14 |
|
|
435,765 |
|
|
209,000 |
|
|
Dresser-Rand Group, Inc.
7.375%, 11/01/14 |
|
|
210,045 |
|
|
314,000 |
|
|
GulfMark Offshore, Inc.
7.750%, 07/15/14 |
|
|
326,560 |
|
|
732,000 |
|
|
Mariner Energy, Inc.
8.000%, 05/15/17 |
|
|
722,850 |
|
|
523,000 |
|
|
Petrohawk Energy Corp.
7.125%, 04/01/12 |
|
|
509,925 |
|
|
1,097,000 |
|
|
Petróleo Brasileiro, SA
8.375%, 12/10/18 |
|
|
1,299,945 |
|
|
209,000 |
|
|
Premcor Refining Group, Inc.
7.500%, 06/15/15 |
|
|
217,947 |
|
|
230,000 |
|
|
Southwestern Energy Company*
7.500%, 02/01/18 |
|
|
244,950 |
|
|
523,000 |
|
|
Superior Energy Services, Inc.
6.875%, 06/01/14 |
|
|
515,155 |
|
|
677,000 |
|
|
Whiting Petroleum Corp.
7.250%, 05/01/12 |
|
|
682,077 |
|
|
2,090,000 |
|
|
Williams Companies, Inc.
7.750%, 06/15/31 |
|
|
2,267,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,458,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.3%) |
|
|
|
|
|
|
|
|
Leucadia National Corp. |
|
|
|
|
|
1,739,000 |
|
|
8.125%, 09/15/15 |
|
|
1,782,475 |
|
|
1,150,000 |
|
|
7.000%, 08/15/13 |
|
|
1,144,250 |
|
|
1,881,000 |
|
|
Nuveen Investments, Inc.*
10.500%, 11/15/15 |
|
|
1,819,867 |
|
|
1,097,000 |
|
|
Senior Housing Properties Trust
8.625%, 01/15/12 |
|
|
1,143,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,890,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.2%) |
|
|
|
|
|
523,000 |
|
|
Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 |
|
|
526,923 |
|
|
1,359,000 |
|
|
Community Health Systems, Inc.
8.875%, 07/15/15 |
|
|
1,420,155 |
|
|
230,000 |
|
|
DaVita, Inc.
7.250%, 03/15/15 |
|
|
231,725 |
|
|
523,000 |
|
|
HCA, Inc.
9.125%, 11/15/14 |
|
|
555,688 |
|
|
1,150,000 |
|
|
Psychiatric Solutions, Inc.
7.750%, 07/15/15 |
|
|
1,181,625 |
|
|
1,359,000 |
|
|
Valeant Pharmaceuticals International
7.000%, 12/15/11 |
|
|
1,314,832 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,230,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.4%) |
|
|
|
|
|
235,000 |
|
|
Belden CDT, Inc.
7.000%, 03/15/17 |
|
|
234,119 |
|
|
209,000 |
|
|
FTI Consulting, Inc.
7.625%, 06/15/13 |
|
|
217,883 |
|
|
523,000 |
|
|
Gardner Denver, Inc.
8.000%, 05/01/13 |
|
|
529,537 |
|
|
1,672,000 |
|
|
General Electric Company
5.250%, 12/06/17 |
|
|
1,667,056 |
|
|
473,000 |
|
|
H&E Equipment Service, Inc.
8.375%, 07/15/16 |
|
|
413,875 |
|
|
1,672,000 |
|
|
Honeywell International, Inc.
5.300%, 03/01/18 |
|
|
1,705,870 |
|
|
362,000 |
|
|
SPX Corp.*
7.625%, 12/15/14 |
|
|
378,743 |
|
|
209,000 |
|
|
Terex Corp.
8.000%, 11/15/17 |
|
|
214,748 |
|
|
601,000 |
|
|
Trinity Industries, Inc.
6.500%, 03/15/14 |
|
|
599,497 |
|
|
1,672,000 |
|
|
United Technologies Corp.
5.375%, 12/15/17 |
|
|
1,709,195 |
|
|
523,000 |
|
|
WESCO International, Inc.
7.500%, 10/15/17 |
|
|
478,545 |
|
|
523,000 |
|
|
Westinghouse Air Brake Technologies Corp.
6.875%, 07/31/13 |
|
|
519,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,668,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.4%) |
|
|
|
|
|
1,805,000 |
|
|
Advanced Micro Devices, Inc.
7.750%, 11/01/12 |
|
|
1,475,587 |
|
|
941,000 |
|
|
Amkor Tech, Inc.
9.250%, 06/01/16 |
|
|
943,353 |
|
|
888,000 |
|
|
Celestica, Inc.
7.875%, 07/01/11 |
|
|
897,990 |
|
|
1,515,000 |
|
|
Freescale Semiconductor, Inc.
8.875%, 12/15/14 |
|
|
1,340,775 |
|
|
1,672,000 |
|
|
Oracle Corp.
5.250%, 01/15/16 |
|
|
1,682,358 |
|
|
1,097,000 |
|
|
SunGard Data Systems, Inc.
9.125%, 08/15/13 |
|
|
1,151,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,491,913 |
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
12
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
Schedule of Investments
|
|
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
Materials (0.2%) |
|
|
|
|
|
314,000 |
|
|
Century Aluminum Company
7.500%, 08/15/14 |
|
$ |
314,000 |
|
|
1,411,000 |
EUR |
|
Ineos Group Holdings, PLC* |
|
|
|
|
|
|
7.875%, 02/15/16 |
|
|
1,657,914 |
|
|
261,000 |
|
|
8.500%, 02/15/16 |
|
|
212,715 |
|
|
314,000 |
|
|
P.H. Glatfelter Company
7.125%, 05/01/16 |
|
|
310,860 |
|
|
|
|
|
Union Carbide Corp. |
|
|
|
|
|
1,144,000 |
|
|
7.875%, 04/01/23 |
|
|
1,147,775 |
|
|
904,000 |
|
|
7.500%, 06/01/25 |
|
|
875,614 |
|
|
768,000 |
|
|
Westlake Chemical Corp.
6.625%, 01/15/16 |
|
|
679,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,198,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.4%) |
|
|
|
|
|
1,359,000 |
|
|
Alamosa Holdings, Inc.
8.500%, 01/31/12 |
|
|
1,260,680 |
|
|
1,850,000 |
|
|
Citizens Communications Company
9.000%, 08/15/31 |
|
|
1,715,875 |
|
|
|
|
|
Leap Wireless International, Inc.
|
|
|
|
|
|
941,000 |
|
|
9.875%, 11/01/14* |
|
|
928,061 |
|
|
941,000 |
|
|
9.375%, 11/01/14 |
|
|
928,061 |
|
|
1,518,000 |
|
|
Qwest Communications International, Inc.
7.750%, 02/15/31 |
|
|
1,324,455 |
|
|
523,000 |
|
|
Syniverse Technologies, Inc.
7.750%, 08/15/13 |
|
|
500,119 |
|
|
1,672,000 |
|
|
Verizon Communications, Inc.
5.500%, 04/01/17 |
|
|
1,681,726 |
|
|
941,000 |
|
|
Windstream Corp.
8.625%, 08/01/16 |
|
|
990,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,329,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.1%) |
|
|
|
|
|
1,463,000 |
|
|
TXU Corp.*
10.250%, 11/01/15 |
|
|
1,532,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS |
|
|
84,557,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereign Bonds (0.1%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
1,306,000 |
GBP |
|
United Kingdom Treasury
5.750%, 12/07/09 |
|
|
2,653,155 |
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
Options (0.8%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
1,350 |
|
|
Nike, Inc.#
Call, 01/16/10, Strike $70.00 |
|
$ |
1,248,750 |
|
|
2,200 |
|
|
Omnicom Group, Inc.#
Call, 01/17/09, Strike $50.00 |
|
|
660,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,908,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.1%) |
|
|
|
|
|
780 |
|
|
Schlumberger, Ltd.#
Call, 01/17/09, Strike $90.00 |
|
|
1,411,800 |
|
|
500 |
|
|
Transocean, Inc.#
Call, 01/16/10, Strike $160.00 |
|
|
1,285,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,696,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.2%) |
|
|
|
|
|
800 |
|
|
Alcon, Inc.#
Call, 01/17/09, Strike $140.00 |
|
|
2,064,000 |
|
|
1,700 |
|
|
Express Scripts, Inc.#
Call, 01/17/09, Strike $65.00 |
|
|
1,912,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,976,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.1%) |
|
|
|
|
|
1,285 |
|
|
General Dynamics Corp.#
Call, 01/17/09, Strike $90.00 |
|
|
1,008,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.3%) |
|
|
|
|
|
1,330 |
|
|
Apple Computer, Inc.#
Call, 01/17/09, Strike $190.00 |
|
|
2,643,375 |
|
|
2,650 |
|
|
Cisco Systems, Inc.#
Call, 01/17/09, Strike $30.00 |
|
|
304,750 |
|
|
150 |
|
|
Google, Inc.#
Call, 01/17/09, Strike $710.00 |
|
|
417,000 |
|
|
570 |
|
|
Hewlett-Packard Company#
Call, 01/17/09, Strike $45.00 |
|
|
319,200 |
|
|
4,560 |
|
|
Oracle Corp.#
Call, 01/17/09, Strike $20.00 |
|
|
1,368,000 |
|
|
2,000 |
|
|
SAP, AG#
Call, 01/17/09, Strike $55.00 |
|
|
580,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,632,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.0%) |
|
|
|
|
|
275 |
|
|
America Movil, SA de CV#
Call, 01/17/09, Strike $60.00 |
|
|
165,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS |
|
|
15,388,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $115,170,201) |
|
|
102,598,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
CONVERTIBLE PREFERRED STOCKS (14.4%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.8%) |
|
|
|
|
|
20,000 |
|
|
Stanley Works
5.125% |
|
|
17,455,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.9%) |
|
|
|
|
|
18,000 |
|
|
Bunge, Ltd.
5.125% |
|
|
19,008,000 |
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
|
|
|
|
Schedule of Investments
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
|
13 |
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
|
|
|
|
Financials (4.9%) |
|
|
|
|
|
38,540 |
|
|
Bank of America Corp.
7.250% |
|
$ |
40,322,475 |
|
|
542,900 |
|
|
Citigroup, Inc.
6.500% |
|
|
28,196,869 |
|
|
925,000 |
|
|
MetLife, Inc.
6.375% |
|
|
27,324,500 |
|
|
350,000 |
|
|
Washington Mutual, Inc.
5.375% |
|
|
10,675,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
106,518,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.8%) |
|
|
|
|
|
220,000 |
|
|
Schering-Plough Corp.
6.000% |
|
|
39,716,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.7%) |
|
|
|
|
|
320,000 |
|
|
Avery Dennison Corp.
7.875% |
|
|
15,286,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (5.3%) |
|
|
|
|
400 |
EUR |
|
Bayer, AG
6.625% |
|
|
46,656,153 |
|
|
315,000 |
|
|
Freeport-McMoRan Copper & Gold, Inc.
6.750% |
|
|
51,326,100 |
|
2,000 |
CHF |
|
Givaudan, SA
5.375% |
|
|
18,009,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115,991,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $337,258,139) |
|
|
313,976,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
UNITS |
|
|
|
|
VALUE |
|
|
STRUCTURED EQUITY-LINKED SECURITIES (7.5%) |
|
|
|
|
|
|
|
|
|
Consumer Discretionary (1.3%) |
|
|
|
|
|
205,200 |
|
|
Deutsche Bank (Amazon.com, Inc.)*
15.000%, 07/18/08 |
|
$ |
16,574,004 |
|
|
213,000 |
|
|
Deutsche Bank (Apollo Group, Inc.)*
12.000%, 07/15/08 |
|
|
11,255,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,829,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.9%) |
|
|
|
|
|
134,000 |
|
|
Lehman Brothers Holding (Transocean, Inc.)*
12.000%, 07/25/08 |
|
|
18,517,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.8%) |
|
|
|
|
|
300,000 |
|
|
Wachovia Bank NA (Biogen Idec, Inc.)*
12.000%, 06/27/08 |
|
|
18,043,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.7%) |
|
|
|
|
|
270,800 |
|
|
Credit Suisse (CNH Global, NV)*
12.000%, 06/30/08 |
|
|
15,523,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (3.8%) |
|
|
|
|
|
314,000 |
|
|
Deutsche Bank (Electronic Arts, Inc.)*
12.000%, 07/08/08 |
|
|
16,470,870 |
|
|
487,000 |
|
|
Deutsche Bank (Nokia Corp.)*
12.000%, 07/15/08 |
|
|
14,751,230 |
|
|
879,800 |
|
|
JPMorgan Chase & Company (Intel Corp.)*
12.000%, 07/25/08 |
|
|
18,955,291 |
|
|
331,700 |
|
|
Morgan Stanley (SAP, AG)*
12.000%, 06/27/08 |
|
|
16,503,733 |
|
|
550,000 |
|
|
Wachovia Bank NA (eBay, Inc.)*
12.000%, 07/14/08 |
|
|
17,217,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
83,898,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL STRUCTURED
EQUITY-LINKED SECURITIES
(Cost $169,849,856) |
|
|
163,812,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
SHARES |
|
|
|
VALUE |
|
COMMON STOCKS (71.1%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (3.4%) |
|
|
|
|
|
800,000 |
|
|
Carnival Corp.~ |
|
|
32,136,000 |
|
|
300,000 |
|
|
CBS Corp.~ |
|
|
6,921,000 |
|
|
1,086,217 |
|
|
Walt Disney Company~ |
|
|
35,226,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,283,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (7.2%) |
|
|
|
|
|
1,100,000 |
|
|
Coca-Cola Company |
|
|
64,757,000 |
|
|
250,000 |
|
|
Kimberly-Clark Corp. |
|
|
15,997,500 |
|
|
471,447 |
|
|
Kraft Foods, Inc. |
|
|
14,911,869 |
|
|
320,000 |
|
|
Philip Morris International, Inc.# |
|
|
16,329,600 |
|
|
840,000 |
|
|
Reynolds American, Inc. |
|
|
45,234,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
157,229,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (9.8%) |
|
|
|
|
|
325,000 |
|
|
BP, PLC |
|
|
23,656,750 |
|
|
875,000 |
|
|
Chevron Corp.~ |
|
|
84,131,250 |
|
|
775,000 |
|
|
ConocoPhillips~ |
|
|
66,766,250 |
|
|
875,000 |
|
|
Marathon Oil Corp.~ |
|
|
39,873,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
214,428,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (8.5%) |
|
|
|
|
|
500,000 |
|
|
Bank of America Corp.~ |
|
|
18,770,000 |
|
|
1,372,000 |
|
|
Citigroup, Inc.~ |
|
|
34,670,440 |
|
|
772,000 |
|
|
Federal National Mortgage Association~ |
|
|
21,847,600 |
|
|
1,050,000 |
|
|
JPMorgan Chase & Company |
|
|
50,032,500 |
|
|
158,074 |
|
|
Lincoln National Corp. |
|
|
8,498,058 |
|
|
500,000 |
|
|
U.S. Bancorp |
|
|
16,945,000 |
|
|
360,000 |
|
|
Wachovia Corp. |
|
|
10,494,000 |
|
|
2,000,000 |
|
|
Washington Mutual, Inc. |
|
|
24,580,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185,837,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (14.4%) |
|
|
|
|
|
525,000 |
|
|
Abbott Laboratories~ |
|
|
27,693,750 |
|
|
1,375,000 |
|
|
Bristol-Myers Squibb Company~ |
|
|
30,208,750 |
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
14
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
Schedule of Investments
|
|
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
|
300,000 |
|
|
Eli Lilly and Company |
|
$ |
14,442,000 |
|
|
1,600,000 |
|
|
Johnson & Johnson~ |
|
|
107,344,000 |
|
|
1,755,000 |
|
|
Merck & Company, Inc.~ |
|
|
66,760,200 |
|
|
3,300,000 |
|
|
Pfizer, Inc. |
|
|
66,363,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
312,811,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (9.6%) |
|
|
|
|
|
480,000 |
|
|
Boeing Company |
|
|
40,732,800 |
|
|
2,425,000 |
|
|
General Electric Company~ |
|
|
79,297,500 |
|
|
480,000 |
|
|
Honeywell International, Inc.~ |
|
|
28,512,000 |
|
|
450,000 |
|
|
Masco Corp.~ |
|
|
8,194,500 |
|
|
435,000 |
|
|
Raytheon Company |
|
|
27,826,950 |
|
|
335,000 |
|
|
United Technologies Corp. |
|
|
24,277,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
208,841,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (9.7%) |
|
|
|
|
|
600,000 |
|
|
eBay, Inc.#~ |
|
|
18,774,000 |
|
|
850,000 |
|
|
Hewlett-Packard Company |
|
|
39,397,500 |
|
|
1,337,000 |
|
|
Intel Corp.~ |
|
|
29,761,620 |
|
|
1,325,000 |
|
|
Microsoft Corp.~ |
|
|
37,789,000 |
|
|
300,000 |
|
|
Nintendo Company, Ltd. |
|
|
20,488,470 |
|
|
1,250,000 |
|
|
Nokia Corp.~ |
|
|
37,587,500 |
|
|
1,300,000 |
|
|
Oracle Corp.# |
|
|
27,105,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210,903,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (8.5%) |
|
|
|
|
|
3,043,450 |
|
|
AT&T, Inc.~ |
|
|
117,811,950 |
|
1,500,000 |
GBP |
|
BT Group, PLC |
|
|
6,602,959 |
|
450,000 |
EUR |
|
France Telecom, AG |
|
|
14,080,916 |
|
|
1,239,000 |
|
|
Verizon Communications, Inc. |
|
|
47,676,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
186,172,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $1,589,382,024) |
|
|
1,550,507,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
VALUE |
|
|
PUT OPTIONS (0.0%) |
|
|
|
|
Financials (0.0%) |
|
|
|
|
|
7,200 |
|
|
Federal National Mortgage Association#
Put, 06/21/08, Strike $20.00
(Cost $1,497,600) |
|
|
414,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
INVESTMENT IN AFFILIATED FUND (1.3%) |
|
|
|
|
$ |
27,531,599 |
|
|
Calamos Government Money
Market Fund Class I
SharesW
(Cost $27,531,599) |
|
$ |
27,531,599 |
|
|
|
|
|
|
|
|
|
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN (1.4%) |
|
|
|
|
|
1,184,000 |
|
|
Bank of New York Institutional
Cash Reserve Fund |
|
|
1,184,000 |
|
|
30,000,000 |
|
|
JP Morgan US
Government
Money Market Fund |
|
|
30,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT OF CASH
COLLATERAL FOR SECURITIES
ON LOAN
(Cost $31,184,000) |
|
|
31,184,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (151.5%)
(Cost $3,393,777,310) |
|
|
3,302,225,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-1.4%) |
|
|
(31,184,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-0.5%) |
|
|
(10,165,041 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-49.6%) |
|
|
(1,081,015,571 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) |
|
$ |
2,179,860,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
WRITTEN OPTIONS (-1.1%) |
|
|
|
|
|
|
|
|
Financials (-1.1%) |
|
|
|
|
|
7,600 |
|
|
Federal National Mortgage Association#
Call, 06/21/08, Strike $30.00 |
|
|
(1,577,000 |
) |
|
|
|
|
SPDR Trust Series 1# |
|
|
|
|
|
10,000 |
|
|
Call, 06/21/08, Strike $141.00 |
|
|
(2,785,000 |
) |
|
8,000 |
|
|
Call, 06/21/08, Strike $142.00 |
|
|
(1,868,000 |
) |
|
8,000 |
|
|
Call, 06/21/08, Strike $131.00 |
|
|
(7,500,000 |
) |
|
7,500 |
|
|
Call, 07/19/08, Strike $142.00 |
|
|
(2,437,500 |
) |
|
7,500 |
|
|
Call, 09/20/08, Strike $142.00 |
|
|
(3,956,250 |
) |
|
7,000 |
|
|
Call, 06/21/08, Strike $140.00 |
|
|
(2,310,000 |
) |
|
5,000 |
|
|
Call, 06/21/08, Strike $143.00 |
|
|
(965,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $29,548,546) |
|
|
(23,398,750 |
) |
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
|
|
|
|
|
|
|
|
|
Schedule of Investments
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
|
15 |
|
Schedule of Investments
APRIL 30, 2008 (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS
|
|
|
^ |
|
Security, or portion of security, is on loan. |
|
|
|
Variable rate or step bond security. The rate shown
is the rate in effect at April 30, 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 April 30, 2008, the
value of 144A securities that could not be exchanged
to the registered form is $228,631,956 or 10.5% of
net assets applicable to common shareholders. |
|
∞ |
|
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 value of $702,001,553. |
|
W |
|
Investment in affiliated fund. During the period
from November 1, 2007 through April 30, 2008, the
fund had net redemptions of $58,243,842 and
received $840,147 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 |
Note: Value for Securities denominated in foreign
currencies are shown in U.S. dollars. The principal amount
for such securities is shown in the respective foreign
currency. The date shown on options represents the
expiration date of the option contract. The option
contract may be exercised at any date on or before the
date shown.
See accompanying Notes to Financial Statements
|
|
|
|
|
|
|
16
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
Schedule of Investments
|
|
|
Statement of Assets and Liabilities
|
|
|
|
|
April 30, 2008 (unaudited) |
|
|
|
|
|
ASSETS |
|
|
|
|
Investments, at value* (cost $3,366,245,711) |
|
$ |
3,274,693,570 |
|
Investments in affiliated fund (cost $27,531,599) |
|
|
27,531,599 |
|
Cash with custodian (interest bearing) |
|
|
4,373 |
|
Restricted cash for open options (interest bearing) |
|
|
150,000 |
|
Receivable for investments sold |
|
|
84,634,342 |
|
Accrued interest and dividends receivable |
|
|
30,132,854 |
|
Prepaid expenses |
|
|
2,889,992 |
|
Other assets |
|
|
92,258 |
|
|
Total assets |
|
|
3,420,128,988 |
|
|
LIABILITIES |
|
|
|
|
Options written, at value (premium $29,548,546) |
|
|
23,398,750 |
|
Cash collateral for securities on loan |
|
|
31,184,000 |
|
Unrealized depreciation on interest rate swaps |
|
|
3,073,242 |
|
Payables: |
|
|
|
|
Investments purchased |
|
|
98,300,299 |
|
Affiliates: |
|
|
|
|
Investment advisory fees |
|
|
2,632,301 |
|
Financial accounting fees |
|
|
30,040 |
|
Deferred compensation to Trustees |
|
|
92,258 |
|
Trustees fees and officer compensation |
|
|
7,753 |
|
Accounts payable and accrued liabilities |
|
|
534,217 |
|
|
Total liabilities |
|
|
159,252,860 |
|
|
PREFERRED SHARES |
|
|
|
|
$25,000 liquidation value per share applicable to 43,200 shares, including dividends payable |
|
|
1,081,015,571 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
2,179,860,557 |
|
|
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
Common stock, no par value, unlimited shares authorized 154,514,000 shares issued and outstanding |
|
$ |
2,200,733,859 |
|
Undistributed net investment income (loss) |
|
|
(35,919,436 |
) |
Accumulated net realized gain (loss) on investments, written options, foreign currency transactions, and interest rate swaps |
|
|
103,425,893 |
|
Net unrealized appreciation (depreciation) on investments, written options, foreign currency translations, and interest rate swaps |
|
|
(88,379,759 |
) |
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
2,179,860,557 |
|
|
Net asset value per common share based on 154,514,000 shares issued and outstanding |
|
$ |
14.11 |
|
|
|
|
|
* |
|
Including securities on loan with a value of $29,859,727. |
See accompanying Notes to Financial Statements
|
|
|
|
|
|
|
|
|
Statement
of Assets and Liabilities
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
17 |
Statement of Operations
Six Months Ended April 30, 2008 (unaudited)
|
|
|
|
|
|
INVESTMENT INCOME |
|
|
|
|
Interest |
|
$ |
44,163,197 |
|
Dividends |
|
|
35,965,703 |
|
Dividends from affiliates |
|
|
840,147 |
|
Securities lending income |
|
|
529,839 |
|
|
Total investment income |
|
|
81,498,886 |
|
|
EXPENSES |
|
|
|
|
Investment advisory fees |
|
|
16,636,501 |
|
Financial accounting fees |
|
|
188,141 |
|
Auction agent and rating agency fees |
|
|
1,380,656 |
|
Audit and legal fees |
|
|
151,496 |
|
Printing and mailing fees |
|
|
138,731 |
|
Accounting fees |
|
|
90,400 |
|
Registration fees |
|
|
68,373 |
|
Trustees fees and officer compensation |
|
|
62,414 |
|
Custodian fees |
|
|
22,317 |
|
Transfer agent fees |
|
|
14,224 |
|
Investor support services |
|
|
28,623 |
|
Other |
|
|
75,321 |
|
|
Total expenses |
|
|
18,857,197 |
|
Less expense reduction |
|
|
(43,013 |
) |
|
Net expenses |
|
|
18,814,184 |
|
|
NET INVESTMENT INCOME(LOSS) |
|
|
62,684,702 |
|
|
REALIZED AND UNREALIZED GAIN(LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS |
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
Investments |
|
|
84,866,895 |
|
Written options |
|
|
12,061,737 |
|
Foreign currency transactions |
|
|
609,656 |
|
Interest rate swaps |
|
|
(14,724 |
) |
|
Change in net unrealized appreciation/depreciation on: |
|
|
|
|
Investments |
|
|
(471,125,203 |
) |
Written options |
|
|
6,149,796 |
|
Foreign currency translations |
|
|
13,360 |
|
Interest rate swaps |
|
|
(3,680,564 |
) |
|
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY AND
INTEREST RATE SWAPS |
|
|
(371,119,047 |
) |
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
(308,434,345 |
) |
|
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM |
|
|
|
|
Net investment income |
|
|
(14,267,220 |
) |
Capital gains |
|
|
(12,046,709 |
) |
|
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS |
|
$ |
(334,748,274 |
) |
|
See accompanying Notes to Financial Statements
|
|
|
|
|
|
|
18
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT
|
|
Statement
of Operations
|
|
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
|
|
April 30, 2008 |
|
October 31, |
|
|
(unaudited) |
|
2007 |
|
OPERATIONS |
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
62,684,702 |
|
|
$ |
132,982,192 |
|
Net realized gain (loss) from investments, written options, foreign currency transactions and interest rate swaps |
|
|
97,523,564 |
|
|
|
133,314,423 |
|
Change in net unrealized appreciation/depreciation on investments, written options, foreign currency translations and
interest rate swaps |
|
|
(468,642,611 |
) |
|
|
159,342,156 |
|
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(14,267,220 |
) |
|
|
(49,014,744 |
) |
Capital gains |
|
|
(12,046,709 |
) |
|
|
(8,462,889 |
) |
|
Net increase (decrease) in net assets applicable to common shareholders resulting from operations |
|
|
(334,748,274 |
) |
|
|
368,161,138 |
|
|
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(78,415,858 |
) |
|
|
(156,383,628 |
) |
Capital gains |
|
|
(21,987,343 |
) |
|
|
(24,397,762 |
) |
|
Net decrease in net assets from distributions to common shareholders |
|
|
(100,403,201 |
) |
|
|
(180,781,390 |
) |
|
CAPITAL STOCK TRANSACTIONS |
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets from capital stock transactions |
|
|
|
|
|
|
|
|
|
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
(435,151,475 |
) |
|
|
187,379,748 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
|
|
|
|
Beginning of period |
|
$ |
2,615,012,032 |
|
|
$ |
2,427,632,284 |
|
|
End of period |
|
|
2,179,860,557 |
|
|
|
2,615,012,032 |
|
|
Undistributed net investment income (loss) |
|
$ |
(35,919,436 |
) |
|
$ |
(5,921,060 |
) |
See accompanying Notes to Financial Statements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Strategic Total Return Fund
Statements of Changes in Net Assets SEMIANNUAL REPORT
|
|
|
19 |
|
Notes to Financial Statements (unaudited)
NOTE 1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. Calamos Strategic Total Return (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 Funds 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 Funds 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 Funds 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, under the ultimate supervision of the Board of Trustees,
following the guidelines and/or procedures adopted by the Board of Trustees, if the value of a
foreign
security it holds is materially affected by events occurring before their valuation 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.
|
|
|
|
|
20 |
|
Strategic Total Return Fund SEMIANNUAL REPORT
|
|
Notes to Financial Statements |
Notes to Financial Statements (unaudited)
When fair value pricing of securities is employed, the prices of securities used by the Fund to
calculate its NAV may differ from market quotations or official closing prices.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade
date basis as of April 30, 2008. Net 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 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.
The Fund does not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes in market prices
of securities held. Such fluctuations are included with the net realized and unrealized gain or
loss from investments.
Recorded net realized foreign currency gains or losses arise from disposition of foreign currency,
the difference in the foreign exchange rates between the trade and settlement dates on securities
transactions, and the difference between the amounts of dividends, interest and foreign withholding
taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due
to the changes in the exchange rate) in the value of foreign currency and other assets and
liabilities denominated in foreign currencies held at period end.
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 the Fund writes an option, an amount equal to the premium received by the Fund is recorded as
a liability and is subsequently adjusted to the current value of the option written. Premiums
received from writing options that expire unexercised are treated by the Fund on the expiration
date as realized gains from written options. The difference between the premium and the amount paid
on effecting a closing purchase transaction, including brokerage commissions, is also treated as a
realized gain, or, if the premium is less than the amount paid for the closing purchase
transaction, as a realized loss. If a written call option is exercised, the premium is added to the
proceeds from the sale of the underlying security or currency in determining whether the Fund has
realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis
of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of
an unfavorable change in the price of the security underlying the written option.
Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the
Fund; other expenses of Calamos Investment Trust, Calamos Advisors Trust, Calamos Convertible
Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total
Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are
allocated proportionately among each fund in relation to the managed assets of each fund or on
another reasonable basis.
Use of Estimates. The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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.
|
|
|
|
|
|
|
Notes to Financial Statements |
|
Strategic Total Return Fund SEMIANNUAL REPORT |
|
|
21 |
|
Notes to Financial Statements (unaudited)
Income Taxes. No provision has been made for U.S. income taxes because the Funds policy is to
continue to qualify as regulated investment company under the Internal Revenue Code of 1986, as
amended (the Code), and distribute to shareholders substantially all of its taxable income and
net realized gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount
of dividends and distributions from net investment income and net realized capital gains is
determined in accordance with federal income tax regulations, which may differ from U.S. generally
accepted accounting principles. To the extent these book/tax differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their federal tax-basis
treatment. These differences are primarily due to differing treatments for foreign currency
transactions, contingent payment debt instruments and methods of amortizing and accreting on fixed
income securities. The financial statements are not adjusted for temporary differences.
Indemnifications. Under the Funds organizational documents, the Fund is obligated to indemnify its
officers and trustees against certain liabilities incurred by them by reason of having been an
officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter
into contracts that provide general indemnifications to other parties. The Funds maximum exposure
under these arrangements is unknown as this would involve future claims that may be made against
the Fund that have not yet occurred. Currently, the Funds management expects the risk of material
loss in connection to a potential claim to be remote.
New Accounting Pronouncements. The Fund has adopted the provisions of the Financial Accounting
Standards Board (FASB) Interpretation No. 48 (FIN 48), Accounting for Uncertainty in Income Taxes
an interpretation of FASB Statement No.109. As a result, the Fund recognized no liability for
unrecognized tax benefits in connection with the adoption of FIN 48. A reconciliation is not
provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim
additions, reductions or settlements. Tax years 2004 2007 remain subject to examination by the
U.S. and the State of Illinois tax jurisdictions.
In addition, in September 2006, the Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15,
2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Funds financial statements and their disclosures, and its
impact has not yet been determined.
In addition, in March 2008, the Statement of Financial Accounting Standards No. 161, Disclosures
about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for
fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires that
objectives for using derivative instruments be disclosed in terms of underlying risk and accounting
designation. Management is currently evaluating the impact the adoption of SFAS 161 will have on
the Funds financial statements and their disclosures, and its impact has not yet been determined.
NOTE 2 INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC (Calamos Advisors), the
Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed
assets. Calamos Advisors has contractually agreed to waive a portion of its advisory fee charged to
the Fund on the Funds investments in the Calamos Government Money Market Fund (GMMF, an
affiliated fund and a series of Calamos Investments Trust), equal to the advisory fee attributable
to the Funds investment in GMMF, based on daily net assets. For the period ended April 30, 2008,
the total advisory fee waived pursuant to such agreement was $43,013 and is included in the
Statement of Operations under the caption Less expense reduction.
Pursuant to a financial accounting services agreement, the Fund also pays Calamos Advisors a fee
for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1
billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on
combined assets above $2 billion (for purposes of this calculation combined assets means the sum
of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust, and the
total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic
Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return
Fund and Calamos Global Dynamic Income Fund). Managed assets
|
|
|
|
|
22 |
|
Strategic Total Return Fund SEMIANNUAL REPORT
|
|
Notes to Financial Statements |
Notes to Financial Statements (unaudited)
means the funds total assets (including any assets attributable to any outstanding borrowings)
minus total liabilities (other than debt representing borrowings). Financial accounting services
include, but are not limited to, the following: managing expenses and expense payment processing;
monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax
adjustments on all assets; and monitoring trustee deferred compensation plan accruals and
valuations. The Funds pay their pro rata share of the financial accounting services fee to Calamos
Advisors based on their respective assets used in calculating the fee.
The Fund reimburses Calamos Advisors for a portion of compensation paid to the Funds Chief
Compliance Officer. This compensation is reported as part of Trustees fees and officer
compensation expenses on the Statement of Operations.
Certain officers and trustees of the Fund are also officers and directors of Calamos Financial
Services LLC (CFS) and Calamos Advisors. All such officers and affiliated trustees serve without
direct compensation from the Fund, except for the Chief Compliance Officer as described above.
The Fund has adopted a deferred compensation plan (the Plan). Under the Plan, a trustee who is not
an interested person (as defined in the 1940 Act) of the Fund 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
trustees deferral account as of the business day such compensation would have been paid to the
participating trustee. The value of amount deferred for a participating trustee is determined by
reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust
designated by the participant. 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. Deferred
compensation investments of $92,258 is included in Other assets on the Statement of Assets and
Liabilities at April 30, 2008. The Funds obligation to make payments under the Plan is a general
obligation of the Fund and is included in Deferred compensation to Trustees on the Statement of
Assets and Liabilities at April 30, 2008.
NOTE 3 INVESTMENTS
Purchases and sales of investments, other than short-term investments, for the April 30, 2008 were
as follows:
|
|
|
|
|
Purchases |
|
$ |
1,046,968,316 |
|
Proceeds from sales |
|
|
1,196,628,318 |
|
The following information is presented on a federal income tax basis as of April 30, 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 April 30, 2008 was as follows:
|
|
|
|
|
Cost basis of investments |
|
$ |
3,403,306,110 |
|
|
|
|
|
Gross unrealized appreciation |
|
|
239,709,324 |
|
Gross unrealized depreciation |
|
|
(340,790,265 |
) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
$ |
(101,080,941 |
) |
|
|
|
|
NOTE 4 INCOME TAXES
The Fund intends to make monthly distributions from its income available for distribution, which
consists of the Funds dividends and interest income after payment of Fund expenses, and net
realized gains on stock investments. At least annually, the Fund intends to distribute all or
substantially all of its net realized capital gains, if any. Distributions are recorded on the
ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial
reporting basis. Accounting principles generally accepted in the United States of America require
that only distributions in excess of tax basis earnings and profits be reported in the financial
statements as a return of capital. Permanent differences between book and tax accounting relating
to distributions are reclassified to paid-in capital. For tax purposes, distributions from
short-term capital gains are considered to be from ordinary income. Distributions in any year may
|
|
|
|
|
|
|
Notes to Financial Statements |
|
Strategic Total Return Fund SEMIANNUAL REPORT |
|
|
23 |
|
Notes to Financial Statements (unaudited)
include a return of capital component. The tax character of distributions for the period ended
April 30, 2008 will be determined at the end of the Funds current fiscal year.
Distributions during the fiscal year ended October 31, 2007 were characterized for federal income
tax purposes as follows:
|
|
|
|
|
Distributions paid from: |
|
|
|
|
Ordinary income |
|
$ |
205,423,749 |
|
Long-term capital gains |
|
|
32,860,651 |
|
As of October 31, 2007, the components of accumulated
earnings/(loss) on a tax basis were as follows:
|
|
|
|
|
Undistributed ordinary income |
|
$ |
845,208 |
|
Undistributed capital gains |
|
|
34,032,862 |
|
|
|
|
|
Total undistributed earnings |
|
|
34,878,070 |
|
Accumulated capital and other losses |
|
|
|
|
Net unrealized gains/(losses) |
|
|
380,328,231 |
|
|
|
|
|
Total accumulated earnings/(losses) |
|
|
415,206,301 |
|
Other |
|
|
(928,128 |
) |
Paid-in capital |
|
|
2,200,733,859 |
|
|
|
|
|
Net assets applicable to common shareholders |
|
$ |
2,615,012,032 |
|
|
|
|
|
NOTE 5 COMMON SHARES
There are unlimited common shares of beneficial interest authorized and 154,514,000 shares
outstanding at April 30, 2008. Calamos Advisors owned 19,021 of the outstanding shares at April 30,
2008. Transactions in common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
For the Year Ended |
|
|
April 30, 2008 (unaudited) |
|
October 31, 2007 |
|
Beginning shares |
|
|
154,514,000 |
|
|
|
154,514,000 |
|
Shares issued through reinvestment of distribution |
|
|
|
|
|
|
|
|
|
|
|
Ending shares |
|
|
154,514,000 |
|
|
|
154,514,000 |
|
|
|
|
NOTE 6 FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by
entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency
contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated
forward rate. Risks associated with such contracts include, among other things, movement in the
value of the foreign currency relative to 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 when a position is closed or
upon settlement of the contracts. There were no open forward currency contracts at April 30, 2008.
NOTE 7 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.
|
|
|
|
|
24 |
|
Strategic Total Return Fund SEMIANNUAL REPORT
|
|
Notes to Financial Statements |
Notes to Financial Statements (unaudited)
Dividends on the Preferred Shares are cumulative at a rate typically reset every seven days based
on the results of an auction. Dividend rates ranged from 3.90% to 6.20% for the six months ended
April 30, 2008. Under the 1940 Act, the Fund may not declare dividends or make other distributions
on its common shares or purchase any such shares if, at the time of the declaration, distribution
or purchase, asset coverage with respect to the outstanding Preferred Shares would be less than
200%.
If all holders of Preferred Shares who want to sell their shares are unable to do so because there
are insufficient bidders in the auction at rates below the maximum rate as prescribed by the terms
of the security, a failed auction results. When an auction fails, all holders receive the maximum
rate and may be unable to sell their shares at the next auction. The maximum applicable rate on
preferred shares is 150% of the 7-Day LIBOR rate.
During the period February 13, 2008 to April 30, 2008, the auctions Preferred Shares of the Fund
were not successful. As a result, the Preferred Share dividend rates were reset to the maximum
applicable rate which is 150% of the 7-Day LIBOR rate. Failed auctions result not from an event of
default or a credit issue but a liquidity event.
The Preferred Shares are redeemable at the Funds option, in whole or in part, on any dividend
payment date at $25,000 per share plus any accumulated but unpaid dividends. The Preferred Shares
are also subject to mandatory redemption at $25,000 per share plus any accumulated but unpaid
dividends, whether or not declared, if certain requirements relating to the composition of the
assets and liabilities of the Fund as set forth in the Statement of Preferences are not satisfied.
The holders of Preferred Shares have voting rights equal to the holders of common shares (one vote
per share) and will vote together with holders of common shares as a single class except on matters
affecting only the holders of Preferred Shares or only the holders of common shares, when the
respective classes vote alone.
On April 23, 2008, the Funds Board approved the redemption of 35,200 of the 43,200 Preferred
Shares outstanding. Subsequent to April 30, 2008, the shares were redeemed at a price of $25,000
per share plus any accrued and unpaid dividends (an aggregate price of $881,053,363). Such
Preferred Shares were redeemed with proceeds obtained by the Fund through a margin loan provided by
Bank of America N.A. The aggregate financing available under the margin loan is $1,080,000,000 at
the overnight LIBOR (London Inter-bank Offered Rate) plus .70% on amounts borrowed under the margin
loan and .60% on the undrawn balance under the margin loan. Prior to April 30, 2008, the Fund paid
a one time arrangement fee of .25% on the margin loan.
NOTE 8 INTEREST RATE TRANSACTIONS
The Fund may engage in swaps primarily to manage duration and yield curve risk, or as alternatives
to direct investments.
Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the
Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic
amounts of interest to be paid or received on swaps, is reported as unrealized gains or losses in
the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a
periodic payment or termination of the swap agreements. Swap agreements are stated at fair value.
Notional principal amounts are used to express the extent of involvement in these transactions, but
the amounts potentially subject to credit risk are much smaller.
Premiums paid to or by the Fund are accrued daily and included in realized gain (loss) when paid on
swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based
on dealer-supplied valuations and changes in value are recorded as unrealized appreciation
(depreciation). Gains or losses are realized upon early termination of the contract. Risks may
exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes
in the
returns of the underlying instruments, failure of the counterparties to perform under the
contracts terms and the possible lack of liquidity with respect to the contracts.
If the Fund is required to terminate any swap or cap early due to the Fund failing to maintain a
required 200% asset coverage of the liquidation value of the outstanding Preferred Shares or the
Fund loses its credit rating on its Preferred Shares, then the Fund could be required to make a
termination payment, in addition to redeeming all or some of the Preferred Shares.
|
|
|
|
|
|
|
Notes to Financial Statements |
|
Strategic Total Return Fund SEMIANNUAL REPORT |
|
|
25 |
|
Notes to Financial Statements (unaudited)
As of April 30, 2008, the Fund has an outstanding swap agreement as listed below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
Fixed Rate |
|
Floating Rate |
|
Termination |
|
Notional |
|
Appreciation/ |
Counterparty |
|
(Fund Pays) |
|
(Fund Receives) |
|
Date |
|
Amount |
|
(Depreciation) |
|
Citibank, N.A.
|
|
4.34% monthly
|
|
1 month LIBOR
|
|
6/4/2009
|
|
|
200,000,000 |
|
|
|
$(3,073,242 |
) |
NOTE 9 WRITTEN OPTIONS TRANSACTIONS
The Fund may engage in option transactions and in doing so achieve the similar objectives to what
it would achieve through the sale or purchase of individual securities. For the six months ended
April 30, 2008, the Fund had the following transactions in options written:
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
Premiums |
|
|
Contracts |
|
Received |
|
Options outstanding at October 31, 2007 |
|
|
|
|
|
$ |
|
|
Options written |
|
|
155,211 |
|
|
|
53,491,908 |
|
Options closed |
|
|
(94,611 |
) |
|
|
(23,943,362 |
) |
Options expired |
|
|
|
|
|
|
|
|
Options exercised |
|
|
|
|
|
|
|
|
|
|
|
Options outstanding at April 30, 2008 |
|
|
60,600 |
|
|
$ |
29,548,546 |
|
|
|
|
NOTE 10 SECURITIES LENDING
The Fund may loan one or more of their 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 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
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 Funds security lending agent monitors and reports to Calamos Advisors on the
creditworthiness of the firms to which a Fund lends securities. At April 30, 2008, the
Fund had securities valued at $29,859,727 on loan to broker-dealers and banks and $31,184,000 in
cash or cash equivalent collateral.
NOTE 11 SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a synthetic convertible instrument by combining separate securities that
possess the economic characteristics similar to a convertible security, i.e., fixed-income
securities (fixed-income component, which may be a convertible or non-convertible security) and
the right to acquire equity securities (convertible component). The fixed-income component is
achieved by investing in fixed income securities such as bonds, preferred stocks and money market
instruments. The convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In establishing a synthetic
instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible security. Within each
basket of fixed-income securities and warrants or
|
|
|
|
|
26 |
|
Strategic Total Return Fund SEMIANNUAL REPORT
|
|
Notes to Financial Statements |
Notes to Financial Statements (unaudited)
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 12 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. Cash flows
received from these securities are recorded as dividends on the Statement of Operations.
|
|
|
|
|
|
|
Notes to Financial Statements |
|
Strategic Total Return Fund SEMIANNUAL REPORT |
|
|
27 |
|
Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ended |
|
|
|
|
|
|
|
|
|
|
|
|
|
March 26, 2004* |
|
|
April 30, |
|
|
|
|
|
|
|
|
|
|
|
|
|
through |
|
|
(unaudited) |
|
For the Year Ended October 31, |
|
October 31, |
|
|
|
|
|
2008 |
|
2007 |
|
2006 |
|
2005 |
|
2004 |
Net asset value, beginnning of period |
|
$ |
16.92 |
|
|
$ |
15.71 |
|
|
$ |
14.44 |
|
|
$ |
14.23 |
|
|
$ |
14.32 |
(a) |
|
Income from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
|
0.41 |
** |
|
|
0.86 |
** |
|
|
0.89 |
|
|
|
0.93 |
|
|
|
0.51 |
|
|
Net realized and unrealized gain (loss) from investments, written options,
foreign currency and interest rate swaps |
|
|
(2.40 |
) |
|
|
1.89 |
|
|
|
1.86 |
|
|
|
0.48 |
|
|
|
(0.09 |
) |
|
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share equivalent basis) |
|
|
(0.09 |
) |
|
|
(0.32 |
) |
|
|
(0.33 |
) |
|
|
(0.21 |
) |
|
|
(0.06 |
) |
|
Capital gains (common share equivalent basis) |
|
|
(0.08 |
) |
|
|
(0.05 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
(2.16 |
) |
|
|
2.38 |
|
|
|
2.42 |
|
|
|
1.20 |
|
|
|
0.36 |
|
|
Less distributions to common shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.51 |
) |
|
|
(1.01 |
) |
|
|
(0.77 |
) |
|
|
(0.71 |
) |
|
|
(0.37 |
) |
|
Capital gains |
|
|
(0.14 |
) |
|
|
(0.16 |
) |
|
|
(0.38 |
) |
|
|
(0.28 |
) |
|
|
|
|
|
Capital charge resulting from issuance of common and preferred shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.08 |
) |
|
Net asset value, end of period |
|
$ |
14.11 |
|
|
$ |
16.92 |
|
|
$ |
15.71 |
|
|
$ |
14.44 |
|
|
$ |
14.23 |
|
|
Market value, end of period |
|
$ |
12.73 |
|
|
$ |
14.70 |
|
|
$ |
14.91 |
|
|
$ |
13.71 |
|
|
$ |
13.34 |
|
|
Total investment return based on(b): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value |
|
|
(12.37 |
)% |
|
|
16.33 |
% |
|
|
18.03 |
% |
|
|
8.95 |
% |
|
|
2.10 |
% |
|
Market value |
|
|
(9.00 |
)% |
|
|
6.49 |
% |
|
|
17.99 |
% |
|
|
10.35 |
% |
|
|
(8.59 |
)% |
|
Ratios and supplemental data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders, end of period (000s omitted) |
|
$ |
2,179,861 |
|
|
$ |
$2,615,012 |
|
|
$ |
2,427,632 |
|
|
$ |
$2,231,348 |
|
|
$ |
2,199,229 |
|
|
Preferred shares, at redemption value ($25,000 per share liquidation preference) (000s omitted) |
|
$ |
1,080,000 |
|
|
$ |
$1,080,000 |
|
|
$ |
1,080,000 |
|
|
$ |
$1,080,000 |
|
|
$ |
1,080,000 |
|
|
Ratios to average net assets applicable to common shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses(c)(d) |
|
|
1.67 |
% |
|
|
1.61 |
% |
|
|
1.66 |
% |
|
|
1.67 |
% |
|
|
1.61 |
% |
|
Gross expenses(c)(d) |
|
|
1.68 |
% |
|
|
1.62 |
% |
|
|
1.66 |
% |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
Net investment income (loss)(c)(d) |
|
|
5.58 |
% |
|
|
5.30 |
% |
|
|
5.92 |
% |
|
|
6.25 |
% |
|
|
6.27 |
% |
|
Preferred share distributions(c) |
|
|
1.27 |
% |
|
|
1.95 |
% |
|
|
2.18 |
% |
|
|
1.40 |
% |
|
|
0.67 |
% |
|
Net investment income (loss), net of preferred share distributions(c) |
|
|
4.31 |
% |
|
|
3.35 |
% |
|
|
3.74 |
% |
|
|
4.85 |
% |
|
|
5.60 |
% |
|
Portfolio turnover rate |
|
|
33 |
% |
|
|
48 |
% |
|
|
48 |
% |
|
|
71 |
% |
|
|
11 |
% |
|
Average commission rate paid |
|
$ |
0.0502 |
|
|
$ |
0.0283 |
|
|
$ |
0.0342 |
|
|
$ |
0.0381 |
|
|
$ |
0.0197 |
|
|
Asset coverage per preferred share, at end of period(e) |
|
$ |
75,483 |
|
|
$ |
85,552 |
|
|
$ |
81,216 |
|
|
$ |
76,667 |
|
|
$ |
75,916 |
|
|
|
|
|
* |
|
Commencement of operations. |
|
** |
|
Net investment income allocated based on average shares method. |
|
(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 shares 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 Funds dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected. NAV per share is
determined by dividing the value of the Funds portfolio securities, cash and other assets,
less all liabilities, by the total number of common shares outstanding. The common share
market price is the price the market is willing to pay for shares of the Fund at a given time.
Common share market price is influenced by a range of factors, including supply and demand and
market conditions. |
|
(c) |
|
Annualized for periods less than one year. |
|
(d) |
|
Does not reflect the effect of dividend payments to Preferred Shares. |
|
(e) |
|
Calculated by subtracting the Funds total liabilities (not including Preferred Shares) from
the Funds total assets and dividing this by the number of Preferred Shares outstanding. |
|
|
|
|
|
28
|
|
Strategic Total Return Fund |
|
|
|
SEMIANNUAL REPORT
|
|
Financial Highlights |
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, 2008, and the related statements of
operations and changes in net assets and the financial highlights for the semi-annual period then
ended, included in the Funds Form N-CSR filed with the Securities and Exchange Commission. These
interim financial statements and financial highlights are the responsibility of the Funds
management.
We conducted our review in accordance with the 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 the 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.
We have previously audited, in accordance with the standards of the Public Company Accounting
Oversight Board (United States), the statement of changes in net assets of the Fund for the year
ended October 31, 2007 and the financial highlights for each of the three years then ended and for
the period from March 26, 2004 (commencement of operations) through October 31, 2004; and in our
report dated December 14, 2007, we expressed an unqualified opinion on such statement of changes in
net assets and financial highlights.
Chicago, Illinois
June 18, 2008
|
|
|
|
|
|
|
|
|
Strategic Total Return Fund
|
|
|
29 |
|
Report of Independent Registered Public Accounting Firm
|
|
SEMIANNUAL REPORT |
|
|
|
About Closed-End Funds
What is a Closed-End Fund?
A closed-end fund is a publicly traded investment company
that raises its initial investment capital through the
issuance of a fixed number of shares to investors in a
public offering. Shares of a closed-end fund are listed on
a stock exchange or traded in the over-the-counter market.
Like all investment companies, a closed-end fund is
professionally managed and offers investors a unique
investment solution based on its investment objective
approved by the funds Board of Directors.
Potential Advantages of Closed-End Fund Investing
|
|
Defined
Asset Pool Allows Efficient Portfolio
ManagementAlthough closed-end fund shares trade
actively on a securities exchange, this doesnt
affect the closed-end fund manager because there are
no new investors buying into or selling out of the
funds portfolio. |
|
|
More
Flexibility in the Timing and Price of
TradesInvestors can purchase and sell shares of
closed-end funds throughout the trading day, just
like the shares of other publicly traded securities. |
|
|
Closed-End
Structure Makes Sense for Less-Liquid Asset ClassesA
closed-end structure makes sense for investors
considering less-liquid asset classes, such as
high-yield bonds or micro-cap stocks. |
|
|
Ability to
Put Leverage to WorkClosed-end funds may issue
senior securities (such as preferred shares or
debentures) or borrow money to leverage their
investment positions. |
|
|
No Minimum
Investment Requirements |
OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS
|
|
|
Open-End Fund |
|
Closed-End Fund |
Issues new shares on an ongoing basis
|
|
Issues a fixed number of shares |
Issues equity shares
|
|
Can issue senior securities such as preferred shares and bonds |
Sold at NAV plus any sales charge
|
|
Price determined by the marketplace |
Sold through the funds distributor
|
|
Traded in the secondary market |
Fund redeems shares at NAV calculated at
the close of business day
|
|
Fund does not redeem common shares |
|
|
|
|
|
30
|
|
Strategic Total Return Fund |
|
|
|
SEMIANNUAL REPORT
|
|
About Closed-End Funds |
Level Rate Distribution Policy
Using a Level Rate Distribution Policy to Promote
Dependable Income and Total Return
The goal of the level rate distribution policy is to
provide investors a predictable, though not assured, level
of cash flow, which can either serve as a stable income
stream or, through reinvestment, contribute significantly
to long-term total return.
We understand the importance that investors place on the
stability of dividends and their ability to contribute to
long-term total return, which is why we have instituted a
level rate distribution policy for the Fund. Under the
policy, monthly distributions paid may include net
investment income, net realized short-term capital gains
and, if necessary, return of capital. In addition, a
limited number of distributions per calendar year may
include net realized long-term capital gains. There is no
guarantee that the Fund will realize capital gains in any
given year. Distributions are subject to
re-characterization for tax purposes after the end of the
fiscal year. All shareholders with taxable accounts will
receive written notification regarding the components and
tax treatment for distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to
Federal income taxes. For purposes of maintaining the
level rate distribution policy, the Fund may realize
short-term capital gains on securities that, if sold at a
later date, would have resulted in long-term capital
gains. Maintenance of a level rate distribution policy may
increase transaction and tax costs associated with the
Fund.
Automatic Dividend Reinvestment Plan
Maximizing Investment with an Automatic Dividend
Reinvestment Plan
The Automatic Dividend Reinvestment Plan offers a simple,
cost-efficient and convenient way to reinvest your
dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your
investment in the Fund.
Potential Benefits
|
|
Compounded
Growth: By automatically reinvesting with the Plan,
you gain the potential to allow your dividends and
capital gains to compound over time. |
|
|
Potential
for Lower Commission Costs: Additional shares are
purchased in large blocks, with brokerage commissions
shared among all plan participants. There is no cost
to enroll in the Plan. |
|
|
Convenience: After enrollment, the Plan is automatic
and includes detailed statements for participants.
Participants can terminate their enrollment at any
time. |
For additional information about the Plan, please contact
the Plan Agent, The Bank of New York, at 800.432.8224 or
visit us on the web at www.calamos.com/csq.aspx. If you
wish to participate in the Plan and your shares are held
in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your
brokerage firm, bank, or other nominee to request that
they participate in the Plan on your behalf. If your
brokerage firm, bank, or
other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own
name.
Were pleased to provide our shareholders with the
additional benefit of the Funds Dividend Reinvestment
Plan and hope that it may serve your financial plan.
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Strategic Total Return Fund
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Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan
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SEMIANNUAL REPORT |
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The Calamos Investments Advantage
Calamos history is one of performing well for our clients through nearly 30 years of advances and
declines in the market. We use proprietary risk-management strategies designed to control
volatility, and maintain a balance between risk and reward throughout a market cycle.
Disciplined Investment Philosophy and Process
Calamos Investments has developed a proprietary research
and monitoring process that goes far beyond traditional
security analysis. This process applies to each of our
investment strategies, with emphasis varying by strategy.
When combined with the company-specific research and
industry insights of our investment team, the goal is
nimble, dynamic management of a portfolio that allows us
to anticipate and adapt to changing market conditions. In
each of our investment strategies, from the most
conservative to the most aggressive, our goals include
maximizing return while controlling risk, protecting
principal during volatile markets, avoiding short-term
market timing, and maintaining a vigilant long-term
outlook.
Comprehensive Risk Management
Our approach to risk management includes continual
monitoring, adherence to our discipline, and a focus on
assuring a consistent risk profile during all phases of
the market cycle. Incorporating qualitative and
quantitative factors as well as a strong sell discipline,
this risk-control policy seeks to help preserve investors
capital over the long term.
Proven Investment Management Team
The Calamos Family of Funds benefits from our teams
decades of experience in the investment industry. We
follow a one-team, one-process approach that leverages the
expertise of more than 50 investment professionals, led by
Co-Chief Investment Officers John P. Calamos, Sr. and Nick
P. Calamos, whose investment industry experience dates
back to 1970 and 1983, respectively. Through the
collective industry experience and educational
achievements of our research and portfolio staff, we can
respond to the challenges of the market with innovative
and timely ideas.
Sound Proprietary Research
Over the years, we have invested significant time and
resources in developing and refining sophisticated
analytical models that are the foundation of the firms
research capabilities, which we apply in conjunction with
our assessment of broad themes. We believe evolving
domestic policies, the growing global economy, and new
technologies present long-term investment opportunities
for those who can detect them.
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Strategic Total Return Fund |
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SEMIANNUAL REPORT
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The Calamos Investments Advantage |
Calamos Closed-End Funds
Intelligent Asset Allocation in Five Distinct Closed-End Funds
Depending on which Calamos closed-end fund you currently own, you may want to consider one or more
of our other closed-end strategies to further diversify your investment portfolio.
Seek the advice of your financial advisor, who can help you determine your financial goals, risk
tolerance, time horizon and income needs. To learn more, you can also visit our website at
www.calamos.com.
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Fund Asset Allocation as of 4/30/08 |
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Fund Profile |
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Calamos Convertible Opportunities and Income Fund (CHI) |
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Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through
a combination of capital
appreciation and current income by investing in
a diversified portfolio of
convertible securities and below
investment-grade (high-yield) fixed-income
securities. |
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Calamos Convertible and High Income Fund (CHY) |
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Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through
a combination of capital
appreciation and current income by investing in
a diversified portfolio of
convertible securities and below
investment-grade (high-yield) fixed-income
securities. |
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Calamos Global Dynamic Income Fund (CHW) |
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Providing Global Enhanced Fixed Income Potential
Objective: The Fund seeks to generate a high
level of current income with a
secondary objective of capital appreciation.
The Fund has maximum flexibility to
dynamically allocate among equities,
fixed-income securities and alternative
investments around the world. |
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Calamos Strategic Total Return Fund (CSQ) |
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Providing Defensive Equity
Objective: The Fund seeks total return through
a combination of capital
appreciation and current income by investing in
a diversified portfolio of equity,
convertible and below investment-grade
(high-yield) fixed-income securities. |
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Calamos Global Total Return Fund (CGO) |
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Providing Defensive Global Equity
Objective: The Fund seeks total return through
a combination of capital
appreciation and current income by investing in
a diversified portfolio of global
equity, global convertible and below
investment-grade (high-yield) fixed-income
securities. |
Fund asset allocations are based on total investments (excluding security lending collateral) and
may vary over time.
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Strategic Total Return Fund
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Calamos Closed-End Funds
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SEMIANNUAL REPORT |
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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
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT
COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED
PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the
registrants disclosure controls and procedures within 90 days of this filing and have concluded
that the registrants 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 timely.
b) There were no changes in the registrants internal controls over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal
quarter of the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(2)
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.
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Calamos Strategic Total Return Fund |
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By:
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/s/ John P. Calamos, Sr.
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Name: John P. Calamos, Sr. |
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Title: Principal Executive Officer |
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Date: June 24, 2008 |
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By:
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/s/ Nimish S. Bhatt
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Name: Nimish S. Bhatt |
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Title: Principal Financial Officer |
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Date: June 24, 2008 |
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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.
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Calamos Strategic Total Return Fund |
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By:
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/s/ John P. Calamos, Sr.
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Name: John P. Calamos, Sr. |
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Title: Principal Executive Officer |
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Date: June 24, 2008 |
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By:
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/s/ Nimish S. Bhatt
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Name: Nimish S. Bhatt |
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Title: Principal Financial Officer |
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Date: June 24, 2008 |
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