UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21484
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Strategic Total
Return Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: July 31, 2005
CALAMOS STRATEGIC TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CORPORATE BONDS (39.2%)
CONSUMER DISCRETIONARY (10.1%)
$ 4,338,000 Asbury Automotive Group, Inc.^
8.000%, 03/15/14 $ 4,338,000
6,941,000 Aztar Corp.^
7.875%, 06/15/14 7,426,870
9,852,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 10,627,845
4,338,000 Boyd Gaming Corp.
7.750%, 12/15/12 4,663,350
7,375,000 GBP EMI Group, PLC
9.750%, 05/20/08 14,250,344
17,352,000 Goodyear Tire & Rubber
Company^
7.857%, 08/15/11 17,612,280
7,808,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 8,315,520
6,073,000 IMAX Corp.^
9.625%, 12/01/10 6,505,701
8,242,000 Intrawest Corp.
7.500%, 10/15/13 8,530,470
6,602,000 Jarden Corp.
9.750%, 05/01/12 7,105,402
4,338,000 Kellwood Company
7.625%, 10/15/17 4,446,450
6,507,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 6,466,331
Mandalay Resort Group^
18,693,000 10.250%, 08/01/07 20,515,568
5,639,000 7.625%, 07/15/13 6,005,535
11,279,000 Meritage Corp.^
7.000%, 05/01/14 11,448,185
5,206,000 NCL Holding, ASA*
10.625%, 07/15/14 5,570,420
4,338,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,674,195
Pinnacle Entertainment, Inc.
7,808,000 8.250%, 03/15/12 8,256,960
4,464,000 8.750%, 10/01/13^ 4,832,280
8,689,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 8,949,670
5,639,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 4,837,180
8,676,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 7,637,262
11,279,000 Royal Caribbean Cruises,
Ltd.
7.500%, 10/15/27 12,406,900
4,338,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 4,500,675
13,014,000 Standard Pacific Corp.
9.250%, 04/15/12 14,640,750
4,338,000 Vail Resorts, Inc.^
6.750%, 02/15/14 4,457,295
Warner Music Group
16,051,000 7.375%, 04/15/14^ 16,652,913
2,169,000 GBP 8.125%, 04/15/14 3,888,367
---------------
239,562,718
---------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CONSUMER STAPLES (3.5%)
$ 7,375,000 Central Garden & Pet
Company
9.125%, 02/01/13 $ 8,001,875
12,797,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 12,477,075
9,977,000 Del Monte Foods Company
8.625%, 12/15/12 11,024,585
14,749,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 14,693,691
Rayovac Corp.^
20,823,000 7.375%, 02/01/15 20,666,828
5,206,000 8.500%, 10/01/13 5,518,360
5,466,000 Revlon, Inc.^
9.500%, 04/01/11 5,315,685
4,079,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,384,925
---------------
82,083,024
---------------
ENERGY (5.0%)
Chesapeake Energy Corp.^
6,073,000 6.875%, 01/15/16 6,331,102
3,470,000 7.500%, 06/15/14 3,773,625
3,470,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,539,400
12,841,000 Giant Industries, Inc.^
8.000%, 05/15/14 13,547,255
4,338,000 Houston Exploration Company
7.000%, 06/15/13 4,554,900
4,338,000 KCS Energy, Inc.
7.125%, 04/01/12 4,468,140
868,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 930,930
Overseas Shipholding Group, Inc.
2,429,000 7.500%, 02/15/24 2,356,130
2,169,000 8.750%, 12/01/13 2,461,815
Petroleo Brasileiro, SA
14,316,000 9.125%, 07/02/13 16,320,240
13,448,000 8.375%, 12/10/18 14,355,740
Premcor Refining Group, Inc.
6,941,000 7.750%, 02/01/12^ 7,548,338
1,735,000 7.500%, 06/15/15 1,882,475
9,826,000 Swift Energy Company^
9.375%, 05/01/12 10,759,470
6,550,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,697,375
17,352,000 Williams Companies, Inc.
7.750%, 06/15/31 19,781,280
---------------
119,308,215
---------------
FINANCIALS (2.5%)
34,704,000 Dow Jones TRAC-X North
America High Yield Series 4 June
2010 Trust 3*^
8.000%, 06/29/10 35,311,320
13,014,000 Leucadia National Corp.^
7.000%, 08/15/13 13,241,745
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
1
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 9,110,000 Senior Housing Properties Trust
8.625%, 01/15/12 $ 10,271,525
---------------
58,824,590
---------------
HEALTH CARE (4.0%)
1,909,000 Alpharma, Inc. ^
8.625%, 05/01/11 1,909,000
4,338,000 Ameripath, Inc.^
10.500%, 04/01/13 4,413,915
3,167,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,333,267
12,147,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 13,300,965
5,206,000 Leiner Health Products
Group, Inc.
11.000%, 06/01/12 4,997,760
9,544,000 MedCath Corp.^
9.875%, 07/15/12 10,665,420
6,073,000 Psychiatric Solutions, Inc.*
7.750%, 07/15/15 6,224,825
4,338,000 Quintiles Transnational Corp.
10.000%, 10/01/13 4,858,560
16,485,000 Service Corp. International^
6.750%, 04/01/16 17,000,156
15,357,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 15,894,495
11,713,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 12,796,453
---------------
95,394,816
---------------
INDUSTRIALS (3.8%)
4,772,000 Accuride Corp.
8.500%, 02/01/15 4,974,810
5,770,000 American Airlines, Inc.^
7.250%, 02/05/09 5,495,925
2,603,000 Armor Holdings, Inc.^
8.250%, 08/15/13 2,830,762
14,316,000 CNH Global, NV^
9.250%, 08/01/11 15,568,650
11,713,000 Cummins, Inc.^
9.500%, 12/01/10 12,972,148
4,338,000 Gardner Denver, Inc.*^
8.000%, 05/01/13 4,598,280
8,242,000 General Cable Corp.
9.500%, 11/15/10 8,612,890
4,338,000 Greenbrier Companies, Inc.*
8.375%, 05/15/15 4,544,055
8,676,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 9,586,980
3,258,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,697,830
4,338,000 Monitronics International, Inc.
11.750%, 09/01/10 4,544,055
5,206,000 Navistar International Corp.^
7.500%, 06/15/11 5,401,225
2,603,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,837,270
4,338,000 Sequa Corp.
8.875%, 04/01/08 4,717,575
---------------
90,382,455
---------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (3.5%)
$20,823,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 $ 21,187,402
7,375,000 Celestica, Inc.^
7.875%, 07/01/11 7,633,125
4,338,000 Freescale Semiconductor, Inc.^
7.125%, 07/15/14 4,641,660
Iron Mountain, Inc.
9,544,000 6.625%, 01/01/16 9,138,380
2,169,000 GBP 7.250%, 04/15/14* 3,611,988
Lucent Technologies, Inc.
11,019,000 6.500%, 01/15/28 9,944,648
5,661,000 6.450%, 03/15/29^ 5,123,205
4,338,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 4,403,070
4,338,000 SunGard Data Systems Inc.*=\=
9.125%, 08/15/13 4,500,675
13,014,000 Telcordia Technologies*
10.000%, 03/15/13 12,688,650
---------------
82,872,803
---------------
MATERIALS (4.2%)
10,845,000 Aleris International, Inc.
10.375%, 10/15/10 12,010,837
10,411,000 Arch Western Finance, LLC
6.750%, 07/01/13 10,749,357
2,603,000 Century Aluminum Company^
7.500%, 08/15/14 2,681,090
13,647,000 Freeport-McMoRan Copper &
Gold, Inc.^
10.125%, 02/01/10 15,216,405
8,242,000 Georgia-Pacific Corp.
7.375%, 12/01/25 8,983,780
8,676,000 IPSCO, Inc.
8.750%, 06/01/13 9,738,810
7,158,000 Novelis, Inc.*
7.250%, 02/15/15 7,354,845
Steel Dynamics, Inc.
7,080,000 9.500%, 03/15/09^ 7,593,300
295,000 9.500%, 03/15/09 316,388
6,941,000 U.S. Concrete, Inc.^
8.375%, 04/01/14 6,698,065
Union Carbide Corp.
9,500,000 7.875%, 04/01/23^ 10,561,958
7,505,000 7.500%, 06/01/25 8,131,135
---------------
100,035,970
---------------
TELECOMMUNICATION SERVICES (2.0%)
Alamosa Holdings, Inc.^
11,279,000 8.500%, 01/31/12 12,265,912
4,338,000 11.000%, 07/31/10 4,967,010
19,087,000 AT&T Corp.
9.750%, 11/15/31 24,813,100
3,904,000 IPCS Escrow Company
11.500%, 05/01/12 4,450,560
---------------
46,496,582
---------------
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
2
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
UTILITIES (0.6%)
$ 5,206,000 Calpine Corp.^
8.500%, 02/15/11 $ 3,644,200
10,411,000 Edison International^
7.730%, 06/15/09 11,035,660
---------------
14,679,860
---------------
TOTAL CORPORATE BONDS
(Cost $903,594,898) 929,641,033
---------------
CONVERTIBLE BONDS (9.4%)
CONSUMER DISCRETIONARY (1.9%)
7,000,000 General Motors Corp.+
6.250%, 07/15/33 6,297,200
4,462,000 Lions Gate Entertainment Corp.^
3.625%, 03/15/25 4,551,240
32,000,000 Walt Disney Company^
2.125%, 04/15/23 33,120,000
---------------
43,968,440
---------------
ENERGY (1.3%)
10,500,000 Cal Dive International, Inc.*^
3.250%, 12/15/25 12,468,750
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 19,034,517
---------------
31,503,267
---------------
FINANCIALS (1.2%)
8,700,000 Host Marriott Corp.*^
3.250%, 04/15/24 10,179,000
750,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 18,007,500
---------------
28,186,500
---------------
INDUSTRIALS (1.4%)
9,000,000 GATX Corp.
7.500%, 02/01/07 11,070,000
16,000,000 Lockheed Martin Corp.^++
3.018%, 08/15/33 17,003,040
4,500,000 Quanta Services, Inc.
4.500%, 10/01/23 5,073,750
---------------
33,146,790
---------------
INFORMATION TECHNOLOGY (1.5%)
16,500,000 Advanced Micro Devices, Inc.^++
4.750%, 02/01/22 17,448,750
14,500,000 DST Systems, Inc.^
4.125%, 08/15/23 17,363,750
---------------
34,812,500
---------------
MATERIALS (0.6%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.
7.000%, 02/11/11 15,354,500
---------------
UTILITIES (1.5%)
14,000,000 Centerpoint Energy, Inc.
3.750%, 05/15/23 17,500,000
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 8,750,000 GBP Scottish and Southern
Energy, PLC
3.750%, 10/29/09 $ 17,301,079
---------------
34,801,079
---------------
TOTAL CONVERTIBLE BONDS
(Cost $219,234,801) 221,773,076
---------------
SYNTHETIC CONVERTIBLE SECURITIES (7.0%)
CORPORATE BONDS (6.0%)
CONSUMER DISCRETIONARY (1.5%)
662,000 Asbury Automotive Group, Inc.^
8.000%, 03/15/14 662,000
1,059,000 Aztar Corp.^
7.875%, 06/15/14 1,133,130
1,503,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,621,361
662,000 Boyd Gaming Corp.
7.750%, 12/15/12 711,650
1,125,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,173,781
2,648,000 Goodyear Tire & Rubber Company^
7.857%, 08/15/11 2,687,720
1,192,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 1,269,480
927,000 IMAX Corp.^
9.625%, 12/01/10 993,049
1,258,000 Intrawest Corp.
7.500%, 10/15/13 1,302,030
1,007,000 Jarden Corp.
9.750%, 05/01/12 1,083,784
662,000 Kellwood Company
7.625%, 10/15/17 678,550
993,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 986,794
Mandalay Resort Group^
2,852,000 10.250%, 08/01/07 3,130,070
861,000 7.625%, 07/15/13 916,965
1,721,000 Meritage Corp.^
7.000%, 05/01/14 1,746,815
794,000 NCL Holding, ASA*
10.625%, 07/15/14 849,580
662,000 Oxford Industries, Inc.
8.875%, 06/01/11 713,305
Pinnacle Entertainment, Inc.
1,192,000 8.250%, 03/15/12 1,260,540
681,000 8.750%, 10/01/13^ 737,182
1,326,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 1,365,780
861,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 738,573
1,324,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 1,165,483
1,721,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 1,893,100
662,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 686,825
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
3
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 1,986,000 Standard Pacific Corp.
9.250%, 04/15/12 $ 2,234,250
662,000 Vail Resorts, Inc.^
6.750%, 02/15/14 680,205
Warner Music Group
2,449,000 7.375%, 04/15/14^ 2,540,838
331,000 GBP 8.125%, 04/15/14 593,384
---------------
36,556,224
---------------
CONSUMER STAPLES (0.5%)
1,125,000 Central Garden & Pet
Company
9.125%, 02/01/13 1,220,625
1,953,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 1,904,175
1,523,000 Del Monte Foods Company
8.625%, 12/15/12 1,682,915
2,251,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 2,242,559
Rayovac Corp.^
3,177,000 7.375%, 02/01/15 3,153,172
794,000 8.500%, 10/01/13 841,640
834,000 Revlon, Inc.^
9.500%, 04/01/11 811,065
623,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 669,725
---------------
12,525,876
---------------
ENERGY (0.8%)
Chesapeake Energy Corp.^
927,000 6.875%, 01/15/16 966,397
530,000 7.500%, 06/15/14 576,375
530,000 Comstock Resources, Inc.
6.875%, 03/01/12 540,600
1,959,000 Giant Industries, Inc.^
8.000%, 05/15/14 2,066,745
662,000 Houston Exploration Company
7.000%, 06/15/13 695,100
662,000 KCS Energy, Inc.
7.125%, 04/01/12 681,860
132,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 141,570
Overseas Shipholding Group, Inc.
371,000 7.500%, 02/15/24 359,870
331,000 8.750%, 12/01/13 375,685
Petroleo Brasileiro, SA
2,184,000 9.125%, 07/02/13 2,489,760
2,052,000 8.375%, 12/10/18 2,190,510
Premcor Refining Group, Inc.
1,059,000 7.750%, 02/01/12^ 1,151,663
265,000 7.500%, 06/15/15 287,525
1,499,000 Swift Energy Company^
9.375%, 05/01/12 1,641,405
1,000,000 Whiting Petroleum Corp.
7.250%, 05/01/12 1,022,500
2,648,000 Williams Companies, Inc.
7.750%, 06/15/31 3,018,720
---------------
18,206,285
---------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
FINANCIALS (0.4%)
$ 5,296,000 Dow Jones TRAC-X North
America High Yield Series 4 June 2010
Trust 3*^
8.000%, 06/29/10 $ 5,388,680
1,986,000 Leucadia National Corp.^
7.000%, 08/15/13 2,020,755
1,390,000 Senior Housing Properties Trust
8.625%, 01/15/12 1,567,225
---------------
8,976,660
---------------
HEALTH CARE (0.6%)
291,000 Alpharma, Inc. ^
8.625%, 05/01/11 291,000
662,000 Ameripath, Inc.^
10.500%, 04/01/13 673,585
483,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 508,357
1,853,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 2,029,035
794,000 Leiner Health Products
Group, Inc.
11.000%, 06/01/12 762,240
1,456,000 MedCath Corp.^
9.875%, 07/15/12 1,627,080
927,000 Psychiatric Solutions, Inc.*
7.750%, 07/15/15 950,175
662,000 Quintiles Transnational Corp.
10.000%, 10/01/13 741,440
2,515,000 Service Corp. International^
6.750%, 04/01/16 2,593,594
2,343,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 2,425,005
1,787,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 1,952,298
---------------
14,553,809
---------------
INDUSTRIALS (0.6%)
728,000 Accuride Corp.
8.500%, 02/01/15 758,940
880,000 American Airlines, Inc.^
7.250%, 02/05/09 838,200
397,000 Armor Holdings, Inc.^
8.250%, 08/15/13 431,737
2,184,000 CNH Global, NV^
9.250%, 08/01/11 2,375,100
1,787,000 Cummins, Inc.^
9.500%, 12/01/10 1,979,103
662,000 Gardner Denver, Inc.*^
8.000%, 05/01/13 701,720
1,258,000 General Cable Corp.
9.500%, 11/15/10 1,314,610
662,000 Greenbrier Companies, Inc.*
8.375%, 05/15/15 693,445
1,324,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 1,463,020
497,000 Manitowoc Company, Inc.
10.500%, 08/01/12 564,095
662,000 Monitronics International, Inc.
11.750%, 09/01/10 693,445
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
4
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 794,000 Navistar International Corp.^
7.500%, 06/15/11 $ 823,775
397,000 Orbital Sciences Corp.
9.000%, 07/15/11 432,730
662,000 Sequa Corp.
8.875%, 04/01/08 719,925
---------------
13,789,845
---------------
INFORMATION TECHNOLOGY (0.5%)
3,177,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 3,232,597
1,125,000 Celestica, Inc.^
7.875%, 07/01/11 1,164,375
662,000 Freescale Semiconductor, Inc.^
7.125%, 07/15/14 708,340
Iron Mountain, Inc.
1,456,000 6.625%, 01/01/16 1,394,120
331,000 GBP 7.250%, 04/15/14* 551,207
Lucent Technologies, Inc.
1,681,000 6.500%, 01/15/28 1,517,103
864,000 6.450%, 03/15/29^ 781,920
662,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 671,930
662,000 SunGard Data Systems Inc.*=\=
9.125%, 08/15/13 686,825
1,986,000 Telcordia Technologies*
10.000%, 03/15/13 1,936,350
---------------
12,644,767
---------------
MATERIALS (0.7%)
1,655,000 Aleris International, Inc.
10.375%, 10/15/10 1,832,912
1,589,000 Arch Western Finance, LLC
6.750%, 07/01/13 1,640,643
397,000 Century Aluminum Company^
7.500%, 08/15/14 408,910
2,083,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 2,322,545
1,258,000 Georgia-Pacific Corp.
7.375%, 12/01/25 1,371,220
1,324,000 IPSCO, Inc.
8.750%, 06/01/13 1,486,190
1,092,000 Novelis, Inc.*
7.250%, 02/15/15 1,122,030
Steel Dynamics, Inc.
1,080,000 9.500%, 03/15/09^ 1,158,300
45,000 9.500%, 03/15/09 48,263
1,059,000 U.S. Concrete, Inc.^
8.375%, 04/01/14 1,021,935
Union Carbide Corp.
1,450,000 7.875%, 04/01/23^ 1,612,088
1,145,000 7.500%, 06/01/25 1,240,526
---------------
15,265,562
---------------
TELECOMMUNICATION SERVICES (0.3%)
Alamosa Holdings, Inc.^
1,721,000 8.500%, 01/31/12 1,871,587
662,000 11.000%, 07/31/10 757,990
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 2,913,000 AT&T Corp.
9.750%, 11/15/31 $ 3,786,900
596,000 IPCS Escrow Company
11.500%, 05/01/12 679,440
---------------
7,095,917
---------------
UTILITIES (0.1%)
794,000 Calpine Corp.^
8.500%, 02/15/11 555,800
1,589,000 Edison International^
7.730%, 06/15/09 1,684,340
---------------
2,240,140
---------------
TOTAL CORPORATE BONDS 141,855,085
---------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
OPTIONS (1.0%)
CONSUMER DISCRETIONARY (0.5%)
1,600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 1,168,000
7,450 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 5,662,000
6,000 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 4,710,000
---------------
11,540,000
---------------
CONSUMER STAPLES (0.1%)
3,000 Altria Group, Inc.#
Call, 01/20/07, Strike 65.00 2,220,000
---------------
ENERGY (0.2%)
750 Amerada Hess Corp.#
Call, 01/20/07, Strike 100.00 2,193,750
3,800 Chevrontexaco Corp.#
Call, 01/20/07, Strike 60.00 2,090,000
---------------
4,283,750
---------------
FINANCIALS (0.0%)
1,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 1,470,000
---------------
INFORMATION TECHNOLOGY (0.2%)
4,800 Apple Computer, Inc.#
Call, 01/20/07, Strike 37.50 5,520,000
---------------
TOTAL OPTIONS 25,033,750
---------------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $159,256,380) 166,888,835
---------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (23.0%)
CONSUMER DISCRETIONARY (4.1%)
2,325,000 Ford Motor Company Capital
Trust II
6.500% 96,975,750
---------------
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
5
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
CONSUMER STAPLES (1.1%)
1,105,000 Albertson's, Inc.
7.250% $ 25,138,750
---------------
ENERGY (1.6%)
110,000 Amerada Hess Corp.
7.000% 11,193,600
210,700 Chesapeake Energy Corp.*
5.000% 26,495,525
---------------
37,689,125
---------------
FINANCIALS (10.4%)
1,325,000 Chubb Corp.
7.000% 42,890,250
27,600,000 Fortis, NV (Assurant)*
7.750% 30,739,500
650,000 Genworth Financial, Inc.
6.000% 22,789,000
515,000 Hartford Financial
Services Group, Inc.
7.000% 37,692,850
725,000 Lazard, Ltd.
6.625% 17,813,250
1,250,000 Lehman Brothers Holdings, Inc.
6.250% 32,312,500
460,000 Merrill Lynch & Company, Inc.
6.750% 16,980,440
675,000 Metlife, Inc.
6.375% 18,677,250
470,000 National Australia Bank, Ltd.
7.875% 18,494,500
35,000 State Street Corp.
6.750% 7,770,000
---------------
246,159,540
---------------
HEALTH CARE (3.0%)
635,000 Baxter International, Inc.
7.000% 35,763,200
639,000 Schering-Plough Corp.
6.000% 34,953,300
---------------
70,716,500
---------------
INDUSTRIALS (0.7%)
6,500,000 GBP BAE Systems, PLC
7.750% 17,526,435
---------------
INFORMATION TECHNOLOGY (1.2%)
255,000 Xerox Corp.
6.250% 29,427,000
---------------
UTILITIES (0.9%)
Southern Union Company
200,000 5.000% 10,130,000
150,000 5.750% 11,145,000
---------------
21,275,000
---------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $542,962,396) 544,908,100
---------------
COMMON STOCKS (63.3%)
CONSUMER DISCRETIONARY (3.1%)
577,000 General Motors Corp.^ 21,245,140
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
731,000 May Department Stores Company $ 30,007,550
490,000 Maytag Corp.^ 8,266,300
300,000 Reader's Digest Association, Inc.^ 4,872,000
375,000 Tupperware Corporation^ 7,998,750
---------------
72,389,740
---------------
CONSUMER STAPLES (3.0%)
320,000 Altria Group, Inc.^ 21,427,200
420,000 Reynolds American, Inc.^ 34,990,200
696,200 Sara Lee Corp. 13,875,266
---------------
70,292,666
---------------
ENERGY (9.5%)
1,040,000 Chevrontexaco Corp. 60,330,400
732,000 ConocoPhillips 45,815,880
300,000 General Maritime Corp.^ 11,697,000
455,000 Kerr-Mcgee Corp.^ 36,495,550
325,000 Marathon Oil Corporation 18,967,000
360,000 EUR OMV, AG 16,764,366
395,000 PetroChina Company, Ltd.^ 35,245,850
---------------
225,316,046
---------------
FINANCIALS (15.8%)
732,900 Allstate Corp. 44,897,454
980,000 Bank of America Corp. 42,728,000
1,372,000 Citigroup, Inc. 59,682,000
477,000 Federal National Mortgage Association 26,645,220
568,700 General Growth Properties, Inc.^ 26,148,826
176,000 Jefferson-Pilot Corp. 8,829,920
559,600 Mills Corp.^ 36,407,576
1,395,100 New York Community Bancorp, Inc.^ 25,614,036
2,428,000 Washington Mutual, Inc. 103,141,440
---------------
374,094,472
---------------
HEALTH CARE (11.7%)
4,146,000 Bristol-Myers Squibb Company^ 103,567,080
1,300,000 Johnson & Johnson 83,148,000
1,755,000 Merck & Company, Inc.^ 54,510,300
1,407,000 Pfizer, Inc. 37,285,500
---------------
278,510,880
---------------
INDUSTRIALS (6.3%)
630,000 Caterpillar, Inc.<> 33,963,300
819,000 General Electric Company 28,255,500
450,000 Masco Corp.^ 15,259,500
350,000 R.R. Donnelley & Sons Company^ 12,617,500
870,000 Raytheon Company 34,217,100
920,000 Waste Management, Inc. 25,870,400
---------------
150,183,300
---------------
INFORMATION TECHNOLOGY (3.3%)
1,382,000 Intel Corp. 37,507,480
650,000 Microsoft Corp. 16,646,500
1,500,000 Nokia Corp. 23,925,000
---------------
78,078,980
---------------
MATERIALS (1.2%)
215,000 Bemis Company, Inc. 5,805,000
400,000 Lubrizol Corp. 17,600,000
270,000 RPM International, Inc.^ 5,062,500
---------------
28,467,500
---------------
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
6
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES (9.4%)
900,000 CAD BCE Inc. $ 21,800,580
1,850,000 Bellsouth Corp.^ 51,060,000
3,071,000 SBC Communications, Inc.^ 75,085,950
1,465,000 Sprint Corp.^ 39,408,500
1,039,000 Verizon Communications, Inc. 35,564,970
---------------
222,920,000
---------------
TOTAL COMMON STOCKS
(Cost $1,434,513,539) 1,500,253,584
---------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.3%)
$ 9,057,000 Citigroup, Inc.
3.190%, 08/01/05 9,057,000
45,000,000 UBS Finance, Inc.
3.190%, 08/01/05 45,000,000
----------------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $54,057,000) 54,057,000
---------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (21.8%)
516,733,485 Bank of New York Institutional
Cash Reserve Fund
current rate 3.400%
(Cost $516,733,485) 516,733,485
---------------
TOTAL INVESTMENTS (166.0%)
(Cost $3,830,352,499) 3,934,255,113
---------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
WRITTEN OPTION (-0.1%)
2,342 Caterpillar, Inc.#
Call, 08/20/05, Strike 47.50
(Premium Received $390,968) (1,522,300)
---------------
PAYABLE UPON RETURN OF
SECURITIES ON LOAN (-21.8%) (516,733,485)
---------------
OTHER ASSETS, LESS LIABILITIES (1.5%) 34,448,653
---------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-45.6%) (1,080,455,366)
---------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 2,369,992,615
---------------
NOTES TO SCHEDULE OF INVESTMENTS
NOTE: VALUES FOR SECURITIES DENOMINATED IN FOREIGN
CURRENCIES ARE SHOWN IN U.S. DOLLARS.
* 144A SECURITIES ARE THOSE THAT ARE EXEMPT FROM REGISTRATION UNDER RULE
144A OF THE SECURITIES ACT OF 1933, AS AMENDED. THESE SECURITIES ARE
GENERALLY ISSUED TO QUALIFIED INSTITUTIONAL BUYERS ("QIBS"), SUCH AS THE
FUND. ANY RESALE OF THESE SECURITIES MUST GENERALLY BE EFFECTED THROUGH A
SALE THAT IS EXEMPT FROM REGISTRATION (E.G. A SALE TO ANOTHER QIB), OR THE
SECURITY MUST BE REGISTERED FOR PUBLIC SALE. AT JULY 31, 2005, THE MARKET
VALUE OF 144A SECURITIES THAT COULD NOT BE EXCHANGED TO THE REGISTERED
FORM WAS $195,487,345 OR 8.2% OF NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS OF THE FUND.
^ SECURITY, OR PORTION OF SECURITY, IS ON LOAN.
# NON-INCOME PRODUCING SECURITY.
+ SECURITY IS PURCHASED AT A PRICE THAT TAKES INTO ACCOUNT THE VALUE, IF
ANY, OF ACCRUED BUT UNPAID INTEREST.
++ VARIABLE RATE SECURITY. THE INTEREST RATE SHOWN IS THE RATE IN EFFECT AT
JULY 31, 2005.
<> SECURITY POSITION IS HELD IN A SEGREGATED ACCOUNT AS COLLATERAL FOR
WRITTEN OPTIONS AGGREGATING A TOTAL MARKET VALUE OF $12,625,722.
=\= WHEN-ISSUED SECURITY. TO BE DELIVERED/SETTLED AFTER JULY 31, 2005.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
7
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities that are traded on a securities exchange in the United States, except
an option security, are valued at the last reported sale price as of the time of
valuation, or lacking any current reported sale at the time of valuation, at the
mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for such option security,
such security is valued at the mid-point of the consolidated bid/ask quote for
the option security. Each security traded in the over-the-counter market and
quoted on the NASDAQ National Market System, is valued at the Nasdaq Official
Closing Price ("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last
current reported sale price as of the time of valuation by Nasdaq, or lacking
any current reported sale on Nasdaq at the time of valuation, at the mean
between the most recent bid and asked quotations. Each over-the-counter option
that is not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic
fair valuation model provided by an independent pricing system. The Fund may
also use fair value pricing if the value of a security it holds is, pursuant to
Board of Trustees' guidelines, materially affected by events occurring before
the Fund's pricing time but after the close of the primary market or exchange
on which the security is traded. These procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various
relationships between securities that are generally recognized by institutional
traders, a computerized matrix system, or appraisals derived from information
concerning the securities or similar securities received from recognized
dealers in those securities. When fair value pricing is employed, the value of
the portfolio security used to calculate the Fund's net asset value may differ
from quoted or official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these securities may not take place on every NYSE
business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's
net asset value is not calculated. As stated above, if the market prices are
not readily available or are not reflective of the fair value of the security,
the security will be priced at a fair value following procedures approved by
the Board of Trustees. In light of the judgment involved in fair value
decisions, there can be no assurance that a fair value assigned to a particular
security is accurate.
-------------------------------------------------------------------------------
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade
date plus one basis, except for fiscal quarter ends, which are recorded on
trade date.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued
by a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, 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 investments. 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.
WHEN-ISSUED/DELAYED-DELIVERY TRANSACTIONS. The Funds may purchase or sell
securities on a when-issued or delayed-delivery basis. The transactions involve
a commitment to purchase or sell securities for a predetermined price or yield,
with payment and delivery taking place beyond July 31, 2005.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as
of July 31, 2005. Differences between amounts for financial statements and
Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at July 31, 2005
was as follows:
Cost basis of investments $3,838,889,061
==============
Gross unrealized appreciation 240,185,242
Gross unrealized depreciation (144,819,190)
------------
Net unrealized appreciation (depreciation) $ 95,366,052
=============
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess economic
characteristics similar to a convertible
-------------------------------------------------------------------------------
security, i.e., an income component and the right or obligation to convert to an
equity security ("convertible component"). The income component is achieved by
investing in non-convertible, fixed income securities such as bonds, preferred
stocks, money market instruments, and other instruments that provide an income
component. The convertible component is achieved by investing in warrants or
options to buy common stock at a certain exercise price, or options on a stock
index. In establishing a synthetic instrument, the Fund may pool a basket of
fixed-income securities and a basket of warrants or options that produce the
economic characteristics similar to a convertible security. Within each basket
of fixed-income securities and warrants or options, different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
The Fund may purchase synthetic 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.
Different companies may issue the fixed-income and convertible components,
which may be purchased separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative
Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have
rights as determined by the Board of Trustees. The 43,200 shares of Preferred
Shares outstanding consist of seven series, 7,040 shares of M, 7,040 shares of
TU, 7,040 shares of W, 7,040 shares of TH, 7,040 shares of F, 4,000 shares of
A, and 4,000 shares of B. The Preferred Shares have a liquidation value of
$25,000 per share plus any accumulated but unpaid dividends whether or not
declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset
every seven or twenty-eight days based on the results of an auction. Dividend
rates ranged from 1.81% to 3.61% for the nine months ended July 31, 2005. Under
the Investment Company Act of 1940, the Fund may not declare dividends or make
other distributions on shares of common stock 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%.
The Preferred Shares are redeemable at the option of the Fund, 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 stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 5
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to
-------------------------------------------------------------------------------
an interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, 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. Details of the
swap agreements outstanding as of July 31, 2005 were as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
--------------------------------------------------------------------------------------------------
Citibank NA June 4, 2006 $150,000 3.04% 1month LIBOR $ 1,281,744
Citibank NA February 4, 2007 150,000 3.68% 1month LIBOR 1,118,046
Citibank NA June 4, 2007 150,000 3.61% 1month LIBOR 1,745,195
Citibank NA February 4, 2008 150,000 3.88% 1month LIBOR 1,611,177
Citibank NA June 4, 2009 200,000 4.34% 1month LIBOR 385,904
Citibank NA February 4, 2010 200,000 4.14% 1month LIBOR 2,501,360
-----------
$ 8,643,426
NOTE 6
SECURITIES LENDING. During the period ended July 31, 2005, the Fund lent
certain of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the
interest or dividends paid by the issuer on the securities loaned and also
receives an additional return that may be in the form of a fixed fee or a
percentage of the collateral. The Fund may pay reasonable fees to persons
unaffiliated with the Fund for services in arranging these loans. The Fund has
the right to call the loan and obtain the securities loaned at any time on
notice of not more than five business days. The Fund does not have the right to
vote the securities during the existence of the loan but could call the loan in
an attempt to permit voting of the securities in certain circumstances. Upon
return of the securities loaned, the cash or cash equivalent collateral will be
returned to the borrower. In the event of bankruptcy or other default of the
borrower, the Fund could experience both delays in liquidating the loan
collateral or recovering the loaned securities and losses, including (a)
possible decline in the value of the collateral or in the value of the
securities loaned during the period while the Fund seeks to enforce its rights
thereto, (b) possible subnormal levels of income and lack of access to income
during this period, and (c) the expenses of enforcing its rights. In an effort
to reduce these risks, Calamos Advisors LLC and the security lending agent will
monitor the creditworthiness of the firms to which the Fund lends securities.
At July 31, 2005, the Fund had securities valued at $504,241,312 that were on
loan to broker-dealers and banks and $516,733,485 in cash or cash equivalent
collateral.
--------------------------------------------------------------------------------
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, John P. Calamos, Sr., certify that:
1. I have reviewed this report on Form N-Q of Calamos Strategic Total Return
Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report,
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting
principles;
c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such
evaluation; and
d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting
which are reasonably likely to adversely affect the registrant's
ability to record, process, summarize, and report financial
information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: September 28, 2005
/s/ John P. Calamos, Sr.
-------------------------------
Principal Executive Officer
(b) Certification of Principal Financial Officer.
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Patrick H. Dudasik, certify that:
1. I have reviewed this report on Form N-Q of Calamos Strategic Total Return
Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report,
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting
principles;
c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such
evaluation; and
d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting
which are reasonably likely to adversely affect the registrant's
ability to record, process, summarize, and report financial
information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: September 28, 2005
/s/ Patrick H. Dudasik
-------------------------------
Principal Financial Officer
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 28, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 28, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 28, 2005