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: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through January 31, 2005
STRATEGIC TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
CORPORATE BONDS (45.3%)
CONSUMER DISCRETIONARY (11.8%)
$ 4,352,000 Accuride Corp.(a)
8.500%, 02/01/15 $ 4,504,320
3,956,000 Asbury Automotive
Group, Inc.(b)
8.000%, 03/15/14 3,985,670
6,330,000 Aztar Corp.(b)
7.875%, 06/15/14 6,994,650
8,984,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,904,860
3,956,000 Boyd Gaming Corp.(b)
7.750%, 12/15/12 4,272,480
Charter Communications, Inc.(b)
10,286,000 10.000%, 04/01/09 8,717,385
8,743,000 9.625%, 11/15/09 7,169,260
7,912,000 11.125%, 01/15/11 6,725,200
6,725,000 GBP EMI Group, PLC
9.750%, 05/20/08 13,938,246
15,825,000 Goodyear Tire & Rubber
Company(b)
7.857%, 08/15/11 16,062,375
7,121,000 Hovnanian Enterprises, Inc.(b)
7.750%, 05/15/13 7,744,087
5,539,000 IMAX Corp.(b)
9.625%, 12/01/10 6,023,662
Intrawest Corp.
6,725,000 7.500%, 10/15/13 7,094,875
791,000 7.500%, 10/15/13(a) 834,505
6,020,000 Jarden Corp.
9.750%, 05/01/12 6,591,900
3,956,000 Kellwood Company
7.625%, 10/15/17 4,351,600
5,934,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 5,815,320
Mandalay Resort Group
17,047,000 10.250%, 08/01/07 19,348,345
5,143,000 7.625%, 07/15/13(b) 5,631,585
10,286,000 Meritage Corp.(b)
7.000%, 05/01/14 10,697,440
4,747,000 NCL Holding, ASA(a)
10.625%, 07/15/14 4,794,470
3,956,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,232,920
Pinnacle Entertainment, Inc.(b)
7,121,000 8.250%, 03/15/12 7,619,470
4,071,000 8.750%, 10/01/13 4,427,213
7,924,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 8,379,630
5,143,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 4,295,332
7,912,000 CAD Rogers Wireless
Communications, Inc.(a)
7.625%, 12/15/11 6,671,715
10,286,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 11,391,745
6,725,000 Spanish Broadcasting
Systems, Inc.
9.625%, 11/01/09 7,078,063
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 3,956,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 $ 4,143,910
11,868,000 Standard Pacific Corp.(b)
9.250%, 04/15/12 13,826,220
5,143,000 Steinway Musical
Instruments, Inc.
8.750%, 04/15/11 5,554,440
6,725,000 Stoneridge, Inc.(b)
11.500%, 05/01/12 7,767,375
3,956,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,010,395
Warner Music Group(a)
14,638,000 7.375%, 04/15/14 15,369,900
1,978,000 GBP 8.125%, 04/15/14 3,870,604
------------
269,841,167
------------
CONSUMER STAPLES (3.1%)
6,725,000 Central Garden & Pet Company
9.125%, 02/01/13 7,414,312
11,671,000 Chiquita Brands
International, Inc.(a)
7.500%, 11/01/14 11,904,420
9,099,000 Del Monte Foods Company
8.625%, 12/15/12 10,156,759
13,451,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 13,484,627
Rayovac Corp.
18,990,000 7.375%, 02/01/15(a) 19,251,113
4,747,000 8.500%, 10/01/13 5,114,893
3,720,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,115,250
------------
71,441,374
------------
ENERGY (5.1%)
Chesapeake Energy Corp.
5,539,000 6.875%, 01/15/16 5,788,255
3,165,000 7.500%, 06/15/14(b) 3,465,675
3,165,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,244,125
11,710,000 Giant Industries, Inc.(b)
8.000%, 05/15/14 12,163,762
3,956,000 Houston Exploration Company
7.000%, 06/15/13 4,173,580
3,956,000 KCS Energy, Inc.
7.125%, 04/01/12 4,163,690
791,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 858,235
Overseas Shipholding Group, Inc.
6,330,000 7.500%, 02/15/24 6,424,950
1,582,000 8.750%, 12/01/13 1,795,570
Petroleo Brasileiro, SA(b)
13,055,000 9.125%, 07/02/13 14,654,238
12,264,000 8.375%, 12/10/18 12,907,860
Premcor Refining Group, Inc.
6,330,000 7.750%, 02/01/12(b) 6,915,525
5,539,000 7.500%, 06/15/15 5,982,120
8,961,000 Swift Energy Company
9.375%, 05/01/12 9,991,515
5,974,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,198,025
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 15,825,000 Williams Companies, Inc.(b)
7.750%, 06/15/31 $ 17,486,625
-----------
116,213,750
-----------
FINANCIALS (3.0%)
15,825,000 Dow Jones CDX North America
High Yield Series 3(a)(b)
8.000%, 12/29/09 16,062,375
15,825,000 Dow Jones CDX North America
High Yield Series 4(b)
10.500%, 12/29/09 15,795,328
11,868,000 Leucadia National Corp.(b)
7.000%, 08/15/13 12,313,050
12,660,000 LNR Property Corp.
7.625%, 07/15/13 14,559,000
8,308,000 Senior Housing Properties Trust
8.625%, 01/15/12 9,491,890
-----------
68,221,643
-----------
HEALTH CARE (3.9%)
3,956,000 Alpharma, Inc.(a)(b)
8.625%, 05/01/11 4,124,130
3,956,000 Ameripath, Inc.
10.500%, 04/01/13 4,153,800
2,888,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,177,869
11,077,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 12,461,625
1,187,000 Elan Corp. PLC(a)(b)
7.750%, 11/15/11 1,246,350
4,747,000 Leiner Health Products
Group, Inc.
11.000%, 06/01/12 5,197,965
8,704,000 MedCath Corp.(b)
9.875%, 07/15/12 9,400,320
4,747,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 5,459,050
3,956,000 Quintiles Transnational Corp.(b)
10.000%, 10/01/13 4,490,060
15,033,000 Service Corp. International
6.750%, 04/01/16 15,108,165
14,005,000 Tenet Healthcare Corp.(a)(b)
9.250%, 02/01/15 14,075,025
10,682,000 Vanguard Health
Systems, Inc.(a)(b)
9.000%, 10/01/14 11,483,150
-----------
90,377,509
-----------
INDUSTRIALS (5.0%)
13,451,000 EUR AGCO Corp.
6.875%, 04/15/14 18,892,938
5,262,000 American Airlines, Inc.(b)
7.250%, 02/05/09 4,893,660
2,374,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,652,945
13,056,000 CNH Global, NV(a)
9.250%, 08/01/11 14,328,960
10,682,000 Cummins, Inc.(b)
9.500%, 12/01/10 12,124,070
7,517,000 General Cable Corp.
9.500%, 11/15/10 8,494,210
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 13,451,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 $ 14,360,032
7,912,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,861,440
Manitowoc Company, Inc.
4,154,000 EUR 10.375%, 05/15/11 6,078,277
2,971,000 10.500%, 08/01/12 3,431,505
3,956,000 Monitronics International, Inc.
11.750%, 09/01/10 4,331,820
4,747,000 Navistar International Corp.(b)
7.500%, 06/15/11 5,091,157
2,374,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,670,750
3,956,000 Sequa Corp.
8.875%, 04/01/08 4,272,480
3,956,000 United Rentals, Inc.(b)
7.000%, 02/15/14 3,698,860
-----------
114,183,104
-----------
INFORMATION TECHNOLOGY (4.4%)
18,990,000 Advanced Micro
Devices, Inc.(a)(b)
7.750%, 11/01/12 19,037,475
15,033,000 Avnet, Inc.
9.750%, 02/15/08 17,250,367
6,725,000 Celestica, Inc.(b)
7.875%, 07/01/11 7,044,437
3,956,000 Freescale Semiconductor, Inc.(b)
7.125%, 07/15/14 4,287,315
Iron Mountain, Inc.
8,704,000 6.625%, 01/01/16 8,247,040
1,978,000 GBP 7.250%, 04/15/14(a) 3,562,821
Lucent Technologies, Inc.
10,049,000 6.500%, 01/15/28 8,993,855
5,163,000 6.450%, 03/15/29(b) 4,633,793
5,539,000 Sanmina-Sci Corp.
10.375%, 01/15/10 6,314,460
3,956,000 Stratus Technologies, Inc.
10.375%, 12/01/08 3,777,980
Xerox Corp.(b)
9,495,000 8.000%, 02/01/27 9,946,013
7,912,000 7.625%, 06/15/13 8,564,740
-----------
101,660,296
-----------
MATERIALS (5.1%)
9,495,000 Arch Western Finance, LLC
6.750%, 07/01/13 9,732,375
2,374,000 Century Aluminum
Company(a)(b)
7.500%, 08/15/14 2,546,115
12,446,000 Freeport-McMoRan Copper &
Gold, Inc.(b)
10.125%, 02/01/10 14,126,210
7,517,000 Georgia-Pacific Corp.
7.375%, 12/01/25 8,306,285
11,868,000 Global iTechnology, Inc.
10.250%, 02/15/12 13,336,665
3,561,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 3,747,952
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 6,725,000 IMCO Recycling, Inc.
10.375%, 10/15/10 $ 7,599,250
7,912,000 IPSCO, Inc.
8.750%, 06/01/13 8,980,120
6,528,000 Novelis, Inc.(a)
7.250%, 02/15/15 6,658,560
3,956,000 Polyone Corp.(b)
10.625%, 05/15/10 4,430,720
6,725,000 Steel Dynamics, Inc.
9.500%, 03/15/09 7,397,500
9,495,000 Texas Industries, Inc.
10.250%, 06/15/11 11,061,675
6,330,000 U.S. Concrete, Inc.
8.375%, 04/01/14 6,836,400
Union Carbide Corp.(b)
7,596,000 7.875%, 04/01/23 8,127,720
5,262,000 7.500%, 06/01/25 5,485,635
--------------
118,373,182
--------------
TELECOMMUNICATION SERVICES (2.2%)
Alamosa Holdings, Inc.(b)
10,286,000 8.500%, 01/31/12 11,006,020
3,956,000 11.000%, 07/31/10 4,628,520
17,407,000 AT&T Corp.
9.750%, 11/15/31 22,259,201
3,561,000 IPCS Escrow Company(b)
11.500%, 05/01/12 4,086,248
7,912,000 Nextel Communications, Inc.
5.950%, 03/15/14 8,248,260
--------------
50,228,249
--------------
UTILITIES (1.7%)
Calpine Corp.(b)
20,255,000 8.500%, 05/01/08 14,988,700
15,429,000 8.500%, 02/15/11 10,723,155
3,849,000 7.750%, 04/15/09 2,732,790
9,495,000 Edison International
7.730%, 06/15/09 10,112,175
--------------
38,556,820
--------------
TOTAL CORPORATE
BONDS
(Cost $1,003,333,882) 1,039,097,094
--------------
CONVERTIBLE BONDS (5.1%)
CONSUMER DISCRETIONARY (0.3%)
7,000,000 General Motors Corp.
6.250%, 07/15/33 7,064,400
--------------
ENERGY (0.8%)
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 18,300,424
--------------
FINANCIALS (1.2%)
17,000,000 Assurant, Inc.(a)
7.750%, 01/26/08 17,850,000
8,700,000 Host Marriott Corp.(a)
3.250%, 04/15/24 9,635,250
--------------
27,485,250
--------------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
INDUSTRIALS (0.7%)
$ 13,000,000 Kaydon Corp.
4.000%, 05/23/23 $ 15,648,750
------------
INFORMATION TECHNOLOGY (1.4%)
16,500,000 Advanced Micro
Devices, Inc.(b)(c)
4.750%, 02/01/22 16,788,750
12,000,000 Lucent Technologies, Inc.(b)
2.750%, 06/15/25 15,780,000
------------
32,568,750
------------
MATERIALS (0.7%)
10,700,000 Freeport-McMoRan Copper &
Gold, Inc.(b)
7.000%, 02/11/11 15,381,250
------------
TOTAL CONVERTIBLE
BONDS
(Cost $118,469,465) 116,448,824
------------
SYNTHETIC CONVERTIBLE SECURITIES (14.1%)
CORPORATE BONDS (12.0%)
CONSUMER DISCRETIONARY (3.1%)
1,148,000 Accuride Corp.(a)
8.500%, 02/01/15 1,188,180
1,044,000 Asbury Automotive
Group, Inc.(b)
8.000%, 03/15/14 1,051,830
1,670,000 Aztar Corp.(b)
7.875%, 06/15/14 1,845,350
2,371,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,614,027
1,044,000 Boyd Gaming Corp.(b)
7.750%, 12/15/12 1,127,520
Charter Communications, Inc.(b)
2,714,000 10.000%, 04/01/09 2,300,115
2,307,000 9.625%, 11/15/09 1,891,740
2,088,000 11.125%, 01/15/11 1,774,800
1,775,000 GBP EMI Group, PLC
9.750%, 05/20/08 3,678,868
4,175,000 Goodyear Tire & Rubber
Company(b)
7.857%, 08/15/11 4,237,625
1,879,000 Hovnanian Enterprises, Inc.(b)
7.750%, 05/15/13 2,043,412
1,461,000 IMAX Corp.(b)
9.625%, 12/01/10 1,588,837
Intrawest Corp.
1,775,000 7.500%, 10/15/13 1,872,625
209,000 7.500%, 10/15/13(a) 220,495
1,589,000 Jarden Corp.
9.750%, 05/01/12 1,739,955
1,044,000 Kellwood Company
7.625%, 10/15/17 1,148,400
1,566,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 1,534,680
Mandalay Resort Group
4,498,000 10.250%, 08/01/07 5,105,230
1,357,000 7.625%, 07/15/13(b) 1,485,915
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 2,714,000 Meritage Corp.(b)
7.000%, 05/01/14 $ 2,822,560
1,253,000 NCL Holding, ASA(a)
10.625%, 07/15/14 1,265,530
1,044,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,117,080
Pinnacle Entertainment, Inc.(b)
1,879,000 8.250%, 03/15/12 2,010,530
1,074,000 8.750%, 10/01/13 1,167,975
2,091,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 2,211,233
1,357,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 1,133,340
2,088,000 CAD Rogers Wireless
Communications, Inc.(a)
7.625%, 12/15/11 1,760,685
2,714,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 3,005,755
1,775,000 Spanish Broadcasting
Systems, Inc.
9.625%, 11/01/09 1,868,188
1,044,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 1,093,590
3,132,000 Standard Pacific Corp.(b)
9.250%, 04/15/12 3,648,780
1,357,000 Steinway Musical
Instruments, Inc.
8.750%, 04/15/11 1,465,560
1,775,000 Stoneridge, Inc.(b)
11.500%, 05/01/12 2,050,125
1,044,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,058,355
Warner Music Group(a)
3,862,000 7.375%, 04/15/14 4,055,100
522,000 GBP 8.125%, 04/15/14 1,021,464
-----------
71,205,454
-----------
CONSUMER STAPLES (0.8%)
1,775,000 Central Garden & Pet Company
9.125%, 02/01/13 1,956,937
3,079,000 Chiquita Brands
International, Inc.(a)
7.500%, 11/01/14 3,140,580
2,401,000 Del Monte Foods Company
8.625%, 12/15/12 2,680,116
3,549,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 3,557,872
Rayovac Corp.
5,010,000 7.375%, 02/01/15(a) 5,078,888
1,253,000 8.500%, 10/01/13 1,350,108
982,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 1,086,338
-----------
18,850,839
-----------
ENERGY (1.3%)
Chesapeake Energy Corp.
1,461,000 6.875%, 01/15/16 1,526,745
835,000 7.500%, 06/15/14(b) 914,325
835,000 Comstock Resources, Inc.
6.875%, 03/01/12 855,875
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 3,090,000 Giant Industries, Inc.(b)
8.000%, 05/15/14 $ 3,209,737
1,044,000 Houston Exploration Company
7.000%, 06/15/13 1,101,420
1,044,000 KCS Energy, Inc.
7.125%, 04/01/12 1,098,810
209,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 226,765
Overseas Shipholding Group, Inc.
1,670,000 7.500%, 02/15/24 1,695,050
418,000 8.750%, 12/01/13 474,430
Petroleo Brasileiro, SA(b)
3,445,000 9.125%, 07/02/13 3,867,013
3,236,000 8.375%, 12/10/18 3,405,890
Premcor Refining Group, Inc.
1,670,000 7.750%, 02/01/12(b) 1,824,475
1,461,000 7.500%, 06/15/15 1,577,880
2,364,000 Swift Energy Company
9.375%, 05/01/12 2,635,860
1,576,000 Whiting Petroleum Corp.
7.250%, 05/01/12 1,635,100
4,175,000 Williams Companies, Inc.(b)
7.750%, 06/15/31 4,613,375
-----------
30,662,750
-----------
FINANCIALS (0.8%)
4,175,000 Dow Jones CDX North America
High Yield Series 3(a)(b)
8.000%, 12/29/09 4,237,625
4,175,000 Dow Jones CDX North America
High Yield Series 4(b)
10.500%, 12/29/09 4,167,172
3,132,000 Leucadia National Corp.(b)
7.000%, 08/15/13 3,249,450
3,340,000 LNR Property Corp.
7.625%, 07/15/13 3,841,000
2,192,000 Senior Housing Properties Trust
8.625%, 01/15/12 2,504,360
-----------
17,999,607
-----------
HEALTH CARE (1.0%)
1,044,000 Alpharma, Inc.(a)(b)
8.625%, 05/01/11 1,088,370
1,044,000 Ameripath, Inc.
10.500%, 04/01/13 1,096,200
762,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 838,482
2,923,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 3,288,375
313,000 Elan Corp. PLC(a)(b)
7.750%, 11/15/11 328,650
1,253,000 Leiner Health Products
Group, Inc.
11.000%, 06/01/12 1,372,035
2,296,000 MedCath Corp.(b)
9.875%, 07/15/12 2,479,680
1,252,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 1,439,800
1,044,000 Quintiles Transnational Corp.(b)
10.000%, 10/01/13 1,184,940
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 3,967,000 Service Corp. International
6.750%, 04/01/16 $ 3,986,835
3,695,000 Tenet Healthcare Corp.(a)(b)
9.250%, 02/01/15 3,713,475
2,818,000 Vanguard Health
Systems, Inc.(a)(b)
9.000%, 10/01/14 3,029,350
------------
23,846,192
------------
INDUSTRIALS (1.3%)
3,549,000 EUR AGCO Corp.
6.875%, 04/15/14 4,984,836
1,388,000 American Airlines, Inc.(b)
7.250%, 02/05/09 1,290,840
626,000 Armor Holdings, Inc.
8.250%, 08/15/13 699,555
3,444,000 CNH Global, NV(a)
9.250%, 08/01/11 3,779,790
2,818,000 Cummins, Inc.(b)
9.500%, 12/01/10 3,198,430
1,983,000 General Cable Corp.
9.500%, 11/15/10 2,240,790
3,549,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 3,788,845
2,088,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 2,338,560
Manitowoc Company, Inc.
1,096,000 EUR 10.375%, 05/15/11 1,603,705
784,000 10.500%, 08/01/12 905,520
1,044,000 Monitronics International, Inc.
11.750%, 09/01/10 1,143,180
1,253,000 Navistar International Corp.(b)
7.500%, 06/15/11 1,343,843
626,000 Orbital Sciences Corp.
9.000%, 07/15/11 704,250
1,044,000 Sequa Corp.
8.875%, 04/01/08 1,127,520
1,044,000 United Rentals, Inc.(b)
7.000%, 02/15/14 976,140
------------
30,125,804
------------
INFORMATION TECHNOLOGY (1.2%)
5,010,000 Advanced Micro
Devices, Inc.(a)(b)
7.750%, 11/01/12 5,022,525
3,967,000 Avnet, Inc.
9.750%, 02/15/08 4,552,132
1,775,000 Celestica, Inc.(b)
7.875%, 07/01/11 1,859,312
1,044,000 Freescale Semiconductor, Inc.(b)
7.125%, 07/15/14 1,131,435
Iron Mountain, Inc.
2,296,000 6.625%, 01/01/16 2,175,460
522,000 GBP 7.250%, 04/15/14(a) 940,239
Lucent Technologies, Inc.
2,651,000 6.500%, 01/15/28 2,372,645
1,362,000 6.450%, 03/15/29(b) 1,222,395
1,461,000 Sanmina-Sci Corp.
10.375%, 01/15/10 1,665,540
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
$ 1,044,000 Stratus Technologies, Inc.
10.375%, 12/01/08 $ 997,020
Xerox Corp.(b)
2,505,000 8.000%, 02/01/27 2,623,988
2,088,000 7.625%, 06/15/13 2,260,260
------------
26,822,951
------------
MATERIALS (1.4%)
2,505,000 Arch Western Finance, LLC
6.750%, 07/01/13 2,567,625
626,000 Century Aluminum
Company(a)(b)
7.500%, 08/15/14 671,385
3,284,000 Freeport-McMoRan Copper &
Gold, Inc.(b)
10.125%, 02/01/10 3,727,340
1,983,000 Georgia-Pacific Corp.
7.375%, 12/01/25 2,191,215
3,132,000 Global iTechnology, Inc.
10.250%, 02/15/12 3,519,585
939,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 988,298
1,775,000 IMCO Recycling, Inc.
10.375%, 10/15/10 2,005,750
2,088,000 IPSCO, Inc.
8.750%, 06/01/13 2,369,880
1,722,000 Novelis, Inc.(a)
7.250%, 02/15/15 1,756,440
1,044,000 Polyone Corp.(b)
10.625%, 05/15/10 1,169,280
1,775,000 Steel Dynamics, Inc.
9.500%, 03/15/09 1,952,500
2,505,000 Texas Industries, Inc.
10.250%, 06/15/11 2,918,325
1,670,000 U.S. Concrete, Inc.
8.375%, 04/01/14 1,803,600
Union Carbide Corp.(b)
2,004,000 7.875%, 04/01/23 2,144,280
1,388,000 7.500%, 06/01/25 1,446,990
------------
31,232,493
------------
TELECOMMUNICATION SERVICES (0.6%)
Alamosa Holdings, Inc.(b)
2,714,000 8.500%, 01/31/12 2,903,980
1,044,000 11.000%, 07/31/10 1,221,480
4,593,000 AT&T Corp.
9.750%, 11/15/31 5,873,299
939,000 IPCS Escrow Company(b)
11.500%, 05/01/12 1,077,502
2,088,000 Nextel Communications, Inc.
5.950%, 03/15/14 2,176,740
------------
13,253,001
------------
UTILITIES (0.5%)
Calpine Corp.(b)
5,345,000 8.500%, 05/01/08 3,955,300
4,071,000 8.500%, 02/15/11 2,829,345
1,016,000 7.750%, 04/15/09 721,360
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------
$ 2,505,000 Edison International
7.730%, 06/15/09 $ 2,667,825
------------
10,173,830
------------
TOTAL CORPORATE BONDS 274,172,921
------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------
OPTIONS (2.1%)
CONSUMER DISCRETIONARY (1.0%)
3,400 Carnival Corp.(d)
Call, 01/20/07, Strike 60.00 2,499,000
2,423 eBay, Inc.(d)
Call, 01/20/07, Strike 95.00 3,634,500
7,450 Home Depot, Inc.(d)
Call, 01/20/07, Strike 40.00 4,470,000
1,300 Nike, Inc.(d)
Call, 01/21/06, Strike 80.00 1,482,000
3,400 Starbucks Corp.(d)
Call, 01/20/07, Strike 55.00 3,230,000
6,300 YUM! Brands, Inc.(d)
Call, 01/20/07, Strike 40.00 6,520,500
------------
21,836,000
------------
CONSUMER STAPLES (0.3%)
3,500 Altria Group, Inc.(d)
Call, 01/21/06, Strike 55.00 3,885,000
1,840 Gillette Company(d)
Call, 01/21/06, Strike 40.00 2,116,000
1,330 Kellogg Company(d)
Call, 01/21/06, Strike 45.00 339,150
------------
6,340,150
------------
ENERGY (0.3%)
1,000 Amerada Hess Corp.(d)
Call, 01/20/07, Strike 80.00 1,680,000
5,000 Chevrontexaco Corp.(d)
Call, 01/20/07, Strike 45.00 5,625,000
------------
7,305,000
------------
FINANCIALS (0.2%)
1,300 Allstate Corp.(d)
Call, 01/21/06, Strike 45.00 897,000
3,600 Citigroup, Inc.(d)
Call, 01/20/07, Strike 40.00 3,816,000
------------
4,713,000
------------
HEALTH CARE (0.0%)
100 Bausch & Lomb, Inc.(d)
Call, 01/21/06, Strike 65.00 121,000
1,400 Biogen Idec, Inc.(d)
Call, 01/21/06, Strike 70.00 868,000
------------
989,000
------------
INFORMATION TECHNOLOGY (0.3%)
2,400 Apple Computer, Inc.(d)
Call, 01/20/07, Strike 75.00 4,944,000
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------
4,800 QUALCOMM, Inc.(d)
Call, 01/21/06, Strike 37.50 $ 2,256,000
------------
7,200,000
------------
TOTAL OPTIONS 48,383,150
------------
TOTAL SYNTHETIC
CONVERTIBLE
SECURITIES
(Cost $305,170,036) 322,556,071
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (13.1%)
CONSUMER DISCRETIONARY (3.9%)
1,805,000 Ford Motor Company Capital
Trust II(e)
6.500% 90,213,900
------------
CONSUMER STAPLES (1.2%)
1,105,000 Albertson's, Inc.
7.250% 26,917,800
------------
FINANCIALS (3.5%)
335,000 Capital One Financial Corp.
6.250% 17,889,000
300,000 Chubb Corp.
7.000% 8,586,000
650,000 Genworth Financial, Inc.
6.000% 20,631,000
650,000 Lehman Brothers Holdings, Inc.
6.250% 18,265,000
220,000 National Australia Bank, Ltd.
7.875% 8,492,000
35,000 State Street Corp.
6.750% 7,245,000
------------
81,108,000
------------
HEALTH CARE (2.2%)
635,000 Baxter International, Inc.(b)
7.000% 34,671,000
314,000 Schering-Plough Corp.(e)
6.000% 16,202,400
------------
50,873,400
------------
INDUSTRIALS (0.3%)
80,000 Cummins, Inc.
7.000% 6,790,000
------------
INFORMATION TECHNOLOGY (1.5%)
255,000 Xerox Corp.
6.250% 35,164,500
------------
UTILITIES (0.5%)
150,000 Southern Union Company
5.750% 10,533,000
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $300,703,158) 301,600,600
------------
COMMON STOCKS (67.4%)
CONSUMER DISCRETIONARY (4.7%)
2,000,000 AUD APN News & Media, Ltd. 7,655,879
577,000 General Motors Corp.(b)(e) 21,239,370
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------
750,000 Genuine Parts Company(b) $ 31,747,500
731,000 May Department Stores
Company(b) 24,780,900
490,000 Maytag Corp.(b) (e) 7,697,900
980,000 Saks, Inc.(b) 13,945,400
------------
107,066,949
------------
CONSUMER STAPLES (5.7%)
320,000 Altria Group, Inc.(b) 20,425,600
644,000 Gillette Company 32,663,680
410,000 Kimberly-Clark Corp.(e) 26,859,100
482,000 Procter & Gamble Company(b) 25,656,860
701,000 Sara Lee Corp. 16,459,480
263,000 Supervalu, Inc. 8,313,430
------------
130,378,150
------------
ENERGY (6.2%)
1,040,000 Chevrontexaco Corp. 56,576,000
366,000 Conocophillips 33,961,140
285,000 Kerr-Mcgee Corp.(b) 17,598,750
36,000 EUR OMV, AG 11,227,029
395,000 PetroChina Company, Ltd.(b) 22,159,500
------------
141,522,419
------------
FINANCIALS (20.2%)
732,900 Allstate Corp.(b) 36,967,476
980,000 Bank Of America Corp. 45,442,600
1,372,000 Citigroup, Inc. 67,296,600
477,000 Federal National Mortgage
Association(e) 30,804,660
220,000 Fidelity National Corp. 9,640,400
978,700 General Growth Properties,
Inc.(b) 31,093,299
191,000 Independence Community Bank
Corp. 7,506,300
176,000 Jefferson-Pilot Corp. 8,782,400
559,600 Mills Corp.(b) 31,298,428
300,000 Morgan Stanley 16,788,000
1,395,100 New York Community Bancorp,
Inc.(e) 24,874,633
118,900 UnionBanCal Corp. 7,321,862
855,000 Wachovia Corp. 46,896,750
2,428,000 Washington Mutual, Inc.(e) 97,969,800
------------
462,683,208
------------
HEALTH CARE (10.8%)
4,146,000 Bristol-Myers Squibb
Company(b) 97,182,240
1,155,000 Johnson & Johnson 74,728,500
1,755,000 Merck & Company, Inc.(b) 49,227,750
1,082,000 Pfizer, Inc.(e) 26,141,120
------------
247,279,610
------------
INDUSTRIALS (8.6%)
315,000 Caterpillar, Inc.(b) 28,066,500
410,000 Emerson Electric Company 27,568,400
819,000 General Electric Company(b) 29,590,470
450,000 Masco Corp. 16,560,000
435,000 Raytheon Company 16,269,000
724,000 Rockwell Automation, Inc. 41,014,600
1,346,000 Waste Management, Inc.(e) 39,034,000
------------
198,102,970
------------
INFORMATION TECHNOLOGY (2.7%)
1,382,000 Intel Corp. 31,025,900
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------
650,000 Microsoft Corp. $ 17,082,000
1,000,000 Nokia Corp.(b) 15,280,000
-------------
63,387,900
-------------
TELECOMMUNICATION SERVICES (8.5%)
1,850,000 Bellsouth Corp.(b) 48,544,000
950,000 MCI, Inc.(b) 18,325,500
3,071,000 SBC Communications, Inc. 72,966,960
750,000 Sprint Corp. 17,872,500
1,039,000 Verizon Communications,
Inc. 36,978,010
-------------
194,686,970
-------------
TOTAL COMMON
STOCKS
(Cost $1,529,248,982) 1,545,108,176
-------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.3%)
$ 25,000,000 Citigroup, Inc.
2.300%, 02/01/05 25,000,000
26,833,000 Exxon Mobil Corporation
2.300%, 02/01/05 26,833,000
----------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $51,833,000) 51,833,000
----------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (20.3%)
466,435,267 Bank of New York
Institutional
Cash Reserve Fund
current rate 2.519% 466,435,267
-------------
TOTAL INVESTMENT OF
CASH COLLATERAL
FOR SECURITIES ON
LOAN
(Cost $466,435,267) 466,435,267
-------------
TOTAL INVESTMENTS (167.6%)
(Cost $3,775,193,790) 3,843,079,032
-------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------
WRITTEN OPTIONS (0.0%)
CONSUMER DISCRETIONARY
(0.0%)
(8,000) Ford Motor Company(d)
Call, 03/19/05, Strike (40,000)
15.00
(2,900) General Motors Corp.(d)
Call, 03/19/05, Strike (203,000)
37.50
(2,000) Maytag Corp.(d)
Call, 04/16/05, Strike
17.50 (40,000)
--------
(283,000)
--------
CONSUMER STAPLES (0.0%)
(1,600) Kimberly-Clark Corp.(d)
Call, 04/16/05, Strike
70.00 (84,000)
--------
See accompanying Notes to Schedule of Investments
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------------------
FINANCIALS (0.0%)
(1,900) Federal National Mortgage
Association(d)
Call, 03/19/05, Strike 75.00 $ (19,000)
(5,000) New York Community Bancorp,
Inc.(d)
Call, 04/16/05, Strike 22.50 (25,000)
(4,700) Washington Mutual, Inc.(d)
Call, 04/16/05, Strike 42.50 (164,500)
---------------
(208,500)
---------------
HEALTH CARE (0.0%)
(4,300) Pfizer, Inc.(d)
Call, 03/19/05, Strike 25.00 (215,000)
(3,500) Schering-Plough Corp.(d)
Call, 05/21/05, Strike 22.50 (52,500)
---------------
(267,500)
---------------
INDUSTRIALS (0.0%)
(5,400) Waste Management, Inc.(d)
Call, 04/16/05, Strike 32.50 (54,000)
---------------
TOTAL WRITTEN
OPTIONS
(Proceeds $2,531,786) (897,000)
---------------
PAYABLE UPON RETURN OF
SECURITIES ON LOAN (-20.3%) (466,435,267)
---------------
LIABILITIES, LESS OTHER ASSETS
(-0.2%) (2,890,037)
---------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-47.1%) (1,080,500,951)
---------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 2,292,355,777
---------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Value for securities denominated in foreign currencies are shown in
U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ("QIBs"), such as
the Fund. Any resale of these securities must generally be effected
through a sale that is exempt from registration (e.g. a sale to another
QIB), or the security must be registered for public sale. At January
31, 2005 the market value of 144A securities that could not be
exchanged to the registered form were $298,566,327 or 13.0 % of net
assets applicable to common shareholders of the Fund.
(b) Security, or portion of security, is on loan.
(c) Variable rate security. The interest rate shown is the rate in effect
at January 31, 2005.
(d) Non-Income producing security.
(e) Security, or portion of security, is being held as collateral for
written options.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australia Dollar
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation. Securities traded in the over-the-counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. Short-term securities
with maturities of 60 days or less are valued at amortized cost, which
approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is 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 closed 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 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. Values of investments and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using the spot market rate of exchange at the date of valuation. Purchases and
sales of investments and dividend and interest income are translated into U.S.
dollars using the spot market rate of exchange prevailing on the respective
dates of such transaction.
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 a Fund writes an option, an amount equal to the premium received by a 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 a 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 call option is exercised,
the premium is added to the proceeds from the sale of the underlying security or
currency in determining whether a Fund has realized a gain or loss. If a put
option is exercised, the premium reduces the cost basis of the securities
purchased by a Fund. A Fund as writer of an option bears the market risk of an
unfavorable change in the price of the security underlying the written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
January 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 January 31, 2005 was as
follows:
Cost basis of investments $3,782,730,665
--------------
Gross unrealized appreciation $ 189,577,054
Gross unrealized depreciation (129,228,687)
--------------
Net unrealized appreciation (depreciation) $ 60,348,367
--------------
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
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., fixed-income securities
("fixed-income component") and the right to acquire equity securities
("convertible component"). The fixed-income component is achieved by investing
in non-convertible, fixed-income securities such as bonds, preferred stocks and
money market instruments. The convertible component is achieved by investing in
warrants or options to buy common stock at a certain exercise price, or options
on a stock index. In establishing a synthetic instrument, the Fund may pool a
basket of fixed-income securities and a basket of warrants or options that
produce the economic characteristics similar to a convertible security. Within
each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may 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 2.87% for the period ended January 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 January 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% 1 month LIBOR $ 491,316
Citibank NA June 4, 2007 150,000 3.61% 1 month LIBOR (147,884)
Citibank NA June 4, 2009 200,000 4.34% 1 month LIBOR (3,770,893)
-----------
$(3,427,461)
===========
NOTE 6
SECURITIES LENDING. During the period ended January 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) 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 each Fund lends securities. At January 31, 2005 the Fund had securities
valued at $454,640,365 on loan to broker-dealers and banks and had $466,435,267
in cash 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 on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
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Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 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.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 2005