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CALAMOS GLOBAL TOTAL RETURN FUND — Net Asset Value 2019
Sep 27, 2019
34073_rns_2019-09-30_d0a0a970-2949-43e7-8034-244fc98ae82c.zip
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NPORT-EX 1 d808139dnportex.htm CALAMOS GLOBAL TOTAL RETURN FUND CALAMOS GLOBAL TOTAL RETURN FUND
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| CORPORATE BONDS (21.9%) | ||
| Airlines (0.0%) | ||
| 27,360 | UAL Pass Through Trust Series 2007-1µ 6.636%, 01/02/24 | $ 29,007 |
| Communication Services (3.1%) | ||
| 390,000 | America Movil, SAB de CV^ 5.000%, 03/30/20 | 396,451 |
| 40,000 | Arrow Bidco, LLCµ* 9.500%, 03/15/24 | 40,305 |
| 60,000 | Belo Corp. 7.250%, 09/15/27 | 66,308 |
| Cincinnati Bell, Inc.* | ||
| 84,000 | 8.000%, 10/15/25 | 70,041 |
| 25,000 | 7.000%, 07/15/24^ | 21,440 |
| CommScope, Inc.* | ||
| 60,000 | 5.500%, 03/01/24µ | 61,136 |
| 15,000 | 8.250%, 03/01/27^ | 14,815 |
| 40,000 | Consolidated Communications, Inc.^ 6.500%, 10/01/22 | 36,384 |
| 200,000 | CSC Holdings, LLCµ^* 5.500%, 04/15/27 | 210,472 |
| 40,000 | Cumulus Media New Holdings, Inc.^* 6.750%, 07/01/26 | 40,870 |
| 52,000 | Diamond Sports Group, LLC / Diamond Sports Finance Company* 5.375%, 08/15/26 | 52,950 |
| 265,000 | Embarq Corp.µ 7.995%, 06/01/36 | 258,078 |
| Entercom Media Corp.* | ||
| 80,000 | 7.250%, 11/01/24µ | 83,777 |
| 25,000 | 6.500%, 05/01/27^ | 26,461 |
| 25,000 | EW Scripps Company^* 5.125%, 05/15/25 | 24,970 |
| Frontier Communications Corp. | ||
| 120,000 | 7.625%, 04/15/24 | 66,456 |
| 90,000 | 11.000%, 09/15/25^ | 52,407 |
| 65,000 | 10.500%, 09/15/22^ | 40,710 |
| 55,000 | 8.500%, 04/01/26^* | 53,879 |
| 30,000 | 8.000%, 04/01/27* | 31,389 |
| 13,000 | Go Daddy Operating Company, LLC / GD Finance Company, Inc.^* 5.250%, 12/01/27 | 13,555 |
| 90,000 | Gray Television, Inc.^* 7.000%, 05/15/27 | 98,564 |
| Hughes Satellite Systems Corp.^ | ||
| 40,000 | 6.625%, 08/01/26 | 43,160 |
| 15,000 | 5.250%, 08/01/26 | 15,904 |
| 55,000 | iHeartCommunications, Inc. 8.375%, 05/01/27 | 58,015 |
| 235,000 | Inmarsat Finance, PLCµ* 4.875%, 05/15/22 | 237,484 |
| Intelsat Jackson Holdings, SA | ||
| 90,000 | 9.750%, 07/15/25* | 93,306 |
| 50,000 | 5.500%, 08/01/23 | 46,144 |
| 35,000 | 8.000%, 02/15/24µ* | 36,447 |
| 25,000 | MDC Partners, Inc.^* 6.500%, 05/01/24 | 22,724 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 60,000 | Nexstar Broadcasting, Inc.^* 5.625%, 08/01/24 | $ 62,458 |
| 25,000 | SBA Communications Corp.µ 4.000%, 10/01/22 | 25,378 |
| 64,000 | Scripps Escrow, Inc.* 5.875%, 07/15/27 | 64,670 |
| Sprint Corp. | ||
| 195,000 | 7.875%, 09/15/23^ | 217,169 |
| 150,000 | 7.125%, 06/15/24^ | 163,985 |
| 75,000 | 7.625%, 03/01/26 | 84,020 |
| 65,000 | T-Mobile USA, Inc.^ 4.750%, 02/01/28 | 67,054 |
| 35,000 | Telecom Italia Capital, SA^ 6.000%, 09/30/34 | 35,656 |
| 90,000 | United States Cellular Corp.µ 6.700%, 12/15/33 | 95,663 |
| Windstream Services, LLC / Windstream Finance Corp.@ | ||
| 19,000 | 7.750%, 10/01/21 | 5,154 |
| 6,000 | 10.500%, 06/30/24* | 4,288 |
| 25,000 | Zayo Group, LLC / Zayo Capital, Inc.* 5.750%, 01/15/27 | 25,433 |
| 3,165,530 | ||
| Consumer Discretionary (4.7%) | ||
| 50,000 | Ashton Woods USA, LLC / Ashton Woods Finance Company* 9.875%, 04/01/27 | 53,278 |
| 45,000 | Beverages & More, Inc.* 11.500%, 06/15/22 | 34,841 |
| 65,000 | Boyd Gaming Corp.^ 6.000%, 08/15/26 | 68,152 |
| 65,000 | Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25 | 65,119 |
| CCO Holdings, LLC / CCO Holdings Capital Corp. | ||
| 155,000 | 5.125%, 05/01/27^* | 160,121 |
| 60,000 | 5.000%, 02/01/28* | 61,663 |
| 50,000 | 5.750%, 09/01/23µ | 51,104 |
| 39,000 | Cedar Fair, LP* 5.250%, 07/15/29 | 40,310 |
| Century Communities, Inc. | ||
| 65,000 | 6.750%, 06/01/27^* | 67,238 |
| 58,000 | 5.875%, 07/15/25 | 58,430 |
| 1,000,000 | Dana Financing Luxembourg Sarl^* 6.500%, 06/01/26 | 1,051,090 |
| DISH DBS Corp.^ | ||
| 65,000 | 7.750%, 07/01/26 | 63,558 |
| 38,000 | 5.875%, 11/15/24 | 35,316 |
| 105,000 | Eldorado Resorts, Inc.µ 6.000%, 04/01/25 | 110,632 |
| 60,000 | ESH Hospitality, Inc.^* 5.250%, 05/01/25 | 61,872 |
| 65,000 | GLP Capital, LP / GLP Financing II, Inc.µ 5.250%, 06/01/25 | 70,465 |
| 95,000 | goeasy, Ltd.µ* 7.875%, 11/01/22 | 99,520 |
| 95,000 | Guitar Center, Inc.* 9.500%, 10/15/21 | 90,765 |
| 10,000 | IAA, Inc.* 5.500%, 06/15/27 | 10,463 |
See accompanying Notes to Schedule of Investments
1
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 139,000 | L Brands, Inc.^ 6.875%, 11/01/35 | $ 124,278 |
| 75,000 | Lennar Corp.µ 5.250%, 06/01/26 | 80,135 |
| 65,000 | Liberty Interactive, LLC 8.250%, 02/01/30 | 67,333 |
| 60,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 61,141 |
| Mattel, Inc.^ | ||
| 60,000 | 6.750%, 12/31/25* | 63,239 |
| 5,000 | 2.350%, 08/15/21 | 4,913 |
| 75,000 | Meritage Homes Corp.µ 6.000%, 06/01/25 | 81,967 |
| 26,000 | Michaels Stores, Inc.^* 8.000%, 07/15/27 | 25,220 |
| Penske Automotive Group, Inc. | ||
| 60,000 | 5.500%, 05/15/26^ | 62,250 |
| 30,000 | 5.375%, 12/01/24µ | 30,954 |
| 82,000 | PetSmart, Inc.* 5.875%, 06/01/25 | 81,333 |
| Rite Aid Corp. | ||
| 120,000 | 7.700%, 02/15/27 | 75,364 |
| 40,000 | 6.125%, 04/01/23^* | 33,821 |
| 50,000 | Salem Media Group, Inc.^* 6.750%, 06/01/24 | 44,226 |
| 40,000 | Sally Holdings, LLC / Sally Capital, Inc.µ 5.625%, 12/01/25 | 39,650 |
| 26,000 | Service Corp. Internationalµ 5.125%, 06/01/29 | 27,460 |
| Sirius XM Radio, Inc.µ* | ||
| 65,000 | 5.500%, 07/01/29 | 67,962 |
| 65,000 | 4.625%, 07/15/24 | 66,946 |
| 60,000 | Sothebys^* 4.875%, 12/15/25 | 62,190 |
| 85,000 | Staples, Inc.* 7.500%, 04/15/26 | 87,046 |
| 35,000 | Taylor Morrison Communities Corp.µ 6.625%, 05/15/22 | 36,213 |
| 39,000 | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 | 40,455 |
| 1,175,000 | Toyota Motor Corp.^ 3.419%, 07/20/23 | 1,224,250 |
| 65,000 | Twin River Worldwide Holdings, Inc.* 6.750%, 06/01/27 | 68,064 |
| 23,744 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 25,039 |
| 45,000 | VOC Escrow, Ltd.µ* 5.000%, 02/15/28 | 45,988 |
| 4,881,374 | ||
| Consumer Staples (0.9%) | ||
| Albertsons Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC | ||
| 65,000 | 5.750%, 03/15/25µ | 66,535 |
| 40,000 | 7.500%, 03/15/26^* | 44,087 |
| 45,000 | Dean Foods Company* 6.500%, 03/15/23 | 25,430 |
| 40,000 | Energizer Holdings, Inc.* 6.375%, 07/15/26 | 41,794 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 45,000 | Fresh Market, Inc.* 9.750%, 05/01/23 | $ 28,429 |
| JBS USA LUX, SA / JBS USA Finance, Inc.* | ||
| 145,000 | 5.875%, 07/15/24µ | 149,165 |
| 75,000 | 6.750%, 02/15/28 | 81,150 |
| JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* | ||
| 52,000 | 5.500%, 01/15/30 | 51,989 |
| 19,000 | 6.500%, 04/15/29^ | 20,430 |
| New Albertsons, Inc. | ||
| 47,000 | 7.750%, 06/15/26 | 47,233 |
| 35,000 | 8.000%, 05/01/31^ | 35,673 |
| 5,000 | 7.450%, 08/01/29^ | 4,973 |
| Pilgrims Pride Corp.* | ||
| 75,000 | 5.875%, 09/30/27 | 78,923 |
| 25,000 | 5.750%, 03/15/25^ | 25,880 |
| Post Holdings, Inc.* | ||
| 60,000 | 5.750%, 03/01/27 | 62,428 |
| 20,000 | 5.500%, 12/15/29^ | 20,272 |
| 14,000 | 5.625%, 01/15/28 | 14,465 |
| Simmons Foods, Inc.^* | ||
| 57,000 | 7.750%, 01/15/24 | 61,513 |
| 30,000 | 5.750%, 11/01/24 | 27,565 |
| 887,934 | ||
| Energy (2.0%) | ||
| 40,000 | Apergy Corp. 6.375%, 05/01/26 | 40,771 |
| 70,000 | Brazos Valley Longhorn, LLC / Brazos Valley Longhorn Finance Corp. 6.875%, 02/01/25 | 64,839 |
| 38,000 | Bruin E&P Partners, LLCµ* 8.875%, 08/01/23 | 28,637 |
| Buckeye Partners, LP | ||
| 25,000 | 5.850%, 11/15/43^ | 21,995 |
| 25,000 | 3.950%, 12/01/26µ | 22,306 |
| 75,000 | Calfrac Holdings, LP* 8.500%, 06/15/26 | 50,227 |
| 80,000 | California Resources Corp.^* 8.000%, 12/15/22 | 56,086 |
| Carrizo Oil & Gas, Inc. | ||
| 40,000 | 8.250%, 07/15/25 | 40,081 |
| 34,000 | 6.250%, 04/15/23^ | 33,404 |
| 65,000 | Chaparral Energy, Inc.^* 8.750%, 07/15/23 | 37,796 |
| 50,000 | Cheniere Energy Partners, LP^ 5.625%, 10/01/26 | 53,040 |
| Chesapeake Energy Corp. | ||
| 50,000 | 7.000%, 10/01/24 | 41,410 |
| 45,000 | 8.000%, 01/15/25^ | 38,156 |
| 80,000 | DCP Midstream Operating, LP^* 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 75,390 |
| Denbury Resources, Inc. | ||
| 59,000 | 7.750%, 02/15/24µ^* | 43,433 |
| 40,000 | 9.250%, 03/31/22µ* | 35,336 |
| 15,000 | 5.500%, 05/01/22 | 7,875 |
| 15,000 | Diamond Offshore Drilling, Inc. 7.875%, 08/15/25 | 14,305 |
| Energy Transfer Operating, LP | ||
| 120,000 | 5.271%, 11/01/66µ 3 mo. USD LIBOR + 3.02% | 90,609 |
| 115,000 | 5.500%, 06/01/27^ | 129,086 |
See accompanying Notes to Schedule of Investments
2
Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 25,000 | Enterprise Products Operating, LLCµ 5.375%, 02/15/78 3 mo. USD LIBOR + 2.57% | $ 23,978 |
| EP Energy, LLC / Everest Acquisition Finance, Inc.* | ||
| 45,000 | 9.375%, 05/01/24 | 9,513 |
| 40,000 | 7.750%, 05/15/26^ | 35,921 |
| Genesis Energy, LP / Genesis Energy Finance Corp.^ | ||
| 65,000 | 6.500%, 10/01/25 | 64,996 |
| 55,000 | 6.250%, 05/15/26 | 54,285 |
| 100,000 | Gulfport Energy Corp. 6.375%, 05/15/25 | 76,889 |
| 82,000 | Lonestar Resources America, Inc.* 11.250%, 01/01/23 | 77,259 |
| 60,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.^* 6.000%, 08/01/26 | 60,906 |
| 95,000 | McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.^* 10.625%, 05/01/24 | 78,352 |
| Moss Creek Resources Holdings, Inc.* | ||
| 25,000 | 10.500%, 05/15/27^ | 22,336 |
| 25,000 | 7.500%, 01/15/26 | 19,593 |
| 25,000 | Nine Energy Service, Inc.µ* 8.750%, 11/01/23 | 24,455 |
| 5,024 | Northern Oil and Gas, Inc. 8.500%, 05/15/23 9.500% PIK rate | 5,156 |
| 35,000 | Oasis Petroleum, Inc.^* 6.250%, 05/01/26 | 33,212 |
| 55,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 54,917 |
| 40,000 | Parkland Fuel Corp.^* 5.875%, 07/15/27 | 41,297 |
| 25,000 | PDC Energy, Inc. 5.750%, 05/15/26 | 24,182 |
| 50,000 | Plains All American Pipeline, LPµ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 48,265 |
| 25,000 | QEP Resources, Inc.^ 5.625%, 03/01/26 | 21,494 |
| 65,000 | SESI, LLC 7.750%, 09/15/24 | 38,982 |
| 25,000 | SM Energy Company 6.750%, 09/15/26 | 22,570 |
| 40,000 | Targa Resources Partners, LP / Targa Resources Partners Finance Corp.^* 6.500%, 07/15/27 | 43,657 |
| 15,000 | TransMontaigne Partners, LP / TLP Finance Corp. 6.125%, 02/15/26 | 14,611 |
| 12,285 | Transocean Pontus, Ltd.µ* 6.125%, 08/01/25 | 12,721 |
| 60,000 | Transocean, Inc.^* 7.500%, 01/15/26 | 56,407 |
| 65,000 | Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.* 8.750%, 04/15/23 | 38,431 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 70,000 | W&T Offshore, Inc.^* 9.750%, 11/01/23 | $ 67,611 |
| 83,000 | Weatherford International, Ltd.@ 8.250%, 06/15/23 | 40,181 |
| 50,000 | Whiting Petroleum Corp.^ 6.625%, 01/15/26 | 47,212 |
| 2,084,171 | ||
| Financials (2.5%) | ||
| 125,000 | Acrisure, LLC / Acrisure Finance, Inc.^* 7.000%, 11/15/25 | 114,829 |
| 140,000 | Ally Financial, Inc. 8.000%, 11/01/31 | 187,440 |
| 65,000 | Amwins Group, Inc.* 7.750%, 07/01/26 | 67,938 |
| 75,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 75,388 |
| 35,000 | Bank of America Corp.^ 5.875%, 03/15/28 3 mo. USD LIBOR + 2.93% | 37,164 |
| 65,000 | Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLCµ* 5.750%, 05/15/26 | 67,591 |
| 25,000 | Charles Schwab Corp.^ 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% | 25,278 |
| 30,000 | CNO Financial Group, Inc.µ 5.250%, 05/30/29 | 32,521 |
| 65,000 | Credit Acceptance Corp.^* 6.625%, 03/15/26 | 70,244 |
| 45,000 | Donnelley Financial Solutions, Inc.µ 8.250%, 10/15/24 | 47,058 |
| 65,000 | Global Aircraft Leasing Company, Ltd.* 6.500%, 09/15/24 7.250% PIK rate | 64,644 |
| 65,000 | Greystar Real Estate Partners, LLCµ* 5.750%, 12/01/25 | 66,766 |
| 26,000 | HAT Holdings I, LLC / HAT Holdings II, LLCµ* 5.250%, 07/15/24 | 27,139 |
| 65,000 | HUB International, Ltd.* 7.000%, 05/01/26 | 66,218 |
| Icahn Enterprises, LP / Icahn Enterprises Finance Corp.µ | ||
| 32,000 | 6.250%, 05/15/26* | 32,984 |
| 21,000 | 6.750%, 02/01/24 | 21,951 |
| 100,000 | ILFC E-Capital Trust II* 4.340%, 12/21/65 3 mo. USD LIBOR + 1.80% | 74,050 |
| 120,000 | Iron Mountain, Inc.µ* 5.250%, 03/15/28 | 121,338 |
| 200,000 | Jefferies Finance, LLC / JFIN Co-Issuer Corp.* 7.250%, 08/15/24 | 197,654 |
| 50,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.^* 5.250%, 10/01/25 | 51,396 |
| 35,000 | Level 3 Financing, Inc.µ^ 5.375%, 05/01/25 | 36,250 |
See accompanying Notes to Schedule of Investments
3
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 65,000 | Lions Gate Capital Holdings, LLC^* 6.375%, 02/01/24 | $ 68,685 |
| 125,000 | LPL Holdings, Inc.^* 5.750%, 09/15/25 | 130,149 |
| 100,000 | MetLife, Inc.^ 6.400%, 12/15/66 | 115,885 |
| 110,000 | Nationstar Mortgage, LLC / Nationstar Capital Corp.µ 6.500%, 07/01/21 | 109,943 |
| 110,000 | Navient Corp.^ 6.750%, 06/25/25 | 115,182 |
| 50,000 | NexBank Capital, Inc.*& 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59% | 50,934 |
| 100,000 | Oil Insurance, Ltd.* 5.301%, 09/30/19 3 mo. USD LIBOR + 2.98% | 96,871 |
| 65,000 | Radian Group, Inc.µ 4.875%, 03/15/27 | 65,401 |
| 75,000 | Simmons First National Corp. 5.000%, 04/01/28 3 mo. USD LIBOR + 2.15% | 76,887 |
| Springleaf Finance Corp. | ||
| 85,000 | 6.875%, 03/15/25^ | 95,172 |
| 65,000 | 7.125%, 03/15/26 | 73,043 |
| 13,000 | 6.625%, 01/15/28µ | 14,131 |
| 65,000 | Starwood Property Trust, Inc.^ 4.750%, 03/15/25 | 66,053 |
| 20,000 | Towne Bank 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55% | 20,259 |
| 65,000 | Tronox Finance, PLC* 5.750%, 10/01/25 | 61,262 |
| 2,645,698 | ||
| Health Care (2.8%) | ||
| 119,000 | Acadia Healthcare Company, Inc.µ 6.500%, 03/01/24 | 123,160 |
| Bausch Health Americas, Inc.^* | ||
| 145,000 | 8.500%, 01/31/27 | 160,058 |
| 65,000 | 9.250%, 04/01/26 | 72,909 |
| Bausch Health Cos., Inc.* | ||
| 120,000 | 9.000%, 12/15/25^ | 134,246 |
| 15,000 | 5.750%, 08/15/27µ | 15,847 |
| CHS/Community Health Systems, Inc. | ||
| 150,000 | 8.125%, 06/30/24^* | 115,191 |
| 40,000 | 6.250%, 03/31/23µ | 38,397 |
| 20,000 | 8.000%, 03/15/26* | 19,289 |
| 15,000 | 6.875%, 02/01/22 | 10,299 |
| 140,000 | DaVita, Inc.µ 5.125%, 07/15/24 | 140,720 |
| 60,000 | Endo DAC / Endo Finance, LLC / Endo Finco, Inc.^* 6.000%, 07/15/23 | 38,701 |
| HCA, Inc. | ||
| 920,000 | 5.875%, 05/01/23µ^ | 1,010,661 |
| 55,000 | 7.500%, 11/06/33 | 64,134 |
| 125,000 | Magellan Health, Inc.µ 4.900%, 09/22/24 | 125,227 |
| 75,000 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC^* 5.625%, 10/15/23 | 47,593 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 40,000 | Par Pharmaceutical, Inc.^* 7.500%, 04/01/27 | $ 36,206 |
| 45,000 | Team Health Holdings, Inc.^* 6.375%, 02/01/25 | 37,139 |
| Tenet Healthcare Corp. | ||
| 90,000 | 6.250%, 02/01/27^* | 93,239 |
| 75,000 | 4.625%, 07/15/24µ^ | 76,514 |
| 25,000 | 6.875%, 11/15/31 | 22,098 |
| 75,000 | Teva Pharmaceutical Finance Company, BV^ 2.950%, 12/18/22 | 67,610 |
| Teva Pharmaceutical Finance Netherlands III, BV^ | ||
| 210,000 | 2.800%, 07/21/23 | 183,082 |
| 200,000 | 6.000%, 04/15/24 | 185,646 |
| 125,000 | West Street Merger Sub, Inc.^* 6.375%, 09/01/25 | 114,850 |
| 2,932,816 | ||
| Industrials (2.3%) | ||
| 80,000 | ACCO Brands Corp.^* 5.250%, 12/15/24 | 82,442 |
| Allison Transmission, Inc.µ* | ||
| 70,000 | 4.750%, 10/01/27 | 70,238 |
| 15,000 | 5.875%, 06/01/29 | 15,958 |
| 25,000 | American Airlines Group, Inc.µ^* 5.000%, 06/01/22 | 25,784 |
| 61,000 | Arconic, Inc.^ 5.125%, 10/01/24 | 64,655 |
| 28,000 | Avolon Holdings Funding, Ltd.µ* 5.250%, 05/15/24 | 30,089 |
| 65,000 | Beacon Roofing Supply, Inc.^* 4.875%, 11/01/25 | 64,537 |
| 65,000 | Berry Global, Inc.^* 4.875%, 07/15/26 | 67,704 |
| 100,000 | Bombardier, Inc.^* 7.500%, 03/15/25 | 101,965 |
| 10,000 | Catalent Pharma Solutions, Inc.* 5.000%, 07/15/27 | 10,290 |
| 85,000 | Covanta Holding Corp.µ 5.875%, 03/01/24 | 87,358 |
| 60,000 | Delphi Technologies, PLC^* 5.000%, 10/01/25 | 53,019 |
| 60,000 | Dun & Bradstreet Corp.* 6.875%, 08/15/26 | 64,107 |
| Golden Nugget, Inc.* | ||
| 70,000 | 6.750%, 10/15/24 | 72,244 |
| 50,000 | 8.750%, 10/01/25^ | 52,772 |
| 30,000 | Graphic Packaging International, LLCµ* 4.750%, 07/15/27 | 31,322 |
| 60,000 | Great Lakes Dredge & Dock Corp.µ 8.000%, 05/15/22 | 64,041 |
| 95,000 | H&E Equipment Services, Inc.^ 5.625%, 09/01/25 | 97,755 |
| 65,000 | Herc Holdings, Inc.* 5.500%, 07/15/27 | 65,212 |
| Hertz Corp. | ||
| 68,000 | 7.625%, 06/01/22µ* | 70,676 |
| 40,000 | 7.375%, 01/15/21^ | 40,037 |
| 27,000 | 7.125%, 08/01/26* | 27,581 |
| 62,000 | Jeld-Wen, Inc.^* 4.625%, 12/15/25 | 61,068 |
| 35,000 | JPW Industries Holding Corp.* 9.000%, 10/01/24 | 33,575 |
See accompanying Notes to Schedule of Investments
4
Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 70,000 | Meritor, Inc.µ 6.250%, 02/15/24 | $ 72,186 |
| 90,000 | Navistar International Corp.µ* 6.625%, 11/01/25 | 92,745 |
| Park Aerospace Holdings, Ltd.* | ||
| 35,000 | 4.500%, 03/15/23µ | 36,356 |
| 25,000 | 5.500%, 02/15/24 | 27,006 |
| 115,000 | Park-Ohio Industries, Inc.^ 6.625%, 04/15/27 | 114,779 |
| Scientific Games International, Inc.* | ||
| 125,000 | 5.000%, 10/15/25 | 128,320 |
| 30,000 | 8.250%, 03/15/26^ | 32,173 |
| 10,000 | Summit Materials, LLC / Summit Materials Finance Corp.* 6.500%, 03/15/27 | 10,611 |
| 35,000 | Tennant Companyµ 5.625%, 05/01/25 | 36,374 |
| TransDigm, Inc. | ||
| 95,000 | 6.250%, 03/15/26* | 99,869 |
| 60,000 | 7.500%, 03/15/27^* | 63,356 |
| 55,000 | 6.500%, 05/15/25µ | 56,637 |
| United Rentals North America, Inc.^ | ||
| 50,000 | 4.875%, 01/15/28 | 51,096 |
| 45,000 | 5.875%, 09/15/26 | 47,968 |
| 25,000 | 6.500%, 12/15/26 | 27,118 |
| 25,000 | Waste Pro USA, Inc.* 5.500%, 02/15/26 | 25,753 |
| 65,000 | XPO Logistics, Inc.^* 6.750%, 08/15/24 | 69,449 |
| 2,346,225 | ||
| Information Technology (1.8%) | ||
| 1,400,000 | Apple, Inc.µ^ 2.000%, 11/13/20 | 1,398,719 |
| 25,000 | CDK Global, Inc.µ* 5.250%, 05/15/29 | 25,989 |
| 60,000 | CommScope Technologies, LLC^* 6.000%, 06/15/25 | 54,766 |
| 115,000 | Dell International, LLC / EMC Corp.^* 6.020%, 06/15/26 | 127,135 |
| 125,000 | First Data Corp.µ* 5.000%, 01/15/24 | 128,125 |
| 80,000 | Harland Clarke Holdings Corp.µ* 8.375%, 08/15/22 | 68,000 |
| 39,000 | MTS Systems Corp.* 5.750%, 08/15/27 | 40,137 |
| 55,000 | VFH Parent, LLCµ* 6.750%, 06/15/22 | 56,881 |
| 1,899,752 | ||
| Materials (1.1%) | ||
| 57,000 | AK Steel Corp.^ 6.375%, 10/15/25 | 48,570 |
| 200,000 | Alcoa Nederland Holding, BV^* 7.000%, 09/30/26 | 215,688 |
| 75,000 | ArcelorMittal, SA^ 7.000%, 10/15/39 | 89,781 |
| 200,000 | Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.µ^* 6.000%, 02/15/25 | 206,870 |
| 25,000 | Baffinland Iron Mines Corp. / Baffinland Iron Mines, LP* 8.750%, 07/15/26 | 25,906 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 35,000 | First Quantum Minerals, Ltd.* 7.000%, 02/15/21 | $ 35,553 |
| 40,000 | JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 | 42,361 |
| 15,000 | Mineral Resources, Ltd.* 8.125%, 05/01/27 | 15,748 |
| 270,000 | New Gold, Inc.^* 6.375%, 05/15/25 | 234,546 |
| 13,000 | Norbord, Inc.µ* 5.750%, 07/15/27 | 13,158 |
| 145,000 | PBF Holding Company, LLC / PBF Finance Corp.µ 7.250%, 06/15/25 | 151,637 |
| 40,000 | United States Steel Corp.^ 6.875%, 08/15/25 | 39,023 |
| 1,118,841 | ||
| Real Estate (0.2%) | ||
| 70,000 | CBL & Associates, LP^ 5.250%, 12/01/23 | 51,190 |
| 60,000 | Forestar Group, Inc.µ* 8.000%, 04/15/24 | 64,147 |
| 100,000 | MPT Operating Partnership, LP / MPT Finance Corp.µ 5.000%, 10/15/27 | 103,822 |
| 219,159 | ||
| Utilities (0.5%) | ||
| 120,000 | AES Corp.^ 4.000%, 03/15/21 | 122,303 |
| 10,000 | NextEra Energy Operating Partners, LP^* 4.250%, 07/15/24 | 10,155 |
| 20,000 | NGPL PipeCo, LLCµ* 4.875%, 08/15/27 | 21,214 |
| NRG Energy, Inc. | ||
| 43,000 | 5.750%, 01/15/28^ | 45,851 |
| 20,000 | 6.625%, 01/15/27µ | 21,374 |
| 120,000 | PPL Capital Funding, Inc.µ^ 4.995%, 03/30/67 3 mo. USD LIBOR + 2.67% | 109,059 |
| Talen Energy Supply, LLC^* | ||
| 25,000 | 10.500%, 01/15/26 | 23,459 |
| 10,000 | 7.250%, 05/15/27 | 9,899 |
| 65,000 | TerraForm Power Operating, LLC* 5.000%, 01/31/28 | 66,021 |
| 55,000 | Vistra Energy Corp.µ* 8.125%, 01/30/26 | 59,249 |
| 488,584 | ||
| TOTAL CORPORATE BONDS (Cost $22,888,766) | 22,699,091 | |
| CONVERTIBLE BONDS (38.2%) | ||
| Communication Services (2.6%) | ||
| 1,270,000 | GCI Liberty, Inc.µ* 1.750%, 09/30/46 | 1,476,083 |
| 1,107,000 | Twitter, Inc. 0.250%, 06/15/24 | 1,184,053 |
| 2,660,136 |
See accompanying Notes to Schedule of Investments
5
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | ||
|---|---|---|---|
| Consumer Discretionary (4.7%) | |||
| 600,000 | Baozun, Inc.* 1.625%, 05/01/24 | $ 694,578 | |
| 1,348,000 | Chegg, Inc.^* 0.125%, 03/15/25 | 1,503,890 | |
| 50,000 | DISH Network Corp. 2.375%, 03/15/24 | 44,607 | |
| 959,000 | GOL Equity Finance, SA^* 3.750%, 07/15/24 | 1,229,922 | |
| Liberty Interactive, LLC | |||
| 115,292 | 4.000%, 11/15/29 | 81,721 | |
| 85,000 | 3.750%, 02/15/30 | 60,458 | |
| 1,105,000 | NIO, Inc.* 4.500%, 02/01/24 | 633,535 | |
| 607,000 | Tesla, Inc.µ 2.000%, 05/15/24 | 614,988 | |
| 4,863,699 | |||
| Consumer Staples (0.7%) | |||
| Premium Brands Holdings Corp. | |||
| 508,000 | CAD | 4.650%, 04/30/21 | 453,553 |
| 324,000 | CAD | 4.600%, 12/31/23 | 270,205 |
| 723,758 | |||
| Energy (5.0%) | |||
| 22,000 | Denbury Resources, Inc.* 6.375%, 12/31/24 | 13,533 | |
| 2,800,000 | TOTAL, SAµ^ 0.500%, 12/02/22 | 2,938,474 | |
| 2,000,000 | Tullow Oil Jersey, Ltd. 6.625%, 07/12/21 | 2,263,730 | |
| 5,215,737 | |||
| Financials (5.5%) | |||
| 800,000 | EUR | AURELIUS Equity Opportunities SE & Co., KGaA 1.000%, 12/01/20 | 887,792 |
| JPMorgan Chase Bank, N.A. | |||
| 17,000,000 | HKD | 0.000%, 10/29/20* | 2,568,627 |
| 1,900,000 | 0.000%, 12/30/20µ | 2,226,354 | |
| 65,000 | Prospect Capital Corp. 4.950%, 07/15/22 | 66,687 | |
| 5,749,460 | |||
| Health Care (4.6%) | |||
| 1,200,000 | EUR | Bayer Capital Corp., BVµ 5.625%, 11/22/19 | 987,074 |
| 882,000 | CAD | Canopy Growth Corp.* 4.250%, 07/15/23 | 765,184 |
| 1,106,000 | Exact Sciences Corp.µ 0.375%, 03/15/27 | 1,368,006 | |
| 1,000,000 | Repligen Corp.µ 0.375%, 07/15/24 | 1,081,790 | |
| 487,000 | Wright Medical Group, Inc.µ 1.625%, 06/15/23 | 528,293 | |
| 4,730,347 | |||
| Industrials (1.5%) | |||
| 4,000,000 | CNY | China Railway Construction Corp., Ltd. 1.500%, 12/21/21 | 578,073 |
| 800,000 | Vinci, SAµ 0.375%, 02/16/22 | 945,516 | |
| 1,523,589 |
| PRINCIPAL AMOUNT | VALUE | ||
|---|---|---|---|
| Information Technology (9.6%) | |||
| 640,000 | Envestnet, Inc.µ 1.750%, 12/15/19 | $ 745,120 | |
| 545,000 | Lenovo Group, Ltd. 3.375%, 01/24/24 | 627,786 | |
| 2,105,000 | Palo Alto Networks, Inc.µ* 0.750%, 07/01/23 | 2,322,015 | |
| 980,000 | EUR | SOITEC 0.000%, 06/28/23 | 1,305,852 |
| 1,330,000 | Splunk, Inc.^* 0.500%, 09/15/23 | 1,519,751 | |
| 960,000 | Square, Inc.^ 0.500%, 05/15/23 | 1,218,806 | |
| 1,900,000 | Xero Investments, Ltd. 2.375%, 10/04/23 | 2,249,353 | |
| 9,988,683 | |||
| Materials (2.9%) | |||
| 1,030,000 | Cemex, SAB de CV 3.720%, 03/15/20 | 1,030,288 | |
| 150,000,000 | JPY | Mitsubishi Chemical Holdings Corp. 0.000%, 03/29/24 | 1,388,352 |
| 500,000 | CHF | Sika, AG 0.150%, 06/05/25 | 550,807 |
| 2,969,447 | |||
| Real Estate (1.1%) | |||
| 957,000 | IH Merger Sub, LLCµ 3.500%, 01/15/22 | 1,201,422 | |
| TOTAL CONVERTIBLE BONDS (Cost $39,819,410) | 39,626,278 | ||
| U.S. GOVERNMENT AND AGENCY SECURITIES (6.8%) | |||
| United States Treasury Note | |||
| 1,545,000 | 1.875%, 10/31/22 | 1,547,173 | |
| 1,410,000 | 1.875%, 05/31/22^ | 1,411,928 | |
| 1,375,000 | 1.750%, 10/31/20 | 1,371,052 | |
| 1,355,000 | 2.625%, 08/15/20 | 1,363,310 | |
| 1,350,000 | 2.625%, 11/15/20 | 1,361,100 | |
| TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $6,994,169) | 7,054,563 | ||
| BANK LOANS (0.4%) | |||
| Communication Services (0.2%) | |||
| 89,800 | Intelsat Jackson Holdings, SA 6.625%, 01/02/24 | 91,072 | |
| 88,500 | New Media Holdings II, LLC 8.580%, 07/14/22 3 mo. LIBOR + 6.25% | 88,445 | |
| 179,517 | |||
| Consumer Discretionary (0.1%) | |||
| 116,029 | Weight Watchers International, Inc. 7.095%, 11/29/24 3 mo. LIBOR + 4.75% | 115,377 |
See accompanying Notes to Schedule of Investments
6
Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | ||
|---|---|---|---|
| Financials (0.0%) | |||
| 35,000 | GLP Financing, LLC 3.741%, 04/28/21 1 mo. LIBOR + 1.50% | $ 34,869 | |
| Information Technology (0.1%) | |||
| 59,700 | BMC Software Finance, Inc. 6.580%, 10/02/25 3 mo. LIBOR + 4.25% | 57,543 | |
| TOTAL BANK LOANS (Cost $390,003) | 387,306 | ||
| NUMBER OF SHARES | VALUE | ||
| CONVERTIBLE PREFERRED STOCKS (4.1%) | |||
| Energy (0.2%) | |||
| 9,035 | NuStar Energy, LP^ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% | 217,834 | |
| Health Care (0.6%) | |||
| 580 | Danaher Corp.^ 4.750%, 04/15/22 | 658,242 | |
| Real Estate (1.1%) | |||
| 970 | Crown Castle International Corp.µ 6.875%, 08/01/20 | 1,169,587 | |
| Utilities (2.2%) | |||
| 11,900 | American Electric Power Company, Inc.µ 6.125%, 03/15/22 | 648,312 | |
| 28,400 | DTE Energy Company 6.500%, 10/01/19 | 1,584,720 | |
| 2,233,032 | |||
| TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $4,018,613) | 4,278,695 | ||
| COMMON STOCKS (69.6%) | |||
| Communication Services (9.9%) | |||
| 1,030 | Alphabet, Inc. - Class A# | 1,254,746 | |
| 2,300 | JPY | Nintendo Company, Ltd. | 846,154 |
| 47,300 | HKD | Tencent Holdings, Ltd. | 2,203,847 |
| 16,000 | Verizon Communications, Inc.^ | 884,320 | |
| 35,300 | Walt Disney Company | 5,048,253 | |
| 10,237,320 | |||
| Consumer Discretionary (8.4%) | |||
| 9,445 | Alibaba Group Holding, Ltd.# | 1,635,024 | |
| 370 | Amazon.com, Inc.# | 690,708 | |
| 8,200 | Aptiv, PLC | 718,730 | |
| 39,800 | GBP | Compass Group, PLC | 1,006,960 |
| 21,000 | EUR | Daimler, AG | 1,085,204 |
| 9,500 | Lowes Companies, Inc. | 963,300 | |
| 4,900 | Lululemon Athletica, Inc.#~ | 936,341 | |
| 24,000 | EUR | Puma, SE | 1,671,998 |
| 8,708,265 |
| NUMBER OF SHARES | VALUE | ||
|---|---|---|---|
| Consumer Staples (8.6%) | |||
| 26,300 | CAD | Alimentation Couche-Tard, Inc. - Class B | $ 1,612,115 |
| 23,254 | Coca-Cola Company~ | 1,223,858 | |
| 35,390 | JPY | Japan Tobacco, Inc. | 779,774 |
| 11,100 | EUR | Kerry Group, PLC - Class A | 1,295,124 |
| 12,900 | CHF | Nestlé, SA | 1,368,525 |
| 6,900 | Philip Morris International, Inc. | 576,909 | |
| 18,900 | Walmart, Inc. | 2,086,182 | |
| 8,942,487 | |||
| Energy (6.5%) | |||
| 15,250 | Anadarko Petroleum Corp.~ | 1,123,315 | |
| 5,000 | Chevron Corp. | 615,550 | |
| 3,150 | Energy Transfer, LP | 45,297 | |
| 3,375 | Enterprise Products Partners, LP | 101,621 | |
| 16,215 | Exxon Mobil Corp. | 1,205,747 | |
| 700 | GasLog, Ltd. | 9,968 | |
| 940 | Magellan Midstream Partners, LP | 62,172 | |
| 12,200 | Marathon Petroleum Corp. | 687,958 | |
| 44,065 | EUR | Royal Dutch Shell, PLC - Class A | 1,382,693 |
| 26,800 | Schlumberger, Ltd. | 1,071,196 | |
| 1,385 | Targa Resources Corp.^ | 53,890 | |
| 25,700 | CAD | Tourmaline Oil Corp. | 338,824 |
| 450 | Williams Companies, Inc. | 11,088 | |
| 6,709,319 | |||
| Financials (13.1%) | |||
| 91,000 | HKD | AIA Group, Ltd. | 933,182 |
| 38,500 | American International Group, Inc.~ | 2,155,615 | |
| 6,200 | AON, PLC | 1,173,350 | |
| 86,500 | Bank of America Corp.~ | 2,653,820 | |
| 6,100 | EUR | Deutsche Böerse, AG | 846,817 |
| 6,900 | Goldman Sachs Group, Inc. | 1,518,897 | |
| 50,000 | INR | HDFC Bank, Ltd. | 1,629,492 |
| 73,200 | Itau Unibanco Holding, SA | 669,780 | |
| 13,900 | Progressive Corp. | 1,125,622 | |
| 43,500 | GBP | Prudential, PLC | 894,979 |
| 13,601,554 | |||
| Health Care (10.0%) | |||
| 23,638 | Alcon, Inc.^# | 1,388,732 | |
| 15,800 | GBP | AstraZeneca, PLC | 1,365,022 |
| 5,200 | Celgene Corp.# | 477,672 | |
| 15,500 | AUD | CSL, Ltd. | 2,418,656 |
| 1,750 | Intuitive Surgical, Inc.# | 909,143 | |
| 21,700 | Johnson & Johnson~ | 2,825,774 | |
| 6,000 | Laboratory Corp. of America Holdings# | 1,005,120 | |
| 10,390,119 | |||
| Industrials (3.3%) | |||
| 2,250 | Boeing Company | 767,655 | |
| 20,500 | CAD | CAE, Inc. | 552,807 |
| 7,300 | JPY | FANUC Corp. | 1,297,403 |
| 24,400 | General Electric Company~ | 254,980 | |
| 9,800 | EUR | KION Group, AG | 522,358 |
| 131 | Wabtec Corp.^ | 10,176 | |
| 3,405,379 | |||
| Information Technology (9.8%) | |||
| 1,400 | EUR | Adyen, NV*# | 1,057,820 |
| 3,800 | EUR | ASML Holding, NV | 846,732 |
See accompanying Notes to Schedule of Investments
7
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| NUMBER OF SHARES — 1,500 | JPY | Keyence Corp. | VALUE — $ 860,773 |
|---|---|---|---|
| 129,400 | SEK | LM Ericsson Telephone Company - Class B | 1,132,156 |
| 13,900 | Microsoft Corp. | 1,894,153 | |
| 6,400 | PayPal Holdings, Inc.# | 706,560 | |
| 12,650 | EUR | SAP, SE | 1,546,286 |
| 122,000 | TWD | Taiwan Semiconductor | |
| Manufacturing Company, Ltd. | 1,003,212 | ||
| 6,200 | Visa, Inc. - Class A | 1,103,600 | |
| 10,151,292 | |||
| TOTAL COMMON STOCKS (Cost $78,663,319) | 72,145,735 | ||
| EXCHANGE-TRADED FUNDS (1.8%) | |||
| Other (1.8%) | |||
| 41,400 | Invesco Senior Loan ETF^ | 944,748 | |
| 4,150 | iShares iBoxx High Yield Corporate Bond ETF^ | 360,759 | |
| 4,891 | SPDR Bloomberg Barclays High Yield Bond ETF | 531,114 | |
| TOTAL EXCHANGE-TRADED FUNDS (Cost $1,857,166) | 1,836,621 | ||
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||
| PURCHASED OPTIONS (1.2%) # | |||
| Consumer Discretionary (0.1%) | |||
| 95 | Alibaba Group Holding, Ltd. | ||
| 1,644,545 | Put, 09/20/19, Strike $130.00 | 2,138 | |
| 5 | Amazon.com, Inc. | ||
| 933,390 | Call, 06/18/21, Strike $2,200.00 | 95,975 | |
| 145 | Royal Caribbean Cruises, Ltd. | ||
| 1,686,930 | Call, 01/17/20, Strike $130.00 | 45,457 | |
| 143,570 | |||
| Energy (0.0%) | |||
| 50 | Pioneer Natural Resources | ||
| 797,050 | Company | ||
| Call, 01/17/20, Strike $160.00 | 24,000 | ||
| Financials (0.2%) | |||
| 203 | Intercontinental Exchange, Inc. | ||
| 1,783,558 | Call, 01/15/21, Strike $90.00 | 184,730 | |
| Industrials (0.3%) | |||
| 137 | EUR | Airbus, SE | |
| 1,754,422 | Call, 12/18/20, Strike 130.00 | 201,707 | |
| 159 | CSX Corp. | ||
| 1,119,360 | Call, 01/15/21, Strike $85.00 | 62,805 | |
| 264,512 | |||
| Information Technology (0.1%) | |||
| 19 | Shopify, Inc. | ||
| 603,972 | Call, 01/15/21, Strike $350.00 | 119,700 | |
| Materials (0.1%) | |||
| 229 | Rio Tinto, PLC | ||
| 1,307,132 | Call, 01/17/20, Strike $60.00 | 54,960 |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |
|---|---|---|
| Other (0.4%) | ||
| Invesco QQQ Trust Series | ||
| 384 | ||
| 7,338,240 | Put, 08/23/19, Strike $188.00 | $ 84,288 |
| 259 | ||
| 4,949,490 | Put, 01/17/20, Strike $188.00 | 197,487 |
| 750 | iShares Russell 2000 Value ETF | |
| 9,072,000 | Call, 11/15/19, Strike $125.00 | 161,250 |
| 443,025 | ||
| TOTAL PURCHASED OPTIONS (Cost $1,413,725) | 1,234,497 | |
| NUMBER OF SHARES | VALUE | |
| SHORT TERM INVESTMENTS (4.3%) | ||
| 2,238,964 | Fidelity Prime Money Market Fund - Institutional Class, 2.350%*** | 2,239,635 |
| 2,231,730 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 2.210%*** | 2,231,730 |
| TOTAL SHORT TERM INVESTMENTS (Cost $4,471,365) | 4,471,365 | |
| TOTAL INVESTMENTS (148.3%) (Cost $160,516,536) | 153,734,151 | |
| MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-11.6%) | (12,000,000) | |
| LIABILITIES, LESS OTHER ASSETS (-36.7%) | (38,089,978) | |
| NET ASSETS (100.0%) | $ 103,644,173 | |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |
| WRITTEN OPTIONS (-0.1%) # | ||
| Financials (-0.1%) | ||
| 385 | American International Group, Inc. | |
| 2,155,615 | Call, 01/17/20, Strike $57.50 | (106,645) |
| Health Care (0.0%) | ||
| 128 | Johnson & Johnson | |
| 1,666,816 | Call, 01/17/20, Strike $140.00 | (32,064) |
| TOTAL WRITTEN OPTIONS (Premium $80,638) | (138,709) |
NOTES TO SCHEDULE OF INVESTMENTS
| µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $20,308,901. |
|---|---|
| ^ | Security, or portion of security, is on loan. |
See accompanying Notes to Schedule of Investments
8
Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
| * | Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (QIBs), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. | | --- | --- | | @ | In default status and considered non-income producing. | | | Variable rate security. The rate shown is the rate in effect at July 31, 2019. | | & | Illiquid security. | | # | Non-income producing security. | | ~ | Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $1,548,412. | | *** | The rate disclosed is the 7 day net yield as of July 31, 2019. The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security. |
| FOREIGN CURRENCY ABBREVIATIONS | |
|---|---|
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CNY | Chinese Yuan Renminbi |
| EUR | European Monetary Unit |
| GBP | British Pound Sterling |
| HKD | Hong Kong Dollar |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| SEK | Swedish Krona |
| TWD | New Taiwan Dollar |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments
9
Calamos Global Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
CURRENCY EXPOSURE JULY 31, 2019
| US Dollar | $ 113,139,303 | % of Total Investments — 73.7% |
|---|---|---|
| European Monetary Unit | 13,637,457 | 8.9% |
| Hong Kong Dollar | 5,705,656 | 3.7% |
| Japanese Yen | 5,172,456 | 3.4% |
| Canadian Dollar | 3,992,688 | 2.6% |
| British Pound Sterling | 3,266,961 | 2.1% |
| Australian Dollar | 2,418,656 | 1.6% |
| Swiss Franc | 1,919,332 | 1.2% |
| Indian Rupee | 1,629,492 | 1.1% |
| Swedish Krona | 1,132,156 | 0.7% |
| New Taiwan Dollar | 1,003,212 | 0.6% |
| Chinese Yuan Renminbi | 578,073 | 0.4% |
| Total Investments Net of Written Options | $ 153,595,442 | 100.0% |
| Currency exposure may vary over time. |
See accompanying Notes to Schedule of Investments
10
Note 1 Organization and Significant Accounting Policies
Organization. Calamos Global Total Return (the Fund) was organized as a Delaware statutory trust on March 30, 2004 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced operations on October 27, 2005.
The Funds investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in a portfolio of common and preferred stocks, convertible securities and income producing securities such as investment grade and below investment grade (high yield/high risk) debt securities. Under normal circumstances, the Fund will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 100% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers, in developed and emerging markets. Under normal circumstances, the Fund will invest at least 40% of its managed assets in securities of foreign issuers. Managed assets means the Funds total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The valuation of the Funds investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (NAV). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (NYSE) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. 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.
Note 2 Investments
The cost basis of investments for federal income tax purposes at July 31, 2019 was as follows*:
Cost basis of investments $ 160,435,898
| Gross unrealized appreciation | 5,302,019 |
|---|---|
| Gross unrealized depreciation | (12,142,475) |
| Net unrealized appreciation (depreciation) | $(6,840,456) |
- Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report.
Note 3 Mandatory Redeemable Preferred Shares
On September 6, 2017, the Fund issued 480,000 mandatory redeemable preferred shares (MRPS) with an aggregate liquidation preference of $12.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.
The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2019.
| Series | Term Redemption Date | Dividend Rate | Shares (000s) | Liquidation Preference Per Share | Aggregate Liquidation Preference |
|---|---|---|---|---|---|
| Series A | 9/06/22 | 3.70% | 160 | $25 | $4,000,000 |
| Series B | 9/06/24 | 4.00% | 160 | $25 | $4,000,000 |
| Series C | 9/06/27 | 4.24% | 160 | $25 | $4,000,000 |
| Total | $12,000,000 |
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated AA by Fitch Ratings, Inc. (Fitch). If on the first day of a monthly dividend period the MRPS of any class are rated lower than A by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares within the Statement of Operations.
The MRPS rank junior to the Funds borrowings under the SSB Agreement and senior to the Funds outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the OC Test) and an asset coverage test with respect to its outstanding senior securities (the AC Test). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.
Except as otherwise required pursuant to the Funds governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.