N-CSRS 1 csq_ncsrs.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER: 811-21484 EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Strategic Total Return Fund ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville, Illinois 60563 NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary, Calamos Advisors, LLC 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 April 30, 2005 ITEM 1. REPORTS TO SHAREHOLDERS [PHOTO OMITTED] CALAMOS(R) STRATEGIC TOTAL RETURN FUND SEMIANNUAL REPORT APRIL 30, 2005 [LOGO](R) CALAMOS INVESTMENTS(R) Table of Contents President's Letter ........................................................ 1 Schedule of Investments ................................................... 3 Statement of Assets and Liabilities ....................................... 11 Statement of Operations ................................................... 12 Statement of Changes In Net Assets ........................................ 13 Notes to Financial Statements ............................................. 14 Financial Highlights ...................................................... 20 Report of Independent Registered Public Accounting Firm ........................................................ 21 Other Information ......................................................... 22 President's Letter [PHOTO OMITTED] Dear Shareholder, This semi-annual report covers the period of November 1, 2004, to April 30, 2005, a period where the markets demonstrated their propensity to surge--and decline--in relatively short periods of time. For example, while most of 2004's return came in the latter two months of that calendar year, the markets gave a good portion back in the early months of 2005. It is our belief that historically, the market's upside trend outpaces the downside, an observation which keeps us fully invested and focused on risk management throughout the full course of the market cycle. Your fund, the CALAMOS STRATEGIC TOTAL RETURN FUND (NYSE: CSQ), provides a prime example of our risk-managed total return focus at work. Designed to provide total return, through a combination of capital appreciation and current income, the Fund makes use of equity, convertible and high-yield securities in a flexible, opportunistic manner to achieve this goal. The Fund typically allocates a significant portion of assets to equities while allowing for current income from convertible and high-yield bonds. It's important to note that these non-equity securities also provide the opportunity for capital appreciation, as they are more equity sensitive than traditional fixed income allocations. During the period of this report, as well as since its inception, the Fund's portfolio has demonstrated its ability to provide ample income and provide a total return that is in line with that of the equity market. However, the Fund's market price trailed that of the value of the underlying portfolio (otherwise known as net asset value or NAV) during the period, meaning that it has traded at a discount. As a refresher to some of our shareholders, a closed-end fund is traded on an exchange, where buyers and sellers determine the price of the fund. The fund thus may trade at a premium (higher than NAV) or at a discount (lower than NAV). While we are not satisfied that the market has not fully realized the value of the underlying portfolio's performance to date as well as its potential, we continue to expand our communication efforts in order to help both current and prospective investors appreciate the Fund's merits. Another important development during the period was the Board of Trustees' ratification of a level-rate distribution policy for the Fund, announced in April of 2005. We recognize how important stability of income can be, particularly to closed-end fund investors, and sought to formalize the Fund's goal of providing such stability. Moreover, in announcing our commitment to a level-rate policy, we also raised the monthly CALAMOS STRATEGIC TOTAL RETURN FUND The views expressed in this report reflect those of Calamos Advisors LLC through June 20, 2005. The manager's views are subject to change at any time based on market and other conditions. This report is submitted for general information for the shareholders of the fund. Strategic Total Return Fund President's Letter SEMIANNUAL REPORT 1 President's Letter dividend rate to 8.75 cents per share or $1.05 per share on an annual basis. The new distribution rate represented a 16.7% increase compared to the prior monthly distribution rate, and an annualized rate of 7.74% based on the Fund's market price of $13.57 on April 30, 2005, or an annualized rate of 7.00% based on the Fund's offering price of $15.00. We believe that the adoption of a level rate distribution policy has the potential to serve the long-term interests of you as a CSQ shareholder, as consistent, dependable distributions can be an important component of your total return goals. If any distribution exceeds the Fund's net investment company taxable income, the excess generally will be a tax-free return of capital. The Fund seeks total return through a combination of capital appreciation and current income. While we are currently producing a steady rate of distribution income, the potential to earn capital gains often comes from market spikes--which are not so steady. There is no guarantee that the Fund will realize capital gains in any given year. However, we believe the Fund is well positioned to participate in the market's upside movements when they occur, while delivering steady distributions. Over time, this combination has the potential to produce significant long-term total returns for our shareholders. Together, the Fund's portfolio management team's risk-managed approach, communications efforts, and dividend policy are all designed to enhance the value of your investment. We believe that the Fund's flexible mandate and its focus on long-term equity participation provides the potential to create long term wealth for shareholders, while our risk management and dividend commitment provide downside protection and current, dependable income. As a portfolio manager--and shareholder--I remain committed to striving to help you meet your long-term investment goals. Thank you for your confidence in CALAMOS INVESTMENTS and CSQ. Sincerely, /s/ John P. Calamos JOHN P. CALAMOS, SR. Chairman, Chief Executive Officer and Co-Chief Investment Officer Strategic Total Return Fund 2 SEMIANNUAL REPORT President's Letter Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- CORPORATE BONDS (47.8%) CONSUMER DISCRETIONARY (11.9%) $ 4,999,000 Accuride Corp.* 8.500%, 02/01/15 $ 4,724,055 4,545,000 Asbury Automotive Group, Inc.^ 8.000%, 03/15/14 4,181,400 7,272,000 Aztar Corp.^ 7.875%, 06/15/14 7,653,780 10,321,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 10,991,865 4,545,000 Boyd Gaming Corp.^ 7.750%, 12/15/12 4,794,975 7,726,000 GBP EMI Group, PLC 8.250%, 05/20/08 15,982,977 18,179,000 Goodyear Tire & Rubber Company^ 7.857%, 08/15/11 16,451,995 8,181,000 Hovnanian Enterprises, Inc.^ 7.750%, 05/15/13 8,365,072 6,363,000 IMAX Corp.^ 9.625%, 12/01/10 6,760,687 8,635,000 Intrawest Corp.^ 7.500%, 10/15/13 8,635,000 6,916,000 Jarden Corp. 9.750%, 05/01/12 7,400,120 4,545,000 Kellwood Company 7.625%, 10/15/17 4,847,947 6,817,000 Landry's Restaurants, Inc.* 7.500%, 12/15/14 6,373,895 Mandalay Resort Group^ 19,583,000 10.250%, 08/01/07 21,590,257 5,908,000 7.625%, 07/15/13 6,129,550 11,816,000 Meritage Corp.^ 7.000%, 05/01/14 11,756,920 5,454,000 NCL Holding, ASA* 10.625%, 07/15/14 5,617,620 4,545,000 Oxford Industries, Inc. 8.875%, 06/01/11 4,726,800 Pinnacle Entertainment, Inc. 8,181,000 8.250%, 03/15/12 8,058,285 4,677,000 8.750%, 10/01/13^ 4,723,770 9,103,000 Reader's Digest Association, Inc.^ 6.500%, 03/01/11 9,080,243 9,089,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 7,421,877 5,908,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 4,742,176 11,816,000 Royal Caribbean Cruises, Ltd.^ 7.500%, 10/15/27 12,406,800 7,726,000 Spanish Broadcasting Systems, Inc. 9.625%, 11/01/09 8,102,643 4,545,000 Speedway Motorsports, Inc. 6.750%, 06/01/13 4,596,131 PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 13,634,000 Standard Pacific Corp. 9.250%, 04/15/12 $ 15,065,570 7,726,000 Stoneridge, Inc. 11.500%, 05/01/12 8,228,190 4,545,000 Vail Resorts, Inc. 6.750%, 02/15/14 4,499,550 Warner Music Group 16,816,000 7.375%, 04/15/14 16,900,080 2,272,000 GBP 8.125%, 04/15/14 4,528,149 --------------- 265,338,379 --------------- CONSUMER STAPLES (3.8%) 7,726,000 Central Garden & Pet Company 9.125%, 02/01/13 8,344,080 13,407,000 Chiquita Brands International, Inc.^ 7.500%, 11/01/14 12,334,440 10,453,000 Del Monte Foods Company 8.625%, 12/15/12 11,236,975 15,452,000 Jean Coutu Group, Inc.^ 8.500%, 08/01/14 14,640,770 Rayovac Corp.^ 21,815,000 7.375%, 02/01/15* 21,269,625 5,454,000 8.500%, 10/01/13 5,631,255 5,726,000 Revlon Consumer Products Corp.*^ 9.500%, 04/01/11 5,539,905 4,274,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 4,573,180 --------------- 83,570,230 --------------- ENERGY (5.8%) Chesapeake Energy Corp. 6,363,000 6.875%, 01/15/16 6,363,000 3,636,000 7.500%, 06/15/14^ 3,826,890 3,636,000 Comstock Resources, Inc. 6.875%, 03/01/12 3,563,280 13,452,000 Giant Industries, Inc.^ 8.000%, 05/15/14 13,586,520 4,545,000 Houston Exploration Company 7.000%, 06/15/13 4,590,450 4,545,000 KCS Energy, Inc. 7.125%, 04/01/12 4,522,275 909,000 Lone Star Technologies, Inc. 9.000%, 06/01/11 958,995 Overseas Shipholding Group, Inc. 7,272,000 7.500%, 02/15/24 7,017,480 2,272,000 8.750%, 12/01/13 2,521,920 Petroleo Brasileiro, SA 14,998,000 9.125%, 07/02/13 16,497,800 14,089,000 8.375%, 12/10/18^ 14,458,836 Premcor Refining Group, Inc. 7,272,000 7.750%, 02/01/12^ 7,853,760 6,363,000 7.500%, 06/15/15 6,872,040 10,294,000 Swift Energy Company 9.375%, 05/01/12 11,066,050 Strategic Total Return Fund Schedule of Investments SEMIANNUAL REPORT 3 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 6,863,000 Whiting Petroleum Corp. 7.250%, 05/01/12 $ 6,863,000 18,179,000 Williams Companies, Inc.^ 7.750%, 06/15/31 19,269,740 --------------- 129,832,036 --------------- FINANCIALS (2.7%) 36,358,000 Dow Jones TRAC-X North America High Yield Series 4 June 2010 Trust 3*^ 8.000%, 06/29/10 35,767,183 13,634,000 Leucadia National Corp. 7.000%, 08/15/13 13,702,170 9,544,000 Senior Housing Properties Trust 8.625%, 01/15/12 10,402,960 --------------- 59,872,313 --------------- HEALTH CARE (4.5%) 4,181,000 Alpharma, Inc.^* 8.625%, 05/01/11 4,076,475 4,545,000 Ameripath, Inc. 10.500%, 04/01/13 4,567,725 3,318,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 3,417,540 12,725,000 Beverly Enterprises, Inc. 7.875%, 06/15/14 13,997,500 5,454,000 Leiner Health Products Group, Inc. 11.000%, 06/01/12 5,781,240 9,998,000 MedCath Corp.^ 9.875%, 07/15/12 10,947,810 5,453,000 Psychiatric Solutions, Inc. 10.625%, 06/15/13 6,052,830 4,545,000 Quintiles Transnational Corp.^ 10.000%, 10/01/13 4,931,325 17,270,000 Service Corp. International^ 6.750%, 04/01/16 16,536,025 16,088,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 16,168,440 12,271,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 12,853,873 --------------- 99,330,783 --------------- INDUSTRIALS (5.7%) 15,452,000 EUR AGCO Corp. 6.875%, 04/15/14 20,878,636 6,045,000 American Airlines, Inc.^ 7.250%, 02/05/09 5,742,750 2,727,000 Armor Holdings, Inc.^ 8.250%, 08/15/13 2,904,255 CNH Global, NV* 12,271,000 9.250%, 08/01/11 12,577,775 2,727,000 9.250%, 08/01/11 2,795,175 12,271,000 Cummins, Inc.^ 9.500%, 12/01/10 13,252,680 3,239,000 Gardner Denver, Inc.* 8.000%, 05/01/13 3,255,195 PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 8,635,000 General Cable Corp. 9.500%, 11/15/10 $ 9,196,275 15,452,000 Hutchison Whampoa, Ltd.*^ 6.250%, 01/24/14 16,340,196 9,089,000 Jacuzzi Brands, Inc. 9.625%, 07/01/10 9,770,675 Manitowoc Company, Inc. 3,413,000 10.500%, 08/01/12 3,814,028 2,954,000 EUR 10.375%, 05/15/11 4,210,002 4,545,000 Monitronics International, Inc. 11.750%, 09/01/10 4,874,513 5,454,000 Navistar International Corp.^ 7.500%, 06/15/11 5,181,300 2,727,000 Orbital Sciences Corp. 9.000%, 07/15/11 2,972,430 4,545,000 Sequa Corp. 8.875%, 04/01/08 4,704,075 4,545,000 United Rentals, Inc.^ 7.000%, 02/15/14 4,113,225 --------------- 126,583,185 --------------- INFORMATION TECHNOLOGY (5.4%) 21,815,000 Advanced Micro Devices, Inc.^ 7.750%, 11/01/12 20,560,637 12,725,000 Avnet, Inc. 9.750%, 02/15/08 14,252,000 7,726,000 Celestica, Inc.^ 7.875%, 07/01/11 7,726,000 4,545,000 Freescale Semiconductor, Inc.^ 7.125%, 07/15/14 4,749,525 Iron Mountain, Inc. 9,998,000 6.625%, 01/01/16 8,948,210 2,272,000 GBP 7.250%, 04/15/14* 3,964,839 Lucent Technologies, Inc. 11,544,000 6.500%, 01/15/28 9,725,820 5,931,000 6.450%, 03/15/29^ 5,033,936 6,363,000 Sanmina-Sci Corp.^ 10.375%, 01/15/10 6,999,300 4,545,000 Stratus Technologies, Inc.^ 10.375%, 12/01/08 4,454,100 13,634,000 Telcordia Technologies* 10.000%, 03/15/13 13,224,980 Xerox Corp.^ 10,907,000 8.000%, 02/01/27 11,070,605 9,089,000 7.625%, 06/15/13 9,747,953 --------------- 120,457,905 --------------- MATERIALS (5.3%) 7,726,000 Aleris International, Inc. 10.375%, 10/15/10 8,440,655 10,907,000 Arch Western Finance, LLC 6.750%, 07/01/13 10,988,802 2,727,000 Century Aluminum Company^ 7.500%, 08/15/14 2,686,095 14,298,000 Freeport-McMoRan Copper & Gold, Inc.^ 10.125%, 02/01/10 15,727,800 Strategic Total Return Fund 4 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 8,635,000 Georgia-Pacific Corp. 7.375%, 12/01/25 $ 8,667,381 1,877,000 Graham Packaging Holdings Company*^ 9.875%, 10/15/14 1,801,920 9,089,000 IPSCO, Inc. 8.750%, 06/01/13 10,134,235 7,499,000 Novelis, Inc.* 7.250%, 02/15/15 7,292,777 4,545,000 Polyone Corp.^ 10.625%, 05/15/10 5,033,588 7,726,000 Steel Dynamics, Inc. 9.500%, 03/15/09^ 8,305,450 10,907,000 Texas Industries, Inc. 10.250%, 06/15/11 12,297,643 7,272,000 U.S. Concrete, Inc. 8.375%, 04/01/14 7,072,020 Union Carbide Corp. 9,953,000 7.875%, 04/01/23^ 10,916,271 7,862,000 7.500%, 06/01/25 8,436,744 --------------- 117,801,381 --------------- TELECOMMUNICATION SERVICES (2.1%) Alamosa Holdings, Inc. 11,816,000 8.500%, 01/31/12^ 12,288,640 4,545,000 11.000%, 07/31/10 5,096,081 19,997,000 AT&T Corp. 9.750%, 11/15/31 24,996,250 4,090,000 IPCS Escrow Company 11.500%, 05/01/12 4,539,900 --------------- 46,920,871 --------------- UTILITIES (0.6%) 5,454,000 Calpine Corp.^ 8.500%, 02/15/11 2,713,365 10,907,000 Edison International 7.730%, 06/15/09 11,234,210 --------------- 13,947,575 --------------- TOTAL CORPORATE BONDS (Cost $1,062,905,341) 1,063,654,658 =============== CONVERTIBLE BONDS (4.0%) CONSUMER DISCRETIONARY (0.9%) 7,000,000 General Motors Corp.+ 6.250%, 07/15/33 5,275,200 14,000,000 Walt Disney Company^ 2.125%, 04/15/23 14,770,000 --------------- 20,045,200 --------------- ENERGY (0.8%) 15,000,000 Repsol Ypf, SA 4.500%, 01/26/11 17,866,691 --------------- FINANCIALS (0.4%) 8,700,000 Host Marriott Corp.*^ 3.250%, 04/15/24 9,417,750 --------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- INDUSTRIALS (0.6%) $ 9,000,000 GATX Corp. 7.500%, 02/01/07 $ 10,451,250 2,778,000 Quanta Services Inc. 4.500%, 10/01/23 2,784,945 --------------- 13,236,195 --------------- INFORMATION TECHNOLOGY (0.7%) 16,500,000 Advanced Micro Devices, Inc.^++ 4.750%, 02/01/22 15,489,375 --------------- MATERIALS (0.6%) 10,700,000 Freeport-McMoRan Copper & Gold, Inc. 7.000%, 02/11/11 13,629,125 --------------- TOTAL CONVERTIBLE BONDS (Cost $98,430,469) 89,684,336 =============== SYNTHETIC CONVERTIBLE SECURITIES (5.6%) CORPORATE BONDS (4.8%) CONSUMER DISCRETIONARY (1.2%) 501,000 Accuride Corp.* 8.500%, 02/01/15 473,445 455,000 Asbury Automotive Group, Inc.^ 8.000%, 03/15/14 418,600 728,000 Aztar Corp.^ 7.875%, 06/15/14 766,220 1,034,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 1,101,210 455,000 Boyd Gaming Corp.^ 7.750%, 12/15/12 480,025 774,000 GBP EMI Group, PLC 8.250%, 05/20/08 1,601,194 1,821,000 Goodyear Tire & Rubber Company^ 7.857%, 08/15/11 1,648,005 819,000 Hovnanian Enterprises, Inc.^ 7.750%, 05/15/13 837,427 637,000 IMAX Corp.^ 9.625%, 12/01/10 676,813 865,000 Intrawest Corp.^ 7.500%, 10/15/13 865,000 693,000 Jarden Corp. 9.750%, 05/01/12 741,510 455,000 Kellwood Company 7.625%, 10/15/17 485,328 683,000 Landry's Restaurants, Inc.* 7.500%, 12/15/14 638,605 Mandalay Resort Group^ 1,962,000 10.250%, 08/01/07 2,163,105 592,000 7.625%, 07/15/13 614,200 1,184,000 Meritage Corp.^ 7.000%, 05/01/14 1,178,080 546,000 NCL Holding, ASA* 10.625%, 07/15/14 562,380 455,000 Oxford Industries, Inc. 8.875%, 06/01/11 473,200 Strategic Total Return Fund Schedule of Investments SEMIANNUAL REPORT 5 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- Pinnacle Entertainment, Inc. $ 819,000 8.250%, 03/15/12 $ 806,715 468,000 8.750%, 10/01/13^ 472,680 912,000 Reader's Digest Association, Inc.^ 6.500%, 03/01/11 909,720 911,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 743,902 592,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 475,181 1,184,000 Royal Caribbean Cruises, Ltd.^ 7.500%, 10/15/27 1,243,200 774,000 Spanish Broadcasting Systems, Inc. 9.625%, 11/01/09 811,733 455,000 Speedway Motorsports, Inc. 6.750%, 06/01/13 460,119 1,366,000 Standard Pacific Corp. 9.250%, 04/15/12 1,509,430 774,000 Stoneridge, Inc. 11.500%, 05/01/12 824,310 455,000 Vail Resorts, Inc. 6.750%, 02/15/14 450,450 Warner Music Group 1,684,000 7.375%, 04/15/14 1,692,420 228,000 GBP 8.125%, 04/15/14 454,409 --------------- 26,578,616 --------------- CONSUMER STAPLES (0.4%) 774,000 Central Garden & Pet Company 9.125%, 02/01/13 835,920 1,343,000 Chiquita Brands International, Inc.^ 7.500%, 11/01/14 1,235,560 1,047,000 Del Monte Foods Company 8.625%, 12/15/12 1,125,525 1,548,000 Jean Coutu Group, Inc.^ 8.500%, 08/01/14 1,466,730 Rayovac Corp.^ 2,185,000 7.375%, 02/01/15* 2,130,375 546,000 8.500%, 10/01/13 563,745 574,000 Revlon Consumer Products Corp.*^ 9.500%, 04/01/11 555,345 428,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 457,960 --------------- 8,371,160 --------------- ENERGY (0.6%) Chesapeake Energy Corp. 637,000 6.875%, 01/15/16 637,000 364,000 7.500%, 06/15/14^ 383,110 364,000 Comstock Resources, Inc. 6.875%, 03/01/12 356,720 1,348,000 Giant Industries, Inc.^ 8.000%, 05/15/14 1,361,480 455,000 Houston Exploration Company 7.000%, 06/15/13 459,550 455,000 KCS Energy, Inc. 7.125%, 04/01/12 452,725 PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 91,000 Lone Star Technologies, Inc. 9.000%, 06/01/11 $ 96,005 Overseas Shipholding Group, Inc. 728,000 7.500%, 02/15/24 702,520 228,000 8.750%, 12/01/13 253,080 Petroleo Brasileiro, SA 1,502,000 9.125%, 07/02/13 1,652,200 1,411,000 8.375%, 12/10/18^ 1,448,039 Premcor Refining Group, Inc. 728,000 7.750%, 02/01/12^ 786,240 637,000 7.500%, 06/15/15 687,960 1,031,000 Swift Energy Company 9.375%, 05/01/12 1,108,325 687,000 Whiting Petroleum Corp. 7.250%, 05/01/12 687,000 1,821,000 Williams Companies, Inc.^ 7.750%, 06/15/31 1,930,260 --------------- 13,002,214 --------------- FINANCIALS (0.3%) 3,642,000 Dow Jones TRAC-X North America High Yield Series 4 June 2010 Trust 3*^ 8.000%, 06/29/10 3,582,817 1,366,000 Leucadia National Corp. 7.000%, 08/15/13 1,372,830 956,000 Senior Housing Properties Trust 8.625%, 01/15/12 1,042,040 --------------- 5,997,687 --------------- HEALTH CARE (0.4%) 419,000 Alpharma, Inc.*^ 8.625%, 05/01/11 408,525 455,000 Ameripath, Inc. 10.500%, 04/01/13 457,275 332,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 341,960 1,275,000 Beverly Enterprises, Inc. 7.875%, 06/15/14 1,402,500 546,000 Leiner Health Products Group, Inc. 11.000%, 06/01/12 578,760 1,002,000 MedCath Corp.^ 9.875%, 07/15/12 1,097,190 546,000 Psychiatric Solutions, Inc. 10.625%, 06/15/13 606,060 455,000 Quintiles Transnational Corp.^ 10.000%, 10/01/13 493,675 1,730,000 Service Corp. International^ 6.750%, 04/01/16 1,656,475 1,612,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 1,620,060 1,229,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 1,287,378 --------------- 9,949,858 --------------- Strategic Total Return Fund 6 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- INDUSTRIALS (0.6%) $ 1,548,000 EUR AGCO Corp. 6.875%, 04/15/14 $ 2,091,647 605,000 American Airlines, Inc.^ 7.250%, 02/05/09 574,750 273,000 Armor Holdings, Inc.^ 8.250%, 08/15/13 290,745 CNH Global, NV* 1,229,000 9.250%, 08/01/11 1,259,725 273,000 9.250%, 08/01/11 279,825 1,229,000 Cummins, Inc.^ 9.500%, 12/01/10 1,327,320 324,000 Gardner Denver, Inc.* 8.000%, 05/01/13 325,620 865,000 General Cable Corp. 9.500%, 11/15/10 921,225 1,548,000 Hutchison Whampoa, Ltd.*^ 6.250%, 01/24/14 1,636,981 911,000 Jacuzzi Brands, Inc. 9.625%, 07/01/10 979,325 Manitowoc Company, Inc. 342,000 10.500%, 08/01/12 382,185 296,000 EUR 10.375%, 05/15/11 421,855 455,000 Monitronics International, Inc. 11.750%, 09/01/10 487,987 546,000 Navistar International Corp.^ 7.500%, 06/15/11 518,700 273,000 Orbital Sciences Corp. 9.000%, 07/15/11 297,570 455,000 Sequa Corp. 8.875%, 04/01/08 470,925 455,000 United Rentals, Inc.^ 7.000%, 02/15/14 411,775 --------------- 12,678,160 --------------- INFORMATION TECHNOLOGY (0.5%) 2,185,000 Advanced Micro Devices, Inc.^ 7.750%, 11/01/12 2,059,362 1,275,000 Avnet, Inc. 9.750%, 02/15/08 1,428,000 774,000 Celestica, Inc.^ 7.875%, 07/01/11 774,000 455,000 Freescale Semiconductor, Inc.^ 7.125%, 07/15/14 475,475 Iron Mountain, Inc. 1,002,000 6.625%, 01/01/16 896,790 228,000 GBP 7.250%, 04/15/14* 397,880 Lucent Technologies, Inc. 1,156,000 6.500%, 01/15/28 973,930 594,000 6.450%, 03/15/29^ 504,157 637,000 Sanmina-Sci Corp.^ 10.375%, 01/15/10 700,700 455,000 Stratus Technologies, Inc.^ 10.375%, 12/01/08 445,900 PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- $ 1,366,000 Telcordia Technologies* 10.000%, 03/15/13 $ 1,325,020 Xerox Corp.^ 1,093,000 8.000%, 02/01/27 1,109,395 911,000 7.625%, 06/15/13 977,048 --------------- 12,067,657 --------------- MATERIALS (0.5%) 774,000 Aleris International, Inc. 10.375%, 10/15/10 845,595 1,093,000 Arch Western Finance, LLC 6.750%, 07/01/13 1,101,197 273,000 Century Aluminum Company^ 7.500%, 08/15/14 268,905 1,432,000 Freeport-McMoRan Copper & Gold, Inc.^ 10.125%, 02/01/10 1,575,200 865,000 Georgia-Pacific Corp. 7.375%, 12/01/25 868,244 188,000 Graham Packaging Holdings Company*^ 9.875%, 10/15/14 180,480 911,000 IPSCO, Inc. 8.750%, 06/01/13 1,015,765 751,000 Novelis, Inc.* 7.250%, 02/15/15 730,347 455,000 Polyone Corp.^ 10.625%, 05/15/10 503,912 774,000 Steel Dynamics, Inc. 9.500%, 03/15/09^ 832,050 1,093,000 Texas Industries, Inc. 10.250%, 06/15/11 1,232,358 728,000 U.S. Concrete, Inc. 8.375%, 04/01/14 707,980 Union Carbide Corp. 997,000 7.875%, 04/01/23^ 1,093,492 788,000 7.500%, 06/01/25 845,606 --------------- 11,801,131 --------------- TELECOMMUNICATION SERVICES (0.2%) Alamosa Holdings, Inc. 1,184,000 8.500%, 01/31/12^ 1,231,360 455,000 11.000%, 07/31/10 510,169 2,003,000 AT&T Corp. 9.750%, 11/15/31 2,503,750 410,000 IPCS Escrow Company 11.500%, 05/01/12 455,100 --------------- 4,700,379 --------------- UTILITIES (0.1%) 546,000 Calpine Corp.^ 8.500%, 02/15/11 271,635 1,093,000 Edison International 7.730%, 06/15/09 1,125,790 --------------- 1,397,425 --------------- TOTAL CORPORATE BONDS 106,544,287 =============== Strategic Total Return Fund Schedule of Investments SEMIANNUAL REPORT 7 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- NUMBER OF CONTRACTS VALUE ------------------------------------------------------------------------------- OPTIONS (0.8%) CONSUMER DISCRETIONARY (0.2%) 1,600 eBay, Inc.# Call, 01/20/07, Strike 42.50 $ 544,000 7,450 Home Depot, Inc.# Call, 01/20/07, Strike 40.00 2,458,500 6,000 YUM! Brands, Inc.# Call, 01/20/07, Strike 50.00 2,880,000 --------------- 5,882,500 --------------- CONSUMER STAPLES (0.1%) 3,000 Altria Group, Inc.# Call, 01/20/07, Strike 65.00 2,370,000 --------------- ENERGY (0.1%) 750 Amerada Hess Corp.# Call, 01/20/07, Strike 100.00 941,250 3,800 Chevrontexaco Corp.# Call, 01/20/07, Strike 60.00 1,368,000 --------------- 2,309,250 --------------- FINANCIALS (0.2%) 1,500 Allstate Corp.# Call, 01/20/07, Strike 55.00 1,005,000 3,600 Citigroup, Inc.# Call, 01/20/07, Strike 40.00 3,348,000 --------------- 4,353,000 --------------- INFORMATION TECHNOLOGY (0.2%) 4,800 Apple Computer, Inc.# Call, 01/20/07, Strike 37.50 3,888,000 --------------- TOTAL OPTIONS 18,802,750 =============== TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $131,059,906) 125,347,037 =============== NUMBER OF SHARES VALUE ------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (19.1%) CONSUMER DISCRETIONARY (4.1%) 2,325,000 Ford Motor Company Capital Trust II 6.500% 90,558,750 --------------- CONSUMER STAPLES (1.1%) 1,105,000 Albertson's, Inc. 7.250% 23,713,300 --------------- ENERGY (0.9%) 200,000 Chesapeake Energy Corp.* 5.000% 19,875,000 --------------- FINANCIALS (7.7%) 25,000,000 Assurant, Inc.* 7.750% 25,487,500 925,000 Chubb Corp. 7.000% 27,602,000 650,000 Genworth Financial, Inc. 6.000% 20,832,500 NUMBER OF SHARES VALUE ------------------------------------------------------------------------------- 515,000 Hartford Financial Services Group, Inc. 7.000% $ 33,990,000 850,000 Lehman Brothers Holdings, Inc. 6.250% 22,499,500 460,000 Merrill Lynch & Company, Inc. 6.750% 15,894,380 470,000 National Australia Bank, Ltd. 7.875% 17,813,000 35,000 State Street Corp. 6.750% 7,301,000 --------------- 171,419,880 --------------- HEALTH CARE (2.3%) 635,000 Baxter International, Inc. 7.000% 35,369,500 314,000 Schering-Plough Corp. 6.000% 17,191,500 --------------- 52,561,000 --------------- INDUSTRIALS (0.8%) 6,500,000 GBP BAE Systems, PLC 7.750% 16,966,541 --------------- INFORMATION TECHNOLOGY (1.3%) 255,000 Xerox Corp. 6.250% 29,478,000 --------------- UTILITIES (0.9%) Southern Union Company 200,000 5.000% 10,030,000 150,000 5.750% 10,567,500 --------------- 20,597,500 --------------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $455,481,603) 425,169,971 =============== COMMON STOCKS (70.1%) CONSUMER DISCRETIONARY (3.7%) 577,000 General Motors Corp.^ 15,394,360 750,000 Genuine Parts Company^ 32,175,000 731,000 May Department Stores Company^ 25,643,480 490,000 Maytag Corp.^<> 4,748,100 300,000 Reader's Digest Association, Inc. 5,100,000 --------------- 83,060,940 --------------- CONSUMER STAPLES (3.1%) 320,000 Altria Group, Inc.^ 20,796,800 420,000 Reynolds American, Inc.^ 32,747,400 696,200 Sara Lee Corp.^ 14,891,718 --------------- 68,435,918 --------------- ENERGY (8.0%) 1,040,000 Chevrontexaco Corp.^ 54,080,000 366,000 Conocophillips 38,375,100 455,000 Kerr-Mcgee Corp.^ 35,308,000 325,000 Marathon Oil Corporation 15,135,250 36,000 EUR OMV, AG 11,087,695 Strategic Total Return Fund 8 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE ------------------------------------------------------------------------------- 395,000 PetroChina Company, Ltd.^ $ 23,585,450 --------------- 177,571,495 --------------- FINANCIALS (20.0%) 732,900 Allstate Corp. 41,159,664 980,000 Bank of America Corp. 44,139,200 1,372,000 Citigroup, Inc. 64,429,120 477,000 Federal National Mortgage Association<> 25,734,150 220,000 Fidelity National Corp.<> 7,064,200 978,700 General Growth Properties, Inc.^<> 38,276,957 230,000 IndyMac Bancorp, Inc.<> 8,850,400 176,000 Jefferson-Pilot Corp. 8,836,960 559,600 Mills Corp. 31,975,544 1,395,100 New York Community Bancorp, Inc. 24,693,270 118,900 UnionBanCal Corp. 7,319,484 855,000 Wachovia Corp.^ 43,758,900 2,428,000 Washington Mutual, Inc. 100,324,960 --------------- 446,562,809 --------------- HEALTH CARE (12.8%) 4,146,000 Bristol-Myers Squibb Company^ 107,796,000 1,300,000 Johnson & Johnson 89,219,000 1,755,000 Merck & Company, Inc.<> 59,494,500 1,082,000 Pfizer, Inc. 29,397,940 --------------- 285,907,440 --------------- INDUSTRIALS (7.5%) 315,000 Caterpillar, Inc.<> 27,735,750 410,000 Emerson Electric Company 25,694,700 819,000 General Electric Company 29,647,800 450,000 Masco Corp.^ 14,170,500 350,000 R.R. Donnelley & Sons Company 11,518,500 870,000 Raytheon Company^ 32,720,700 920,000 Waste Management, Inc. 26,210,800 --------------- 167,698,750 --------------- INFORMATION TECHNOLOGY (3.3%) 1,382,000 Intel Corp. 32,504,640 650,000 Microsoft Corp. 16,445,000 1,500,000 Nokia Corp. 23,970,000 --------------- 72,919,640 --------------- MATERIALS (1.0%) 215,000 Bemis Company, Inc. 5,925,400 280,000 Lubrizol Corp. 10,855,600 270,000 RPM International, Inc.^ 4,657,500 --------------- 21,438,500 --------------- TELECOMMUNICATION SERVICES (10.7%) 900,000 CAD BCE Inc. 21,600,572 1,850,000 Bellsouth Corp.^ 49,006,500 NUMBER OF SHARES VALUE ------------------------------------------------------------------------------- 950,000 MCI, Inc.^ $ 25,203,500 3,071,000 SBC Communications, Inc.^ 73,089,800 1,465,000 Sprint Corp.^ 32,610,900 1,039,000 Verizon Communications, Inc. 37,196,200 --------------- 238,707,472 --------------- TOTAL COMMON STOCKS (Cost $1,543,278,396) 1,562,302,964 =============== PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (1.0% ) $ 1,374,000 Exxon Mobil Corporation 2.600%, 05/02/05 1,373,901 20,000,000 UBS Finance, Inc. 2.600%, 05/02/05 19,998,555 --------------- TOTAL SHORT-TERM INVESTMENTS (Cost $21,372,456) 21,372,456 =============== NUMBER OF SHARES VALUE ------------------------------------------------------------------------------- INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (22.7%) 506,063,093 Bank of New York Institutional Cash Reserve Fund current rate 3.010% (Cost $506,063,093) 506,063,093 =============== TOTAL INVESTMENTS (170.3%) (Cost $3,818,591,264) 3,793,594,515 =============== NUMBER OF CONTRACTS VALUE ------------------------------------------------------------------------------- WRITTEN OPTIONS (-0.1%) 1,260 Caterpillar, Inc. Call, 08/20/05, Strike 95.00 (302,400) 1,900 Federal National Mortgage Association Call, 06/18/05, Strike 60.00 (76,000) 900 Fidelity National Corp. Call, 07/16/05, Strike 35.00 (40,500) 3,900 General Growth Properties, Inc. Call, 07/16/05, Strike 35.00 (1,716,000) 900 IndyMac Bancorp, Inc. Call, 07/16/05, Strike 35.00 (342,000) 2,000 Maytag Corp. Call, 07/16/05, Strike 17.50 (15,000) 7,000 Merck & Company, Inc. Call, 07/16/05, Strike 35.00 (595,000) =============== TOTAL WRITTEN OPTIONS (Cost $2,215,237) (3,086,900) =============== PAYABLE UPON RETURN OF SECURITIES ON LOAN (-22.7%) $ (506,063,093) --------------- OTHER ASSETS, LESS LIABILITIES (1.1%) 23,674,900 --------------- Strategic Total Return Fund Schedule of Investments SEMIANNUAL REPORT 9 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-48.5%) (1,080,746,441) --------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 2,227,372,981 =============== NOTES TO SCHEDULE OF INVESTMENTS Note: Values for securities denominated in foreign currencies are shown in U.S. dollars. * 144A securities are those that are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are generally issued to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must generally be effected through a sale that is exempt from registration (e.g. a sale to another QIB), or the security must be registered for public sale. At April 30, 2005, the market value of 144A securities that could not be exchanged to the registered form was $231,677,735 or 10.4% of net assets applicable to common shareholders of the Fund. ^ Security, or portion of security, is on loan. # Non-Income producing security. + Security is purchased at a price that takes into account the value, if any, of accrued but unpaid interest. ++ Variable rate security. The interest rate shown is the rate in effect at April 30, 2005. <> Security position is held in a segregated account as collateral for written options aggregating a total market value of $171,904,057. FOREIGN CURRENCY ABBREVIATIONS CAD Canadian Dollar EUR European Monetary Unit GBP British Pound Sterling FUND SECTOR ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] FINANCIALS 21.3% CONSUMER DISCRETIONARY 15.1% HEALTH CARE 13.7% ENERGY 11.1% INDUSTRIALS 10.3% TELECOMMUNICATION SERVICES 8.9% INFORMATION TECHNOLOGY 7.8% CONSUMER STAPLES 5.7% MATERIALS 5.0% UTILITIES 1.1% Strategic Total Return Fund 10 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Statement of Assets and Liabilities
APRIL 30, 2005 (UNAUDITED) ----------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value* (cost $3,818,591,264) $ 3,793,594,515 Restricted cash for open options (interest bearing) 150,000 Receivable for investments sold 8,067,706 Accrued interest and dividends receivables 37,341,811 Unrealized appreciation on interest rate swaps 2,454,828 Other assets 10,421 ----------------------------------------------------------------------------------------------------------------------------- Total assets 3,841,619,281 ----------------------------------------------------------------------------------------------------------------------------- LIABILITIES Due to custodian 5,707,102 Payable for income distribution 3,953,699 Payable for investments purchased 11,581,063 Payable to investment advisor 2,731,771 Payable to financial accountant 31,523 Payable for deferred compensation to Trustees 10,421 Options written, at value (premium $2,215,237) 3,086,900 Other accounts payable and accrued liabilities 334,287 Payable upon return of securities loaned 506,063,093 ----------------------------------------------------------------------------------------------------------------------------- Total liabilities 533,499,859 ----------------------------------------------------------------------------------------------------------------------------- PREFERRED SHARES $25,000 liquidation value per share applicable to 43,200 shares, including dividends payable 1,080,746,441 ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 2,227,372,981 ============================================================================================================================= COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS Common stock, no par value, unlimited shares authorized 154,514,000 shares issued and outstanding $ 2,200,733,859 Undistributed net investment income (loss) (5,910,501) Accumulated net realized gain (loss) on investments, written options, foreign currency transactions and interest rate swaps 55,935,590 Net unrealized appreciation (depreciation) on investments, written options, foreign currency translations and interest rate swaps (23,385,967) ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 2,227,372,981 ============================================================================================================================= Net asset value per common share based on 154,514,000 shares issued and outstanding $ 14.42 =============================================================================================================================
* Includes $488,767,686 of securities loaned. Strategic Total Return Fund Statement of Assets and Liabilities SEMIANNUAL REPORT 11 See accompanying Notes to Financial Statements. Statement of Operations
SIX MONTHS ENDED APRIL 30, 2005 (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest $ 52,316,602 Dividends (net of foreign taxes witheld of $155,902) 39,169,475 Securities lending income 1,014,094 ------------------------------------------------------------------------------------------------------------------------- Total investment income 92,500,171 ------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 16,786,159 Financial accounting fees 191,043 Auction agent and rating agency fees 1,376,512 Printing and mailing fees 324,463 Accounting fees 236,785 Custodian fees 109,365 Registration fees 66,850 Audit and legal fees 66,593 Trustees' fees 13,941 Transfer agent fees 13,785 Other 36,411 ------------------------------------------------------------------------------------------------------------------------- Total expenses 19,221,907 ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 73,278,264 ========================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS NET REALIZED GAIN (LOSS) FROM: Investments 74,906,497 Written options 1,600 Foreign currency transactions 53,817 Interest rate swaps (4,620,486) CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON: Investments (41,979,264) Written options (1,137,061) Foreign currency translations (26,834) Interest rate swaps 12,904,856 ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS 40,103,125 ========================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 113,381,389 ========================================================================================================================= DIVIDENDS TO PREFERRED SHAREHOLDERS FROM Net investment income (13,774,895) ------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS $ 99,606,494 =========================================================================================================================
Strategic Total Return Fund 12 SEMIANNUAL REPORT Statement of Operations See accompanying Notes to Financial Statements. Statement of Changes in Net Assets
For the Six Months Ended For the Period April 30, 2005 Ended (unaudited) October 31, 2004* ---------------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income (loss) $ 73,278,264 $ 79,377,024 Net realized gain (loss) from investments, written options, foreign currency transactions and interest rate swaps 70,341,428 (21,276,962) Change in net unrealized appreciation/depreciation on investments, written options, foreign currency translations and interest rate swaps (30,238,303) 6,852,336 Dividends to preferred shareholders from Net investment income (13,774,895) (8,528,292) ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to common shareholders resulting from operations 99,606,494 56,424,106 ---------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO COMMON SHAREHOLDERS FROM Net investment income (71,462,728) (57,942,750) CAPITAL STOCK TRANSACTIONS Proceeds from initial offering -- $ 2,213,412,630 Offering costs on common shares -- (1,329,771) Offering costs on preferred shares -- (11,335,000) Net increase (decrease) in net assets from capital stock transactions -- 2,200,747,859 ---------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 28,143,766 2,199,229,215 ---------------------------------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS Beginning of period 2,199,229,215 -- ---------------------------------------------------------------------------------------------------------------------------- End of period $ 2,227,372,981 $ 2,199,229,215 ============================================================================================================================ Undistributed net investment income (loss) $ (5,910,501) $ 6,048,858
* The Fund commenced operations on March 26, 2004. Strategic Total Return Fund Statement of Changes in Net Assets SEMIANNUAL REPORT 13 See accompanying Notes to Financial Statements. Notes to Financial Statements (unaudited) NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION. Calamos Strategic Total Return Fund (the "Fund") was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004. The Fund's investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances the Fund will invest primarily in common and preferred stocks and income producing securities such as investment grade and below investment grade debt securities. PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio securities, except exchange traded option securities, that are traded on a securities exchange in the United States are valued at the last reported sale price as of the time of valuation, or lacking any current reported sale at the time of valuation, at the mean between the most recent bid and asked quotations. Each security traded in the over-the-counter market and quoted on the NASDAQ National Market System, is valued at the Nasdaq Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last current reported sale price as of the time of valuation by Nasdaq, or lacking any current reported sale on Nasdaq at the time of valuation, at the mean between the most recent bid and asked quotations. Each option security traded on a securities exchange in the United States is valued at the last current reported sale price as of the time of valuation if the last current reported sale price falls within the consolidated bid/ask quote for the option security. If the last current reported sale price as of the time of valuation does not fall within the consolidated bid/ask quote for such option security, such security is valued at the mid-point of the consolidated bid/ask quote for the option security. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued by the counterparty, or if the counterparty's price is not readily available then by using the Black-Scholes method. Each other security traded over-the-counter is valued at the mean between the most recent bid and asked quotations. Short-term securities with maturities of 60 days or less are valued at amortized cost, which approximates market value. When market quotations are not readily available or when the valuation methods mentioned above are not reflective of the fair value of the security, the security is priced at a fair value following procedures and/or guidelines approved by the Board of Trustees, which may include utilizing a systematic fair valuation model provided by an independent pricing system. The Fund may also use fair value pricing, if the value of a security it holds is, pursuant to Board of Trustees' guidelines, materially affected by events occurring before the Fund's pricing time but after the close of the primary market or exchange on which the security is traded. These procedures may utilize valuations furnished by pricing services approved by the Board of Trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities. When fair value pricing is employed, the value of the portfolio security used to calculate the Fund's net asset value may differ from quoted or official closing prices. Securities that are principally traded in a foreign market are valued at the last current sale price at the time of valuation or lacking any current or reported sale at the time of valuation, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading in securities on European and Far Eastern securities exchanges and over-the-counter markets is normally completed at various times before the close of business on each day on which the New York Stock Exchange ("NYSE") is open. Trading of these securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund's net asset value is not calculated. As stated above, if the market prices are not readily available or are not reflective of the fair value of the security, the security will be priced at a fair value following procedures approved by the Board of Trustees. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular security is accurate. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment transactions are recorded on a trade date basis. Long-term investment transactions are recorded on a trade date plus one basis, except for fiscal quarter ends, which are recorded on trade Strategic Total Return Fund 14 SEMIANNUAL REPORT Notes to Financial Statements NOTES TO FINANCIAL STATEMENTS (UNAUDITED) date. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available. FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by a pricing service, values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate selected by the advisor from rates quoted by any major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized foreign currency gains or losses arise from disposition of foreign currency, foreign currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end. OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option among others, is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option. USE OF ESTIMATES. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates. INCOME TAXES. No provision has been made for income taxes because the Fund's policy is to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders substantially all of its taxable income and gains. Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these "book/tax" differences are permanent in nature such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting on fixed income securities. Financial records are not adjusted for temporary differences. Strategic Total Return Fund Notes to Financial Statements SEMIANNUAL REPORT 15 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos Advisors"), the Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed assets. "Managed Assets" means the total assets of the Fund (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage). Effective November1, 2004, Calamos Advisors receives a fee payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets; 0.0150% on the next $1 billion of combined assets; and 0.0110% on combined assets above $2 billion for financial accounting services (for purposes of this calculation combined assets means the net assets of Calamos Investment Trust and Calamos Advisors Trust, and the managed assets of Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, and Calamos Strategic Total Return Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking, and reporting tax adjustments on all assets and monitoring trustee deferred compensation plan accruals and valuations. The Fund will pay its pro rata share of the financial accounting services fee payable to Calamos Advisors based on average assets of the Fund. Certain officers and trustees of the Trust are also officers and directors of Calamos Financial Services LLC ("CFS") and Calamos Advisors. All officers and affiliated trustees serve without direct compensation from the Fund. The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan, a trustee who is not an "interested person" of Calamos Advisors and has elected to participate in the Plan (a "participating trustee") may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee's deferral account as of the business day such compensation would have been paid to the participating trustee. The value of a participating trustee's deferred compensation account at any time is equal to what would be the value if the amounts credited to the account had instead been invested in shares of one or more of the Funds of the Calamos Investment Trust as designated by the trustee. Thus, the value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. If a participating trustee retires, the trustee may elect to receive payments under the plan in a lump sum or in equal installments over a period of five years. If a participating trustee dies, any amount payable under the Plan will be paid to the trustee's beneficiaries. Deferred compensation investments of $10,421 are included in "Other assets" on the Statement of Assets and Liabilities at April 30, 2005. The Fund's obligation to make payments under the Plan is a general obligation of the Fund and is included in "Payable for deferred compensation to Trustees" on the Statement of Assets and Liabilities at April 30, 2005. NOTE 3 - INVESTMENTS Purchases and sales of investments other than short-term obligations for the six months ended April 30, 2005 were as follows: Purchases $1,448,726,121 Proceeds from sales 1,447,328,928 The following information is presented on an income tax basis as of April 30, 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 April 30, 2005 was as follows: Cost basis of investments $ 3,826,470,288 --------------- Gross unrealized appreciation 157,401,877 Gross unrealized depreciation (190,277,650) --------------- Net unrealized appreciation (depreciation) $ (32,875,773) =============== Strategic Total Return Fund 16 SEMIANNUAL REPORT Notes to Financial Statements NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 4 - INCOME TAXES Distributions during the fiscal year ended October 31, 2004 were characterized for income tax purposes as follows: Distributions paid from: Net investment income $62,365,389 Capital gains -- As of October 31, 2004, the components of net assets on a tax basis were as follows: Undistributed ordinary income $ 11,360,755 Undistributed capital gains -- --------------- Total undistributed earnings 11,360,755 Accumulated capital and other losses (10,297,008) Net unrealized gains/(losses) 1,560,175 --------------- Total accumulated earnings/(losses) 2,623,922 Other (4,128,566) Paid-in capital 2,200,733,859 --------------- $ 2,199,229,215 --------------- NOTE 5 - COMMON STOCK There are unlimited common shares of beneficial interest authorized and 154,514,000 shares outstanding at April 30, 2005. Calamos Advisors LLC owned 14,883 of the outstanding shares. Transactions in common shares were as follows:
FOR THE SIX MONTHS ENDED FOR THE PERIOD ENDED APRIL 30, 2005 (UNAUDITED) OCTOBER 31, 2004* ----------------------------------------------------------------------------------------------------------- Beginning shares 154,514,000 -- Shares sold -- 154,514,000 Shares issued through reinvestment of distributions -- -- ------------------------------------- Ending shares 154,514,000 154,514,000 =====================================
* THE FUND COMMENCED OPERATIONS ON MARCH 26, 2004. NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward exchange rates and an unrealized gain or loss is recorded. The Fund realizes a gain or loss upon settlement of the contracts. There were no open forward foreign currency contracts at April 30, 2005. NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES The Fund may establish a "synthetic" convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities ("fixed-income component") 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 Strategic Total Return Fund Notes to Financial Statements SEMIANNUAL REPORT 17 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 8 - OPTIONS TRANSACTIONS The Fund may engage in options transactions and in doing so achieve the similar objectives to what they would achieve through the sale or purchase of individual securities. Transactions in options written during the six months ended April 30, 2005 were as follows: NUMBER OF PREMIUMS CONTRACTS RECEIVED -------------------------------------------------------------------------------- Options outstanding at October 31, 2004 6,900 $ 1,127,898 Options written 102,510 7,079,389 Options closed (56,952) (4,432,677) Options expired (34,598) (1,559,373) ------------------------- Options outstanding at April 30, 2005 17,860 $ 2,215,237 ========================= NOTE 9 - 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 and twenty-eight days based on the results of an auction. Dividend rates ranged from 1.81% to 3.61% for the six months ended April 30, 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. Strategic Total Return Fund 18 SEMIANNUAL REPORT Notes to Financial Statements NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 10 - 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 April 30, 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 $ 972,795 Citibank NA February 4, 2007 150,000 3.68% 1 month LIBOR 419,205 Citibank NA June 4, 2007 150,000 3.61% 1 month LIBOR 999,285 Citibank NA February 4, 2008 150,000 3.88% 1 month LIBOR 582,532 Citibank NA June 4, 2009 200,000 4.34% 1 month LIBOR (1,316,580) Citibank NA February 4, 2010 200,000 4.14% 1 month LIBOR 797,591 ----------- $ 2,454,828 ===========
NOTE 11 - SECURITIES LENDING During the six months ended April 30, 2005, the Fund lent certain of its securities to broker-dealers and banks. Any such loan must be continuously secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the market value of the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receives an additional return that may be in the form of a fixed fee or a percentage of the collateral. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the right to call the loan and obtain the securities loaned at any time on notice of not more than five business days. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC and the security lending agent will monitor the creditworthiness of the firms to which the Fund lends securities. At April 30, 2005, the Fund had securities valued at $488,767,686 that were on loan to broker-dealers and banks and $506,063,093 in cash or cash equivalent collateral. Strategic Total Return Fund Notes to Financial Statements SEMIANNUAL REPORT 19 Financial Highlights SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
For the Six Months March 26, 2004* Ended April 30, through (unaudited) October 31, 2004 -------------------------------------- 2005 2004 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginnning of period $ 14.23 $ 14.32(a) -------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.47 0.51 -------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) from investments, written options, foreign currency and interest rate swaps 0.27 (0.09) -------------------------------------------------------------------------------------------------------------------- Dividends to preferred shareholders from: Net investment income (common share equivalent basis) (0.09) (0.06) -------------------------------------------------------------------------------------------------------------------- Total from investment operations 0.65 0.36 -------------------------------------------------------------------------------------------------------------------- Less dividends to common shareholders from: Net investment income (0.46) (0.37) -------------------------------------------------------------------------------------------------------------------- Capital charge resulting from issuance of common and preferred shares -- (0.08) -------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 14.42 $ 14.23 -------------------------------------------------------------------------------------------------------------------- Market value, end of period $ 13.57 $ 13.34 -------------------------------------------------------------------------------------------------------------------- Total investment return based on(b): -------------------------------------------------------------------------------------------------------------------- Net asset value 4.82% 2.10% -------------------------------------------------------------------------------------------------------------------- Market value 5.22% (8.59)% -------------------------------------------------------------------------------------------------------------------- Ratios and supplemental data: -------------------------------------------------------------------------------------------------------------------- Net assets applicable to common shareholders, end of period (000's omitted) $ 2,227,373 $ 2,199,229 -------------------------------------------------------------------------------------------------------------------- Preferred shares, at redemption value ($25,000 per share liquidation preference) (000's omitted) $ 1,080,000 $ 1,080,000 -------------------------------------------------------------------------------------------------------------------- Ratios to average net assets applicable to common shareholders: -------------------------------------------------------------------------------------------------------------------- Net expenses(c) 1.68% 1.61% -------------------------------------------------------------------------------------------------------------------- Net investment income (loss)(c) 6.41% 6.27% -------------------------------------------------------------------------------------------------------------------- Preferred share dividends(c) 1.21% 0.67% -------------------------------------------------------------------------------------------------------------------- Net investment income (loss), net of preferred share dividends(c) 5.20% 5.59% -------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 43% 11% -------------------------------------------------------------------------------------------------------------------- Average commission rate paid $ 0.0226 $ 0.0197 -------------------------------------------------------------------------------------------------------------------- Asset coverage per preferred share, at end of period(d) $ 76,577 $ 75,916 --------------------------------------------------------------------------------------------------------------------
* Commencement of operations. (a) Net of sales load of $0.675 on initial shares issued and beginning net asset value of $14.325. (b) Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. (c) Annualized for periods less than one year. (d) Calculated by subtracting the Fund's total liabilities (not including preferred shares) from the Fund's total assets and dividing this by the number of preferred shares outstanding. Strategic Total Return Fund 20 SEMIANNUAL REPORT Financial Highlights REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees and Shareholders of CALAMOS Strategic Total Return Fund: We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, of CALAMOS Strategic Total Return Fund (the "Fund") as of April 30, 2005, and the related statements of operations and changes in net assets and the financial highlights for the semi-annual period then ended. These interim financial statements and financial highlights are the responsibility of the Fund's management. We conducted our review in accordance with standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion. Based on our review, we are not aware of any material modifications that should be made to such interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America. We have previously audited, in accordance with standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets and the financial highlights for the period from March 26, 2004 (commencement of operations) through October 31, 2004; and in our report dated December 21, 2004, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights. /s/ Deloitte & Touche LLP Chicago, Illinois June 20, 2005 Strategic Total Return Fund Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT 21 OTHER INFORMATION (UNAUDITED) RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund was held on April 6, 2005 where shareholders voted on the elections of trustees. With regard to the election, each trustee standing for election was elected by the shareholders as follows: # OF COMMON TRUSTEES AND PREFERRED SHARES -------------------------------------------------------------------------------- FOR WITHHELD ------------------------------------ John P. Calamos, Sr. 145,147,199 1,916,742 Weston W. Marsh 145,147,699 1,916,242 # OF PREFERRED SHARES ------------------------------------ FOR WITHHELD ------------------------------------ William R. Rybak 33,628 25 The other trustees of the Fund whose terms did not expire in 2005 are Nick P. Calamos, Joe F. Hanauer, John E. Neal and Stephen B. Timbers. Strategic Total Return Fund 22 SEMIANNUAL REPORT Other Information This page intentionally left blank. This page intentionally left blank. This page intentionally left blank. [LOGO](R) CALAMOS INVESTMENTS(R) -------------------------------------------------------------------------------- Calamos Investments | 1111 E. Warrenville Road | Naperville, IL 60563-1463 | 800.582.6959 | www.calamos.com -------------------------------------------------------------------------------- A description of the Calamos Proxy Voting Policies and Procedures is available free of charge upon request by calling (800) 582-6959, by visiting the Calamos website at www.calamos.com, or by writing Calamos at: Calamos Investments, Attn: Client Services, 1111 E. Warrenville Road, Naperville, IL 60563. The Fund's proxy voting record for the twelve month period ended June 30, 2004, is also available upon request by calling or writing Calamos Investments and by visiting the SEC Web site at www.sec.gov. The Fund files a complete list of its portfolio holdings with the SEC for the first and third quarters each fiscal year on Form N-Q. The Form N-Q is available free of charge, upon request, by calling or writing Calamos Investments or by visiting the SEC website. You may also review or, for a fee, copy the forms at the SEC's Public Reference Room in Washington, D.C. (202) 942-8090. FOR 24 HOUR SHAREHOLDER ASSISTANCE 800.432.8224 TO OBTAIN INFORMATION 800.582.6959 VISIT OUR WEB SITE www.calamos.com INVESTMENT ADVISOR Calamos Advisors LLC 1111 E. Warrenville Road Naperville, IL 60563-1463 FUND ACCOUNTING AGENT State Street Bank and Trust Company 225 Franklin Street Boston, MA 02111 CUSTODIAN AND TRANSFER AGENT The Bank of New York P.O. Box 11258 Church Street Station New York, NY 10286 800.524.4458 INDEPENDENT ACCOUNTANTS Deloitte and Touche LLP Chicago, IL LEGAL COUNSEL Bell, Boyd & Lloyd LLC Chicago, IL AS OF JULY 15, 2005, CALAMOS INVESTMENTS WILL BE LOCATED AT: 2020 CALAMOS COURT NAPERVILLE, IL 60563 (C) 2005 Calamos Holdings LLC. All Rights Reserved. Calamos(R), CALAMOS INVESTMENTS(R), STRATEGIES FOR SERIOUS MONEY(R) and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC. CSQSAN 1946 2005 ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included in the Report to Shareholders in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
-------------------- ----------------- -------------- --------------------- ---------------------------- (C) TOTAL NUMBER (D) MAXIMUM NUMBER (A) TOTAL OF SHARES (OR (OR APPROXIMATE DOLLAR NUMBER OF (B) AVERAGE UNITS) PURCHASED VALUE) OF SHARES (OR SHARES (OR PRICE PAID AS PART OF PUBLICLY UNITS) THAT MAY YET BE UNITS) PER SHARE ANNOUNCED PLANS PURCHASED UNDER THE PERIOD PURCHASED (OR UNIT) OR PROGRAMS PLANS OR PROGRAMS -------------------- ----------------- -------------- --------------------- ---------------------------- November 1 to 0 0 0 0 November 30 -------------------- ----------------- -------------- --------------------- ---------------------------- December 1 to 151,390 $13.74 0 0 December 31 -------------------- ----------------- -------------- --------------------- ---------------------------- January 1 to 0 0 0 0 January 31 -------------------- ----------------- -------------- --------------------- ---------------------------- February 1 to 0 0 0 0 February 28 -------------------- ----------------- -------------- --------------------- ---------------------------- March 1 to 0 0 0 0 March 31 -------------------- ----------------- -------------- --------------------- ---------------------------- April 1 to April 0 0 0 0 30 -------------------- ----------------- -------------- --------------------- ---------------------------- Total 0 0 0 0 -------------------- ----------------- -------------- --------------------- ----------------------------
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS No material changes. ITEM 11. CONTROLS AND PROCEDURES. a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely. b) There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Code of Ethics -- Not applicable. (a)(2)(i) Certification of Principal Executive Officer. (a)(2)(ii) Certification of Principal Financial Officer. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Calamos Strategic Total Return Fund By: /s/ John P. Calamos, Sr. ----------------------------------------------------------------------------- Name: John P. Calamos, Sr. Title: Principal Executive Officer Date: June 29, 2005 By: /s/ Patrick H. Dudasik ----------------------------------------------------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: June 29, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Calamos Strategic Total Return Fund By: /s/ John P. Calamos, Sr. ----------------------------------------------------------------------------- Name: John P. Calamos, Sr. Title: Principal Executive Officer Date: June 29, 2005 By: /s/ Patrick H. Dudasik ----------------------------------------------------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: June 29, 2005