-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EpVeQLWHYvI67WZWtQumdJfPxqi34KGfpCq6SEinVoUMdQ2WyrHh8LWaAou6zqMf 3sr4ilJHRPy2ouOg3IOIow== 0000950137-04-005497.txt : 20040707 0000950137-04-005497.hdr.sgml : 20040707 20040707144526 ACCESSION NUMBER: 0000950137-04-005497 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20040430 FILED AS OF DATE: 20040707 EFFECTIVENESS DATE: 20040707 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CALAMOS STRATEGIC TOTAL RETURN FUND CENTRAL INDEX KEY: 0001275214 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21484 FILM NUMBER: 04904158 BUSINESS ADDRESS: STREET 1: 1111 E WARRENVILLE RD CITY: NAPERVILLE STATE: IL ZIP: 60653 BUSINESS PHONE: 8003239943 MAIL ADDRESS: STREET 1: 1111 E WARRENVILLE RD CITY: NAPPERVILLE STATE: IL ZIP: 60653 N-CSRS 1 c85921nvcsrs.txt SEMIANNUAL REPORT 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 Asset Management, Inc., 1111 East Warrenville Road, Naperville, Illinois 60563-1493 REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200 DATE OF FISCAL YEAR END: October 31, 2004 DATE OF REPORTING PERIOD: November 1, 2003 through April 30, 2004 Item 1. Reports to Stockholders CALAMOS STRATEGIC TOTAL RETURN FUND SEMI-ANNUAL REPORT APRIL 30, 2004 [CALAMOS INVESTMENTS LOGO] Strategies for Serious Money(R) STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- CORPORATE BONDS (31.3%) BASIC INDUSTRIES (3.8%) Boise Cascade Corp. $ 6,267,000 7.350%, 02/01/16 $ 6,399,848 1,790,000 7.000%, 11/01/13 1,887,941 725,000 9.450%, 11/01/09 840,400 5,595,000 Century Aluminum Company 11.750%, 04/15/08 6,278,984 14,082,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 15,556,577 8,952,000 Ipsco, Inc. 8.750%, 06/01/13 10,068,750 7,610,000 Ispat International, NV(a) 9.750%, 04/01/14 7,797,688 3,581,000 Jarden Corp. 9.750%, 05/01/12 4,045,400 8,952,000 Phelps Dodge Corp. 9.500%, 06/01/31 12,415,037 Steel Dynamics, Inc. 7,305,000 9.500%, 03/15/09 8,197,842 304,000 9.500%, 03/15/09(a) 341,577 Union Carbide Corp. 5,953,000 7.500%, 06/01/25 5,594,645 4,364,000 7.875%, 04/01/23 4,232,231 -------------- 83,656,920 -------------- CAPITAL GOODS - INDUSTRIAL (3.4%) 15,219,000 EUR AGCO Corp. 6.875%, 04/15/14 18,011,001 4,476,000 Asbury Automotive Group, Inc.(a) 8.000%, 03/15/14 4,407,875 12,981,000 CNH Global, NV, Inc.(a) 9.250%, 08/01/11 14,534,800 12,086,000 Cummins, Inc. 9.500%, 12/01/10 14,076,112 7,610,000 Imco Recycling, Inc. 10.375%, 10/15/10 8,159,044 4,476,000 Jacuzzi Brands, Inc. 9.625%, 07/01/10 5,034,375 Manitowoc Company, Inc. 4,476,000 10.500%, 08/01/12 5,123,875 3,581,000 EUR 10.375%, 05/15/11 4,785,052 -------------- 74,132,134 -------------- CAPITAL GOODS - TECHNOLOGY (3.9%) 17,010,000 Avnet, Inc. 9.750%, 02/15/08 19,640,775 10,922,000 Global iTechnology, Inc. 10.250%, 02/15/12 12,529,553 4,476,000 Monitronics International, Inc.(a) 11.750%, 09/01/10 4,810,625 1,790,000 Orbital Sciences Corp. 9.000%, 07/15/11 1,969,000 5,371,000 Rayovac Corp. 8.500%, 10/01/13 5,772,750 15,219,000 Sanmina-Sci Corp. 10.375%, 01/15/10 17,877,625
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 7,610,000 Stoneridge, Inc. 11.500%, 05/01/12 $ 9,129,000 4,476,000 Stratus Technologies, Inc.(a) 10.375%, 12/01/08 4,475,000 8,952,000 Xerox Corp. 7.625%, 06/15/13 9,173,750 -------------- 85,378,078 -------------- CONSUMER CYCLICAL (4.2%) 4,476,000 AMR Corp.(a) 7.250%, 02/05/09 4,368,719 7,610,000 Central Garden & Pet Company 9.125%, 02/01/13 8,482,363 7,610,000 GBP EMI Group, PLC 9.750%, 05/20/08 14,528,212 4,476,000 IMAX Corp.(a) 9.625%, 12/01/10 4,542,125 Intrawest Corp. 4,029,000 7.500%, 10/15/13 4,138,256 3,581,000 10.500%, 02/01/10 3,929,050 19,288,000 Mandalay Resort Group 10.250%, 08/01/07 22,512,640 4,476,000 Oxford Industries, Inc.(a) 8.875%, 06/01/11 4,799,437 15,219,000 RH Donnelley Financial Corp. 10.875%, 12/15/12 18,181,925 1,343,000 Royal Caribbean Cruises, Ltd. 7.250%, 03/15/18 1,345,856 Warner Music Group(a) 2,238,000 GBP 8.125%, 04/15/14 3,938,115 448,000 7.375%, 04/15/14 451,975 -------------- 91,218,673 -------------- CONSUMER GROWTH STAPLES (4.8%) 4,476,000 Alpharma, Inc.(a) 8.625%, 05/01/11 4,721,125 4,476,000 Ameripath, Inc. 10.500%, 04/01/13 4,609,250 1,437,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 1,450,543 Charter Communications, Inc. 11,638,000 10.000%, 04/01/09 10,093,363 9,892,000 9.625%, 11/15/09 8,455,736 8,952,000 11.125%, 01/15/11 7,920,750 4,924,000 Curative Health Services, Inc.(a) 10.750%, 05/01/11 4,965,572 4,476,000 Quintiles Transisional Corp.(a) 10.000%, 10/01/13 4,654,000 Rite Aid Corp. 4,700,000 11.250%, 07/01/08 5,227,359 3,581,000 6.875%, 08/15/13 3,383,100 3,357,000 9.250%, 06/01/13 3,574,406 10,743,000 Service Corp. International(a) 6.750%, 04/01/16 10,713,150 7,610,000 Spanish Broadcasting System, Inc. 9.625%, 11/01/09 8,082,969 14,772,000 Steinway Musical Instruments, Inc. 8.750%, 04/15/11 16,096,575
See accompanying Notes to Schedule of Investments. 1 STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 8,952,000 WH Intermediate Holdings, Ltd. 11.750%, 07/15/10 $ 10,382,000 -------------- 104,329,898 -------------- CREDIT CYCLICALS (2.0%) 7,610,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 8,273,156 8,057,000 Hovnanian Enterprises, Inc. 7.750%, 05/15/13 8,316,788 10,743,000 Meritage Corp.(a) 7.000%, 05/01/14 10,444,650 Standard Pacific Corp. 7,162,000 9.250%, 04/15/12 7,929,700 2,498,000 9.500%, 09/15/10 2,765,483 4,476,000 Texas Industries, Inc. 10.250%, 06/15/11 5,101,500 -------------- 42,831,277 -------------- ENERGY (3.2%) 13,250,000 Giant Industries, Inc. 8.000%, 05/15/14 13,262,557 4,476,000 KCS Energy, Inc.(a) 7.125%, 04/01/12 4,497,375 8,952,000 Paramount Resources, Ltd. 7.875%, 11/01/10 8,905,250 Petrobras International Finance Co. 14,772,000 9.125%, 07/02/13 14,878,256 4,924,000 8.375%, 12/10/18 4,651,763 5,662,000 Swift Energy Company 9.375%, 05/01/12 6,311,876 4,476,000 Tesoro Petroleum Corp. 9.625%, 04/01/12 5,067,937 985,000 Western Gas Resources, Inc. 10.000%, 06/15/09 1,038,648 8,952,000 Williams Companies, Inc. 8.125%, 03/15/12 9,777,875 -------------- 68,391,537 -------------- FINANCIAL (2.3%) 17,905,000 Dow Jones TRAC-X North America High Yield Series 2 March 2009 Trust 3(a) 8.000%, 03/25/09 17,497,250 17,905,000 Dow Jones TRAC-X North America High Yield Series 2 March 2009 Trust 4(a) 10.125%, 03/25/09 17,542,000 4,566,000 LNR Property Corp. 7.625%, 07/15/13 4,724,258 9,400,000 Senior Housing Properties Trust 8.625%, 01/15/12 10,572,187 -------------- 50,335,695 -------------- TELECOMMUNICATIONS (1.7%) 18,353,000 AT&T Corp. 8.750%, 11/15/31 19,469,780 7,610,000 General Cable Corp.(a) 9.500%, 11/15/10 8,368,250
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 4,029,000 IPCS Escrow Company(a) 11.500%, 05/01/12 $ 4,108,050 4,476,000 Nextel Communications, Inc. 7.375%, 08/01/15 4,670,781 -------------- 36,616,861 -------------- TRANSPORTATION (0.1%) 1,790,000 Overseas Shipholding Group, Inc. 8.750%, 12/01/13 2,049,550 -------------- UTILITIES (1.9%) Calpine Corp. 22,918,000 8.500%, 05/01/08 16,267,520 17,457,000 8.500%, 02/15/11 12,304,012 4,355,000 7.750%, 04/15/09 3,037,036 8,952,000 Edison International 9.875%, 04/15/11 9,263,250 -------------- 40,871,818 -------------- TOTAL CORPORATE BONDS (Cost $689,712,169) 679,812,441 ============== CONVERTIBLE BONDS (6.7%) BASIC INDUSTRIES (0.7%) 10,700,000 Freeport-McMoRan Copper & Gold, Inc. 7.000%, 02/11/11 14,725,875 -------------- CAPITAL GOODS - INDUSTRIAL (1.1%) 7,000,000 General Motors Corp. 6.250%, 07/15/33 8,534,400 13,000,000 Kaydon Corp. 4.000%, 05/23/23 15,112,500 -------------- 23,646,900 -------------- CAPITAL GOODS - TECHNOLOGY (3.3%) 33,000,000 Advanced Micro Devices, Inc. 4.750%, 02/01/22 33,618,750 16,000,000 Fairchild Semiconductor International, Inc. 5.000%, 11/01/08 16,500,000 22,000,000 LSI Logic Corp. 4.000%, 05/15/10 22,550,000 -------------- 72,668,750 -------------- ENERGY (0.8%) 15,000,000 Repsol YPF, SA 4.500%, 01/26/11 16,575,000 -------------- FINANCIAL (0.4%) 8,700,000 Host Marriott Corp.(a) 3.250%, 04/15/24 8,536,875 -------------- TELECOMMUNICATIONS (0.4%) 7,700,000 Nextel Communications, Inc. 6.000%, 06/01/11 8,277,500 -------------- TOTAL CONVERTIBLE BONDS (Cost $153,284,626) 144,430,900 ==============
2 See accompanying Notes to Schedule of Investments. STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- SYNTHETIC CONVERTIBLE SECURITIES (4.4%) CORPORATE BONDS (3.7%) BASIC INDUSTRIES (0.4%) Boise Cascade Corp. $ 733,000 7.350%, 02/01/16 $ 750,820 210,000 7.000%, 11/01/13 221,490 85,000 9.450%, 11/01/09 98,594 655,000 Century Aluminum Company 11.750%, 04/15/08 736,641 1,648,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 1,825,073 1,048,000 Ipsco, Inc. 8.750%, 06/01/13 1,181,250 890,000 Ispat International, NV(a) 9.750%, 04/01/14 914,813 419,000 Jarden Corp. 9.750%, 05/01/12 474,600 1,048,000 Phelps Dodge Corp. 9.500%, 06/01/31 1,456,513 Steel Dynamics, Inc. 855,000 9.500%, 03/15/09 961,758 36,000 9.500%, 03/15/09 (a) 40,073 Union Carbide Corp. 697,000 7.500%, 06/01/25 656,355 511,000 7.875%, 04/01/23 496,519 -------------- 9,814,499 -------------- CAPITAL GOODS - INDUSTRIAL (0.4%) 1,781,000 EUR AGCO Corp. 6.875%, 04/15/14 2,113,022 524,000 Asbury Automotive Group, Inc.(a) 8.000%, 03/15/14 517,125 1,519,000 CNH Global, NV, Inc.(a) 9.250%, 08/01/11 1,705,200 1,414,000 Cummins, Inc. 9.500%, 12/01/10 1,651,388 890,000 Imco Recycling, Inc. 10.375%, 10/15/10 957,206 524,000 Jacuzzi Brands, Inc. 9.625%, 07/01/10 590,625 Manitowoc Company, Inc. 524,000 10.500%, 08/01/12 601,125 419,000 EUR 10.375%, 05/15/11 561,375 -------------- 8,697,066 -------------- CAPITAL GOODS - TECHNOLOGY (0.5%) 1,990,000 Avnet, Inc. 9.750%, 02/15/08 2,304,225 1,278,000 Global iTechnology, Inc. 10.250%, 02/15/12 1,469,948 524,000 Monitronics International, Inc.(a) 11.750%, 09/01/10 564,375 210,000 Orbital Sciences Corp. 9.000%, 07/15/11 231,000 629,000 Rayovac Corp. 8.500%, 10/01/13 677,250
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 1,781,000 Sanmina-Sci Corp. 10.375%, 01/15/10 $ 2,097,375 890,000 Stoneridge, Inc. 11.500%, 05/01/12 1,071,000 524,000 Stratus Technologies, Inc.(a) 10.375%, 12/01/08 525,000 1,048,000 Xerox Corp. 7.625%, 06/15/13 1,076,250 -------------- 10,016,423 -------------- CONSUMER CYCLICAL (0.5%) 524,000 AMR Corp.(a) 7.250%, 02/05/09 512,531 890,000 Central Garden & Pet Company 9.125%, 02/01/13 995,138 890,000 GBP EMI Group, PLC 9.750%, 05/20/08 1,704,427 524,000 IMAX Corp.(a) 9.625%, 12/01/10 532,875 Intrawest Corp. 471,000 7.500%, 10/15/13 485,494 419,000 10.500%, 02/01/10 460,950 2,257,000 Mandalay Resort Group 10.250%, 08/01/07 2,641,148 524,000 Oxford Industries, Inc.(a) 8.875%, 06/01/11 563,062 1,781,000 RH Donnelley Financial Corp. 10.875%, 12/15/12 2,133,075 157,000 Royal Caribbean Cruises, Ltd. 7.250%, 03/15/18 157,894 Warner Music Group(a) 262,000 GBP 8.125%, 04/15/14 462,013 52,000 7.375%, 04/15/14 53,025 -------------- 10,701,632 -------------- CONSUMER GROWTH STAPLES (0.5%) 524,000 Alpharma, Inc.(a) 8.625%, 05/01/11 553,875 524,000 Ameripath, Inc. 10.500%, 04/01/13 540,750 168,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 170,175 Charter Communications, Inc. 1,362,000 10.000%, 04/01/09 1,184,137 1,158,000 9.625%, 11/15/09 992,014 1,048,000 11.125%, 01/15/11 929,250 576,000 Curative Health Services, Inc.(a) 10.750%, 05/01/11 582,553 524,000 Quintiles Transisional Corp.(a) 10.000%, 10/01/13 546,000 Rite Aid Corp. 550,000 11.250%, 07/01/08 613,266 419,000 6.875%, 08/15/13 396,900 393,000 9.250%, 06/01/13 419,344 1,257,000 Service Corp. International(a) 6.750%, 04/01/16 1,256,850 890,000 Spanish Broadcasting System, Inc. 9.625%, 11/01/09 948,281
See accompanying Notes to Schedule of Investments. 3 STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 1,728,000 Steinway Musical Instruments, Inc. 8.750%, 04/15/11 $ 1,888,425 1,048,000 WH Intermediate Holdings, Ltd. 11.750%, 07/15/10 1,218,000 -------------- 12,239,820 -------------- CREDIT CYCLICALS (0.2%) 890,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 970,594 943,000 Hovnanian Enterprises, Inc. 7.750%, 05/15/13 975,712 1,257,000 Meritage Corp.(a) 7.000%, 05/01/14 1,225,350 Standard Pacific Corp. 838,000 9.250%, 04/15/12 930,300 292,000 9.500%, 09/15/10 324,442 524,000 Texas Industries, Inc. 10.250%, 06/15/11 598,500 -------------- 5,024,898 -------------- ENERGY (0.4%) 1,550,000 Giant Industries, Inc. 8.000%, 05/15/14 1,555,942 524,000 KCS Energy, Inc.(a) 7.125%, 04/01/12 527,625 1,048,000 Paramount Resources, Ltd. 7.875%, 11/01/10 1,044,750 Petrobras International Finance Co. 1,728,000 9.125%, 07/02/13 1,745,494 576,000 8.375%, 12/10/18 545,738 663,000 Swift Energy Company 9.375%, 05/01/12 740,499 524,000 Tesoro Petroleum Corp. 9.625%, 04/01/12 594,562 115,000 Western Gas Resources, Inc. 10.000%, 06/15/09 121,853 1,048,000 Williams Companies, Inc. 8.125%, 03/15/12 1,147,125 -------------- 8,023,588 -------------- FINANCIAL (0.3%) 2,095,000 Dow Jones TRAC-X North America High Yield Series 2 March 2009 Trust 3(a) 8.000%, 03/25/09 2,052,750 2,095,000 Dow Jones TRAC-X North America High Yield Series 2 March 2009 Trust 4(a) 10.125%, 03/25/09 2,058,000 534,000 LNR Property Corp. 7.625%, 07/15/13 554,243 1,100,000 Senior Housing Properties Trust 8.625%, 01/15/12 1,240,312 -------------- 5,905,305 -------------- TELECOMMUNICATIONS (0.2%) 2,147,000 AT&T Corp. 8.750%, 11/15/31 2,284,164 890,000 General Cable Corp.(a) 9.500%, 11/15/10 981,750
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- $ 471,000 IPCS Escrow Company(a) 11.500%, 05/01/12 $ 481,950 524,000 Nextel Communications, Inc. 7.375%, 08/01/15 547,969 -------------- 4,295,833 -------------- TRANSPORTATION (0.1%) 210,000 Overseas Shipholding Group, Inc. 8.750%, 12/01/13 240,450 -------------- UTILITIES (0.2%) Calpine Corp. 2,682,000 8.500%, 05/01/08 1,908,480 2,043,000 8.500%, 02/15/11 1,443,488 510,000 7.750%, 04/15/09 356,300 1,048,000 Edison International 9.875%, 04/15/11 1,086,750 -------------- 4,795,018 -------------- TOTAL CORPORATE BONDS 79,754,532 -------------- NUMBER OF CONTRACTS VALUE - ----------------------------------------------------------------- OPTIONS (0.7%) CONSUMER CYCLICAL (0.1%) 3,400 Carnival Corp.(b) Call, 01/21/06, Strike 45 1,836,000 900 Mandalay Resort Group(b) Call, 01/21/06, Strike 60 837,000 -------------- 2,673,000 -------------- CONSUMER GROWTH STAPLES (0.2%) 100 Bausch & Lomb, Inc.(b) Call, 01/21/06, Strike 65 98,000 1,400 Biogen, Inc.(b) Call, 01/21/06, Strike 70 1,302,000 1,840 Gillette Company(b) Call, 01/21/06, Strike 40 956,800 1,300 Nike, Inc.(b) Call, 01/21/06, Strike 80 988,000 3,400 Starbucks Corp.(b) Call, 01/21/06, Strike 40 2,312,000 -------------- 5,656,800 -------------- CONSUMER STAPLES (0.2%) 3,500 Altria Group, Inc.(b) Call, 01/21/06, Strike 55 2,100,000 2,513 Coca-Cola Company(b) Call, 01/21/06, Strike 50 1,407,280 1,330 Kellogg Company(b) Call, 01/21/06, Strike 45 425,600 -------------- 3,932,880 -------------- FINANCIAL (0.1%) 13,000 Allstate Corp.(b) Call, 01/21/06, Strike 45 702,000 --------------
4 See accompanying Notes to Schedule of Investments. STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF CONTRACTS VALUE - ----------------------------------------------------------------- TELECOMMUNICATIONS (0.1%) 2,400 QUALCOMM, Inc.(b) Call, 01/21/06, Strike 75 $ 1,728,000 -------------- TOTAL OPTIONS 14,692,680 -------------- TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $96,345,822) 94,447,212 ============== NUMBER OF SHARES VALUE - ----------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (7.6%) CAPITAL GOODS - INDUSTRIAL (1.8%) $ 80,000 Cummins, Inc. 7.000% $ 5,730,000 575,000 Ford Motor Company Capital Trust II 6.500% 32,447,250 -------------- 38,177,250 -------------- CAPITAL GOODS - TECHNOLOGY (1.5%) 255,000 Xerox Corp. 6.250% 31,987,200 -------------- CONSUMER GROWTH STAPLES (1.6%) 635,000 Baxter International, Inc. 7.000% 34,397,950 -------------- ENERGY (0.8%) 140,000 Amerada Hess Corp. 7.000% 9,392,600 150,000 Southern Union Company 5.750% 9,091,500 -------------- 18,484,100 -------------- FINANCIAL (1.1%) 300,000 Chubb Corp. 7.000% 8,511,000 220,000 National Australia Bank, Ltd. 7.875% 7,900,200 35,000 State Street Corp. 6.750% 8,128,750 -------------- 24,539,950 -------------- TELECOMMUNICATIONS (0.4%) 170,000 ALLTEL Corp. 7.750% 8,474,500 -------------- UTILITIES (0.4%) 200,000 Calpine Capital Trust III 5.000% 9,225,000 -------------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $168,197,765) 165,285,950 ==============
NUMBER OF SHARES VALUE - ----------------------------------------------------------------- COMMON STOCKS (47.3%) BASIC INDUSTRIES (0.8%) 210,000 3M Company $ 18,160,800 -------------- CAPITAL GOODS - INDUSTRIAL (4.4%) 215,000 Caterpillar, Inc. 16,711,950 1,275,000 Ford Motor Company 19,584,000 560,000 General Electric Company 16,772,000 365,000 General Motors Corp. 17,308,300 920,000 Waste Management, Inc. 26,128,000 -------------- 96,504,250 -------------- CAPITAL GOODS - TECHNOLOGY (3.8%) 280,000 Emerson Electric Company 16,861,600 945,000 Intel Corp. 24,314,850 280,000 International Business Machines Corp. 24,687,600 495,000 Rockwell Automation, Inc. 16,181,550 -------------- 82,045,600 -------------- CONSUMER CYCLICAL (4.7%) 300,000 Eaton Corp. 17,814,000 280,000 Kimberly-Clark Corp. 18,326,000 500,000 May Department Stores Company 15,400,000 335,000 Maytag Corp. 9,346,500 165,000 Procter & Gamble Company 17,448,750 980,000 Saks, Inc. 14,112,000 240,000 Sears Roebuck & Company 9,612,000 -------------- 102,059,250 -------------- CONSUMER GROWTH STAPLES (10.3%) 2,000,000 AUD APN News & Media, Ltd. 5,676,492 2,835,000 Bristol-Myers Squibb Company 71,158,500 440,000 Gillette Company 18,004,800 35,000 CHF Givaudan, SA 17,410,921 540,000 Johnson & Johnson 29,176,200 1,200,000 Merck & Company, Inc. 56,400,000 740,000 Pfizer, Inc. 26,462,400 -------------- 224,289,313 -------------- CONSUMER STAPLES (1.8%) 1,600,000 GBP Enterprise Inns, PLC 17,307,910 650,000 Sara Lee Corp. 15,002,000 210,000 Supervalu, Inc. 6,465,900 -------------- 38,775,810 --------------
See accompanying Notes to Schedule of Investments. 5 STRATEGIC TOTAL RETURN FUND SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF SHARES VALUE - ----------------------------------------------------------------- CREDIT CYCLICALS (3.8%) 130,000 Independence Community Bank Corp. $ 4,735,900 484,100 New York Community Bancorp, Inc. 12,136,387 1,660,000 Washington Mutual, Inc. 65,387,400 -------------- 82,259,687 -------------- ENERGY (3.3%) 400,000 Chevrontexaco Corp. 36,600,000 250,000 Conocophillips 17,825,000 29,000 EUR OMV, AG 5,301,474 270,000 PetroChina Company, Ltd. 11,610,000 -------------- 71,336,474 -------------- FINANCIAL (8.0%) 295,900 Allstate Corp. 13,581,810 335,000 Bank of America Corp. 26,964,150 665,000 Citigroup, Inc. 31,979,850 230,000 Federal National Mortgage Association 15,805,600 150,000 Fidelity National Corp. 5,490,000 549,700 General Growth Properties, Inc. 14,902,367 120,000 Jefferson-Pilot Corp. 5,950,800 307,600 Mills Corp. 12,488,560 300,000 Morgan Stanley 15,417,000 81,900 UnionBanCal Corp. 4,375,917 585,000 Wachovia Corp. 26,763,750 -------------- 173,719,804 -------------- TELECOMMUNICATIONS (6.4%) 1,265,000 Bellsouth Corp. 32,649,650 420,000 QUALCOMM, Inc. 26,233,200 2,100,000 SBC Communications, Inc. 52,290,000 710,000 Verizon Communications, Inc. 26,795,400 -------------- 137,968,250 -------------- TOTAL COMMON STOCKS (Cost $1,053,698,017) 1,027,119,238 ============== PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------- SHORT TERM INVESTMENTS (7.0%) $ 50,000,000 Citigroup, Inc. Commercial Paper 0.840%, 05/03/04 $ 49,997,667 53,259,000 Exxon Mobil Corporation Commercial Paper 0.840%, 05/03/04 53,256,514 50,000,000 UBS Finance, Inc. Commercial Paper 0.840%, 05/03/04 49,997,667 -------------- TOTAL SHORT TERM INVESTMENTS (Cost $153,251,848) 153,251,848 ============== TOTAL INVESTMENTS (104.3%) (Cost $2,314,490,247) 2,264,347,589 ============== LIABILITIES, LESS OTHER ASSETS (-4.3%) (93,910,150) -------------- NET ASSETS (100.0%) $2,170,437,439 ==============
NOTES TO SCHEDULE OF INVESTMENTS Note: Market values for securities denominated in foreign currencies are shown in U.S. dollars. (a) 144A securities are those that are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are generally issued to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must generally be effected through a sale that is exempt from registration (e.g. a sale to another QIB), or the security must be registered for public sale. At April 30, 2004, the market value of 144A securities that cannot currently be exchanged to the registered form is $167,173,028 or 7.7% of net assets of the Fund. (b) Non-income producing security. FOREIGN CURRENCY ABBREVIATIONS AUD: Australian Dollar CHF: Swiss Franc EUR: European Monetary Unit GBP: British Pound Sterling 6 See accompanying Notes to Financial Statements. STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2004 (UNAUDITED)
- ------------------------------------------------------------------------------ ASSETS Investments, at value (cost $2,314,490,247) $2,264,347,589 Cash with custodian (interest bearing) 18,482,943 Accrued interest and dividends receivable 26,040,771 -------------- Total Assets 2,308,871,303 -------------- LIABILITIES Payable for investments purchased 134,918,025 Payable to investment advisor 1,721,121 Payable for offering and organizational fees 1,671,687 Other accounts payable and accrued liabilities 123,031 -------------- Total Liabilities 138,433,864 -------------- NET ASSETS $2,170,437,439 ============== COMPOSITION OF NET ASSETS Common stock, no par value, unlimited shares authorized, 154,514,000 shares issued and outstanding $2,211,682,859 Undistributed net investment income (loss) 8,923,878 Accumulated net realized gain (loss) on foreign currency transactions 23,081 Net unrealized appreciation (depreciation) on investments and foreign currency translations (50,192,379) -------------- NET ASSETS $2,170,437,439 ============== Net asset value per common share based on 154,514,000 shares issued and outstanding $ 14.05 ==============
See accompanying Notes to Financial Statements. 7 STATEMENT OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2004* (UNAUDITED)
- ---------------------------------------------------------------------------- INVESTMENT INCOME Interest (net of foreign taxes withheld of $1,500) $ 3,733,546 Dividends (net of foreign taxes withheld of $75,168) 7,241,102 ------------ Total investment income 10,974,648 ------------ EXPENSES Investment advisory fees 1,831,010 Organization fees 96,729 Accounting fees 41,267 Financial accounting fees 21,092 Printing and mailing fees 20,832 Custodian fees 12,960 Audit and legal fees 9,472 Registration fees 9,088 Other 3,936 Transfer agent fees 2,624 Trustees' fees 1,760 ------------ Total expenses 2,050,770 ------------ NET INVESTMENT INCOME (LOSS) 8,923,878 ------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY Net realized gain (loss) from: Foreign currency transactions 23,081 Change in net unrealized appreciation/depreciation on: Investments (50,142,658) Foreign currency translations (49,721) ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY (50,169,298) ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(41,245,420) ============
* The Fund commenced operations on March 26, 2004. 8 See accompanying Notes to Financial Statements. STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED APRIL 30. 2004* (UNAUDITED)
- ------------------------------------------------------------------------------ OPERATIONS: Net investment income (loss) $ 8,923,878 Net realized gain (loss) from foreign currency transactions 23,081 Change in net unrealized appreciation/depreciation on investments and foreign currency translations (50,192,379) -------------- Net increase (decrease) in net assets resulting from operations (41,245,420) -------------- CAPITAL STOCK TRANSACTIONS Proceeds from initial offering 2,213,412,630 Offering costs on common shares (1,729,771) -------------- Net increase (decrease) in net assets from capital stock transactions 2,211,682,859 -------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 2,170,437,439 -------------- NET ASSETS Beginning of period* -- End of period $2,170,437,439 ============== Undistributed net investment income (loss) $ 8,923,878
* The Fund commenced operations on March 26, 2004. See accompanying Notes to Financial Statements. 9 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. PORTFOLIO VALUATION - In computing the net asset value of the Fund, portfolio securities, including options, that are traded on a national securities exchange are valued at the last reported sales price. Securities quoted on the NASDAQ National Market System are valued at the Nasdaq Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last current reported sale price as of the time of valuation. Securities traded in the over-the counter market and listed securities for which no sales were reported are valued at the mean of the most recently quoted bid and asked prices. Short-term securities with maturities of 60 days or less are valued at amortized cost which approximates market value. When market quotations are not readily available or when the valuation methods mentioned above are not reflective of the fair value of the security, the security is valued at a fair value following procedures approved by the Board of Trustees or a committee thereof. These procedures may utilize valuations furnished by pricing services approved by the Board of Trustees or a committee thereof, 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. Securities that are principally traded in a foreign market are valued as of the close of the appropriate exchange or other designated time. Trading in securities on European and Far Eastern securities exchanges and over-the-counter markets is normally completed at various times before the close of business on each day on which the New York Stock Exchange ("NYSE") is open. Trading of these securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund's net asset value is not calculated. Therefore, such calculation does not take place contemporaneously with the determination of the prices of many of the portfolio securities used in such calculation and the value of the Fund's portfolio may be significantly affected on days when shares of the Fund may not be purchased or redeemed. As stated above, if the market price is not readily available or is not reflective of the fair value of the security, the security will be valued at a fair value following procedures approved by the Board of Trustees or a committee thereof. 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 April 30th and October 31st, which are recorded on trade date. Realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available. FOREIGN CURRENCY TRANSLATION - Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot market rate of exchange. Purchases and sales of investments and dividend and interest income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transaction. FEDERAL INCOME TAXES - No provision has been made for Federal income taxes since the Fund is taxed as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986. DIVIDENDS - Dividends payable to shareholders are recorded by the Fund on the ex-dividend date. Income and capital gain dividends are determined in accordance with income tax regulations, which may differ from accounting principles generally 10 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) accepted in the United States. These differences are primarily due to differing treatments for foreign currency transaction and contingent payment debt instruments. USE OF ESTIMATES - The preparation of financial statements in conformity with accounting principles generally accepted in the United States 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. NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC. ("CAM"), 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 the sum of total liabilities (other than debt representing financial leverage). Effective April 1, 2004, CAM receives a fee payable monthly at the annual rate of 0.0175% on the first $1 billion of Combined Assets (Calamos Investment Trust, Calamos Advisor Trust, Calamos Convertible and High Income Fund and Calamos Strategic Total Return Fund); 0.0150% on the next $1 billion of Combined Assets; and 0.0110% on Combined Assets above $2 billion for financial accounting services. The Fund will pay its pro rata share of the financial accounting service fee payable to CAM based on relative managed assets of the Fund. Certain portfolio transactions for the Fund may be executed through CALAMOS FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of obtaining best price and execution. During the period ended April 30, 2004, the Fund paid no brokerage commissions to CFS on purchases or sales of Fund securities. Certain officers and trustees of the Fund are also officers and directors of CFS and CAM. 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 CAM 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 trustee. The value of a 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. The Fund's obligation to make payments under the Plan is a general obligation of the Fund. There were no deferred compensation investments as of April 30, 2004. NOTE 3 - INVESTMENTS Purchases and sales of investments other than short-term obligations for the period ended April 30, 2004 were as follows: Purchases $2,161,346,301 Proceeds from sales --
The following information is presented on an income tax basis as of April 30, 2004. Differences between amounts for financial statements and Federal income tax purposes are primarily due to timing differences. 11 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) The cost basis of investments for Federal income tax purposes at April 30, 2004 was as follows: Cost basis of investments $2,315,400,247 Gross unrealized appreciation 20,588,338 Gross unrealized depreciation (71,640,996) -------------- Net unrealized appreciation (depreciation) $ (51,052,658) ==============
NOTE 4 - FORWARD FOREIGN CURRENCY CONTRACTS The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward 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 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, 2004. NOTE 5 - OPTIONS TRANSACTIONS The Funds 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. For the period ended April 30, 2004 there were no net realized gains or losses on option transactions. NOTE 6 - COMMON STOCK There are unlimited common shares of beneficial interest authorized and 154,514,000 shares outstanding at April 30, 2004. CAM owned 14,000 of the outstanding shares. Transactions in common shares were as follows:
PERIOD ENDED APRIL 30, 2004* - ------------------------------------------------------------------------------- Beginning Shares -- Shares Sold 154,514,000 Shares Issued Through Reinvestment of Distributions -- ----------- Ending Shares 154,514,000 ===========
* The Fund commenced operations on March 26, 2004. NOTE 7 - SUBSEQUENT EVENT On May 6, 2004, the Fund offered 43,200 Preferred Shares. The Preferred Shares consisted of seven series, 7,040 shares of Series M, 7,040 shares of Series TU, 7,040 shares of Series W, 7,040 shares of Series TH, 7,040 shares of Series F, 4,000 shares of Series A, and 4,000 shares of Series B. The Preferred Shares have a liquidation preference of $25,000 per share, plus any accumulated, unpaid dividends and also have priority over the Fund's common shares as to distribution of assets. The Preferred Shares pay dividends based on a rate set at auction, usually held weekly in the case of Series M, TU, W, TH, and F and every 28 days in the case of Series A and B. Dividends on the Preferred Shares are cumulative. The Preferred Shares were offered with a rating of "Aaa" from Moody's and "AAA" from Fitch Ratings. 12 FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS FOLLOWS:
March 26, 2004* through April 30, 2004 (unaudited) - ------------------------------------------------------------------------------- Net asset value, beginning of period $ 14.32(a) ---------- Income from investment operations: Net investment income (loss) 0.06 Net realized and unrealized gain (loss) from investments and foreign currency (0.32) ---------- Total from investment operations (0.26) - ------------------------------------------------------------------------------- Less dividends to common shareholders from: Net investment income -- Capital charge resulting from issuance of common shares (0.01) - ------------------------------------------------------------------------------- Net asset value, end of period $ 14.05 ========== Market value, end of period $ 14.55 - ------------------------------------------------------------------------------- Total investment return based on(b): Net Asset Value -1.92% Market Value -3.00% - ------------------------------------------------------------------------------- Ratios and Supplemental Data: Net assets, end of period (000's omitted) $2,170,437 Ratios to Average Net Assets: Net expenses(c) 1.12% Net investment income (loss)(c) 4.86% Portfolio turnover rate 0.00% - -------------------------------------------------------------------------------
* 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. See accompanying Notes to Financial Statements. 13 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, 2004, and the related statements of operations and changes in net assets and the financial highlights for the period from March 26, 2004 (commencement of operations) through April 30, 2004. 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 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. /s/ Deloitte & Touche LLP Chicago, Illinois June 15, 2004 FOR 24 HOUR SHAREHOLDER ASSISTANCE 800.432.8224 TO OBTAIN INFORMATION 800.582.6959 VISIT OUR WEB-SITE www.calamos.com INVESTMENT ADVISER CALAMOS ASSET MANAGEMENT, INC. 1111 E. Warrenville Road Naperville, IL 60563-1463 CUSTODIAN AND TRANSFER AGENT The Bank of New York P.O. Box 11258 Church Street Station New York, New York 10286 800.524.4458 INDEPENDENT AUDITORS Deloitte & Touche LLP Chicago, IL LEGAL COUNSEL Bell, Boyd & Lloyd LLC Chicago, IL [RECYCLED LOGO] 1946 04/04 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. Not applicable ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END FUNDS. Not applicable. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 10. 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 on a timely basis. b) There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 11. 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: July 6, 2004 By: /s/ Patrick H. Dudasik ----------------------------------------------------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: July 6, 2004 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: July 6, 2004 By: /s/ Patrick H. Dudasik ----------------------------------------------------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: July 6, 2004 EX-99.CERT 2 c85921exv99wcert.txt CERTIFICATION EXHIBIT (a)(2)(i) CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER CERTIFICATIONS I, John P. Calamos, Sr., certify that: 1. I have reviewed this report on Form N-CSR of Calamos Strategic Total Return Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: July 6, 2004 -------------------- /s/ John P. Calamos, Sr. ------------------------------ Principal Executive Officer EX-99.CERT 3 c85921exv99wcert2.txt CERTIFICATION EXHIBIT (a)(2)(ii) CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER CERTIFICATIONS I, Patrick H. Dudasik, certify that: 1. I have reviewed this report on Form N-CSR of Calamos Strategic Total Return Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: July 6, 2004 ------------------ /s/ Patrick H. Dudasik ------------------------------ Principal Financial Officer EX-99.906CERT 4 c85921exv99w906cert.txt 906 CERTIFICATION SECTION 906 CERTIFICATION Pursuant to 18 U.S.C. Section 1350, each of the undersigned officers of Calamos Strategic Total Return Fund (the "Company"), hereby certifies, to his knowledge, that the Company's Report on Form N-CSR for the period ended April 30, 2004 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. Date: July 6, 2004 /s/ John P. Calamos, Sr. - ------------------------------------------ Name: John P. Calamos, Sr. Title: Principal Executive Officer /s/ Patrick H. Dudasik - ------------------------------------------ Name: Patrick H. Dudasik Title: Principal Financial Officer This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. A signed original of this certificate required by Section 906 has been provided to Calamos Strategic Total Return Fund and will be retained by Calamos Strategic Total Return Fund and furnished to the Securities and Exchange Commission or staff upon request. -3- -----END PRIVACY-ENHANCED MESSAGE-----