|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
ASSET BACKED SECURITY (0.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.0%) |
|
|
|
|
|
|
|
|
|
145,000 |
|
|
SVC ABS, LLC Series 2023-1A, Class C*~ 6.700%, 02/20/53 (Cost $132,791) |
|
$ |
130,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE BONDS (31.3%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines (0.3%) |
|
|
|
|
|
|
|
|
|
34,668 |
|
|
Air Canada Pass Through Trust Series 2015-2, Class B*~ 5.000%,
06/15/25 |
|
|
34,412 |
|
|
|
|
|
|
180,907 |
|
|
Alaska Airlines Pass Through Trust Series 2020-1, Class A*µ 4.800%,
02/15/29 |
|
|
175,172 |
|
|
|
|
|
|
95,564 |
|
|
Alaska Airlines Pass Through Trust Series 2020-1, Class B*~ 8.000%,
02/15/27 |
|
|
96,436 |
|
|
|
|
|
|
203,840 |
|
|
American Airlines Pass Through Trust Series 2021-1, Class B~ 3.950%,
01/11/32 |
|
|
179,862 |
|
|
|
|
|
|
132,000 |
|
|
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.*~ 5.500%, 04/20/26 |
|
|
130,164 |
|
|
|
|
|
|
194,292 |
|
|
British Airways Pass Through Trust Series 2021-1, Class B*~ 3.900%,
03/15/33 |
|
|
174,375 |
|
|
|
|
|
|
187,745 |
|
|
JetBlue Pass Through Trust Series 2020-1, Class B~ 7.750%, 05/15/30 |
|
|
189,284 |
|
|
|
|
|
|
|
|
|
Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* |
|
|
|
|
|
|
|
|
|
130,000 |
|
|
8.000%, 09/20/25 |
|
|
131,704 |
|
|
|
|
|
|
114,000 |
|
|
8.000%, 09/20/25~ |
|
|
115,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,226,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (1.9%) |
|
|
|
|
|
|
|
|
|
200,000 |
|
|
Altice France Holding, SA* 10.500%, 05/15/27 |
|
|
84,946 |
|
|
|
|
|
|
225,000 |
|
|
Altice France, SA*µ 5.500%, 10/15/29 |
|
|
160,002 |
|
|
|
|
|
|
225,000 |
|
|
APi Group DE, Inc.*µ 4.750%, 10/15/29 |
|
|
200,524 |
|
|
|
|
|
|
210,000 |
|
|
Arrow Bidco, LLC*µ 9.500%, 03/15/24 |
|
|
210,573 |
|
|
|
|
|
|
200,000 |
|
|
Ashtead Capital, Inc.*µ 2.450%, 08/12/31 |
|
|
158,472 |
|
|
|
|
|
|
|
|
|
Audacy Capital Corp.* |
|
|
|
|
|
|
|
|
|
231,000 |
|
|
6.750%, 03/31/29 |
|
|
5,047 |
|
|
|
|
|
|
91,000 |
|
|
6.500%, 05/01/27 |
|
|
2,189 |
|
|
|
|
|
|
136,000 |
|
|
Cincinnati Bell Telephone Company, LLC~ 6.300%, 12/01/28 |
|
|
111,728 |
|
|
|
|
|
|
285,000 |
|
|
Consolidated Communications, Inc.*~ 6.500%, 10/01/28 |
|
|
222,776 |
|
|
|
|
|
|
|
|
|
CSC Holdings, LLC* |
|
|
|
|
|
|
|
|
|
285,000 |
|
|
5.375%, 02/01/28µ |
|
|
238,223 |
|
|
|
|
|
|
215,000 |
|
|
4.500%, 11/15/31µ |
|
|
154,469 |
|
|
|
|
|
|
200,000 |
|
|
5.750%, 01/15/30~ |
|
|
103,822 |
|
|
|
|
|
|
200,000 |
|
|
4.625%, 12/01/30~ |
|
|
101,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
Diamond Sports Group, LLC / Diamond Sports Finance Company*@ |
|
|
|
|
|
|
|
|
|
150,000 |
|
|
6.625%, 08/15/27 |
|
$ |
4,433 |
|
|
|
|
|
|
115,000 |
|
|
5.375%, 08/15/26 |
|
|
3,666 |
|
|
|
|
|
|
264,000 |
|
|
Directv Financing, LLC / Directv Financing Co-Obligor, Inc.*~ 5.875%,
08/15/27 |
|
|
238,548 |
|
|
|
|
|
|
135,000 |
|
|
Embarq Corp. 7.995%, 06/01/36 |
|
|
76,749 |
|
|
|
|
|
|
195,000 |
|
|
Frontier California, Inc.~ 6.750%, 05/15/27 |
|
|
180,172 |
|
|
|
|
|
|
|
|
|
Frontier Communications Holdings, LLC*µ |
|
|
|
|
|
|
|
|
|
123,000 |
|
|
5.000%, 05/01/28 |
|
|
104,350 |
|
|
|
|
|
|
48,000 |
|
|
8.750%, 05/15/30 |
|
|
46,305 |
|
|
|
|
|
|
202,000 |
|
|
Frontier Florida, LLCµ@ 6.860%, 02/01/28 |
|
|
189,581 |
|
|
|
|
|
|
280,000 |
|
|
Frontier North, Inc.@ 6.730%, 02/15/28 |
|
|
253,134 |
|
|
|
|
|
|
165,000 |
|
|
Go Daddy Operating Company, LLC / GD Finance Company, Inc.*~ 3.500%, 03/01/29 |
|
|
142,218 |
|
|
|
|
|
|
|
|
|
iHeartCommunications, Inc. |
|
|
|
|
|
|
|
|
|
70,000 |
|
|
8.375%, 05/01/27 |
|
|
47,950 |
|
|
|
|
|
|
70,000 |
|
|
5.250%, 08/15/27*µ |
|
|
55,232 |
|
|
|
|
|
|
145,000 |
|
|
Intelsat Jackson Holdings, SA*@ 0.000%, 07/15/25 |
|
|
|
|
|
|
|
|
|
230,000 |
|
|
LCPR Senior Secured Financing DAC*µ 6.750%, 10/15/27 |
|
|
216,106 |
|
|
|
|
|
|
151,589 |
|
|
Ligado Networks, LLC* 15.500%, 11/01/23 PIK rate |
|
|
52,673 |
|
|
|
|
|
|
|
|
|
Lumen Technologies, Inc. |
|
|
|
|
|
|
|
|
|
135,000 |
|
|
7.600%, 09/15/39 |
|
|
49,625 |
|
|
|
|
|
|
90,000 |
|
|
4.000%, 02/15/27* |
|
|
59,220 |
|
|
|
|
|
|
95,000 |
|
|
Match Group Holdings II, LLC*~^ 3.625%, 10/01/31 |
|
|
78,391 |
|
|
|
|
|
|
840,000 |
|
|
Paramount Global~ 6.375%, 03/30/62 5 year CMT + 4.00% |
|
|
693,924 |
|
|
|
|
|
|
63,000 |
|
|
Qwest Corp.µ 7.250%, 09/15/25 |
|
|
61,530 |
|
|
|
|
|
|
595,000 |
|
|
Rogers Communications, Inc.*~ 5.250%, 03/15/82 5 year CMT + 3.59% |
|
|
549,530 |
|
|
|
|
|
|
|
|
|
Scripps Escrow II, Inc.* |
|
|
|
|
|
|
|
|
|
95,000 |
|
|
3.875%, 01/15/29~ |
|
|
79,046 |
|
|
|
|
|
|
48,000 |
|
|
5.375%, 01/15/31 |
|
|
36,579 |
|
|
|
|
|
|
195,000 |
|
|
Scripps Escrow, Inc.*µ 5.875%, 07/15/27 |
|
|
163,178 |
|
|
|
|
|
|
|
|
|
Sirius XM Radio, Inc.*~ |
|
|
|
|
|
|
|
|
|
185,000 |
|
|
4.000%, 07/15/28 |
|
|
161,165 |
|
|
|
|
|
|
90,000 |
|
|
3.125%, 09/01/26 |
|
|
81,186 |
|
|
|
|
|
|
48,000 |
|
|
3.875%, 09/01/31 |
|
|
37,628 |
|
|
|
|
|
|
175,000 |
|
|
Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 |
|
|
121,350 |
|
|
|
|
|
|
165,000 |
|
|
Sprint, LLCµ 7.125%, 06/15/24 |
|
|
166,589 |
|
|
|
|
|
|
165,000 |
|
|
Stagwell Global, LLC*µ 5.625%, 08/15/29 |
|
|
140,601 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
1 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
207,000 |
|
|
TEGNA, Inc. 4.625%, 03/15/28 |
|
$ |
186,623 |
|
|
|
|
|
|
190,000 |
|
|
Telesat Canada / Telesat, LLC* 4.875%, 06/01/27 |
|
|
114,106 |
|
|
|
|
|
|
70,000 |
|
|
Time Warner Cable, LLC 7.300%, 07/01/38 |
|
|
71,457 |
|
|
|
|
|
|
320,000 |
|
|
United States Cellular Corp.~ 6.700%, 12/15/33 |
|
|
276,998 |
|
|
|
|
|
|
70,000 |
|
|
Univision Communications, Inc.* 8.000%, 08/15/28 |
|
|
70,596 |
|
|
|
|
|
|
395,000 |
|
|
Vodafone Group, PLC~ 7.000%, 04/04/79 U.S. 5 yr Swap + 4.87% |
|
|
405,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,969,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (3.8%) |
|
|
|
|
|
|
|
|
|
228,000 |
|
|
Abercrombie & Fitch Management Company*~^ 8.750%, 07/15/25 |
|
|
231,680 |
|
|
|
|
|
|
230,000 |
|
|
Adient Global Holdings Company* 8.250%, 04/15/31 |
|
|
236,516 |
|
|
|
|
|
|
156,000 |
|
|
American Axle & Manufacturing, Inc.µ 6.875%, 07/01/28 |
|
|
148,615 |
|
|
|
|
|
|
|
|
|
Ashton Woods USA, LLC / Ashton Woods Finance Company*µ |
|
|
|
|
|
|
|
|
|
194,000 |
|
|
6.625%, 01/15/28 |
|
|
187,189 |
|
|
|
|
|
|
167,000 |
|
|
4.625%, 08/01/29 |
|
|
144,792 |
|
|
|
|
|
|
217,000 |
|
|
At Home Group, Inc.* 4.875%, 07/15/28 |
|
|
126,194 |
|
|
|
|
|
|
|
|
|
Bath & Body Works, Inc. |
|
|
|
|
|
|
|
|
|
254,000 |
|
|
6.694%, 01/15/27 |
|
|
255,232 |
|
|
|
|
|
|
235,000 |
|
|
6.875%, 11/01/35~ |
|
|
218,252 |
|
|
|
|
|
|
200,000 |
|
|
Benteler International AG* 10.500%, 05/15/28 |
|
|
204,602 |
|
|
|
|
|
|
|
|
|
Caesars Entertainment Corp.*^ |
|
|
|
|
|
|
|
|
|
118,000 |
|
|
4.625%, 10/15/29 |
|
|
103,982 |
|
|
|
|
|
|
93,000 |
|
|
8.125%, 07/01/27 |
|
|
95,588 |
|
|
|
|
|
|
|
|
|
Carnival Corp.* |
|
|
|
|
|
|
|
|
|
98,000 |
|
|
10.500%, 02/01/26 |
|
|
103,334 |
|
|
|
|
|
|
92,000 |
|
|
7.625%, 03/01/26 |
|
|
90,881 |
|
|
|
|
|
|
89,000 |
|
|
4.000%, 08/01/28 |
|
|
79,214 |
|
|
|
|
|
|
230,000 |
|
|
Carriage Services, Inc.*µ 4.250%, 05/15/29 |
|
|
199,626 |
|
|
|
|
|
|
145,000 |
|
|
Carvana Company* 4.875%, 09/01/29 |
|
|
90,063 |
|
|
|
|
|
|
|
|
|
CCO Holdings, LLC / CCO Holdings Capital Corp.* |
|
|
|
|
|
|
|
|
|
750,000 |
|
|
4.750%, 03/01/30µ |
|
|
650,303 |
|
|
|
|
|
|
250,000 |
|
|
4.500%, 08/15/30~ |
|
|
211,730 |
|
|
|
|
|
|
220,000 |
|
|
6.375%, 09/01/29µ |
|
|
210,520 |
|
|
|
|
|
|
186,000 |
|
|
4.250%, 02/01/31µ |
|
|
152,918 |
|
|
|
|
|
|
96,000 |
|
|
4.750%, 02/01/32µ |
|
|
79,599 |
|
|
|
|
|
|
96,000 |
|
|
CDI Escrow Issuer, Inc.*µ 5.750%, 04/01/30 |
|
|
89,286 |
|
|
|
|
|
|
92,000 |
|
|
Churchill Downs, Inc.*µ 6.750%, 05/01/31 |
|
|
90,040 |
|
|
|
|
|
|
|
|
|
Dana, Inc.µ |
|
|
|
|
|
|
|
|
|
155,000 |
|
|
4.250%, 09/01/30 |
|
|
133,148 |
|
|
|
|
|
|
140,000 |
|
|
4.500%, 02/15/32^ |
|
|
117,618 |
|
|
|
|
|
|
|
|
|
DISH DBS Corp. |
|
|
|
|
|
|
|
|
|
347,000 |
|
|
7.750%, 07/01/26~ |
|
|
224,981 |
|
|
|
|
|
|
230,000 |
|
|
5.250%, 12/01/26*µ |
|
|
188,869 |
|
|
|
|
|
|
120,000 |
|
|
7.375%, 07/01/28~ |
|
|
67,669 |
|
|
|
|
|
|
95,000 |
|
|
5.125%, 06/01/29 |
|
|
48,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
186,000 |
|
|
DISH Network Corp.*µ 11.750%, 11/15/27 |
|
$ |
187,324 |
|
|
|
|
|
|
200,000 |
|
|
Empire Resorts, Inc.*µ 7.750%, 11/01/26 |
|
|
162,382 |
|
|
|
|
|
|
204,000 |
|
|
Everi Holdings, Inc.*µ 5.000%, 07/15/29 |
|
|
181,115 |
|
|
|
|
|
|
190,000 |
|
|
Ford Motor Company~^ 6.100%, 08/19/32 |
|
|
183,971 |
|
|
|
|
|
|
|
|
|
Ford Motor Credit Company, LLC |
|
|
|
|
|
|
|
|
|
350,000 |
|
|
7.350%, 11/04/27 |
|
|
360,073 |
|
|
|
|
|
|
300,000 |
|
|
4.000%, 11/13/30~ |
|
|
258,885 |
|
|
|
|
|
|
270,000 |
|
|
5.113%, 05/03/29~ |
|
|
252,191 |
|
|
|
|
|
|
235,000 |
|
|
7.200%, 06/10/30 |
|
|
241,730 |
|
|
|
|
|
|
200,000 |
|
|
7.350%, 03/06/30 |
|
|
207,262 |
|
|
|
|
|
|
|
|
|
Gap, Inc.*µ |
|
|
|
|
|
|
|
|
|
71,000 |
|
|
3.875%, 10/01/31 |
|
|
50,835 |
|
|
|
|
|
|
9,000 |
|
|
3.625%, 10/01/29 |
|
|
6,714 |
|
|
|
|
|
|
|
|
|
General Motors Financial Company, Inc.~ |
|
|
|
|
|
|
|
|
|
465,000 |
|
|
5.700%, 09/30/30^ 5 year CMT + 5.00% |
|
|
419,239 |
|
|
|
|
|
|
395,000 |
|
|
6.500%, 09/30/28 3 mo. USD LIBOR + 3.44% |
|
|
354,753 |
|
|
|
|
|
|
|
|
|
goeasy, Ltd.* |
|
|
|
|
|
|
|
|
|
325,000 |
|
|
5.375%, 12/01/24~ |
|
|
317,236 |
|
|
|
|
|
|
177,000 |
|
|
4.375%, 05/01/26 |
|
|
162,242 |
|
|
|
|
|
|
79,000 |
|
|
Group 1 Automotive, Inc.*~ 4.000%, 08/15/28 |
|
|
69,927 |
|
|
|
|
|
|
193,000 |
|
|
Guitar Center, Inc.*µ 8.500%, 01/15/26 |
|
|
177,799 |
|
|
|
|
|
|
115,000 |
|
|
Kohls Corp. 5.550%, 07/17/45 |
|
|
74,951 |
|
|
|
|
|
|
185,000 |
|
|
LCM Investments Holdings II, LLC*µ 8.250%, 08/01/31 |
|
|
188,077 |
|
|
|
|
|
|
190,000 |
|
|
Liberty Interactive, LLC~ 8.250%, 02/01/30 |
|
|
71,250 |
|
|
|
|
|
|
|
|
|
Life Time, Inc.* |
|
|
|
|
|
|
|
|
|
179,000 |
|
|
8.000%, 04/15/26 |
|
|
179,328 |
|
|
|
|
|
|
100,000 |
|
|
5.750%, 01/15/26µ |
|
|
98,182 |
|
|
|
|
|
|
70,000 |
|
|
Lindblad Expeditions Holdings, Inc.*µ 9.000%, 05/15/28 |
|
|
72,336 |
|
|
|
|
|
|
123,000 |
|
|
Lindblad Expeditions, LLC*µ 6.750%, 02/15/27 |
|
|
119,229 |
|
|
|
|
|
|
125,000 |
|
|
M/I Homes, Inc. 3.950%, 02/15/30 |
|
|
109,231 |
|
|
|
|
|
|
|
|
|
Macys Retail Holdings, LLC |
|
|
|
|
|
|
|
|
|
320,000 |
|
|
6.700%, 07/15/34* |
|
|
266,496 |
|
|
|
|
|
|
90,000 |
|
|
4.300%, 02/15/43 |
|
|
56,650 |
|
|
|
|
|
|
225,000 |
|
|
Mclaren Finance, PLC*µ 7.500%, 08/01/26 |
|
|
201,004 |
|
|
|
|
|
|
242,000 |
|
|
Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.*~ 4.875%, 05/01/29 |
|
|
215,479 |
|
|
|
|
|
|
135,000 |
|
|
Mohegan Tribal Gaming Authority*µ 8.000%, 02/01/26 |
|
|
123,792 |
|
|
|
|
|
|
|
|
|
Newell Brands, Inc. |
|
|
|
|
|
|
|
|
|
45,000 |
|
|
6.375%, 09/15/27^ |
|
|
44,272 |
|
|
|
|
|
|
23,000 |
|
|
6.625%, 09/15/29 |
|
|
23,055 |
|
|
|
|
|
|
|
|
|
Nordstrom, Inc. |
|
|
|
|
|
|
|
|
|
90,000 |
|
|
5.000%, 01/15/44~ |
|
|
61,419 |
|
|
|
|
|
|
86,000 |
|
|
4.250%, 08/01/31 |
|
|
67,950 |
|
|
|
|
|
|
215,000 |
|
|
Penn Entertainment, Inc.*^ 4.125%, 07/01/29 |
|
|
177,846 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
2 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
250,000 |
|
|
PetSmart, Inc. / PetSmart Finance Corp.*µ 4.750%, 02/15/28 |
|
$ |
229,700 |
|
|
|
|
|
|
265,000 |
|
|
Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.*~^ 5.625%, 09/01/29 |
|
|
202,820 |
|
|
|
|
|
|
543,000 |
|
|
Rite Aid Corp.* 8.000%, 11/15/26 |
|
|
272,081 |
|
|
|
|
|
|
92,000 |
|
|
Royal Caribbean Cruises, Ltd.*µ 7.250%, 01/15/30 |
|
|
93,347 |
|
|
|
|
|
|
270,000 |
|
|
Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*µ 4.625%, 03/01/29 |
|
|
225,258 |
|
|
|
|
|
|
365,000 |
|
|
Six Flags Entertainment Corp.* 7.250%, 05/15/31 |
|
|
349,564 |
|
|
|
|
|
|
212,000 |
|
|
Sonic Automotive, Inc.*~ 4.625%, 11/15/29 |
|
|
181,866 |
|
|
|
|
|
|
282,000 |
|
|
Speedway Motorsports, LLC / Speedway Funding II, Inc.*µ 4.875%, 11/01/27 |
|
|
264,192 |
|
|
|
|
|
|
450,000 |
|
|
Station Casinos, LLC*µ 4.500%, 02/15/28 |
|
|
408,735 |
|
|
|
|
|
|
212,000 |
|
|
Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 |
|
|
207,105 |
|
|
|
|
|
|
45,000 |
|
|
Viking Cruises, Ltd.*µ 9.125%, 07/15/31 |
|
|
46,266 |
|
|
|
|
|
|
220,000 |
|
|
Vista Outdoor, Inc.*µ 4.500%, 03/15/29 |
|
|
187,323 |
|
|
|
|
|
|
90,000 |
|
|
Windsor Holdings III, LLC*µ 8.500%, 06/15/30 |
|
|
90,572 |
|
|
|
|
|
|
175,000 |
|
|
ZF North America Capital, Inc.* 7.125%, 04/14/30 |
|
|
180,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,463,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.7%) |
|
|
|
|
|
|
|
|
|
179,000 |
|
|
1375209 B.C., Ltd.* 9.000%, 01/30/28 |
|
|
179,729 |
|
|
|
|
|
|
218,000 |
|
|
Central Garden & Pet Company*µ 4.125%, 04/30/31 |
|
|
182,749 |
|
|
|
|
|
|
213,000 |
|
|
Edgewell Personal Care Company* 4.125%, 04/01/29 |
|
|
186,520 |
|
|
|
|
|
|
|
|
|
Energizer Holdings, Inc.*µ |
|
|
|
|
|
|
|
|
|
263,000 |
|
|
4.375%, 03/31/29 |
|
|
228,881 |
|
|
|
|
|
|
48,000 |
|
|
6.500%, 12/31/27 |
|
|
46,918 |
|
|
|
|
|
|
|
|
|
JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*µ |
|
|
|
|
|
|
|
|
|
280,000 |
|
|
5.500%, 01/15/30 |
|
|
271,071 |
|
|
|
|
|
|
120,000 |
|
|
5.125%, 02/01/28 |
|
|
116,736 |
|
|
|
|
|
|
70,000 |
|
|
5.750%, 04/01/33 |
|
|
67,243 |
|
|
|
|
|
|
395,000 |
|
|
Land O Lakes, Inc.*~ 7.000%, 09/18/28 |
|
|
326,882 |
|
|
|
|
|
|
191,000 |
|
|
Performance Food Group, Inc.*µ 4.250%, 08/01/29 |
|
|
169,677 |
|
|
|
|
|
|
140,000 |
|
|
Pilgrims Pride Corp. 4.250%, 04/15/31 |
|
|
120,999 |
|
|
|
|
|
|
182,000 |
|
|
Prestige Brands, Inc.*µ 3.750%, 04/01/31 |
|
|
153,442 |
|
|
|
|
|
|
110,000 |
|
|
United Natural Foods, Inc.* 6.750%, 10/15/28 |
|
|
91,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
293,000 |
|
|
Vector Group, Ltd.*~ 5.750%, 02/01/29 |
|
$ |
255,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,398,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (2.7%) |
|
|
|
|
|
|
|
|
|
190,000 |
|
|
Antero Resources Corp.*~ 5.375%, 03/01/30 |
|
|
177,255 |
|
|
|
|
|
|
192,000 |
|
|
Apache Corp.~ 5.100%, 09/01/40 |
|
|
163,248 |
|
|
|
|
|
|
|
|
|
Buckeye Partners, LPµ |
|
|
|
|
|
|
|
|
|
460,000 |
|
|
5.850%, 11/15/43 |
|
|
356,219 |
|
|
|
|
|
|
205,000 |
|
|
3.950%, 12/01/26 |
|
|
189,020 |
|
|
|
|
|
|
270,000 |
|
|
Callon Petroleum Company*~^ 7.500%, 06/15/30 |
|
|
262,524 |
|
|
|
|
|
|
96,000 |
|
|
Cheniere Energy, Inc. 4.625%, 10/15/28 |
|
|
90,451 |
|
|
|
|
|
|
139,000 |
|
|
Chesapeake Energy Corp.*~ 6.750%, 04/15/29 |
|
|
138,507 |
|
|
|
|
|
|
50,000 |
|
|
Civitas Resources, Inc.*µ 8.750%, 07/01/31 |
|
|
51,779 |
|
|
|
|
|
|
|
|
|
Continental Resources, Inc.*µ |
|
|
|
|
|
|
|
|
|
135,000 |
|
|
2.875%, 04/01/32 |
|
|
105,066 |
|
|
|
|
|
|
95,000 |
|
|
5.750%, 01/15/31 |
|
|
92,065 |
|
|
|
|
|
|
150,000 |
|
|
DT Midstream, Inc.*~ 4.125%, 06/15/29 |
|
|
133,169 |
|
|
|
|
|
|
|
|
|
Earthstone Energy Holdings, LLC*µ |
|
|
|
|
|
|
|
|
|
181,000 |
|
|
8.000%, 04/15/27 |
|
|
180,254 |
|
|
|
|
|
|
70,000 |
|
|
9.875%, 07/15/31 |
|
|
72,426 |
|
|
|
|
|
|
|
|
|
Enbridge, Inc.µ |
|
|
|
|
|
|
|
|
|
775,000 |
|
|
5.750%, 07/15/80 5 year CMT + 5.31% |
|
|
710,070 |
|
|
|
|
|
|
650,000 |
|
|
7.375%, 01/15/83 5 year CMT + 3.71% |
|
|
644,761 |
|
|
|
|
|
|
560,000 |
|
|
Energy Transfer, LP~ 6.500%, 11/15/26 5 year CMT + 5.69% |
|
|
511,134 |
|
|
|
|
|
|
|
|
|
EnLink Midstream Partners, LP |
|
|
|
|
|
|
|
|
|
835,000 |
|
|
9.618%, 08/31/23µ 3 mo. USD LIBOR + 4.11% |
|
|
722,592 |
|
|
|
|
|
|
205,000 |
|
|
4.850%, 07/15/26 |
|
|
199,397 |
|
|
|
|
|
|
113,000 |
|
|
Enlink Midstream, LLC* 6.500%, 09/01/30 |
|
|
113,984 |
|
|
|
|
|
|
|
|
|
Enterprise Products Operating, LLCµ |
|
|
|
|
|
|
|
|
|
205,000 |
|
|
5.250%, 08/16/77 3 mo. USD LIBOR + 3.03% |
|
|
182,309 |
|
|
|
|
|
|
185,000 |
|
|
8.304%, 08/16/77 3 mo. USD LIBOR + 2.99% |
|
|
184,904 |
|
|
|
|
|
|
220,000 |
|
|
EQM Midstream Partners, LP*~ 7.500%, 06/01/27 |
|
|
223,843 |
|
|
|
|
|
|
46,000 |
|
|
Genesis Energy, LP / Genesis Energy Finance Corp.µ 8.875%, 04/15/30 |
|
|
45,945 |
|
|
|
|
|
|
255,000 |
|
|
Gulfport Energy Corp.*µ 8.000%, 05/17/26 |
|
|
258,476 |
|
|
|
|
|
|
265,000 |
|
|
Hilcorp Energy I, LP / Hilcorp Finance Company*~ 6.000%, 04/15/30 |
|
|
245,109 |
|
|
|
|
|
|
144,000 |
|
|
Howard Midstream Energy Partners, LLC*µ 6.750%, 01/15/27 |
|
|
139,684 |
|
|
|
|
|
|
186,000 |
|
|
Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*µ 6.000%, 08/01/26 |
|
|
182,406 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
3 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
135,000 |
|
|
Nabors Industries, Inc.*µ 7.375%, 05/15/27 |
|
$ |
132,195 |
|
|
|
|
|
|
135,000 |
|
|
Nabors Industries, Ltd.*µ 7.500%, 01/15/28 |
|
|
124,427 |
|
|
|
|
|
|
|
|
|
New Fortress Energy, Inc.*µ |
|
|
|
|
|
|
|
|
|
180,000 |
|
|
6.750%, 09/15/25 |
|
|
171,526 |
|
|
|
|
|
|
96,000 |
|
|
6.500%, 09/30/26 |
|
|
88,188 |
|
|
|
|
|
|
200,000 |
|
|
Parkland Corp.*~ 5.875%, 07/15/27 |
|
|
194,660 |
|
|
|
|
|
|
187,000 |
|
|
Patterson-UTI Energy, Inc.~ 5.150%, 11/15/29 |
|
|
173,521 |
|
|
|
|
|
|
565,000 |
|
|
Plains All American Pipeline, LP~ 9.431%, 08/31/23 3 mo. USD LIBOR + 4.11% |
|
|
513,308 |
|
|
|
|
|
|
175,000 |
|
|
Rockcliff Energy II, LLC*µ 5.500%, 10/15/29 |
|
|
160,981 |
|
|
|
|
|
|
|
|
|
Southwestern Energy Company~ |
|
|
|
|
|
|
|
|
|
98,000 |
|
|
4.750%, 02/01/32 |
|
|
87,393 |
|
|
|
|
|
|
90,000 |
|
|
5.375%, 02/01/29 |
|
|
85,139 |
|
|
|
|
|
|
48,000 |
|
|
Sunoco, LP / Sunoco Finance Corp.~ 4.500%, 04/30/30 |
|
|
42,737 |
|
|
|
|
|
|
230,000 |
|
|
Transocean, Inc.*µ 8.750%, 02/15/30 |
|
|
238,855 |
|
|
|
|
|
|
|
|
|
Venture Global Calcasieu Pass, LLC* |
|
|
|
|
|
|
|
|
|
115,000 |
|
|
6.250%, 01/15/30 |
|
|
112,559 |
|
|
|
|
|
|
45,000 |
|
|
4.125%, 08/15/31~ |
|
|
38,235 |
|
|
|
|
|
|
45,000 |
|
|
3.875%, 08/15/29~ |
|
|
39,053 |
|
|
|
|
|
|
|
|
|
Venture Global LNG, Inc.*µ |
|
|
|
|
|
|
|
|
|
230,000 |
|
|
8.375%, 06/01/31 |
|
|
233,593 |
|
|
|
|
|
|
140,000 |
|
|
8.125%, 06/01/28 |
|
|
142,367 |
|
|
|
|
|
|
|
|
|
Vital Energy, Inc. |
|
|
|
|
|
|
|
|
|
115,000 |
|
|
7.750%, 07/31/29*µ |
|
|
98,792 |
|
|
|
|
|
|
92,000 |
|
|
9.500%, 01/15/25~^ |
|
|
91,934 |
|
|
|
|
|
|
280,000 |
|
|
VOC Escrow, Ltd.*µ 5.000%, 02/15/28 |
|
|
260,490 |
|
|
|
|
|
|
190,000 |
|
|
Weatherford International, Ltd.*µ 8.625%, 04/30/30 |
|
|
194,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,601,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (13.4%) |
|
|
|
|
|
|
|
|
|
251,000 |
|
|
Acrisure, LLC / Acrisure Finance, Inc.*µ 7.000%, 11/15/25 |
|
|
243,061 |
|
|
|
|
|
|
286,000 |
|
|
Aethon United BR, LP / Aethon United Finance Corp.*µ 8.250%, 02/15/26 |
|
|
285,457 |
|
|
|
|
|
|
311,000 |
|
|
AG Issuer, LLC*µ 6.250%, 03/01/28 |
|
|
300,892 |
|
|
|
|
|
|
465,000 |
|
|
Aircastle, Ltd.* 5.250%, 06/15/26 5 year CMT + 4.41% |
|
|
355,776 |
|
|
|
|
|
|
315,000 |
|
|
Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer*µ 6.750%,
10/15/27 |
|
|
300,009 |
|
|
|
|
|
|
360,000 |
|
|
Allstate Corp. 5.750%, 08/15/53 3 mo. USD LIBOR + 2.94% |
|
|
357,545 |
|
|
|
|
|
|
|
|
|
Ally Financial, Inc. |
|
|
|
|
|
|
|
|
|
1,236,000 |
|
|
4.700%, 05/15/26~ 5 year CMT + 3.87% |
|
|
943,056 |
|
|
|
|
|
|
935,000 |
|
|
4.700%, 05/15/28µ 7 year CMT + 3.48% |
|
|
660,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
685,000 |
|
|
American International Group, Inc.µ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87% |
|
$ |
663,683 |
|
|
|
|
|
|
379,000 |
|
|
AmWINS Group, Inc.*µ 4.875%, 06/30/29 |
|
|
347,801 |
|
|
|
|
|
|
1,160,000 |
|
|
Ares Finance Company III, LLC*µ 4.125%, 06/30/51 5 year CMT + 3.24% |
|
|
873,724 |
|
|
|
|
|
|
208,000 |
|
|
Aviation Capital Group, LLC*µ 3.500%, 11/01/27 |
|
|
187,614 |
|
|
|
|
|
|
75,000 |
|
|
Avolon Holdings Funding, Ltd.*µ 5.500%, 01/15/26 |
|
|
72,917 |
|
|
|
|
|
|
835,000 |
|
|
AXIS Specialty Finance, LLCµ 4.900%, 01/15/40 5 year CMT + 3.19% |
|
|
672,284 |
|
|
|
|
|
|
|
|
|
Bank of America Corp.µ |
|
|
|
|
|
|
|
|
|
1,091,000 |
|
|
6.125%, 04/27/27^ 5 year CMT + 3.23% |
|
|
1,073,369 |
|
|
|
|
|
|
340,000 |
|
|
5.125%, 06/20/24 Update Replacements.xls: TSFR3M + 3.55 |
|
|
334,907 |
|
|
|
|
|
|
330,000 |
|
|
6.250%, 09/05/24 3 mo. USD LIBOR + 3.71% |
|
|
327,739 |
|
|
|
|
|
|
330,000 |
|
|
6.100%, 03/17/25 Update Replacements.xls: TSFR3M + 4.16 |
|
|
328,832 |
|
|
|
|
|
|
405,000 |
|
|
Bank of Montrealµ 4.800%, 08/25/24 5 year CMT + 2.98% |
|
|
362,495 |
|
|
|
|
|
|
1,560,000 |
|
|
Bank of New York Mellon Corp.µ 4.700%, 09/20/25 5 year CMT + 4.36% |
|
|
1,529,798 |
|
|
|
|
|
|
670,000 |
|
|
Bank of Nova Scotiaµ 3.625%, 10/27/81 5 year CMT + 2.613% |
|
|
485,676 |
|
|
|
|
|
|
|
|
|
BP Capital Markets, PLCµ |
|
|
|
|
|
|
|
|
|
810,000 |
|
|
4.875%, 03/22/30 5 year CMT + 4.40% |
|
|
754,248 |
|
|
|
|
|
|
355,000 |
|
|
4.375%, 06/22/25 5 year CMT + 4.04% |
|
|
342,263 |
|
|
|
|
|
|
375,000 |
|
|
BroadStreet Partners, Inc.*µ 5.875%, 04/15/29 |
|
|
335,164 |
|
|
|
|
|
|
|
|
|
Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*µ |
|
|
|
|
|
|
|
|
|
170,000 |
|
|
4.500%, 04/01/27 |
|
|
147,191 |
|
|
|
|
|
|
116,000 |
|
|
5.750%, 05/15/26 |
|
|
108,945 |
|
|
|
|
|
|
200,000 |
|
|
Burford Capital Global Financial, LLC* 6.875%, 04/15/30 |
|
|
183,108 |
|
|
|
|
|
|
1,098,000 |
|
|
Capital One Financial Corp.~^ 3.950%, 09/01/26 5 year CMT + 3.16% |
|
|
872,350 |
|
|
|
|
|
|
161,000 |
|
|
Castlelake Aviation Finance DAC*^ 5.000%, 04/15/27 |
|
|
148,721 |
|
|
|
|
|
|
|
|
|
Charles Schwab Corp.µ |
|
|
|
|
|
|
|
|
|
895,000 |
|
|
4.000%, 06/01/26 5 year CMT + 3.17% |
|
|
802,430 |
|
|
|
|
|
|
675,000 |
|
|
5.375%, 06/01/25 5 year CMT + 4.97% |
|
|
661,932 |
|
|
|
|
|
|
433,000 |
|
|
4.000%, 12/01/30 10 year CMT + 3.08% |
|
|
344,122 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
4 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
Citigroup, Inc.~ |
|
|
|
|
|
|
|
|
|
1,454,000 |
|
|
4.150%, 11/15/26 5 year CMT + 3.00% |
|
$ |
1,224,137 |
|
|
|
|
|
|
1,141,000 |
|
|
3.875%, 02/18/26 5 year CMT + 3.42% |
|
|
993,902 |
|
|
|
|
|
|
445,000 |
|
|
4.000%, 12/10/25 5 year CMT + 3.60% |
|
|
399,788 |
|
|
|
|
|
|
1,115,000 |
|
|
Citizens Financial Group, Inc.~ 4.000%, 10/06/26 5 year CMT + 3.22% |
|
|
863,032 |
|
|
|
|
|
|
365,000 |
|
|
Corebridge Financial, Inc.µ 6.875%, 12/15/52 |
|
|
355,565 |
|
|
|
|
|
|
|
|
|
Credit Acceptance Corp. |
|
|
|
|
|
|
|
|
|
285,000 |
|
|
6.625%, 03/15/26^ |
|
|
279,656 |
|
|
|
|
|
|
161,000 |
|
|
5.125%, 12/31/24* |
|
|
157,893 |
|
|
|
|
|
|
|
|
|
Discover Financial Services~ |
|
|
|
|
|
|
|
|
|
660,000 |
|
|
6.125%, 06/23/25 5 year CMT + 5.78% |
|
|
637,065 |
|
|
|
|
|
|
505,000 |
|
|
5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% |
|
|
392,587 |
|
|
|
|
|
|
241,000 |
|
|
Enact Holdings, Inc.*µ 6.500%, 08/15/25 |
|
|
238,701 |
|
|
|
|
|
|
635,000 |
|
|
Enstar Finance, LLCµ 5.500%, 01/15/42 5 year CMT + 4.01% |
|
|
493,439 |
|
|
|
|
|
|
1,500,000 |
|
|
Fifth Third Bancorp~ 4.500%, 09/30/25 5 year CMT + 4.22% |
|
|
1,374,540 |
|
|
|
|
|
|
275,000 |
|
|
Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP*~ 3.750%, 12/15/27 |
|
|
219,786 |
|
|
|
|
|
|
|
|
|
Goldman Sachs Group, Inc.~ |
|
|
|
|
|
|
|
|
|
1,180,000 |
|
|
4.400%, 02/10/25 5 year CMT + 2.85% |
|
|
1,025,208 |
|
|
|
|
|
|
442,000 |
|
|
4.125%, 11/10/26 5 year CMT + 2.95% |
|
|
378,935 |
|
|
|
|
|
|
427,000 |
|
|
Greystar Real Estate Partners, LLC*~ 5.750%, 12/01/25 |
|
|
421,505 |
|
|
|
|
|
|
|
|
|
HUB International, Ltd.*µ |
|
|
|
|
|
|
|
|
|
276,000 |
|
|
5.625%, 12/01/29 |
|
|
247,064 |
|
|
|
|
|
|
195,000 |
|
|
7.000%, 05/01/26 |
|
|
194,803 |
|
|
|
|
|
|
|
|
|
Huntington Bancshares, Inc.~ |
|
|
|
|
|
|
|
|
|
940,000 |
|
|
4.450%, 10/15/27 7 year CMT + 4.05% |
|
|
805,975 |
|
|
|
|
|
|
505,000 |
|
|
5.625%, 07/15/30 10 year CMT + 4.95% |
|
|
464,837 |
|
|
|
|
|
|
144,000 |
|
|
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.~ 4.375%, 02/01/29 |
|
|
116,935 |
|
|
|
|
|
|
510,000 |
|
|
ILFC E-Capital Trust II* 7.314%, 12/21/65 3 mo. USD LIBOR + 1.80% |
|
|
369,750 |
|
|
|
|
|
|
|
|
|
Iron Mountain, Inc.* |
|
|
|
|
|
|
|
|
|
380,000 |
|
|
5.250%, 03/15/28 |
|
|
357,610 |
|
|
|
|
|
|
45,000 |
|
|
7.000%, 02/15/29 |
|
|
45,213 |
|
|
|
|
|
|
525,000 |
|
|
Jefferies Finance, LLC / JFIN Co-Issuer Corp.*µ 5.000%, 08/15/28 |
|
|
448,754 |
|
|
|
|
|
|
|
|
|
JPMorgan Chase & Companyµ |
|
|
|
|
|
|
|
|
|
2,840,000 |
|
|
3.650%, 06/01/26 5 year CMT + 2.85% |
|
|
2,543,277 |
|
|
|
|
|
|
330,000 |
|
|
6.125%, 04/30/24 Update Replacements.xls: TSFR3M + 3.59 |
|
|
328,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
430,000 |
|
|
KeyCorp 5.000%, 09/15/26 3 mo. USD LIBOR + 3.61% |
|
$ |
348,016 |
|
|
|
|
|
|
|
|
|
Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.*~ |
|
|
|
|
|
|
|
|
|
379,000 |
|
|
5.250%, 10/01/25 |
|
|
363,423 |
|
|
|
|
|
|
95,000 |
|
|
4.750%, 06/15/29 |
|
|
80,145 |
|
|
|
|
|
|
265,000 |
|
|
LD Holdings Group, LLC* 6.125%, 04/01/28 |
|
|
174,243 |
|
|
|
|
|
|
|
|
|
Level 3 Financing, Inc.* |
|
|
|
|
|
|
|
|
|
243,000 |
|
|
3.400%, 03/01/27 |
|
|
214,715 |
|
|
|
|
|
|
200,000 |
|
|
4.250%, 07/01/28µ |
|
|
141,864 |
|
|
|
|
|
|
90,000 |
|
|
4.625%, 09/15/27µ |
|
|
68,524 |
|
|
|
|
|
|
1,085,000 |
|
|
Liberty Mutual Group, Inc.*~ 4.125%, 12/15/51 5 year CMT + 3.32% |
|
|
871,580 |
|
|
|
|
|
|
139,000 |
|
|
LPL Holdings, Inc.*µ 4.000%, 03/15/29 |
|
|
124,718 |
|
|
|
|
|
|
|
|
|
M&T Bank Corp. |
|
|
|
|
|
|
|
|
|
355,000 |
|
|
6.450%, 02/15/24 3 mo. USD LIBOR + 3.61 |
|
|
343,761 |
|
|
|
|
|
|
200,000 |
|
|
5.125%, 11/01/26 3 mo. USD LIBOR + 3.52 |
|
|
169,368 |
|
|
|
|
|
|
200,000 |
|
|
5.000%, 08/01/24 5 year CMT + 3.17 |
|
|
176,618 |
|
|
|
|
|
|
670,000 |
|
|
Markel Corp.~ 6.000%, 06/01/25 5 year CMT + 5.66% |
|
|
653,927 |
|
|
|
|
|
|
|
|
|
MetLife, Inc.µ |
|
|
|
|
|
|
|
|
|
1,205,000 |
|
|
6.400%, 12/15/66 |
|
|
1,213,495 |
|
|
|
|
|
|
605,000 |
|
|
3.850%, 09/15/25 5 year CMT + 3.58% |
|
|
568,742 |
|
|
|
|
|
|
255,000 |
|
|
Nationstar Mortgage Holdings, Inc.*µ 5.500%, 08/15/28 |
|
|
231,474 |
|
|
|
|
|
|
380,000 |
|
|
Nationwide Financial Services, Inc.µ 6.750%, 05/15/87 |
|
|
366,122 |
|
|
|
|
|
|
|
|
|
Navient Corp. |
|
|
|
|
|
|
|
|
|
197,000 |
|
|
5.000%, 03/15/27 |
|
|
178,527 |
|
|
|
|
|
|
100,000 |
|
|
4.875%, 03/15/28µ |
|
|
87,470 |
|
|
|
|
|
|
220,000 |
|
|
Necessity Retail REIT, Inc. / American Finance Operating Partner, LP*~ 4.500%, 09/30/28 |
|
|
172,685 |
|
|
|
|
|
|
370,000 |
|
|
Northern Trust Corp.µ 4.600%, 10/01/26 3 mo. USD LIBOR + 3.20 |
|
|
331,413 |
|
|
|
|
|
|
|
|
|
OneMain Finance Corp. |
|
|
|
|
|
|
|
|
|
130,000 |
|
|
9.000%, 01/15/29 |
|
|
132,211 |
|
|
|
|
|
|
130,000 |
|
|
3.875%, 09/15/28~ |
|
|
107,220 |
|
|
|
|
|
|
95,000 |
|
|
7.125%, 03/15/26^ |
|
|
94,164 |
|
|
|
|
|
|
98,000 |
|
|
Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance
Co-Issuer*µ 5.875%, 10/01/28 |
|
|
90,900 |
|
|
|
|
|
|
1,148,000 |
|
|
PartnerRe Finance B, LLCµ^ 4.500%, 10/01/50 5 year CMT + 3.82% |
|
|
971,116 |
|
|
|
|
|
|
295,000 |
|
|
PHH Mortgage Corp.*µ 7.875%, 03/15/26 |
|
|
267,474 |
|
|
|
|
|
|
|
|
|
PNC Financial Services Group, Inc. |
|
|
|
|
|
|
|
|
|
885,000 |
|
|
3.400%, 09/15/26µ 5 year CMT + 2.60% |
|
|
680,016 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
5 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
425,000 |
|
|
6.000%, 05/15/27µ 5 year CMT + 3.00% |
|
$ |
394,391 |
|
|
|
|
|
|
360,000 |
|
|
6.200%, 09/15/27 5 year CMT + 3.24% |
|
|
346,432 |
|
|
|
|
|
|
785,000 |
|
|
QBE Insurance Group, Ltd.*µ 5.875%, 05/12/25 5 year CMT + 5.51% |
|
|
756,960 |
|
|
|
|
|
|
220,000 |
|
|
RHP Hotel Properties, LP / RHP Finance Corp.*µ 4.500%, 02/15/29 |
|
|
196,244 |
|
|
|
|
|
|
|
|
|
Rocket Mortgage, LLC / Rocket Mortgage Co-Issuer, Inc.*~ |
|
|
|
|
|
|
|
|
|
85,000 |
|
|
3.875%, 03/01/31 |
|
|
70,117 |
|
|
|
|
|
|
85,000 |
|
|
3.625%, 03/01/29 |
|
|
72,468 |
|
|
|
|
|
|
45,000 |
|
|
2.875%, 10/15/26 |
|
|
40,179 |
|
|
|
|
|
|
1,362,000 |
|
|
State Street Corp.~^ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54% |
|
|
1,326,452 |
|
|
|
|
|
|
199,000 |
|
|
StoneX Group, Inc.* 8.625%, 06/15/25 |
|
|
201,762 |
|
|
|
|
|
|
|
|
|
Truist Financial Corp.µ |
|
|
|
|
|
|
|
|
|
835,000 |
|
|
4.800%, 09/01/24 5 year CMT + 3.00% |
|
|
746,423 |
|
|
|
|
|
|
685,000 |
|
|
4.950%, 09/01/25 5 year CMT + 4.61% |
|
|
648,188 |
|
|
|
|
|
|
256,000 |
|
|
5.100%, 03/01/30 Update Replacements.xls: H15T10Y + 4.35 |
|
|
228,987 |
|
|
|
|
|
|
600,000 |
|
|
U.S. Bancorpµ 5.300%, 04/15/27 3 mo. USD LIBOR + 2.91% |
|
|
527,130 |
|
|
|
|
|
|
|
|
|
United Wholesale Mortgage, LLC*~ |
|
|
|
|
|
|
|
|
|
221,000 |
|
|
5.500%, 04/15/29 |
|
|
194,526 |
|
|
|
|
|
|
90,000 |
|
|
5.750%, 06/15/27 |
|
|
84,277 |
|
|
|
|
|
|
|
|
|
Uniti Group, LP / Uniti Group Finance, Inc. / CSL Capital, LLC* |
|
|
|
|
|
|
|
|
|
93,000 |
|
|
10.500%, 02/15/28µ |
|
|
92,512 |
|
|
|
|
|
|
90,000 |
|
|
6.500%, 02/15/29~ |
|
|
62,755 |
|
|
|
|
|
|
210,000 |
|
|
VZ Secured Financing, BV*µ 5.000%, 01/15/32 |
|
|
170,911 |
|
|
|
|
|
|
|
|
|
Wells Fargo & Company |
|
|
|
|
|
|
|
|
|
1,480,000 |
|
|
3.900%, 03/15/26~ 5 year CMT + 3.45% |
|
|
1,329,469 |
|
|
|
|
|
|
353,000 |
|
|
7.625%, 09/15/28 5 year CMT + 3.61 |
|
|
363,216 |
|
|
|
|
|
|
208,000 |
|
|
XHR, LP*µ 6.375%, 08/15/25 |
|
|
205,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,068,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.1%) |
|
|
|
|
|
|
|
|
|
|
|
|
Bausch Health Companies, Inc.* |
|
|
|
|
|
|
|
|
|
318,000 |
|
|
11.000%, 09/30/28µ |
|
|
235,861 |
|
|
|
|
|
|
72,000 |
|
|
6.125%, 02/01/27 |
|
|
47,556 |
|
|
|
|
|
|
62,000 |
|
|
14.000%, 10/15/30 |
|
|
39,575 |
|
|
|
|
|
|
|
|
|
CHS/Community Health Systems, Inc.* |
|
|
|
|
|
|
|
|
|
535,000 |
|
|
8.000%, 03/15/26µ |
|
|
526,183 |
|
|
|
|
|
|
377,000 |
|
|
6.125%, 04/01/30~ |
|
|
238,256 |
|
|
|
|
|
|
108,000 |
|
|
6.875%, 04/15/29~ |
|
|
71,954 |
|
|
|
|
|
|
24,000 |
|
|
5.250%, 05/15/30µ |
|
|
19,218 |
|
|
|
|
|
|
|
|
|
DaVita, Inc.*µ |
|
|
|
|
|
|
|
|
|
372,000 |
|
|
4.625%, 06/01/30 |
|
|
317,926 |
|
|
|
|
|
|
222,000 |
|
|
3.750%, 02/15/31 |
|
|
177,667 |
|
|
|
|
|
|
|
|
|
Embecta Corp.*µ |
|
|
|
|
|
|
|
|
|
144,000 |
|
|
5.000%, 02/15/30 |
|
|
118,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
48,000 |
|
|
6.750%, 02/15/30 |
|
$ |
42,379 |
|
|
|
|
|
|
|
|
|
Encompass Health Corp.µ |
|
|
|
|
|
|
|
|
|
100,000 |
|
|
4.750%, 02/01/30 |
|
|
91,147 |
|
|
|
|
|
|
100,000 |
|
|
4.500%, 02/01/28 |
|
|
93,031 |
|
|
|
|
|
|
200,000 |
|
|
Jazz Securities DAC*~ 4.375%, 01/15/29 |
|
|
178,160 |
|
|
|
|
|
|
|
|
|
Medline Borrower, LP* |
|
|
|
|
|
|
|
|
|
233,000 |
|
|
5.250%, 10/01/29^ |
|
|
207,081 |
|
|
|
|
|
|
230,000 |
|
|
3.875%, 04/01/29µ |
|
|
201,722 |
|
|
|
|
|
|
|
|
|
Organon & Company / Organon Foreign Debt Co-Issuer, BV* |
|
|
|
|
|
|
|
|
|
350,000 |
|
|
5.125%, 04/30/31µ |
|
|
297,076 |
|
|
|
|
|
|
200,000 |
|
|
4.125%, 04/30/28~ |
|
|
179,390 |
|
|
|
|
|
|
470,000 |
|
|
Tenet Healthcare Corp.µ 6.875%, 11/15/31 |
|
|
471,119 |
|
|
|
|
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III, BV |
|
|
|
|
|
|
|
|
|
230,000 |
|
|
5.125%, 05/09/29 |
|
|
211,510 |
|
|
|
|
|
|
200,000 |
|
|
4.750%, 05/09/27~ |
|
|
186,414 |
|
|
|
|
|
|
115,000 |
|
|
3.150%, 10/01/26 |
|
|
104,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,056,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (3.1%) |
|
|
|
|
|
|
|
|
|
220,000 |
|
|
ACCO Brands Corp.*µ 4.250%, 03/15/29 |
|
|
189,134 |
|
|
|
|
|
|
800,000 |
|
|
AerCap Holdings, NV~ 5.875%, 10/10/79 5 year CMT + 4.54% |
|
|
775,600 |
|
|
|
|
|
|
|
|
|
Air Lease Corp.~ |
|
|
|
|
|
|
|
|
|
885,000 |
|
|
4.125%, 12/15/26 5 year CMT + 3.15% |
|
|
642,829 |
|
|
|
|
|
|
810,000 |
|
|
4.650%, 06/15/26 5 year CMT + 4.08% |
|
|
723,330 |
|
|
|
|
|
|
|
|
|
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* |
|
|
|
|
|
|
|
|
|
315,000 |
|
|
4.625%, 01/15/27~ |
|
|
299,061 |
|
|
|
|
|
|
185,000 |
|
|
3.500%, 03/15/29~ |
|
|
161,126 |
|
|
|
|
|
|
145,000 |
|
|
5.875%, 02/15/28 |
|
|
141,967 |
|
|
|
|
|
|
220,000 |
|
|
Allegiant Travel Company*~ 7.250%, 08/15/27 |
|
|
217,855 |
|
|
|
|
|
|
50,000 |
|
|
American Airlines Group, Inc.*µ 3.750%, 03/01/25 |
|
|
47,768 |
|
|
|
|
|
|
108,000 |
|
|
Arcosa, Inc.* 4.375%, 04/15/29 |
|
|
97,914 |
|
|
|
|
|
|
740,000 |
|
|
ARD Finance, SA*µ 6.500%, 06/30/27 7.250% PIK rate |
|
|
602,715 |
|
|
|
|
|
|
151,000 |
|
|
Beacon Roofing Supply, Inc.*µ 4.125%, 05/15/29 |
|
|
133,621 |
|
|
|
|
|
|
191,000 |
|
|
BWX Technologies, Inc.*~ 4.125%, 04/15/29 |
|
|
173,485 |
|
|
|
|
|
|
90,000 |
|
|
Cascades, Inc. / Cascades USA, Inc.* 5.125%, 01/15/26 |
|
|
86,831 |
|
|
|
|
|
|
47,000 |
|
|
Delta Air Lines, Inc.~ 7.375%, 01/15/26 |
|
|
48,837 |
|
|
|
|
|
|
48,000 |
|
|
Delta Air Lines, Inc. / SkyMiles IP, Ltd.*µ 4.750%, 10/20/28 |
|
|
46,512 |
|
|
|
|
|
|
245,000 |
|
|
Deluxe Corp.*µ 8.000%, 06/01/29 |
|
|
205,908 |
|
|
|
|
|
|
143,000 |
|
|
Eco Material Technologies, Inc.*µ 7.875%, 01/31/27 |
|
|
138,101 |
|
|
|
|
|
|
46,000 |
|
|
Emerald Debt Merger Sub, LLC* 6.625%, 12/15/30 |
|
|
45,803 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
6 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
85,000 |
|
|
EnerSys* 4.375%, 12/15/27 |
|
$ |
78,979 |
|
|
|
|
|
|
118,000 |
|
|
Graham Packaging Company, Inc.*µ 7.125%, 08/15/28 |
|
|
103,898 |
|
|
|
|
|
|
88,000 |
|
|
Graphic Packaging International, LLC* 3.500%, 03/01/29 |
|
|
77,027 |
|
|
|
|
|
|
203,000 |
|
|
Great Lakes Dredge & Dock Corp.* 5.250%, 06/01/29 |
|
|
172,893 |
|
|
|
|
|
|
443,000 |
|
|
H&E Equipment Services, Inc.*µ 3.875%, 12/15/28 |
|
|
389,384 |
|
|
|
|
|
|
281,000 |
|
|
Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.*µ 5.750%, 01/20/26 |
|
|
265,562 |
|
|
|
|
|
|
290,000 |
|
|
Herc Holdings, Inc.*µ 5.500%, 07/15/27 |
|
|
278,893 |
|
|
|
|
|
|
220,000 |
|
|
IEA Energy Services, LLC*µ 6.625%, 08/15/29 |
|
|
215,327 |
|
|
|
|
|
|
290,000 |
|
|
JELD-WEN, Inc.*^ 4.625%, 12/15/25 |
|
|
285,563 |
|
|
|
|
|
|
305,000 |
|
|
Ken Garff Automotive, LLC*µ 4.875%, 09/15/28 |
|
|
268,891 |
|
|
|
|
|
|
185,000 |
|
|
Knife River Holding Company* 7.750%, 05/01/31 |
|
|
189,488 |
|
|
|
|
|
|
96,000 |
|
|
MasTec, Inc.*µ 4.500%, 08/15/28 |
|
|
89,316 |
|
|
|
|
|
|
107,000 |
|
|
Moog, Inc.*~ 4.250%, 12/15/27 |
|
|
99,258 |
|
|
|
|
|
|
230,000 |
|
|
Newfold Digital Holdings Group, Inc.*µ 6.000%, 02/15/29 |
|
|
169,933 |
|
|
|
|
|
|
172,000 |
|
|
Novelis Corp.*~ 4.750%, 01/30/30 |
|
|
154,805 |
|
|
|
|
|
|
70,000 |
|
|
OI European Group, BV* 4.750%, 02/15/30 |
|
|
63,531 |
|
|
|
|
|
|
225,000 |
|
|
Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer, LLC*~ 4.000%, 10/15/27 |
|
|
202,923 |
|
|
|
|
|
|
285,000 |
|
|
Patrick Industries, Inc.*~ 4.750%, 05/01/29 |
|
|
248,035 |
|
|
|
|
|
|
95,000 |
|
|
QVC, Inc. 5.450%, 08/15/34 |
|
|
48,156 |
|
|
|
|
|
|
|
|
|
Sealed Air Corp.* |
|
|
|
|
|
|
|
|
|
144,000 |
|
|
6.125%, 02/01/28 |
|
|
143,862 |
|
|
|
|
|
|
48,000 |
|
|
5.000%, 04/15/29 |
|
|
44,867 |
|
|
|
|
|
|
98,000 |
|
|
Sensata Technologies, Inc.* 3.750%, 02/15/31 |
|
|
82,928 |
|
|
|
|
|
|
|
|
|
Sinclair Television Group, Inc.* |
|
|
|
|
|
|
|
|
|
141,000 |
|
|
4.125%, 12/01/30~ |
|
|
91,955 |
|
|
|
|
|
|
100,000 |
|
|
5.500%, 03/01/30 |
|
|
52,763 |
|
|
|
|
|
|
195,000 |
|
|
Standard Industries, Inc.*µ 5.000%, 02/15/27 |
|
|
187,017 |
|
|
|
|
|
|
315,000 |
|
|
Stanley Black & Decker, Inc.µ 4.000%, 03/15/60 5 year CMT + 2.66% |
|
|
241,098 |
|
|
|
|
|
|
150,000 |
|
|
Stericycle, Inc.*~ 3.875%, 01/15/29 |
|
|
132,670 |
|
|
|
|
|
|
145,000 |
|
|
STL Holding Company, LLC*µ 7.500%, 02/15/26 |
|
|
135,153 |
|
|
|
|
|
|
|
|
|
TransDigm, Inc.µ |
|
|
|
|
|
|
|
|
|
405,000 |
|
|
7.500%, 03/15/27 |
|
|
404,931 |
|
|
|
|
|
|
243,000 |
|
|
6.250%, 03/15/26* |
|
|
242,137 |
|
|
|
|
|
|
140,000 |
|
|
6.750%, 08/15/28* |
|
|
140,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
141,000 |
|
|
Tronox, Inc.*µ 4.625%, 03/15/29 |
|
$ |
117,009 |
|
|
|
|
|
|
77,943 |
|
|
United Airlines Pass Through Trust Series 2019-2, Class B 3.500%,
11/01/29 |
|
|
70,254 |
|
|
|
|
|
|
187,000 |
|
|
Vertiv Group Corp.*µ 4.125%, 11/15/28 |
|
|
168,068 |
|
|
|
|
|
|
201,000 |
|
|
Wabash National Corp.*µ 4.500%, 10/15/28 |
|
|
169,678 |
|
|
|
|
|
|
150,000 |
|
|
Waste Pro USA, Inc.*µ 5.500%, 02/15/26 |
|
|
142,131 |
|
|
|
|
|
|
45,000 |
|
|
WESCO Distribution, Inc.*~ 7.250%, 06/15/28 |
|
|
46,000 |
|
|
|
|
|
|
|
|
|
Williams Scotsman International, Inc.*µ |
|
|
|
|
|
|
|
|
|
202,000 |
|
|
6.125%, 06/15/25 |
|
|
201,388 |
|
|
|
|
|
|
47,000 |
|
|
4.625%, 08/15/28 |
|
|
43,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,038,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.7%) |
|
|
|
|
|
|
|
|
|
96,000 |
|
|
Booz Allen Hamilton, Inc.*µ 4.000%, 07/01/29 |
|
|
86,868 |
|
|
|
|
|
|
112,000 |
|
|
Coherent Corp.*~^ 5.000%, 12/15/29 |
|
|
100,947 |
|
|
|
|
|
|
299,000 |
|
|
CommScope Technologies, LLC*~ 6.000%, 06/15/25 |
|
|
271,662 |
|
|
|
|
|
|
175,000 |
|
|
CommScope, Inc.*µ 4.750%, 09/01/29 |
|
|
134,858 |
|
|
|
|
|
|
96,000 |
|
|
Dun & Bradstreet Corp.* 5.000%, 12/15/29 |
|
|
85,164 |
|
|
|
|
|
|
56,000 |
|
|
Fair Isaac Corp.* 4.000%, 06/15/28 |
|
|
51,472 |
|
|
|
|
|
|
210,000 |
|
|
KBR, Inc.*~ 4.750%, 09/30/28 |
|
|
192,433 |
|
|
|
|
|
|
|
|
|
MPH Acquisition Holdings, LLC* |
|
|
|
|
|
|
|
|
|
210,000 |
|
|
5.750%, 11/01/28~^ |
|
|
161,001 |
|
|
|
|
|
|
95,000 |
|
|
5.500%, 09/01/28µ |
|
|
82,929 |
|
|
|
|
|
|
96,000 |
|
|
NCR Corp.*µ 5.125%, 04/15/29 |
|
|
86,011 |
|
|
|
|
|
|
143,000 |
|
|
ON Semiconductor Corp.*~ 3.875%, 09/01/28 |
|
|
129,691 |
|
|
|
|
|
|
|
|
|
Open Text Corp.* |
|
|
|
|
|
|
|
|
|
129,000 |
|
|
3.875%, 02/15/28~ |
|
|
115,029 |
|
|
|
|
|
|
90,000 |
|
|
6.900%, 12/01/27 |
|
|
92,092 |
|
|
|
|
|
|
72,000 |
|
|
3.875%, 12/01/29~ |
|
|
60,955 |
|
|
|
|
|
|
72,000 |
|
|
Open Text Holdings, Inc.*~ 4.125%, 12/01/31 |
|
|
59,849 |
|
|
|
|
|
|
96,000 |
|
|
Playtika Holding Corp.*µ 4.250%, 03/15/29 |
|
|
84,816 |
|
|
|
|
|
|
265,000 |
|
|
TTM Technologies, Inc.* 4.000%, 03/01/29 |
|
|
226,132 |
|
|
|
|
|
|
|
|
|
Twilio, Inc.~ |
|
|
|
|
|
|
|
|
|
130,000 |
|
|
3.625%, 03/15/29 |
|
|
111,865 |
|
|
|
|
|
|
47,000 |
|
|
3.875%, 03/15/31 |
|
|
39,825 |
|
|
|
|
|
|
205,000 |
|
|
Viavi Solutions, Inc.* 3.750%, 10/01/29 |
|
|
176,778 |
|
|
|
|
|
|
220,000 |
|
|
ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.*~^ 3.875%, 02/01/29 |
|
|
189,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,539,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.7%) |
|
|
|
|
|
|
|
|
|
150,000 |
|
|
ArcelorMittal, SAµ 7.000%, 10/15/39 |
|
|
155,629 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
7 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
90,000 |
|
|
ATI, Inc.µ 5.875%, 12/01/27 |
|
$ |
87,936 |
|
|
|
|
|
|
46,000 |
|
|
Carpenter Technology Corp.µ 7.625%, 03/15/30 |
|
|
47,008 |
|
|
|
|
|
|
145,000 |
|
|
Chemours Company*~ 4.625%, 11/15/29 |
|
|
122,896 |
|
|
|
|
|
|
300,000 |
|
|
Clearwater Paper Corp.* 4.750%, 08/15/28 |
|
|
265,947 |
|
|
|
|
|
|
139,000 |
|
|
Cleveland-Cliffs, Inc.* 6.750%, 04/15/30 |
|
|
135,571 |
|
|
|
|
|
|
|
|
|
Commercial Metals Company~ |
|
|
|
|
|
|
|
|
|
96,000 |
|
|
4.125%, 01/15/30 |
|
|
86,410 |
|
|
|
|
|
|
48,000 |
|
|
4.375%, 03/15/32 |
|
|
41,956 |
|
|
|
|
|
|
250,000 |
|
|
Constellium, SE*µ^ 3.750%, 04/15/29 |
|
|
217,672 |
|
|
|
|
|
|
144,000 |
|
|
HB Fuller Company 4.250%, 10/15/28 |
|
|
129,345 |
|
|
|
|
|
|
200,000 |
|
|
INEOS Finance, PLC* 6.750%, 05/15/28 |
|
|
190,870 |
|
|
|
|
|
|
|
|
|
Kaiser Aluminum Corp.*µ |
|
|
|
|
|
|
|
|
|
210,000 |
|
|
4.625%, 03/01/28 |
|
|
188,845 |
|
|
|
|
|
|
24,000 |
|
|
4.500%, 06/01/31 |
|
|
19,697 |
|
|
|
|
|
|
53,000 |
|
|
LSF11 A5 HoldCo, LLC*µ 6.625%, 10/15/29 |
|
|
44,559 |
|
|
|
|
|
|
244,000 |
|
|
Mercer International, Inc.µ 5.125%, 02/01/29 |
|
|
200,312 |
|
|
|
|
|
|
200,000 |
|
|
OCI, NV*µ 6.700%, 03/16/33 |
|
|
198,060 |
|
|
|
|
|
|
|
|
|
Owens-Brockway Glass Container, Inc.*µ |
|
|
|
|
|
|
|
|
|
150,000 |
|
|
6.625%, 05/13/27 |
|
|
149,624 |
|
|
|
|
|
|
135,000 |
|
|
7.250%, 05/15/31 |
|
|
137,380 |
|
|
|
|
|
|
80,000 |
|
|
Silgan Holdings, Inc.~ 4.125%, 02/01/28 |
|
|
73,323 |
|
|
|
|
|
|
96,000 |
|
|
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 |
|
|
56,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,549,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.1%) |
|
|
|
|
|
|
|
|
|
|
|
|
Gen Digital, Inc.* |
|
|
|
|
|
|
|
|
|
90,000 |
|
|
7.125%, 09/30/30^ |
|
|
90,788 |
|
|
|
|
|
|
90,000 |
|
|
6.750%, 09/30/27µ |
|
|
90,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
181,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.2%) |
|
|
|
|
|
|
|
|
|
152,000 |
|
|
EPR Propertiesµ 3.750%, 08/15/29 |
|
|
125,160 |
|
|
|
|
|
|
|
|
|
Forestar Group, Inc.* |
|
|
|
|
|
|
|
|
|
139,000 |
|
|
5.000%, 03/01/28 |
|
|
129,491 |
|
|
|
|
|
|
97,000 |
|
|
3.850%, 05/15/26 |
|
|
90,399 |
|
|
|
|
|
|
211,000 |
|
|
MIWD Holdco II, LLC / MIWD Finance Corp.*~ 5.500%, 02/01/30 |
|
|
179,584 |
|
|
|
|
|
|
95,000 |
|
|
Service Properties Trustµ 5.250%, 02/15/26 |
|
|
86,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
611,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Companies (0.1%) |
|
|
|
|
|
|
|
|
|
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Company, Inc.*µ |
|
|
|
|
|
|
|
|
|
185,000 |
|
|
6.750%, 01/15/30 |
|
|
159,122 |
|
|
|
|
|
|
96,000 |
|
|
4.625%, 01/15/29 |
|
|
84,233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
243,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (2.5%) |
|
|
|
|
|
|
|
|
|
910,000 |
|
|
Algonquin Power & Utilities Corp.~ 4.750%, 01/18/82 5 year CMT + 3.25% |
|
$ |
735,262 |
|
|
|
|
|
|
200,000 |
|
|
American Electric Power Company, Inc. 3.875%, 02/15/62 5 year CMT + 2.68 |
|
|
162,628 |
|
|
|
|
|
|
335,000 |
|
|
CenterPoint Energy, Inc.~ 6.125%, 09/01/23 3 mo. USD LIBOR + 3.27% |
|
|
329,272 |
|
|
|
|
|
|
590,000 |
|
|
CMS Energy Corp. 4.750%, 06/01/50 5 year CMT + 4.12% |
|
|
520,415 |
|
|
|
|
|
|
|
|
|
Dominion Energy, Inc.~ |
|
|
|
|
|
|
|
|
|
695,000 |
|
|
4.650%, 12/15/24 5 year CMT + 2.99% |
|
|
637,197 |
|
|
|
|
|
|
367,000 |
|
|
4.350%, 01/15/27 5 year CMT + 3.20% |
|
|
315,609 |
|
|
|
|
|
|
|
|
|
Duke Energy Corp. |
|
|
|
|
|
|
|
|
|
900,000 |
|
|
4.875%, 09/16/24~ 5 year CMT + 3.39% |
|
|
875,700 |
|
|
|
|
|
|
368,000 |
|
|
3.250%, 01/15/82µ 5 year CMT + 2.32% |
|
|
274,546 |
|
|
|
|
|
|
510,000 |
|
|
Emera, Inc. 6.750%, 06/15/76 3 mo. USD LIBOR + 5.44 |
|
|
497,362 |
|
|
|
|
|
|
|
|
|
National Rural Utilities Cooperative Finance Corp.µ |
|
|
|
|
|
|
|
|
|
712,000 |
|
|
7.125%, 09/15/53 |
|
|
716,977 |
|
|
|
|
|
|
385,000 |
|
|
5.250%, 04/20/46 3 mo. USD LIBOR + 3.63% |
|
|
362,505 |
|
|
|
|
|
|
770,000 |
|
|
NextEra Energy Capital Holdings, Inc.µ 3.800%, 03/15/82 5 year CMT + 2.55% |
|
|
655,347 |
|
|
|
|
|
|
434,000 |
|
|
PPL Capital Funding, Inc.µ 8.203%, 03/30/67 3 mo. USD LIBOR + 2.67% |
|
|
393,369 |
|
|
|
|
|
|
|
|
|
Sempra |
|
|
|
|
|
|
|
|
|
560,000 |
|
|
4.875%, 10/15/25~ 5 year CMT + 4.55% |
|
|
531,619 |
|
|
|
|
|
|
240,000 |
|
|
4.125%, 04/01/52µ 5 year CMT + 2.87% |
|
|
197,076 |
|
|
|
|
|
|
|
|
|
Southern Companyµ |
|
|
|
|
|
|
|
|
|
873,000 |
|
|
4.000%, 01/15/51 5 year CMT + 3.73% |
|
|
818,254 |
|
|
|
|
|
|
280,000 |
|
|
3.750%, 09/15/51 5 year CMT + 2.92% |
|
|
242,964 |
|
|
|
|
|
|
|
|
|
Vistra Corp.*µ |
|
|
|
|
|
|
|
|
|
305,000 |
|
|
7.000%, 12/15/26 5 year CMT + 5.74% |
|
|
274,982 |
|
|
|
|
|
|
185,000 |
|
|
8.000%, 10/15/26 5 year CMT + 6.93% |
|
|
176,355 |
|
|
|
|
|
|
205,000 |
|
|
WEC Energy Group, Inc.µ 7.433%, 05/15/67 3 mo. USD LIBOR + 2.11% |
|
|
175,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,893,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS (Cost $124,548,801) |
|
|
111,841,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
8 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
CONVERTIBLE BONDS (0.1%) |
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.0%) |
|
|
|
|
|
|
138,000 |
|
|
Cable One, Inc.µ 03/15/26 |
|
$ |
113,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
|
|
|
|
DISH Network Corp. |
|
|
|
|
|
|
|
|
|
338,000 |
|
|
2.375%, 03/15/24µ |
|
|
311,606 |
|
|
|
|
|
|
90,000 |
|
|
0.000%, 12/15/25 |
|
|
54,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.0%) |
|
|
|
|
|
|
95,000 |
|
|
Multiplan Corp.* 6.000%, 10/15/27 |
|
|
64,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS (Cost $571,872) |
|
|
545,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BANK LOANS (2.8%) ¡ |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines (0.1%) |
|
|
|
|
|
|
|
|
|
156,750 |
|
|
American Airlines, Inc. 10.338%, 04/20/28 3 mo. SOFR + 4.75% |
|
|
162,562 |
|
|
|
|
|
|
148,000 |
|
|
Mileage Plus Holdings, LLC 10.764%, 06/21/27 3 mo. LIBOR + 5.25% |
|
|
154,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
317,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.3%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
480,000 |
|
|
Clear Channel Outdoor Holdings, Inc. 8.851%, 08/21/26 3 mo. SOFR + 3.50% |
|
|
466,234 |
|
|
|
|
|
|
1,250 |
|
|
Clear Channel Outdoor Holdings, Inc. 8.933%, 08/21/26 1 mo. SOFR + 3.50% |
|
|
1,180 |
|
|
|
|
|
|
149,109 |
|
|
CMG Media Corp. 8.842%, 12/17/26 3 mo. SOFR + 3.50% |
|
|
135,796 |
|
|
|
|
|
|
248,290 |
|
|
DIRECTV Financing, LLC 10.433%, 08/02/27 1 mo. SOFR + 5.00% |
|
|
247,127 |
|
|
|
|
|
|
284,000 |
|
|
Entercom Media Corp. 8.131%, 11/18/24 3 mo. SOFR + 2.50% |
|
|
156,403 |
|
|
|
|
|
|
73,805 |
|
|
Nexstar Broadcasting, Inc. 7.933%, 09/18/26 1 mo. SOFR + 2.50% |
|
|
73,891 |
|
|
|
|
|
|
90,000 |
|
|
Telesat Canada 8.183%, 12/07/26 1 mo. SOFR + 2.75% |
|
|
55,358 |
|
|
|
|
|
|
94,050 |
|
|
Univision Communications, Inc. 9.492%, 06/24/29 3 mo. SOFR + 4.25% |
|
|
94,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,230,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.5%) |
|
|
|
|
|
|
|
|
|
103,306 |
|
|
American Axle & Manufacturing, Inc. 8.777%, 12/13/29 1 mo. SOFR + 3.50% |
|
|
103,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
179,550 |
|
|
Caesars Entertainment, Inc. 8.555%, 02/06/30 1 mo. SOFR + 3.25% |
|
$ |
179,887 |
|
|
|
|
|
|
189,525 |
|
|
Hanesbrands, Inc. 9.055%, 03/08/30 1 mo. SOFR + 3.75% |
|
|
189,703 |
|
|
|
|
|
|
109,382 |
|
|
Life Time Fitness, Inc. 10.050%, 01/15/26 3 mo. SOFR + 4.50% |
|
|
109,975 |
|
|
|
|
|
|
91,278 |
|
|
PENN Entertainment, Inc. 8.169%, 05/03/29 1 mo. SOFR + 2.75% |
|
|
91,278 |
|
|
|
|
|
|
322,050 |
|
|
Petco Health and Wellness Company, Inc. 8.754%, 03/03/28 3 mo. SOFR + 3.25% |
|
|
321,416 |
|
|
|
|
|
|
313,440 |
|
|
PetSmart, Inc. 9.169%, 02/11/28 1 mo. SOFR + 3.75% |
|
|
313,719 |
|
|
|
|
|
|
161,500 |
|
|
SkyMiles IP, Ltd. 9.076%, 10/20/27 3 mo. SOFR + 3.75% |
|
|
168,134 |
|
|
|
|
|
|
125,200 |
|
|
TKC Holdings, Inc. 10.933%, 05/15/28 1 mo. LIBOR + 5.50% |
|
|
117,988 |
|
|
|
|
|
|
45,000 |
|
|
Windsor Holdings III, LLC! 0.000%, 06/21/30 |
|
|
44,925 |
|
|
|
|
|
|
316,575 |
|
|
WW International, Inc. 8.933%, 04/13/28 1 mo. SOFR + 3.50% |
|
|
239,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,879,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%) |
|
|
|
|
|
|
|
|
|
100,000 |
|
|
United Natural Foods, Inc.! 0.000%, 10/22/25 |
|
|
100,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.1%) |
|
|
|
|
|
|
|
|
|
194,513 |
|
|
Par Petroleum, LLC 9.614%, 02/28/30 3 mo. SOFR + 4.25% |
|
|
193,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.4%) |
|
|
|
|
|
|
|
|
|
184,536 |
|
|
Alliant Holdings Intermediate, LLC 8.722%, 11/05/27 1 mo. SOFR + 3.50% |
|
|
184,402 |
|
|
|
|
|
|
135,000 |
|
|
Amynta Agency Borrower, Inc. 10.419%, 02/28/28 1 mo. SOFR + 5.00% |
|
|
133,324 |
|
|
|
|
|
|
173,681 |
|
|
AssuredPartners, Inc. 8.819%, 02/12/27 1 mo. SOFR + 3.50% |
|
|
173,029 |
|
|
|
|
|
|
140,000 |
|
|
Avolon TLB Borrower 1 (US), LLC 7.755%, 06/22/28 1 mo. SOFR + 2.50% |
|
|
140,204 |
|
|
|
|
|
|
99,500 |
|
|
Castlelake Aviation, Ltd. 8.004%, 10/22/27 3 mo. SOFR + 2.75% |
|
|
99,571 |
|
|
|
|
|
|
184,075 |
|
|
Hub International, Ltd. 9.060%, 11/10/29 3 mo. SOFR + 4.00% |
|
|
184,669 |
|
|
|
|
|
|
198,726 |
|
|
Jazz Financing Lux Sarl 8.933%, 05/05/28 1 mo. LIBOR + 3.50% |
|
|
198,740 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
9 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
257,400 |
|
|
VFH Parent, LLC 8.405%, 01/13/29 1 mo. SOFR + 3.00% |
|
$ |
256,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,370,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.4%) |
|
|
|
|
|
|
|
|
|
323,680 |
|
|
Amneal Pharmaceuticals, LLC 8.933%, 05/04/25 1 mo. SOFR + 3.50% |
|
|
308,710 |
|
|
|
|
|
|
42,750 |
|
|
Bausch Health Companies, Inc. 10.605%, 02/01/27 1 mo. SOFR + 5.25% |
|
|
35,016 |
|
|
|
|
|
|
113,114 |
|
|
ICON Luxembourg S.A.R.L. 7.754%, 07/03/28 3 mo. SOFR + 2.25% |
|
|
113,351 |
|
|
|
|
|
|
249,936 |
|
|
Mallinckrodt International Finance, SA 10.619%, 09/30/27 1 mo. SOFR + 5.25% |
|
|
189,913 |
|
|
|
|
|
|
207,059 |
|
|
Padagis, LLC 10.280%, 07/06/28 3 mo. SOFR + 4.75% |
|
|
200,502 |
|
|
|
|
|
|
28,182 |
|
|
PRA Health Sciences, Inc. 7.754%, 07/03/28 3 mo. SOFR + 2.25% |
|
|
28,242 |
|
|
|
|
|
|
815,946 |
|
|
Team Health Holdings, Inc. 10.569%, 03/02/27 1 mo. SOFR + 5.25% |
|
|
564,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,439,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.3%) |
|
|
|
|
|
|
|
|
|
98,000 |
|
|
ACProducts, Inc. 9.754%, 05/17/28 3 mo. SOFR + 4.25% |
|
|
84,598 |
|
|
|
|
|
|
118,800 |
|
|
Air Canada 8.839%, 08/11/28 3 mo. LIBOR + 3.50% |
|
|
119,012 |
|
|
|
|
|
|
233,238 |
|
|
ChampionX Corp. 8.495%, 06/07/29 1 mo. SOFR + 3.25% |
|
|
234,258 |
|
|
|
|
|
|
121,864 |
|
|
Emrld Borrower, LP 8.264%, 05/31/30 3 mo. SOFR + 3.00% |
|
|
122,094 |
|
|
|
|
|
|
198,000 |
|
|
Scientific Games International, Inc. 8.302%, 04/14/29 1 mo. SOFR + 3.00% |
|
|
197,984 |
|
|
|
|
|
|
194,503 |
|
|
United Airlines, Inc. 9.292%, 04/21/28 3 mo. LIBOR + 3.75% |
|
|
195,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
953,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%) |
|
|
|
|
|
|
|
|
|
177,307 |
|
|
Banff Merger Sub, Inc. 9.183%, 10/02/25 1 mo. SOFR + 3.75% |
|
|
177,086 |
|
|
|
|
|
|
209,772 |
|
|
Camelot Finance SA 8.433%, 10/30/26 1 mo. SOFR + 3.00% |
|
|
209,838 |
|
|
|
|
|
|
56,895 |
|
|
Camelot U.S. Acquisition LLC 8.433%, 10/30/26 1 mo. SOFR + 3.00% |
|
|
56,922 |
|
|
|
|
|
|
44,775 |
|
|
CDK Global, Inc. 9.492%, 07/06/29 3 mo. SOFR + 4.25% |
|
|
44,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
178,747 |
|
|
II-VI, Inc. 8.183%, 07/02/29 1 mo. SOFR + 2.75% |
|
$ |
178,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
667,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.0%) |
|
|
|
|
|
|
|
|
|
174,200 |
|
|
Dun & Bradstreet Corp. 8.291%, 02/06/26 1 mo. SOFR + 3.00% |
|
|
174,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.3%) |
|
|
|
|
|
|
|
|
|
44,444 |
|
|
American Axle & Manufacturing, Inc. 8.436%, 12/13/29 6 mo. SOFR + 3.50% |
|
|
44,389 |
|
|
|
|
|
|
185,000 |
|
|
Ineos US Finance, LLC 8.805%, 02/18/30 1 mo. SOFR + 3.50% |
|
|
183,324 |
|
|
|
|
|
|
225,124 |
|
|
Innophos, Inc. 8.683%, 02/05/27 1 mo. SOFR + 3.25% |
|
|
225,476 |
|
|
|
|
|
|
95,000 |
|
|
LSF11 A5 Holdco, LLC 9.669%, 10/15/28 1 mo. SOFR + 4.25% |
|
|
94,822 |
|
|
|
|
|
|
93,813 |
|
|
LSF11 A5 HoldCo, LLC 8.933%, 10/15/28 1 mo. SOFR + 3.50% |
|
|
93,070 |
|
|
|
|
|
|
89,771 |
|
|
Trinseo Materials Operating SCA! 0.000%, 05/03/28 |
|
|
71,586 |
|
|
|
|
|
|
189,267 |
|
|
WR Grace & Company 9.313%, 09/22/28 3 mo. LIBOR + 3.75% |
|
|
189,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
901,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Companies (0.2%) |
|
|
|
|
|
|
162,500 |
|
|
AP Core Holdings II, LLC 10.933%, 09/01/27 1 mo. SOFR + 5.50% |
|
|
157,592 |
|
|
|
|
|
|
99,000 |
|
|
Clydesdale Acquisition Holdings, Inc. 9.594%, 04/13/29 1 mo. SOFR + 4.18% |
|
|
98,231 |
|
|
|
|
|
|
44,438 |
|
|
Fertitta Entertainment, LLC 9.319%, 01/27/29 1 mo. SOFR + 4.00% |
|
|
44,036 |
|
|
|
|
|
|
198,500 |
|
|
Oscar AcquisitionCo, LLC 9.842%, 04/29/29 3 mo. SOFR + 4.50% |
|
|
196,227 |
|
|
|
|
|
|
178,650 |
|
|
Patagonia Holdco, LLC 10.789%, 08/01/29 3 mo. SOFR + 5.75% |
|
|
154,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
650,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL BANK LOANS (Cost $10,371,291) |
|
|
9,878,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
CONVERTIBLE PREFERRED STOCK (0.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.0%) |
|
|
|
|
|
|
|
|
|
3,850 |
|
|
Bank OZKµ 4.625%, 11/15/26 (Cost $96,434) |
|
|
61,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
10 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
PREFERRED STOCKS (2.7%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.5%) |
|
|
|
|
|
|
|
|
|
21,155 |
|
|
AT&T, Inc.µ 4.750%, 02/18/25 |
|
$ |
390,944 |
|
|
|
|
|
|
9,450 |
|
|
AT&T, Inc.µ 5.350%, 11/01/66 |
|
|
209,696 |
|
|
|
|
|
|
36,510 |
|
|
Qwest Corp.µ 6.500%, 09/01/56 |
|
|
528,665 |
|
|
|
|
|
|
12,250 |
|
|
Telephone and Data Systems, Inc.µ 6.000%, 09/30/26 |
|
|
170,520 |
|
|
|
|
|
|
20,175 |
|
|
United States Cellular Corp.µ 5.500%, 03/01/70 |
|
|
291,125 |
|
|
|
|
|
|
14,325 |
|
|
United States Cellular Corp.µ 5.500%, 06/01/70 |
|
|
206,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,797,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.3%) |
|
|
|
|
|
|
|
|
|
7,685 |
|
|
Ford Motor Companyµ 6.200%, 06/01/59 |
|
|
192,048 |
|
|
|
|
|
|
7,236 |
|
|
Ford Motor Companyµ 6.500%, 08/15/62 |
|
|
174,315 |
|
|
|
|
|
|
3,615 |
|
|
Guitar Center, Inc.&
|
|
|
460,913 |
|
|
|
|
|
|
1,670 |
|
|
Qurate Retail, Inc.µ 8.000%, 03/15/31 |
|
|
59,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
887,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.5%) |
|
|
|
|
|
|
|
|
|
31,635 |
|
|
Energy Transfer, LP~ 7.625%, 08/30/23 3 mo. USD LIBOR + 4.74% |
|
|
794,671 |
|
|
|
|
|
|
24,000 |
|
|
NuStar Energy, LP~ 11.151%, 08/30/23 3 mo. USD LIBOR + 5.64% |
|
|
582,720 |
|
|
|
|
|
|
17,500 |
|
|
NuStar Logistics, LP~ 12.304%, 01/15/43 3 mo. USD LIBOR + 6.73% |
|
|
459,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,837,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.9%) |
|
|
|
|
|
|
|
|
|
8,975 |
|
|
Affiliated Managers Group, Inc.µ 4.750%, 09/30/60 |
|
|
166,038 |
|
|
|
|
|
|
14,000 |
|
|
Allstate Corp.µ 7.375%, 07/15/28 |
|
|
375,760 |
|
|
|
|
|
|
15,560 |
|
|
Annaly Capital Management, Inc.µ 10.531%, 08/30/23 3 mo. USD LIBOR + 4.99% |
|
|
395,846 |
|
|
|
|
|
|
3,675 |
|
|
Capital One Financial Corp.µ^ 4.800%, 06/01/25 |
|
|
68,612 |
|
|
|
|
|
|
27,375 |
|
|
CNO Financial Group, Inc.µ 5.125%, 11/25/60 |
|
|
444,844 |
|
|
|
|
|
|
4,608 |
|
|
Cullen/Frost Bankers, Inc.µ^ 4.450%, 12/15/25 |
|
|
86,446 |
|
|
|
|
|
|
3,184 |
|
|
First Citizens BancShares, Inc.µ^ 5.625%, 01/04/27 |
|
|
65,972 |
|
|
|
|
|
|
8,383 |
|
|
KeyCorpµ 6.200%, 12/15/27 5 year CMT + 3.13% |
|
|
180,151 |
|
|
|
|
|
|
5,400 |
|
|
Morgan Stanleyµ 6.500%, 10/15/27 |
|
|
140,670 |
|
|
|
|
|
|
20,881 |
|
|
Prospect Capital Corp.~ 5.350%, 07/01/26 |
|
|
345,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
|
|
|
28,900 |
|
|
Reinsurance Group of America, Inc.µ 7.125%, 10/15/52 5 year CMT + 3.46% |
|
$ |
743,886 |
|
|
|
|
|
|
16,896 |
|
|
Selective Insurance Group, Inc.µ 4.600%, 12/15/25 |
|
|
295,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,309,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.1%) |
|
|
|
|
|
|
|
|
|
12,175 |
|
|
WESCO International, Inc.µ 10.625%, 06/22/25 5 year CMT + 10.33 |
|
|
330,186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.2%) |
|
|
|
|
|
|
|
|
|
23,352 |
|
|
Brookfield Property Partners, LP~ 5.750%, 03/31/25 |
|
|
315,836 |
|
|
|
|
|
|
12,800 |
|
|
Brookfield Property Partners, LP~ 6.375%, 09/30/24 |
|
|
187,136 |
|
|
|
|
|
|
6,245 |
|
|
Global Net Lease, Inc.µ 6.875%, 11/26/24 |
|
|
127,772 |
|
|
|
|
|
|
8,025 |
|
|
Spirit Realty Capital, Inc.µ 6.000%, 08/30/23 |
|
|
182,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
813,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.2%) |
|
|
|
|
|
|
|
|
|
14,975 |
|
|
Brookfield Renewable Partners, LP~ 5.250%, 03/31/25 |
|
|
309,384 |
|
|
|
|
|
|
13,450 |
|
|
DTE Energy Companyµ 5.250%, 12/01/77 |
|
|
321,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
631,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS (Cost $10,834,695) |
|
|
9,605,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS (88.6%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (5.1%) |
|
|
|
|
|
|
|
|
|
138,000 |
|
|
Alphabet, Inc. - Class A~# |
|
|
18,315,360 |
|
|
|
|
|
|
3,935 |
|
|
Altice USA, Inc. - Class Aµ# |
|
|
13,340 |
|
|
|
|
|
|
1,322 |
|
|
Cumulus Media, Inc. - Class Aµ# |
|
|
8,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,337,081 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (13.9%) |
|
|
|
|
|
|
|
|
|
134,000 |
|
|
Amazon.com, Inc.µ# |
|
|
17,913,120 |
|
|
|
|
|
|
189,000 |
|
|
Caesars Entertainment, Inc.µ# |
|
|
11,154,780 |
|
|
|
|
|
|
71,000 |
|
|
Hyatt Hotels Corp. - Class Aµ |
|
|
8,970,850 |
|
|
|
|
|
|
58,000 |
|
|
Marriott International, Inc. - Class Aµ |
|
|
11,704,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,743,730 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (3.1%) |
|
|
|
|
|
|
|
|
|
145,500 |
|
|
Sysco Corp.µ |
|
|
11,103,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.1%) |
|
|
|
|
|
|
|
|
|
560 |
|
|
Chesapeake Energy Corp.µ |
|
|
47,230 |
|
|
|
|
|
|
12,950 |
|
|
Energy Transfer, LP |
|
|
172,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
219,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (11.7%) |
|
|
|
|
|
|
|
|
|
580,000 |
|
|
Huntington Bancshares, Inc.µ |
|
|
7,099,200 |
|
|
|
|
|
|
127,000 |
|
|
Morgan Stanleyµ |
|
|
11,628,120 |
|
|
|
|
|
|
72,700 |
|
|
PNC Financial Services Group, Inc.µ |
|
|
9,951,903 |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
11 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
|
|
|
55,500 |
|
|
Visa, Inc. - Class Aµ |
|
$ |
13,194,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,873,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (7.8%) |
|
|
|
|
|
|
|
|
|
30,000 |
|
|
Danaher Corp.µ |
|
|
7,651,800 |
|
|
|
|
|
|
78,000 |
|
|
Medtronic, PLCµ |
|
|
6,845,280 |
|
|
|
|
|
|
71,000 |
|
|
Merck & Company, Inc.µ |
|
|
7,572,150 |
|
|
|
|
|
|
10,400 |
|
|
Thermo Fisher Scientific, Inc.µ |
|
|
5,706,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,775,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (30.5%) |
|
|
|
|
|
|
|
|
|
31,500 |
|
|
AerCap Holdings, NV~# |
|
|
2,010,015 |
|
|
|
|
|
|
228,500 |
|
|
Air Lease Corp. - Class Aµ |
|
|
9,674,690 |
|
|
|
|
|
|
375,000 |
|
|
CSX Corp.µ |
|
|
12,495,000 |
|
|
|
|
|
|
257,000 |
|
|
Delta Air Lines, Inc.µ |
|
|
11,888,820 |
|
|
|
|
|
|
58,500 |
|
|
Honeywell International, Inc.µ |
|
|
11,356,605 |
|
|
|
|
|
|
73,800 |
|
|
L3Harris Technologies, Inc.µ |
|
|
13,984,362 |
|
|
|
|
|
|
17,500 |
|
|
Parker-Hannifin Corp.µ |
|
|
7,175,175 |
|
|
|
|
|
|
23,300 |
|
|
Paycom Software, Inc.µ |
|
|
8,592,108 |
|
|
|
|
|
|
141,500 |
|
|
RTX Corp.µ |
|
|
12,442,095 |
|
|
|
|
|
|
33,500 |
|
|
Union Pacific Corp.µ |
|
|
7,772,670 |
|
|
|
|
|
|
211,500 |
|
|
United Airlines Holdings, Inc.µ# |
|
|
11,486,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
108,878,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (14.6%) |
|
|
|
|
|
|
17,800 |
|
|
Analog Devices, Inc.µ |
|
|
3,551,634 |
|
|
|
|
|
|
371,500 |
|
|
Intel Corp.µ |
|
|
13,288,555 |
|
|
|
|
|
|
104,000 |
|
|
Micron Technology, Inc.µ |
|
|
7,424,560 |
|
|
|
|
|
|
53,500 |
|
|
Microsoft Corp.µ |
|
|
17,971,720 |
|
|
|
|
|
|
100,500 |
|
|
Taiwan Semiconductor Manufacturing Company, Ltd. (ADR)~ |
|
|
9,964,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,201,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (1.8%) |
|
|
|
|
|
|
|
|
|
24,500 |
|
|
Celanese Corp. - Class Aµ |
|
|
3,072,055 |
|
|
|
|
|
|
8,900 |
|
|
Linde, PLC~ |
|
|
3,476,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,549,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.0%) |
|
|
|
|
|
|
|
|
|
5,466 |
|
|
American Finance Trust, Inc.µ 7.500%, 03/26/24 |
|
|
112,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Company (0.0%) |
|
|
|
|
|
|
1,380 |
|
|
Intelsat Emergence, SA~& |
|
|
31,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS (Cost $315,706,016) |
|
|
316,824,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
PURCHASED OPTIONS (0.7%) # |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
|
|
|
|
13 3,862,040 |
|
|
Booking Holdings, Inc. Call, 08/04/23, Strike $3,010.00 |
|
|
77,090 |
|
|
|
|
|
|
1,890 11,154,780 |
|
|
Caesars Entertainment, Inc. Call, 08/04/23, Strike $61.00 |
|
|
200,340 |
|
|
|
|
|
|
175 4,680,025 |
|
|
Tesla, Inc. Put, 08/18/23, Strike $255.00 |
|
|
82,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
359,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.0%) |
|
|
|
|
|
|
290 6,894,170 |
|
|
Visa, Inc. Put, 09/01/23, Strike $230.00 |
|
$ |
47,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%) |
|
|
|
|
|
|
|
|
|
340 3,626,100 |
|
|
Merck & Company, Inc. Call, 08/18/23, Strike $110.00 |
|
|
40,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%) |
|
|
|
|
|
|
|
|
|
|
|
|
Intel Corp. |
|
|
|
|
|
|
|
|
|
2,490 8,906,730 |
|
|
Put, 08/04/23, Strike $33.00 |
|
|
6,225 |
|
|
|
|
|
|
1,000 3,577,000 |
|
|
Call, 08/18/23, Strike $34.00 |
|
|
216,500 |
|
|
|
|
|
|
600 7,033,800 |
|
|
Oracle Corp. Call, 08/25/23, Strike $118.00 |
|
|
168,600 |
|
|
|
|
|
|
230 5,175,230 |
|
|
salesforce, Inc. Put, 08/18/23, Strike $220.00 |
|
|
63,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
455,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.1%) |
|
|
|
|
|
|
225 6,869,925 |
|
|
Air Products & Chemicals, Inc. Call, 08/18/23, Strike $300.00 |
|
|
241,875 |
|
|
|
|
|
|
89 3,476,963 |
|
|
Linde, PLC Put, 09/15/23, Strike $380.00 |
|
|
48,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
290,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.3%) |
|
|
|
|
|
|
6,500 71,773,000 |
|
|
Industrial Select Sector SPDR Put, 08/18/23, Strike $107.00 |
|
|
211,250 |
|
|
|
|
|
|
|
|
|
iShares 20+ Year Treasury Bond ETF |
|
|
|
|
|
|
|
|
|
3,220 32,216,100 |
|
|
Call, 08/18/23, Strike $104.00 |
|
|
37,030 |
|
|
|
|
|
|
1,720 17,208,600 |
|
|
Put, 09/15/23, Strike $98.00 |
|
|
182,320 |
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
|
|
|
|
|
|
|
1,500 68,668,500 |
|
|
Put, 09/15/23, Strike $450.00 |
|
|
643,500 |
|
|
|
|
|
|
760 34,792,040 |
|
|
Put, 08/11/23, Strike $450.00 |
|
|
77,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,152,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS (Cost $4,017,856) |
|
|
2,345,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (126.2%) (Cost $466,279,756) |
|
|
451,232,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-26.2%) |
|
|
(93,710,213) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS (100.0%) |
|
$ |
357,522,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
|
COMMON STOCKS SOLD SHORT (-11.3%) # |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (-1.1%) |
|
|
|
|
|
|
(1,300) |
|
|
Booking Holdings, Inc. |
|
|
(3,862,040) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
12 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF SHARES |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples
(-2.6%) |
|
|
|
|
|
|
|
|
|
(10,000) |
|
|
Costco Wholesale Corp. |
|
$ |
(5,606,700) |
|
|
|
|
|
|
(22,000) |
|
|
Walmart, Inc. |
|
|
(3,516,920) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(9,123,620) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
(-2.0%) |
|
|
|
|
|
|
|
|
|
(158,000) |
|
|
Wells Fargo & Company |
|
|
(7,293,280) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology
(-5.6%) |
|
|
|
|
|
|
|
|
|
(44,000) |
|
|
Apple, Inc. |
|
|
(8,643,800) |
|
|
|
|
|
|
(16,000) |
|
|
Lam Research Corp. |
|
|
(11,495,840) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(20,139,640) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $31,880,608) |
|
|
(40,418,580) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE-TRADED FUNDS SOLD SHORT (-29.2%) #
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
(-29.2%) |
|
|
|
|
|
|
|
|
|
(185,000) |
|
|
SPDR S&P 500 ETF Trust |
|
|
(84,691,150) |
|
|
|
|
|
|
(123,000) |
|
|
VanEck Semiconductor ETF |
|
|
(19,756,260) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT (Proceeds $90,731,260) |
|
|
(104,447,410 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SECURITIES SOLD SHORT (Proceeds $122,611,868) |
|
|
(144,865,990) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
WRITTEN OPTIONS (-1.3%) # |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
(-0.2%) |
|
|
|
|
|
|
|
|
|
|
|
|
Amazon.com, Inc. |
|
|
|
|
|
|
|
|
|
1,060 14,170,080 |
|
|
Put, 09/15/23, Strike $110.00 |
|
|
(75,260) |
|
|
|
|
|
|
530 7,085,040 |
|
|
Call, 09/15/23, Strike $157.50 |
|
|
(57,505) |
|
|
|
|
|
|
|
|
|
Booking Holdings, Inc. |
|
|
|
|
|
|
|
|
|
13 3,862,040 |
|
|
Call, 08/04/23, Strike $3,170.00 |
|
|
(22,490) |
|
|
|
|
|
|
13 3,862,040 |
|
|
Call, 08/18/23, Strike $3,200.00 |
|
|
(32,240) |
|
|
|
|
|
|
13 3,862,040 |
|
|
Put, 08/18/23, Strike $2,830.00 |
|
|
(52,910) |
|
|
|
|
|
|
|
|
|
Caesars Entertainment, Inc. |
|
|
|
|
|
|
|
|
|
1,890 11,154,780 |
|
|
Call, 08/04/23, Strike $64.00 |
|
|
(72,765) |
|
|
|
|
|
|
1,890 11,154,780 |
|
|
Call, 08/18/23, Strike $65.00 |
|
|
(146,475) |
|
|
|
|
|
|
262 7,006,666 |
|
|
Tesla, Inc. Call, 08/18/23, Strike $290.00 |
|
|
(81,875) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(541,520) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
(-0.1%) |
|
|
|
|
|
|
|
|
|
727 9,258,345 |
|
|
PNC Financial Services Group, Inc. Call, 08/18/23, Strike $135.00 |
|
|
(308,975) |
|
|
|
|
|
|
|
|
|
Visa, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
435 10,341,255 |
|
|
Put, 09/15/23, Strike $215.00 |
|
$ |
(29,145) |
|
|
|
|
|
|
75 1,782,975 |
|
|
Call, 09/15/23, Strike $240.00 |
|
|
(34,688) |
|
|
|
|
|
|
1,580 7,293,280 |
|
|
Wells Fargo & Company Put, 08/04/23, Strike $46.00 |
|
|
(82,950) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(455,758) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%) |
|
|
|
|
|
|
|
|
|
340 3,626,100 |
|
|
Merck & Company, Inc. Put, 09/15/23, Strike $100.00 |
|
|
(38,760) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology
(-0.1%) |
|
|
|
|
|
|
|
|
|
2,805 10,033,485 |
|
|
Intel Corp. Call, 09/15/23, Strike $40.00 |
|
|
(112,200) |
|
|
|
|
|
|
375 3,522,750 |
|
|
Microchip Technology, Inc. Call, 08/18/23, Strike $90.00 |
|
|
(215,625) |
|
|
|
|
|
|
145 3,947,335 |
|
|
Microsoft Corp. Call, 08/04/23, Strike $375.00 |
|
|
(362) |
|
|
|
|
|
|
|
|
|
salesforce, Inc. |
|
|
|
|
|
|
|
|
|
245 5,512,745 |
|
|
Call, 08/18/23, Strike $230.00 |
|
|
(79,013) |
|
|
|
|
|
|
165 3,712,665 |
|
|
Call, 08/18/23, Strike $240.00 |
|
|
(16,500) |
|
|
|
|
|
|
400 7,108,400 |
|
|
Snowflake, Inc. Put, 08/18/23, Strike $145.00 |
|
|
(15,600) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(439,300 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
Linde, PLC |
|
|
|
|
|
|
|
|
|
178 6,953,926 |
|
|
Put, 09/15/23, Strike $355.00 |
|
|
(28,480) |
|
|
|
|
|
|
89 3,476,963 |
|
|
Call, 09/15/23, Strike $400.00 |
|
|
(55,625) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(84,105) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
(-0.9%) |
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Select Sector SPDR |
|
|
|
|
|
|
|
|
|
6,500 71,773,000 |
|
|
Put, 08/18/23, Strike $103.00 |
|
|
(81,250) |
|
|
|
|
|
|
3,250 35,886,500 |
|
|
Call, 09/15/23, Strike $110.00 |
|
|
(895,375) |
|
|
|
|
|
|
|
|
|
iShares 20+ Year Treasury Bond ETF |
|
|
|
|
|
|
|
|
|
3,440 34,417,200 |
|
|
Put, 10/20/23, Strike $90.00 |
|
|
(106,640) |
|
|
|
|
|
|
3,220 32,216,100 |
|
|
Call, 09/01/23, Strike $104.00 |
|
|
(106,260) |
|
|
|
|
|
|
1,720 17,208,600 |
|
|
Call, 10/20/23, Strike $109.00 |
|
|
(65,360) |
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
|
|
|
|
|
|
|
3,000 137,337,000 |
|
|
Put, 09/29/23, Strike $420.00 |
|
|
(529,500) |
|
|
|
|
|
|
760 34,792,040 |
|
|
Call, 08/25/23, Strike $470.00 |
|
|
(110,960) |
|
|
|
|
|
|
760 34,792,040 |
|
|
Put, 08/25/23, Strike $430.00 |
|
|
(46,740) |
|
|
|
|
|
|
3,450 16,798,050 |
|
|
SPDR S&P Regional Banking ETF Call, 08/18/23, Strike $47.00 |
|
|
(807,300) |
|
|
|
|
|
|
|
|
|
Vanguard S&P 500 ETF |
|
|
|
|
|
|
|
|
|
850 35,757,800 |
|
|
Call, 08/18/23, Strike $425.00 |
|
|
(212,500) |
|
|
|
|
See accompanying Notes to Schedule of Investments |
|
13 |
|
|
|
Calamos Long/Short Equity & Dynamic Income Trust |
|
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
|
|
|
VALUE |
|
850 35,757,800 |
|
|
Put, 08/18/23, Strike $375.00 |
|
$ |
(31,875 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,993,760 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS (Premium $3,852,099) |
|
|
(4,553,203 |
) |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* |
Securities issued and sold pursuant to a Rule 144A transaction are exempted from the registration requirement of the
Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (QIBs), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act
or otherwise exempted from such registration requirements. |
~ |
Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for
written options. The aggregate value of such securities is $159,541,343.
|
µ |
Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value
of $221,025,156. |
@ |
In default status and considered non-income producing. |
^ |
Security, or portion of security, is on loan. |
|
Variable rate security. The rate shown is the rate in effect at July 31, 2023. |
¡ |
Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of
bank loans may be substantially less than the stated maturities shown. |
! |
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not
known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
# |
Non-income producing security. |
Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
|
|
|
See accompanying Notes to Schedule of Investments |
|
14 |
Notes to Schedule of Investments (Unaudited)
Note 1 Organization and Significant Accounting Policies
Organization. Calamos Long/Short Equity & Dynamic Income Trust (the Fund, or Trust) was organized as a Delaware statutory trust on
September 21, 2017 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced operations on
November 29, 2019.
The Funds investment strategy is to seek current income and risk-managed capital appreciation. Under normal circumstances, at least 80%
of its managed assets in a globally diversified portfolio comprised of equity securities which are defined to include common stock, preferred stock, convertible securities, and exchange-traded funds (ETFs) (the Equity
Sleeve), as well as long and short equity positions managed pursuant to a long/short equity strategy (the Long/Short Component). The Long/Short Component will comprise at least 50% of the Funds managed assets with a focus on
absolute returns in a risk-managed format. The Fund may invest up to 20% of its managed assets opportunistically in globally diversified income-producing securities, including high-yield and investment grade corporate securities, leveraged loans,
distressed debt securities, securitized products, US Treasuries and sovereign debt issued by foreign governments (the Fixed Income Sleeve). Managed assets means the Funds total assets (including any assets attributable
to any financial leverage that may be outstanding) minus the sum of liabilities (other than debt representing financial leverage).
Significant Accounting
Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) and the Fund is considered an investment company under U.S. GAAP and follows the
accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund
Valuation. The Trusts Board of Trustees, including a majority of the Trustees who are not interested persons of the Trust, have designated Calamos Advisors LLC (Calamos Advisors, or the Advisor) to
perform fair valuation determinations related to all Fund investments under the oversight of the Board. As valuation designee the Calamos Advisors has adopted procedures to guide the determination of the NAV on any day on which the
Funds NAVs are determined. The valuation of the Funds investments is in accordance with these procedures.
Fund securities that are traded on U.S.
securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the Fund determines its net asset value (NAV). Securities
traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ
Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities
exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal
exchange in accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option
security, also in accordance with guidelines adopted by the Board of Trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation
is valued either by an independent pricing agent approved by the Board of Trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board of Trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally
valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and
non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely
exclusively upon exchange or over-the-counter prices.
Trading on European and Far
Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange
(NYSE) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by
an independent pricing service approved by the Board of Trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the
foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or
quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In
addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security,
the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, if
trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time but after the close of the primary market or exchange on which the security is listed. Those
procedures may utilize valuations furnished by pricing services approved by Calamos Advisors, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by
institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by the Fund to calculate its NAV may differ from market quotations or official closing
prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Funds net asset value (NAV).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a
rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For
hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears
the risk of loss of
premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security
underlying the written option.
Note 2 Investments
The cost basis
of investments for federal income tax purposes at July 31, 2023 was as follows*:
|
|
|
|
|
Cost basis of investments |
|
|
$339,815,789 |
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
14,381,504 |
|
Gross unrealized depreciation |
|
|
(52,384,027) |
|
|
|
|
|
|
Net unrealized appreciation (depreciation) |
|
|
$(38,002,523) |
|
|
|
|
|
|
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years
federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report.
Note 3
Short Sales
Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in
anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on
securities sold short are disclosed as an expense on the Statement of Operations. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, a Fund must segregate an amount of cash or liquid securities with its custodian equal
to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that
requirement, a Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from
the securities sold short.
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