Edgar Filing: CALAMOS STRATEGIC TOTAL RETURN FUND

N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21484

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

Calamos Strategic Total Return Fund


ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:		2020 Calamos Court, Naperville Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:		John P. Calamos, Sr., Chairman, CEO and Co-CIO Calamos Advisors LLC, 2020 Calamos Court, Naperville, Illinois 60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2014

DATE OF REPORTING PERIOD: July 31, 2014

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	CORPORATE BONDS (23.1%)
		*Consumer Discretionary (4.1%)*
	1,120,000	Altice, SA* 7.750%, 05/15/22	$	1,149,400
	304,000	Bon-Ton Department Stores, Inc.^µ 8.000%, 06/15/21		274,550
	2,245,000	Century Communities, Inc.* 6.875%, 05/15/22		2,292,706
	1,920,000	Chrysler Group, LLC 8.000%, 06/15/19		2,048,400
		DISH DBS Corp.µ
	9,786,000	5.875%, 07/15/22		10,152,975
	6,802,000	5.125%, 05/01/20		6,993,306
	2,641,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		2,773,050
	2,197,000	Golden Nugget Escrow, Inc.* 8.500%, 12/01/21		2,306,850
		Goodyear Tire & Rubber Companyµ
	3,601,000	7.000%, 05/15/22		3,920,589
	908,000	8.250%, 08/15/20		981,207
	1,968,000	Greektown Holdings, LLC*µ 8.875%, 03/15/19		1,990,140
		Icahn Enterprises, LP
	3,841,000	6.000%, 08/01/20µ		4,018,646
	1,991,000	5.875%, 02/01/22^		2,039,531
	212,000	4.875%, 03/15/19		212,530
	2,401,000	Jaguar Land Rover Automotive, PLC*µ 8.125%, 05/15/21		2,654,606
	1,948,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		2,142,800
		Meritage Homes Corp.µ
	2,625,000	7.000%, 04/01/22		2,890,781
	2,000,000	7.150%, 04/15/20		2,207,500
	2,160,000	MISA Investments, Ltd.*µ 8.625%, 08/15/18		2,212,650
		Neiman Marcus Group Ltd., LLC*^
	460,000	8.750%, 10/15/21		499,388
	364,000	8.000%, 10/15/21		382,200
		Numericable Group, SA*
	2,080,000	6.000%, 05/15/22		2,086,500
	160,000	6.250%, 05/15/24^		160,600
	3,601,000	Outerwall, Inc.µ 6.000%, 03/15/19		3,704,529
	6,890,000	Royal Caribbean Cruises, Ltd.µ 7.500%, 10/15/27		7,876,131
	4,765,000	Ryland Group, Inc.µ 5.375%, 10/01/22		4,747,131
	1,696,000	Sally Holdings, LLC / Sally Capital, Inc.µ 5.750%, 06/01/22		1,786,100
	2,321,000	Time, Inc.*^ 5.750%, 04/15/22		2,297,790
	2,281,000	Viking Cruises, Ltd.* 8.500%, 10/15/22		2,510,526

				79,313,112

		*Consumer Staples (0.4%)*
	752,000	Alphabet Holding Company, Inc.µ 7.750%, 11/01/17		768,920


PRINCIPAL AMOUNT			VALUE

	6,791,000	Post Holdings, Inc.µ 7.375%, 02/15/22	$	7,177,238

				7,946,158

		*Energy (5.9%)*
	4,936,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		5,235,245
	4,401,000	Berry Petroleum Companyµ 6.375%, 09/15/22		4,552,284
		Bonanza Creek Energy, Inc.
	1,872,000	6.750%, 04/15/21µ		1,965,600
	1,064,000	5.750%, 02/01/23		1,045,380
	5,001,000	Calfrac Holdings, LP*µ 7.500%, 12/01/20		5,291,683
		Calumet Specialty Products Partners, LPµ
	2,401,000	9.625%, 08/01/20		2,740,141
	1,920,000	7.625%, 01/15/22		2,046,000
	531,000	6.500%, 04/15/21*		545,603
		Carrizo Oil & Gas, Inc.µ
	2,429,000	7.500%, 09/15/20		2,650,646
	2,241,000	8.625%, 10/15/18		2,355,851
	8,802,000	Cimarex Energy Companyµ 5.875%, 05/01/22		9,687,701
	5,681,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		5,787,519
	2,241,000	Energy Transfer Equity, LPµ 5.875%, 01/15/24		2,318,034
	1,343,000	Energy XXI Gulf Coast, Inc.* 6.875%, 03/15/24		1,358,109
	8,802,000	Gulfmark Offshore, Inc.µ 6.375%, 03/15/22		8,840,509
	1,920,000	Halcon Resources Corp. 9.750%, 07/15/20		2,046,000
	4,001,000	Holly Energy Partners, LPµ 6.500%, 03/01/20		4,218,554
	10,402,000	Linn Energy, LLC^‡ 6.250%, 11/01/19		10,584,035
		Oasis Petroleum, Inc.µ
	3,973,000	6.500%, 11/01/21^		4,253,593
	1,200,000	6.875%, 01/15/23		1,313,250
	1,058,000	Pioneer Energy Services Corp.*µ 6.125%, 03/15/22		1,093,708
	2,517,000	Rice Energy, Inc.*^ 6.250%, 05/01/22		2,504,415
	5,201,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		5,782,862
	1,428,000	SESI, LLCµ 7.125%, 12/15/21		1,602,038
	2,401,000	SM Energy Companyµ 6.500%, 11/15/21		2,575,073
	5,201,000	Swift Energy Companyµ 8.875%, 01/15/20		5,490,306
	2,673,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		2,811,662
	10,122,000	W&T Offshore, Inc.µ 8.500%, 06/15/19		10,792,582
	1,720,000	Western Refining, Inc.µ 6.250%, 04/01/21		1,768,375

				113,256,758

		*Financials (1.4%)*
	4,081,000	AON Corp.µ 8.205%, 01/01/27		5,184,829

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	880,000	DuPont Fabros Technology, LPµ 5.875%, 09/15/21	$	903,100
	836,000	First Cash Financial Services, Inc.*µ 6.750%, 04/01/21		877,800
	6,962,000	Jefferies Finance, LLC*µ 7.375%, 04/01/20		7,318,803
	8,802,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		9,451,147
	2,641,000	Nuveen Investments, Inc.*^ 9.125%, 10/15/17		2,837,424

				26,573,103

		*Health Care (2.1%)*
	6,069,000	Community Health Systems, Inc.µ 7.125%, 07/15/20		6,543,141
	1,354,000	ConvaTec Finance International, SA* 8.250%, 01/15/19		1,387,004
	1,804,000	Crimson Merger Sub, Inc.*^ 6.625%, 05/15/22		1,704,780
	4,401,000	Endo Health Solutions, Inc.*^ 7.000%, 07/15/19		4,643,055
	6,337,000	Hologic, Inc.µ 6.250%, 08/01/20		6,618,204
	1,728,000	Salix Pharmaceuticals, Ltd.*µ 6.000%, 01/15/21		1,829,520
	2,333,000	Teleflex, Inc.* 5.250%, 06/15/24		2,382,576
		Valeant Pharmaceuticals International, Inc.*µ
	7,202,000	7.000%, 10/01/20		7,544,095
	2,961,000	7.250%, 07/15/22		3,181,224
	2,457,000	7.500%, 07/15/21		2,673,523
	1,440,000	VPII Escrow Corp.*µ 6.750%, 08/15/18		1,521,900

				40,029,022

		*Industrials (2.6%)*
	4,857,000	ACCO Brands Corp.^ 6.750%, 04/30/20		5,051,280
	4,065,000	Deluxe Corp.µ 6.000%, 11/15/20		4,275,872
	1,684,000	Garda World Security Corp.*^ 7.250%, 11/15/21		1,729,258
	3,685,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22		4,012,044
	1,145,000	Michael Baker Holdings, LLC / Michael Baker Finance Corp.*µ 8.875%, 04/15/19		1,148,578
	2,160,000	Michael Baker International, LLC / CDL Acquisition Company, Inc.*µ 8.250%, 10/15/18		2,276,100
	4,705,000	Navistar International Corp.^ 8.250%, 11/01/21		4,804,981
	6,241,000	Rexel, SA*µ 6.125%, 12/15/19		6,592,056
		Terex Corp.µ
	6,401,000	6.500%, 04/01/20		6,865,073
	1,104,000	6.000%, 05/15/21		1,166,790
	1,840,000	United Continental Holdings, Inc.^ 6.375%, 06/01/18		1,969,950


PRINCIPAL AMOUNT			VALUE

	9,202,000	United Rentals North America, Inc.µ 7.625%, 04/15/22	$	10,225,722

				50,117,704

		*Information Technology (1.8%)*
	2,401,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		2,546,561
		Amkor Technology, Inc.µ
	3,601,000	6.625%, 06/01/21^		3,790,052
	2,465,000	6.375%, 10/01/22		2,563,600
	8,802,000	Belden, Inc.*µ 5.500%, 09/01/22		9,038,554
	1,956,000	Cardtronics, Inc.* 5.125%, 08/01/22		1,959,667
	5,201,000	Nuance Communications, Inc.*µ 5.375%, 08/15/20		5,230,256
	2,817,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		2,917,356
	5,601,000	ViaSat, Inc.µ 6.875%, 06/15/20		6,038,578

				34,084,624

		*Materials (2.3%)*
	985,000	Chemtura Corp.^µ 5.750%, 07/15/21		1,001,006
		First Quantum Minerals, Ltd.*
	2,530,000	7.000%, 02/15/21		2,615,388
	2,530,000	6.750%, 02/15/20		2,607,481
	10,002,000	FMG Resources*^ 8.250%, 11/01/19		10,802,160
		INEOS Group Holdings, SA*
	2,561,000	6.125%, 08/15/18^		2,596,214
	480,000	5.875%, 02/15/19		484,500
		New Gold, Inc.*µ
	6,401,000	7.000%, 04/15/20		6,873,074
	1,680,000	6.250%, 11/15/22		1,779,750
		Sealed Air Corp.*µ
	4,185,000	8.125%, 09/15/19		4,538,109
	1,336,000	5.250%, 04/01/23		1,330,990
	4,607,000	Trinseo Materials Operating, SCA^ 8.750%, 02/01/19		4,863,264
	4,357,000	United States Steel Corp.^ 6.875%, 04/01/21		4,610,251

				44,102,187

		*Telecommunication Services (1.5%)*
	1,565,000	CenturyLink, Inc.µ 6.750%, 12/01/23		1,699,872
	2,705,000	Frontier Communications Corp.µ 7.625%, 04/15/24		2,847,012
		Intelsat, SA^
	8,802,000	7.750%, 06/01/21		9,038,554
	640,000	8.125%, 06/01/23		666,400
		Sprint Corp.*µ
	5,105,000	7.875%, 09/15/23		5,481,494
	2,369,000	7.125%, 06/15/24		2,414,899
	1,612,000	7.250%, 09/15/21		1,722,825
	3,561,000	T-Mobile USA, Inc.µ 6.625%, 04/01/23		3,736,824

				27,607,880

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

		*Utilities (1.0%)*
	2,321,000	AES Corp.µ 7.375%, 07/01/21	$	2,647,391
	6,521,000	AmeriGas Finance Corp.µ 7.000%, 05/20/22		6,993,773
	8,314,000	Calpine Corp.*µ 7.875%, 01/15/23		9,051,867

				18,693,031

		TOTAL CORPORATE BONDS (Cost $424,583,205)		441,723,579

	CONVERTIBLE BONDS (21.6%)
		*Consumer Discretionary (5.1%)*
	6,500,000	HomeAway, Inc.*µ 0.125%, 04/01/19		6,380,173
	6,000,000	Iconix Brand Group, Inc.^µ 2.500%, 06/01/16		8,576,040
		Jarden Corp.
	13,445,000	1.125%, 03/15/34*^µ		13,314,382
	8,300,000	1.500%, 06/15/19		9,632,772
	25,000,000	Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)§ 0.750%, 03/30/43		34,766,375
	10,050,000	Liberty Media Corp.*^ 1.375%, 10/15/23		10,314,918
	10,400,000	MGM Resorts International^µ 4.250%, 04/15/15		15,481,440

				98,466,100

		*Financials (1.6%)*
		Ares Capital Corp.µ
	7,676,000	4.750%, 01/15/18		8,108,428
	3,458,000	5.750%, 02/01/16		3,677,635
	3,400,000	IAS Operating Partnership, LP*µ 5.000%, 03/15/18		3,347,538
		MGIC Investment Corp.µ
	4,500,000	2.000%, 04/01/20		5,787,990
	1,342,000	5.000%, 05/01/17^		1,467,443
	2,944,000	Portfolio Recovery Associates, Inc.*µ 3.000%, 08/01/20		3,472,227
	3,500,000	Starwood Property Trust, Inc.µ 4.550%, 03/01/18		3,912,930

				29,774,191

		*Health Care (4.9%)*
	5,815,000	BioMarin Pharmaceutical, Inc.^ 1.500%, 10/15/20		6,081,734
	6,300,000	Cepheid*^ 1.250%, 02/01/21		5,957,847
	12,696,000	Cubist Pharmaceuticals, Inc.*^ 1.875%, 09/01/20		13,664,260
	4,700,000	Hologic, Inc.^µ‡ 2.000%, 12/15/37		5,919,815
	19,000,000	Illumina, Inc.*^ 0.500%, 06/15/21		18,984,420
	6,600,000	Insulet Corp.µ 2.000%, 06/15/19		6,947,622
	8,416,000	Medidata Solutions, Inc.*^ 1.000%, 08/01/18		9,202,433
	2,138,000	Molina Healthcare, Inc.µ 1.125%, 01/15/20		2,514,994


PRINCIPAL AMOUNT			VALUE

	15,000,000	WellPoint, Inc.^µ 2.750%, 10/15/42	$	23,625,375

				92,898,500

		*Industrials (1.3%)*
	2,569,000	Air Lease Corp. 3.875%, 12/01/18		3,614,994
	11,500,000	Trinity Industries, Inc.µ 3.875%, 06/01/36		21,371,543

				24,986,537

		*Information Technology (7.2%)*
	2,528,000	Electronic Arts, Inc. 0.750%, 07/15/16		3,047,542
	5,900,000	Finisar Corp.*^µ 0.500%, 12/15/33		5,803,771
	13,500,000	Palo Alto Networks, Inc.* 0.000%, 07/01/19		13,834,800
	23,500,000	Salesforce.com, Inc.^µ 0.250%, 04/01/18		26,040,937
	33,000,000	SanDisk Corp.*^µ 0.500%, 10/15/20		38,549,940
	19,100,000	ServiceNow, Inc.*^ 0.000%, 11/01/18		20,570,509
	8,201,000	SunEdison, Inc.*^µ 0.250%, 01/15/20		8,303,513
	4,527,000	SunPower Corp.*µ 0.875%, 06/01/21		5,142,038
		Workday, Inc.
	6,700,000	1.500%, 07/15/20		8,509,469
	6,700,000	0.750%, 07/15/18µ		8,273,495

				138,076,014

		*Materials (1.5%)*
	9,300,000	Cemex, SAB de CV^µ 3.250%, 03/15/16		12,881,523
	10,500,000	Glencore Finance Europe, SAµ 5.000%, 12/31/14		12,177,559
	4,000,000	RTI International Metals, Inc.^µ 1.625%, 10/15/19		3,904,160

				28,963,242

		TOTAL CONVERTIBLE BONDS (Cost $373,528,409)		413,164,584

	U.S. GOVERNMENT AND AGENCY SECURITIES (0.0%)
		United States Treasury Note
	440,000	0.250%, 02/15/15		440,447
	360,000	0.125%, 12/31/14		360,105

		TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $800,271)		800,552

	SYNTHETIC CONVERTIBLE SECURITIES (6.8%)¤
	*Corporate Bonds (5.8%)*
		*Consumer Discretionary (1.0%)*
	280,000	Altice, SA* 7.750%, 05/15/22		287,350
	76,000	Bon-Ton Department Stores, Inc.^µ 8.000%, 06/15/21		68,638

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	560,000	Century Communities, Inc.* 6.875%, 05/15/22	$	571,900
	480,000	Chrysler Group, LLC 8.000%, 06/15/19		512,100
		DISH DBS Corp.µ
	2,444,000	5.875%, 07/15/22		2,535,650
	1,698,000	5.125%, 05/01/20		1,745,756
	659,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		691,950
	549,000	Golden Nugget Escrow, Inc.* 8.500%, 12/01/21		576,450
		Goodyear Tire & Rubber Companyµ
	899,000	7.000%, 05/15/22		978,786
	227,000	8.250%, 08/15/20		245,302
	492,000	Greektown Holdings, LLC*µ 8.875%, 03/15/19		497,535
		Icahn Enterprises, LP
	959,000	6.000%, 08/01/20µ		1,003,354
	497,000	5.875%, 02/01/22^		509,114
	53,000	4.875%, 03/15/19		53,133
	599,000	Jaguar Land Rover Automotive, PLC*µ 8.125%, 05/15/21		662,269
	487,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		535,700
		Meritage Homes Corp.µ
	655,000	7.000%, 04/01/22		721,319
	500,000	7.150%, 04/15/20		551,875
	540,000	MISA Investments, Ltd.*µ 8.625%, 08/15/18		553,163
		Neiman Marcus Group Ltd., LLC*^
	115,000	8.750%, 10/15/21		124,847
	91,000	8.000%, 10/15/21		95,550
		Numericable Group, SA*
	520,000	6.000%, 05/15/22		521,625
	40,000	6.250%, 05/15/24^		40,150
	899,000	Outerwall, Inc.µ 6.000%, 03/15/19		924,846
	1,720,000	Royal Caribbean Cruises, Ltd.µ 7.500%, 10/15/27		1,966,175
	1,190,000	Ryland Group, Inc.µ 5.375%, 10/01/22		1,185,537
	424,000	Sally Holdings, LLC / Sally Capital, Inc.µ 5.750%, 06/01/22		446,525
	579,000	Time, Inc.*^ 5.750%, 04/15/22		573,210
	569,000	Viking Cruises, Ltd.* 8.500%, 10/15/22		626,256

				19,806,065

		*Consumer Staples (0.1%)*
	188,000	Alphabet Holding Company, Inc.µ 7.750%, 11/01/17		192,230
	1,696,000	Post Holdings, Inc.µ 7.375%, 02/15/22		1,792,460

				1,984,690

		*Energy (1.5%)*
	1,233,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		1,307,751
	1,099,000	Berry Petroleum Companyµ 6.375%, 09/15/22		1,136,778
		Bonanza Creek Energy, Inc.
	468,000	6.750%, 04/15/21µ		491,400


PRINCIPAL AMOUNT			VALUE

	266,000	5.750%, 02/01/23	$	261,345
	1,249,000	Calfrac Holdings, LP*µ 7.500%, 12/01/20		1,321,598
		Calumet Specialty Products Partners, LPµ
	599,000	9.625%, 08/01/20		683,609
	480,000	7.625%, 01/15/22		511,500
	133,000	6.500%, 04/15/21*		136,657
		Carrizo Oil & Gas, Inc.µ
	606,000	7.500%, 09/15/20		661,297
	559,000	8.625%, 10/15/18		587,649
	2,198,000	Cimarex Energy Companyµ 5.875%, 05/01/22		2,419,174
	1,419,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		1,445,606
	559,000	Energy Transfer Equity, LPµ 5.875%, 01/15/24		578,216
	335,000	Energy XXI Gulf Coast, Inc.* 6.875%, 03/15/24		338,769
	2,198,000	Gulfmark Offshore, Inc.µ 6.375%, 03/15/22		2,207,616
	480,000	Halcon Resources Corp. 9.750%, 07/15/20		511,500
	999,000	Holly Energy Partners, LPµ 6.500%, 03/01/20		1,053,321
	2,598,000	Linn Energy, LLC^‡ 6.250%, 11/01/19		2,643,465
		Oasis Petroleum, Inc.µ
	992,000	6.500%, 11/01/21^		1,062,060
	300,000	6.875%, 01/15/23		328,312
	264,000	Pioneer Energy Services Corp.*µ 6.125%, 03/15/22		272,910
	629,000	Rice Energy, Inc.*^ 6.250%, 05/01/22		625,855
	1,299,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		1,444,326
	357,000	SESI, LLCµ 7.125%, 12/15/21		400,509
	599,000	SM Energy Companyµ 6.500%, 11/15/21		642,427
	1,299,000	Swift Energy Companyµ 8.875%, 01/15/20		1,371,257
	667,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		701,601
	2,528,000	W&T Offshore, Inc.µ 8.500%, 06/15/19		2,695,480
	430,000	Western Refining, Inc.µ 6.250%, 04/01/21		442,094

				28,284,082

		*Financials (0.4%)*
	1,019,000	AON Corp.µ 8.205%, 01/01/27		1,294,619
	220,000	DuPont Fabros Technology, LPµ 5.875%, 09/15/21		225,775
	209,000	First Cash Financial Services, Inc.*µ 6.750%, 04/01/21		219,450
	1,738,000	Jefferies Finance, LLC*µ 7.375%, 04/01/20		1,827,073
	2,198,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		2,360,102
	659,000	Nuveen Investments, Inc.*^ 9.125%, 10/15/17		708,013

				6,635,032

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

		*Health Care (0.5%)*
	1,516,000	Community Health Systems, Inc.µ 7.125%, 07/15/20	$	1,634,437
	338,000	ConvaTec Finance International, SA* 8.250%, 01/15/19		346,239
	451,000	Crimson Merger Sub, Inc.*^ 6.625%, 05/15/22		426,195
	1,099,000	Endo Health Solutions, Inc.*^ 7.000%, 07/15/19		1,159,445
	1,583,000	Hologic, Inc.µ 6.250%, 08/01/20		1,653,246
	432,000	Salix Pharmaceuticals, Ltd.*µ 6.000%, 01/15/21		457,380
	582,000	Teleflex, Inc.* 5.250%, 06/15/24		594,367
		Valeant Pharmaceuticals International, Inc.*µ
	1,798,000	7.000%, 10/01/20		1,883,405
	739,000	7.250%, 07/15/22		793,963
	613,000	7.500%, 07/15/21		667,021
	360,000	VPII Escrow Corp.*µ 6.750%, 08/15/18		380,475

				9,996,173

		*Industrials (0.7%)*
	1,213,000	ACCO Brands Corp.^ 6.750%, 04/30/20		1,261,520
	1,015,000	Deluxe Corp.µ 6.000%, 11/15/20		1,067,653
	421,000	Garda World Security Corp.*^ 7.250%, 11/15/21		432,314
	920,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22		1,001,650
	286,000	Michael Baker Holdings, LLC / Michael Baker Finance Corp.*µ 8.875%, 04/15/19		286,894
	540,000	Michael Baker International, LLC / CDL Acquisition Company, Inc.*µ 8.250%, 10/15/18		569,025
	1,175,000	Navistar International Corp.^ 8.250%, 11/01/21		1,199,969
	1,559,000	Rexel, SA*µ 6.125%, 12/15/19		1,646,694
		Terex Corp.µ
	1,599,000	6.500%, 04/01/20		1,714,927
	276,000	6.000%, 05/15/21		291,698
	460,000	United Continental Holdings, Inc.^ 6.375%, 06/01/18		492,488
	2,298,000	United Rentals North America, Inc.µ 7.625%, 04/15/22		2,553,652

				12,518,484

		*Information Technology (0.4%)*
	599,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		635,314
		Amkor Technology, Inc.µ
	899,000	6.625%, 06/01/21^		946,198
	615,000	6.375%, 10/01/22		639,600
	2,198,000	Belden, Inc.*µ 5.500%, 09/01/22		2,257,071
	489,000	Cardtronics, Inc.* 5.125%, 08/01/22		489,917


PRINCIPAL AMOUNT			VALUE

	1,299,000	Nuance Communications, Inc.*µ 5.375%, 08/15/20	$	1,306,307
	703,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		728,044
	1,399,000	ViaSat, Inc.µ 6.875%, 06/15/20		1,508,297

				8,510,748

		*Materials (0.6%)*
	246,000	Chemtura Corp.^µ 5.750%, 07/15/21		249,998
		First Quantum Minerals, Ltd.*
	632,000	7.000%, 02/15/21		653,330
	632,000	6.750%, 02/15/20		651,355
	2,498,000	FMG Resources*^ 8.250%, 11/01/19		2,697,840
		INEOS Group Holdings, SA*
	639,000	6.125%, 08/15/18^		647,786
	120,000	5.875%, 02/15/19		121,125
		New Gold, Inc.*µ
	1,599,000	7.000%, 04/15/20		1,716,926
	420,000	6.250%, 11/15/22		444,937
		Sealed Air Corp.*µ
	1,045,000	8.125%, 09/15/19		1,133,172
	334,000	5.250%, 04/01/23		332,748
	1,151,000	Trinseo Materials Operating, SCA^ 8.750%, 02/01/19		1,215,024
	1,088,000	United States Steel Corp.^ 6.875%, 04/01/21		1,151,240

				11,015,481

		*Telecommunication Services (0.4%)*
	391,000	CenturyLink, Inc. µ 6.750%, 12/01/23		424,696
	675,000	Frontier Communications Corp.µ 7.625%, 04/15/24		710,438
		Intelsat, SA^
	2,198,000	7.750%, 06/01/21		2,257,071
	160,000	8.125%, 06/01/23		166,600
		Sprint Corp.*µ
	1,275,000	7.875%, 09/15/23		1,369,031
	591,000	7.125%, 06/15/24		602,451
	403,000	7.250%, 09/15/21		430,706
	889,000	T-Mobile USA, Inc.µ 6.625%, 04/01/23		932,895

				6,893,888

		*Utilities (0.2%)*
	579,000	AES Corp.µ 7.375%, 07/01/21		660,422
	1,629,000	AmeriGas Finance Corp.µ 7.000%, 05/20/22		1,747,102
	2,076,000	Calpine Corp.*µ 7.875%, 01/15/23		2,260,245

				4,667,769

		TOTAL CORPORATE BONDS		110,312,412

	U.S. Government and Agency Securities (0.0%)
	110,000	United States Treasury Note 0.250%, 02/15/15		110,112
	110,000	United States Treasury Note 0.250%, 02/15/15		110,112

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	90,000	0.125%, 12/31/14	$	90,026

		TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES		200,138

NUMBER OF CONTRACTS			VALUE
	*Purchased Options (1.0%)#*
		*Health Care (0.8%)*
	4,550	Gilead Sciences, Inc. Call, 01/17/15, Strike $60.00		14,798,875

		*Information Technology (0.2%)*
	4,750	Facebook, Inc. Call, 01/17/15, Strike $67.50		4,702,500

		TOTAL PURCHASED OPTIONS		19,501,375

		TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $115,736,126)		130,013,925

NUMBER OF SHARES			VALUE
	CONVERTIBLE PREFERRED STOCKS (10.0%)
		*Consumer Staples (0.6%)*
	111,900	Bunge, Ltd. 4.875%		11,833,425

		*Energy (2.0%)*
	33,074	Chesapeake Energy Corp.* 5.750%		38,861,950

		*Financials (2.7%)*
	130,000	American Tower Corp.^ 5.250%		14,345,500
	127,000	Crown Castle International Corp. 4.500%		12,729,210
	515,000	MetLife, Inc.^µ 5.000%		15,583,900
	156,667	Weyerhaeuser Company^ 6.375%		8,463,151

				51,121,761

		*Industrials (2.4%)*
	70,000	Stanley Black & Decker, Inc.^ 6.250%		7,938,000
	650,000	United Technologies Corp.^ 7.500%		38,558,000

				46,496,000

		*Telecommunication Services (0.3%)*
	100,000	Intelsat, SA^ 5.750%		4,925,000
		*Utilities (2.0%)*
	270,000	Dominion Resources, Inc. 6.375%		13,689,000
	265,000	Exelon Corp.^ 6.500%		13,011,500
	230,000	NextEra Energy, Inc.^ 5.799%		12,265,900

				38,966,400


NUMBER OF SHARES				VALUE

			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $188,004,764)	$	192,204,536

	COMMON STOCKS (73.4%)
			*Consumer Discretionary (9.3%)*
	45,000		Amazon.com, Inc.^µ#		14,084,550
	185,615		Carnival Corp.^µ		6,722,975
	300,000		Comcast Corp. - Class Aµ		16,119,000
	650,000		Ford Motor Company		11,063,000
	94,686		General Motors Company, Inc.^µ		3,202,281
	245,000		Home Depot, Inc.µ		19,808,250
	180,000		Las Vegas Sands Corp.^µ		13,293,000
	123,000		McDonald’s Corp.µ		11,630,880
	22,573		Motors Liquidation Company^#		542,542
	239,000		Nike, Inc. - Class B^µ		18,434,070
	237,000		Starbucks Corp.µ		18,410,160
	153,000		TJX Companies, Inc.^µ		8,153,370
	320,000		Walt Disney Companyµ		27,481,600
	60,000		Whirlpool Corp.^		8,558,400

					177,504,078

			*Consumer Staples (3.8%)*
	505,000		Coca-Cola Companyµ		19,841,450
	165,000		Costco Wholesale Corp.µ		19,394,100
	400,000		Mondelez International, Inc. - Class Aµ		14,400,000
	120,000		Philip Morris International, Inc.^µ		9,841,200
	125,000		Walgreen Companyµ		8,596,250

					72,073,000

			*Energy (9.0%)*
	800,000		BP, PLC^µ		39,176,000
	325,000		Chevron Corp.µ		42,003,000
	185,000		Continental Resources, Inc.^#		27,154,300
	60,000		Diamond Offshore Drilling, Inc.^µ		2,807,400
	117,000		EOG Resources, Inc.^µ		12,804,480
	365,000		Schlumberger, Ltd.^µ		39,562,350
	150,000	EUR	TOTAL, SA		9,674,209

					173,181,739

			*Financials (18.3%)*
	345,000		Allstate Corp.^µ		20,165,250
	165,000		American Express Company^µ		14,520,000
	367,000		American International Group, Inc.µ		19,076,660
	280,000		Arthur J. Gallagher & Company^		12,600,000
	500,000		Bank of America Corp.^µ		7,625,000
	943,000		Blackstone Group, LPµ		30,817,240
	945,000		Citigroup, Inc.^µ		46,219,950
	125,000		Discover Financial Services^µ		7,632,500
	245,000		First Republic Bank^		11,446,400
	180,000		Franklin Resources, Inc.µ		9,747,000
	75,000		Goldman Sachs Group, Inc.		12,965,250
	985,000		JPMorgan Chase & Company		56,804,950
	1,715,000		Och-Ziff Capital Management Group, LLC - Class Aµ		23,341,150
	94,000		State Street Corp.µ		6,621,360
	185,000		T. Rowe Price Group, Inc.^µ		14,367,100

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)


NUMBER OF SHARES				VALUE

	1,131,676		Wells Fargo & Company^µ	$	57,602,308

					351,552,118

			*Health Care (5.2%)*
	300,000		Eli Lilly and Company^µ		18,318,000
	275,000		Johnson & Johnson^µ		27,524,750
	275,000		Merck & Company, Inc.^µ		15,603,500
	1,079,500		Pfizer, Inc.^		30,981,650
	83,000		Zimmer Holdings, Inc.µ		8,305,810

					100,733,710

			*Industrials (9.2%)*
	89,000		Cummins, Inc.^		12,405,710
	440,000		Eaton Corp., PLC^µ		29,884,800
	176,000		Fortune Brands Home & Security, Inc.^		6,651,040
	2,600,000		General Electric Companyµ		65,390,000
	450,000		Masco Corp.^µ		9,360,000
	135,000	EUR	Siemens, AGµ		16,671,990
	235,000		Union Pacific Corp.		23,102,850
	135,000		United Parcel Service, Inc. - Class Bµ		13,107,150

					176,573,540

			*Information Technology (14.7%)*
	200,000		Accenture, PLC - Class A^		15,856,000
	1,127,000		Apple, Inc.µ		107,707,390
	190,000		eBay, Inc.^µ#		10,032,000
	12,500		Google, Inc. - Class A#~		7,244,375
	12,500		Google, Inc. - Class C#~		7,145,000
	89,000		MasterCard, Inc. - Class Aµ		6,599,350
	835,000		Microsoft Corp.		36,038,600
	300,000		Nintendo Company, Ltd.µ		4,202,730
	2,200,000		Nokia Corp.^		17,446,000
	535,000		Oracle Corp.µ		21,608,650
	195,000		QUALCOMM, Inc.		14,371,500
	425,000		Texas Instruments, Inc.^µ		19,656,250
	135,000		VMware, Inc. - Class A^#		13,413,600

					281,321,445

			*Materials (1.7%)*
	400,000		Dow Chemical Company^µ		20,428,000
	210,000		Rio Tinto, PLC^µ		12,030,900

					32,458,900

			*Telecommunication Services (2.2%)*
	615,000		AT&T, Inc.^µ		21,887,850
	450,000	EUR	Orange, SAµ		7,046,694
	261,000		Verizon Communications, Inc.^µ		13,159,620

					42,094,164

			TOTAL COMMON STOCKS (Cost $1,370,865,694)		1,407,492,694


NUMBER OF SHARES			VALUE

	WARRANTS (0.2%)#
		*Consumer Discretionary (0.2%)*
	86,079	General Motors Company, Inc. 07/10/16, Strike $10.00	$	2,113,240
	86,079	General Motors Company, Inc. 07/10/19, Strike $18.33		1,454,735

		TOTAL WARRANTS (Cost $12,751,492)		3,567,975

	SHORT TERM INVESTMENT (1.6%)
	31,339,726	Fidelity Prime Money Market Fund - Institutional Class (Cost $31,339,726)		31,339,726

	TOTAL INVESTMENTS (136.7%) (Cost $2,517,609,687)			2,620,307,571

	LIABILITIES, LESS OTHER ASSETS (-36.7%)			(703,990,235	)

	NET ASSETS (100.0%)		$	1,916,317,336

NOTES TO SCHEDULE OF INVESTMENTS


*		Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
^		Security, or portion of security, is on loan.
µ		Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $1,268,520,591. $333,218,465 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 — Borrowings).
‡		Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2014.
§		Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
¤		The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
#		Non-income producing security.
~		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 $927,741.

FOREIGN CURRENCY ABBREVIATION

EUR

European Monetary Unit

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

INTEREST RATE SWAPS

COUNTERPARTY

FIXED RATE
(FUND PAYS)

FLOATING RATE
(FUND RECEIVES)

TERMINATION
DATE

NOTIONAL
AMOUNT

UNREALIZED
APPRECIATION/
(DEPRECIATION)

BNP Paribas, SA

0.934% quarterly

3 month LIBOR

07/05/17

52,000,000

289,665

BNP Paribas, SA

1.009% quarterly

3 month LIBOR

06/12/17

47,000,000

111,306

400,971

See accompanying Notes to Schedule of Investments

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 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund invests primarily in common and preferred stocks and income producing securities such as investment grade and below investment grade debt securities.

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principle exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principle 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 based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or 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 Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2014.

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 following information is presented on a federal income tax basis as of July 31, 2014. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at July 31, 2014 was as follows:


Cost basis of investments	$	2,609,311,106

Gross unrealized appreciation		275,916,672
Gross unrealized depreciation		(264,920,207	)

Net unrealized appreciation (depreciation)	$	10,996,465

Note 3 — Borrowings

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $367.5 million and a lending agreement, (Lending Agreement), as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”), together with the BNP Agreement, (“Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $367.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2014, the average borrowings under the Agreements were $704.1 million. For the period ended July 31, 2014, the average interest rate was 0.61%. As of July 31, 2014, the amount of total outstanding borrowings was $725.0 million, which approximates fair value. The interest rate applicable to the borrowings on July 31, 2014 was 0.89%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of July 31, 2014, the Fund used approximately $256.0 million of its cash collateral to offset the SSB Agreement, representing 9.7% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.66%, which can fluctuate depending on interest rates.

Note 4 — Interest Rate Swaps

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

Note 5 — Fair Value Measurements

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

•

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

•

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

•

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:


	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Assets:
Corporate Bonds	$	—	$	441,723,579	$	—	$	441,723,579
Convertible Bonds		—		413,164,584		—		413,164,584
U.S. Government and Agency Securities		—		800,552		—		800,552
Synthetic Convertible Securities (Corporate Bonds)		—		110,312,412		—		110,312,412
Synthetic Convertible Securities (U.S. Government and Agency Securities)		—		200,138		—		200,138
Synthetic Convertible Securities (Purchased Options)		19,501,375		—		—		19,501,375
Convertible Preferred Stocks		141,509,161		50,695,375		—		192,204,536
Common Stocks U.S.		1,369,354,529		4,745,272		—		1,374,099,801
Common Stocks Foreign		—		33,392,893		—		33,392,893
Warrants		3,567,975		—		—		3,567,975
Short Term Investment		31,339,726		—		—		31,339,726
Interest Rate Swaps		—		400,971		—		400,971

Total	$	1,565,272,766	$	1,055,435,776	$	—	$	2,620,708,542

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


CALAMOS STRATEGIC TOTAL RETURN FUND

By:		/S/ JOHN P. CALAMOS, SR.
NAME:		John P. Calamos, Sr.
TITLE:		Principal Executive Officer
DATE:		September 18, 2014

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:		September 18, 2014

By:		/S/ NIMISH S. BHATT
NAME:		Nimish S. Bhatt
TITLE:		Principal Financial Officer
DATE:		September 18, 2014