UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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| INVESTMENT COMPANY ACT FILE NUMBER: | | 811-09237 |
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| EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: | | Calamos Advisors Trust |
| | | |
| ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: | | 2020 Calamos Court |
| | | Naperville, Illinois 60563-2787 |
| | | |
| NAME AND ADDRESS OF AGENT FOR SERVICE: | | John P Calamos, Sr., Founder, Chairman and
Global Chief Investment Officer |
| | | Calamos Advisors LLC |
| | | 2020 Calamos Court |
| | | Naperville, Illinois 60563-2787 |
| | | |
| REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: | | (630) 245-7200 |
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| DATE OF FISCAL YEAR END: | | December 31, 2021 |
| | | |
| DATE OF REPORTING PERIOD: | | January 1, 2021 through December 31, 2021 |
ITEM 1. REPORT TO SHAREHOLDERS.
Growth and Income Portfolio
ANNUAL REPORT DECEMBER 31, 2021
About Calamos Investments
For over 40 years, we have helped investors like you manage and build wealth to meet long-term objectives. Because investors have different time horizons, risk tolerances and goals, we offer investment portfolios to suit a variety of asset allocation needs. For example, our mutual funds include equity, fixed income and alternative funds. We offer US funds, as well as global and international choices.
We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline and by our conscientious research.
We believe that an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered the use of convertible securities as a means to manage risk in volatile markets. We followed with strategies that combine convertibles and stocks, with the aim of participating in equity market upside with potentially less volatility than an all-stock portfolio. In the 1990s, we introduced our first stock fund, which invests in growth companies both large and small. Across our funds, our investment process seeks to manage risk at multiple levels and draws upon our experience investing through many market cycles. In a rapidly changing environment, we believe that this active management is essential.
We are global in our perspective. We believe globalization offers tremendous opportunities for countries and companies all over the world. In our US, global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.
We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.
Letter to Contract Owners
John P. calamos, sr.
Founder, Chairman
and Global Chief
Investment Officer
Dear Contract Holder:
Welcome to your annual report for the 12 months ended December 31, 2021. In this report, you will find commentary from the Calamos investment team as well as a listing of portfolio holdings, financial statements and highlights and detailed information about the performance and positioning of Calamos Growth and Income Portfolio.
About the Portfolio
Calamos Growth and Income Portfolio follows a time-tested strategy to pursue consistent performance over full market cycles, as well as income. The portfolio is managed to provide lower-volatility participation in the stock market, which we believe makes it a compelling choice for long-term asset allocation needs.
Our team can invest in an array of growth-and-income producing investments, including stocks, convertible bonds and options. This multi-asset class strategy is designed to enhance performance and mitigate exposure to downward moves in the stock market. Our broad opportunity set differentiates the Portfolio from “balanced” funds that focus more exclusively on stocks and traditional bonds and from equity funds that focus only on low stock prices or low volatility.
Review
During the annual period, the stock and convertible markets advanced, but they were volatile and rotational. Although economic and company fundamentals remained strong, markets were buffeted by uncertainties related to Covid-19, inflation, interest rates, monetary and fiscal policies, and the impact these factors could have on economic growth and the prospects of businesses in different sectors of the economy.
We believe the portfolio’s performance during the annual period demonstrated the benefits of our lower-volatility equity approach. The Portfolio navigated the many crosscurrents of the period to post a return of 21.40%. In addition to its strength in absolute terms, the Portfolio’s return captured the majority of the upside of the US equity market, as measured by the S&P 500 Index’s gain of 28.71%. The Portfolio also
2 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Letter to Contract Owners
outperformed the broad US convertible market, which gained 4.12% as measured by the ICE BofA All US Convertible ex-Mandatory Index and the broad US investment-grade bond market, which returned -1.54% as measured by the Bloomberg US Aggregate Bond Index.
Our portfolio management team believes income-generating investments can enhance the overall risk/reward profile of the Portfolio. However, during the reporting period, income remained more difficult to come by as many central banks around the world maintained accommodative monetary policies to help promote economic activity as the delta and omicron Covid variants caused new headwinds. The Portfolio’s income distributions during the reporting period represent approximately 0.40% of the portfolio’s net asset value on January 1, 2021 (the beginning of the reporting period) on an annualized basis.
Outlook
Our team sees many positive factors that can sustain US economic expansion and believes the economy is in a mid-cycle phase that could continue for years. Recent corporate earnings announcements have included many upside surprises, corporate revenues are strong, and profit margins are improving. Meanwhile, although not all segments of the population are recovering at the same pace, US unemployment numbers continue to drop, wages are rising, and many households have healthy savings and low debt. We are hopeful that continued Covid vaccination efforts, emerging treatments and milder cases will continue to pave the way for sustained reopening. Although we can never rule out a policy mistake, we expect the Federal Reserve to pursue a gradual course that supports economic growth.
The pace of expansion may moderate further as the economy settles into a mid-cycle growth phase. The economic rebound of 2021 was extraordinary, and a moderation of economic growth from peak levels should come as no surprise. Although inflation has proven to not be transitory as many—including the Federal Reserve—once thought it would be, we do not believe inflation data is signaling an imminent end to the recovery. Our team believes a “soft-landing” scenario for the economy is more likely, with inflation moderating as supply-chain disruptions are addressed over time.
Letter to Contract Owners
Individual security selection will be especially important during this phase of the economic cycle. We expect saw-toothed and rotational markets to persist, given the many uncertainties market participants face. The Federal Reserve will remain a focal point of investor apprehension as it threads the needle of tapering and tightening while keeping the economy on a sustainable path for growth. With a tightening cycle set to begin this year, we note that a Fed rate hike does not typically trigger the end of an economic expansion or bull market. In fact, the stock market most typically has continued its upward trend through initial interest rate hikes, albeit often with additional short-term volatility when a shift in policy is announced.
It’s also important to remember that the direction of the economy and markets depends on more than monetary policy. Fiscal and government policies provide powerful headwinds—or powerful tailwinds—for hiring, capital investment, entrepreneurship and business innovation. Markets recognize this, which means the results of US midterm elections could be highly consequential. Moreover, the run-up to the elections is likely to bring added uncertainty, rotation and volatility.
Our Approach
We believe our active management and multi-asset class approach will serve the Portfolio well. In our security selection process, we focus on identifying companies with compelling fundamentals, including strong balance sheets and the ability to sustain growth as the economy expands at a more measured pace and as interest rates rise. We also employ decades of proprietary research to determine which security within a company’s capital structure—for example, stock, convertible bond or traditional bond—offers the most compelling reward and risk characteristics.
We expect our innovative use of convertible securities as a portfolio cornerstone alongside stocks will continue to serve the Portfolio well. Convertible securities are hybrid instruments that combine characteristics of stocks and bonds. Equity characteristics provide the opportunity for a convertible to participate in the gains of its underlying stock, and fixed-income characteristics may mitigate a convertible’s exposure to equity downside. Additionally, compared to traditional bonds, convertibles have been less vulnerable to the impact of rising interest rates. We believe this is an especially attractive advantage in an environment where traditional bonds will face more headwinds, given the likelihood that the Federal Reserve begins raising interest rates in coming months.
4 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Letter to Contract Owners
Conclusion
As always, we thank you for your trust and are honored to help you achieve your financial goals. Please visit our website, www.calamos.com, for additional resources on asset allocation, the markets and the economy.
Sincerely,
John P. Calamos, Sr.
Founder, Chairman and Global Chief Investment Officer
Indices Performance Source: Morningstar. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Returns are in US dollar terms. The S&P 500 Index is an unmanaged index generally considered representative of the US stock market. The Bloomberg US Aggregate Bond Index is considered generally representative of the investment-grade bond market. The ICE BofA All US Convertibles Ex Mandatory Index represents the US convertibles securities market excluding mandatory convertibles.
The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, which should be carefully considered prior to investing. Opinions are as of the publication date, subject to change and may not come to pass.
This information is being provided for informational purposes only and should not be considered investment advice.
Investment Team Discussion
CALAMOS GROWTH AND INCOME PORTFOLIO
INVESTMENT TEAM DISCUSSION
How has the Portfolio performed?
For the 12 months ended December 31, 2021, Calamos Growth and Income Portfolio (the “Portfolio”) gained 21.40%, trailing the 28.71% return of the S&P 500 Index (the Portfolio’s benchmark) while outperforming the ICE BofA All US Convertibles ex Mandatory Index return of 4.12%.
In this Portfolio, we own equities and equity-sensitive convertible bonds or income-producing convertible preferred stocks that we believe are best positioned to take advantage of upward equity movements and potentially limit losses on the downside. The Portfolio’s risk-conscious positioning was beneficial over the annual period, offering significant gains during what ended up being a strongly performing equity market. This positioning served investors especially well early in the period during the more volatile months before the equity market turned a bit more “risk-on.” Performance attributable to sector positioning was broadly in line with the all-equity index, whereas security selection detracted from relative performance.
We manage this Portfolio with the goal of achieving upside equity participation and potential downside risk mitigation over full market cycles via a quality-growth strategy. Since its inception on May 19, 1999, the Portfolio has returned 8.70% on an annualized basis versus the 7.94% annualized gain for the S&P 500 Index and 9.18% annualized increase for the ICE BofA All US Convertibles ex Mandatory Index.
What is the Portfolio’s investment strategy?
The Portfolio invests primarily in a diversified portfolio of investments including stocks, convertible bonds, fixed income securities and options of US companies. In pursuing its total-return investment objective, the Portfolio’s investment team endeavors to use these different securities to strike the appropriate balance between risk and return with the intent of optimizing growth and income. As we focus on managing volatility, our goal for the Portfolio is to participate in a greater portion of equity market upside than downside over the long term.
Please discuss the Portfolio’s lower-volatility characteristics.
We believe the Portfolio’s historically lower-volatility characteristics are a byproduct of our investment style that focuses on participating in equity market upside with less volatility than the market as a whole. Beta is one popular statistic for measuring volatility. Beta considers a portfolio’s historic volatility versus the market, which is assigned a beta of 1.0. A portfolio with half the volatility of the market would have a beta of 0.5, while a portfolio with a beta of 2.0 would have been twice as volatile as the market.
Since its inception, the Portfolio has had a beta of 0.75 versus the S&P 500 Index. The Portfolio has therefore outperformed the broader equity market, as measured by the S&P 500 Index, with less volatility. Please note that past performance does not indicate future results and that beta is one of many measures of risk.
SECTOR WEIGHTINGS
| |
Information Technology | 27.5% |
Consumer Discretionary | 13.5 |
Health Care | 11.5 |
Communication Services | 10.8 |
Financials | 10.3 |
Industrials | 8.6 |
Consumer Staples | 4.9 |
Energy | 3.3 |
Utilities | 2.9 |
Materials | 2.9 |
Real Estate | 1.6 |
Airlines | 1.0 |
Other | 0.3 |
Sector weightings are subject to change daily and are calculated as a percentage of net assets. The table excludes cash or cash equivalents, any government/sovereign bonds or broad based index hedging securities the Fund may hold.
6 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Investment Team Discussion
Although our strategy is compared to an all-equity benchmark, we typically invest a portion of the Portfolio in securities that exhibit less volatility, such as convertible securities. We believe this offers lower downside capture, which is a critical part of our risk-management process, but it can also cause Portfolio results to lag the benchmark return during periods of strong equity market performance. Ultimately through this focus on risk management, we have been able to provide investors a less-volatile equity investment, as measured by beta, and outperform the S&P 500 Index since inception.
What factors influenced performance during the annual period?
The annual period saw generally favorable returns for risk assets, with US and global gross domestic product each growing at impressive rates. These growth rates highlight the transitions from varying degrees of economic shutdowns and slowdowns to recovery and then to more traditional economic expansion. In the US, accommodative monetary and fiscal policy helped drive corporate investment as well as personal consumption and contributed to business strength with estimated 2021 calendar-year earnings growth of 45% for S&P 500 companies. The annual period was also fraught with risks to be managed, including “meme stocks” grabbing investors’ attention, significant supply-chain disruptions, worker shortages, inflation concerns, considerations of massive spending bills, and the Fed announcing the tapering of bond purchases. All the while, Covid variants and their economic impacts continued to weigh on investors. Companies with high earnings growth drove equity markets earlier in the year, with investors showing a greater preference for lower valuations and higher perceived quality later in the year.
Within the US equity market, as represented by the S&P 500 Index (+28.7%), more cyclical areas of the market were amongst sector leaders, though notable mega-cap tech stocks also saw strong performance. Looking at sectors within the S&P 500 Index, energy (+55%), real estate (+46%), financials (+35%) and information technology (+35%) led the way. Materials (+27%), health care (+26%), consumer discretionary (+24%), communication services (+22%), industrials (+21%), consumer staples (+19%) and utilities (+18%) all lagged, despite strong absolute returns.
For the 12-month period ended December 31, 2021, the Portfolio had a positive return of 21.40%. However, the Portfolio trailed the S&P 500 Index return of 28.71%.
Positive Influences on Performance
Materials. The Portfolio’s security selection and an average underweight position in materials assisted relative performance. Copper notably helped as did industrial gases.
Financials. Security selection in financials also added to the Portfolio’s performance. The main industry contributors were investment banking & brokerage and asset management & custody banks.
Negative Influences on Performance
Consumer Discretionary. Over the period, selection and an average overweight position within the consumer discretionary sector hindered return, as holdings in the hotels, resorts & cruise lines and automotive retail industries lagged on a relative basis.
Industrials. Security selection and an average overweight stance in industrials lagged, especially in the airlines and industrial machinery industries.
Investment Team Discussion
How is the Portfolio positioned?
The Portfolio continues to be positioned for what we consider to be more a midcycle portion of economic growth. Rapid economic growth coming out of previous Covid lockdowns, and now even more selective regimented controls globally, should give way to moderate growth. The Portfolio has a focus on companies reflecting higher-quality characteristics such as return on invested capital, business stability, and balance-sheet strength. As mentioned previously, we continue to utilize convertible securities in many higher-risk areas of the market, including more aggressive-growth companies as well as deeper cyclical areas, seeking to provide positive asymmetric returns in lower-risk structures.
From a sector standpoint, the Portfolio’s largest weights reside within information technology and consumer discretionary on an absolute basis, while utilities and real estate constitute the smallest sector weights. On a relative basis, the largest industry overweight positions are industrial machinery and movies & entertainment, whereas we maintain relative underweight positions in health care and information technology. In these sectors, biotechnology and technology hardware, storage & peripherals constitute significant underweight industries.
Allocations to information technology and energy rose during the period with increased weights in systems software and integrated oil & gas. By contrast, allocations to health care and industrials decreased over the period with reductions to health care equipment and airlines.
What closing thoughts do you have for Portfolio shareholders?
The transition from the recovery period of the Covid-induced economic cycle to the midcycle phase continues, as we detailed in our last outlook. However, the transition has been volatile and will likely take longer than we originally predicted. The demand side of the economy is still positive, and consumer and corporate spending should remain at above-trend levels as the Covid crisis abates, demand levels for services improve, and companies spend to rebuild inventories, expand capacity and improve productivity.
However, this transition has been negatively impacted by additional Covid surges and the corresponding impacts on the supply side of the economy, including the global supply chain, transportation system and labor market. Covid exposed the inflexibility of these systems that has led to a lack of products and services as well as higher prices. Although we think the worst of the Covid healthcare crisis is behind us, the negative supply impacts should persist through next year, depending on end markets.
Covid has been the primary factor impacting the supply side of the economy, but other factors are also playing a significant role in the availability and price of goods and services. The combination of all these economic drivers combined with the unpredictable responses of governments, corporations and individuals has created a difficult environment to forecast economic activity in the short run. Demand destruction is a risk in the short term with higher prices and lack of availability of some products. We do expect to resolve many of these challenges over the intermediate term and for economic growth to remain above trend for the next several years.
This change in the economic cycle and growth drivers should result in positive equity returns over the next 12–18 months but at more muted levels than the prior 12 months. This investment regime change in the short term should indicate market leadership transitioning away from higher-risk equities (in both cyclical and growth areas) toward businesses offering higher return on capital, improving margins and less volatility.
8 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Investment Team Discussion
ANNUALIZED RETURN: SINCE INCEPTION (5/19/99) THROUGH 12/31/21
GROWTH OF $ 10,000 FOR 10 YEAR PERIOD ENDED 12/31/21
AVERAGE ANNUAL TOTAL RETURN† FOR THE PERIOD ENDED 12/31/21
| | | | | | |
1 YEAR | | 3 YEARS | | 5 YEARS | | 10 YEARS |
21.40% | | 23.12% | | 15.56% | | 11.57% |
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Returns are net of all fees and expenses incurred by the Portfolio. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance figures of the Portfolio do not reflect fees charged pursuant to the terms of variable life insurance policies and variable annuity contracts. If these charges had been reflected, performance would have been lower.
†Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average, assuming reinvestment of income and capital gain distributions. Since inception data shown for ICE BofA All U.S. Convertibles Ex Mandatory Index is from 5/31/99 since data is only available for full monthly periods. Returns do not reflect sales charges, expenses and fees assessed in connection with the variable product. Sales charges, expenses and fees, which are determined by the variable product issuers, will vary and will lower the total return to the contract or policy owner.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market.
The ICE BofA All U.S. Convertibles Ex Mandatory Index represents the U.S. convertibles securities market excluding mandatory convertibles. Source ICE Data Indices, LLC, used with permission. ICE permits use of the ICE BofA indices and related data on an ‘as is’ basis, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA Indices or data included in, related to, or derived therefrom, assumes no liability in connection with the use of the foregoing and does not sponsor, endorse or recommend Calamos Advisors LLC or any of its products or services.
Index returns assume reinvestment of dividends and do not reflect deduction of fees and expenses. It is not possible to invest directly in an index.
The Portfolio’s use of derivative instruments involves investment risks and transaction costs to which the Portfolio would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Portfolio performance.
This information is not intended to be a recommendation or investment advice, and does not constitute a solicitation to buy or sell securities. Certain statements in this commentary are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrence may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Portfolio disclaims any obligation to update publicly or review any forward-looking statements or views expressed herein.
EXPENSE OVERVIEW
As a contract or policy owner, you incur certain costs. Because the Portfolio is a funding vehicle for annuities, policies and eligible plans, you may also incur sales charges and other fees related to your annuity, policy or eligible plan. In addition, the Portfolio incurs transaction costs and ongoing costs, including management fees, and other fund expenses, such as audit, legal and custodian fees.
The examples in this report are based on an investment of $1,000 made at the beginning of the period and held for the entire period from July 1, 2021 to December 31, 2021. It is intended to help you understand the ongoing costs associated with investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
There are two parts to the examples table:
Actual
In this part of the table, you’ll see the actual expenses you would have paid on a $1,000 investment made at the beginning of the period and held for the entire period from July 1, 2021 to December 31, 2021, the period covered by this report. This table also shows the actual returns, after expenses, you would have earned during that time. This table can help you estimate your own expenses. For example, if you invested $8,600 in the Portfolio, simply divide $8,600 by $1,000, then multiply that result by the figure in the “Actual Expenses per $1,000” row. In this example, you would multiply 8.6 by the figure.
Hypothetical
In this part of the table, you’ll see the hypothetical expenses you would have paid on a $1,000 investment from July 1, 2021 to December 31, 2021, and the hypothetical returns, after expenses, you would have earned during that time. The Securities and Exchange Commission (SEC) has established the guidelines for this table, including the assumed 5% annual rate of return before expenses, which is what you’ll see in the table. Note that this table will not help you determine your own expenses, but will help you compare expenses of the Portfolio to the expenses of other mutual funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not include any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactions costs were included, your costs would have been higher.
10 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, July 1, 2021, and held through December 31, 2021.
| | | |
Actual Expenses per $1,000* | $ | 5.94 | |
Actual - Ending Balance | $ | 1,086.10 | |
Hypothetical Expenses per $1,000* | $ | 5.75 | |
Hypothetical - Ending Value | $ | 1,019.51 | |
Annualized expense ratio | | 1.13 | % |
* Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365.
Schedule of Investments December 31, 2021
See accompanying Notes to Schedule of Investments
| | | | | | | |
PRINCIPAL
AMOUNT | | | | VALUE |
CONVERTIBLE BONDS (19.2%) |
Airlines (1.0%) |
275,000 | | Southwest Airlines Company
1.250%, 05/01/25 | $367,183
|
|
Communication Services (2.5%) |
| | Liberty Media Corp. | | |
90,000 | | 1.375%, 10/15/23 | | 135,844 |
31,000 | | 0.500%, 12/01/50* | | 44,695 |
105,000 | | Liberty Media Corp. /
Liberty Formula One
1.000%, 01/30/23 | | 181,200 |
| | Live Nation Entertainment, Inc. | | |
55,000 | | 2.000%, 02/15/25 | | 73,018 |
27,000 | | 2.500%, 03/15/23 | | 48,913 |
170,000 | | Sea, Ltd.
0.250%, 09/15/26 | | 156,471 |
140,000 | | Snap, Inc.*
0.000%, 05/01/27 | | 137,278 |
47,000 | | Twitter, Inc.
0.250%, 06/15/24 | | 51,328 |
65,000 | | Zynga, Inc.
0.250%, 06/01/24 | | 70,243 |
| | | | 898,990 |
|
Consumer Discretionary (4.1%) |
55,000 | | Airbnb, Inc.*
0.000%, 03/15/26 | | 53,903 |
194,000 | | Booking Holdings, Inc.^
0.750%, 05/01/25 | | 286,173 |
100,000 | | Burlington Stores, Inc.
2.250%, 04/15/25 | | 149,257 |
47,000 | | Etsy, Inc.
0.125%, 09/01/27 | | 63,125 |
235,000 | | Ford Motor Company*
0.000%, 03/15/26 | | 323,504 |
95,000 | | Marriott Vacations Worldwide Corp.*
0.000%, 01/15/26 | | 112,124 |
85,000 | | Shake Shack, Inc.*
0.000%, 03/01/28 | | 70,002 |
7,000 | | Tesla, Inc.
2.000%, 05/15/24 | | 119,132 |
50,000 | | Under Armour, Inc.
1.500%, 06/01/24 | | 95,197 |
115,000 | | Vail Resorts, Inc.
0.000%, 01/01/26 | | 123,788 |
40,000 | | Winnebago Industries, Inc.
1.500%, 04/01/25 | | 53,914 |
| | | | 1,450,119 |
|
Energy (0.9%) |
55,000 | | EQT Corp.
1.750%, 05/01/26 | | 91,957 |
| | | | | | | |
PRINCIPAL
AMOUNT | | | | VALUE |
130,000 | | Pioneer Natural Resources Company
0.250%, 05/15/25 | $ | 232,953 |
| | | | 324,910 |
|
Financials (0.4%) |
50,000 | | Ares Capital Corp.
4.625%, 03/01/24 | | 57,215 |
70,000 | | Realogy Group, LLC /
Realogy Co-Issuer Corp.*
0.250%, 06/15/26 | | 69,778 |
| | | | 126,993 |
|
Health Care (2.6%) |
32,000 | | CONMED Corp.
2.625%, 02/01/24 | | 53,337 |
55,000 | | CryoPort, Inc.*
0.750%, 12/01/26 | | 51,155 |
80,000 | | Dexcom, Inc.
0.250%, 11/15/25 | | 94,958 |
52,000 | | Envista Holdings Corp.
2.375%, 06/01/25 | | 115,684 |
65,000 | | Exact Sciences Corp.
0.375%, 03/15/27 | | 66,410 |
44,000 | | Halozyme Therapeutics, Inc.*
0.250%, 03/01/27 | | 39,293 |
65,000 | | Insulet Corp.
0.375%, 09/01/26 | | 86,585 |
46,000 | | Integra LifeSciences Holdings Corp.
0.500%, 08/15/25 | | 50,230 |
55,000 | | Jazz Investments I, Ltd.
2.000%, 06/15/26 | | 62,177 |
80,000 | | NeoGenomics, Inc.
0.250%, 01/15/28 | | 68,331 |
70,000 | | Omnicell, Inc.
0.250%, 09/15/25 | | 132,486 |
95,000 | | Pacira BioSciences, Inc.
0.750%, 08/01/25 | | 105,885 |
| | | | 926,531 |
|
Industrials (2.1%) |
55,000 | | Air Transport Services Group, Inc.
1.125%, 10/15/24 | | 62,176 |
17,000 | | Chart Industries, Inc.*
1.000%, 11/15/24 | | 46,863 |
100,000 | | JetBlue Airways Corp.*
0.500%, 04/01/26 | | 93,670 |
140,000 | | John Bean Technologies Corp.*
0.250%, 05/15/26 | | 155,367 |
115,000 | | Middleby Corp.
1.000%, 09/01/25 | | 184,698 |
185,000 | | Uber Technologies, Inc.
0.000%, 12/15/25 | | 183,113 |
| | | | 725,887 |
12 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Schedule of Investments December 31, 2021
See accompanying Notes to Schedule of Investments
| | | | | | | |
PRINCIPAL
AMOUNT | | | | VALUE |
|
Information Technology (4.7%) |
78,000 | | Bill.com Holdings, Inc.*
0.000%, 04/01/27 | $ | 80,475 |
60,000 | | Block, Inc.^
0.000%, 05/01/26 | | 62,150 |
45,000 | | Confluent, Inc.*
0.000%, 01/15/27 | | 48,940 |
75,000 | | Coupa Software, Inc.
0.375%, 06/15/26 | | 71,186 |
28,000 | | Datadog, Inc.
0.125%, 06/15/25 | | 56,244 |
| | Enphase Energy, Inc.* | | |
65,000 | | 0.000%, 03/01/26 | | 65,636 |
65,000 | | 0.000%, 03/01/28 | | 67,059 |
50,000 | | Five9, Inc.
0.500%, 06/01/25 | | 61,329 |
150,000 | | Microchip Technology, Inc.^
0.125%, 11/15/24 | | 187,619 |
30,000 | | Nova, Ltd.
0.000%, 10/15/25 | | 59,750 |
65,000 | | Okta, Inc.
0.125%, 09/01/25 | | 88,227 |
| | ON Semiconductor Corp. | | |
85,000 | | 0.000%, 05/01/27* | | 124,592 |
30,000 | | 1.625%, 10/15/23 | | 98,551 |
50,000 | | Palo Alto Networks, Inc.
0.375%, 06/01/25 | | 94,912 |
55,000 | | Perficient, Inc.*
0.125%, 11/15/26 | | 52,720 |
100,000 | | Repay Holdings Corp.*
0.000%, 02/01/26 | | 86,852 |
64,000 | | Shift4 Payments, Inc.*
0.000%, 12/15/25 | | 67,827 |
19,000 | | Shopify, Inc.^
0.125%, 11/01/25 | | 23,638 |
47,000 | | Silicon Laboratories, Inc.
0.625%, 06/15/25 | | 82,554 |
60,000 | | Tyler Technologies, Inc.*
0.250%, 03/15/26 | | 73,666 |
33,000 | | Unity Software, Inc.*
0.000%, 11/15/26 | | 30,194 |
30,000 | | Workday, Inc.
0.250%, 10/01/22 | | 55,977 |
22,000 | | Zscaler, Inc.
0.125%, 07/01/25 | | 48,197 |
| | | | 1,688,295 |
|
Materials (0.2%) |
35,000 | | Lithium Americas Corp.*
1.750%, 01/15/27 | | 33,527 |
33,000 | | MP Materials Corp.*
0.250%, 04/01/26 | | 41,937 |
| | | | 75,464 |
| | | | | | | |
PRINCIPAL
AMOUNT | | | | VALUE |
|
Real Estate (0.7%) |
70,000 | | IH Merger Sub, LLC
3.500%, 01/15/22 | $ | 139,447 |
45,000 | | Pebblebrook Hotel Trust
1.750%, 12/15/26 | | 49,653 |
75,000 | | Redfin Corp.
0.000%, 10/15/25 | | 67,300 |
| | | | 256,400 |
| | TOTAL CONVERTIBLE BONDS
(Cost $5,477,383) | | 6,840,772 |
|
| | | | | | | |
NUMBER OF
SHARES | | | | VALUE |
CONVERTIBLE PREFERRED STOCKS (8.9%) |
Communication Services (0.6%) |
205 | | 2020 Cash Mandatory Exchangeable Trust*
5.250%, 06/01/23 | | 214,291 |
|
Consumer Discretionary (0.7%) |
1,375 | | Aptiv, PLC
5.500%, 06/15/23 | | 253,124 |
|
Financials (0.8%) |
1,180 | | AMG Capital Trust II^
5.150%, 10/15/37 | | 68,908 |
2,480 | | KKR & Company, Inc.^
6.000%, 09/15/23 | | 231,012 |
| | | | 299,920 |
|
Health Care (1.7%) |
1,095 | | Avantor, Inc.
6.250%, 05/15/22 | | 141,485 |
1,600 | | Boston Scientific Corp.
5.500%, 06/01/23 | | 183,456 |
130 | | Danaher Corp.
4.750%, 04/15/22 | | 285,220 |
| | | | 610,161 |
|
Industrials (1.2%) |
800 | | Colfax Corp.
5.750%, 01/15/22 | | 148,104 |
2,430 | | Stanley Black & Decker, Inc.^
5.250%, 11/15/22 | | 265,332 |
| | | | 413,436 |
|
Information Technology (1.0%) |
170 | | Broadcom, Inc.
8.000%, 09/30/22 | | 352,816 |
|
Utilities (2.9%) |
1,360 | | AES Corp.
6.875%, 02/15/24 | | 130,560 |
Schedule of Investments December 31, 2021
See accompanying Notes to Schedule of Investments
| | | | | | | |
NUMBER OF
SHARES | | | | VALUE |
875 | | CenterPoint Energy, Inc.
(Warner Media, LLC, Charter
Communications Time, Inc.)§**
4.566%, 09/15/29 | $ | 51,587 |
1,890 | | Dominion Energy, Inc.
7.250%, 06/01/22 | | 190,210 |
3,750 | | DTE Energy Company
6.250%, 11/01/22 | | 192,525 |
1,945 | | Essential Utilities, Inc.
6.000%, 04/30/22 | | 126,795 |
| | NextEra Energy, Inc. | | |
4,095 | | 4.872%, 09/01/22 | | 278,828 |
1,210 | | 6.219%, 09/01/23 | | 70,071 |
| | | | 1,040,576 |
| | TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $2,399,488) | 3,184,324 |
|
Common Stocks (70.6%) |
Communication Services (7.6%) |
490 | | Alphabet, Inc. - Class A# | | 1,419,550 |
3,690 | | Comcast Corp. - Class A | | 185,718 |
1,915 | | Meta Platforms, Inc. - Class A# | | 644,110 |
375 | | Netflix, Inc.# | | 225,915 |
1,615 | | Walt Disney Company# | | 250,147 |
| | | | 2,725,440 |
|
Consumer Discretionary (8.7%) |
345 | | Amazon.com, Inc.#~ | | 1,150,347 |
37 | | Booking Holdings, Inc.# | | 88,772 |
2,245 | | General Motors Company# | | 131,624 |
1,025 | | Home Depot, Inc. | | 425,385 |
785 | | Lowe’s Companies, Inc. | | 202,907 |
560 | | McDonald’s Corp. | | 150,119 |
2,805 | | MGM Resorts International | | 125,888 |
1,340 | | NIKE, Inc. - Class B | | 223,338 |
895 | | Starbucks Corp. | | 104,688 |
390 | | Target Corp. | | 90,262 |
210 | | Tesla, Inc.# | | 221,924 |
1,310 | | TJX Companies, Inc. | | 99,455 |
180 | | Ulta Beauty, Inc.# | | 74,221 |
| | | | 3,088,930 |
|
Consumer Staples (4.9%) |
4,990 | | Coca-Cola Company | | 295,458 |
390 | | Costco Wholesale Corp. | | 221,403 |
2,930 | | Mondelez International, Inc. - Class A | | 194,288 |
1,240 | | PepsiCo, Inc. | | 215,401 |
1,740 | | Philip Morris International, Inc. | | 165,300 |
1,910 | | Procter & Gamble Company | | 312,438 |
1,500 | | Sysco Corp. | | 117,825 |
1,570 | | Walmart, Inc. | | 227,163 |
| | | | 1,749,276 |
| | | | | | | |
NUMBER OF
SHARES | | | | VALUE |
|
Energy (2.4%) |
2,735 | | Chevron Corp. | $ | 320,952 |
1,920 | | ConocoPhillips | | 138,586 |
3,480 | | Exxon Mobil Corp. | | 212,941 |
940 | | Hess Corp. | | 69,588 |
1,505 | | Marathon Petroleum Corp. | | 96,305 |
| | | | 838,372 |
|
Financials (9.1%) |
485 | | American Express Company | | 79,346 |
1,350 | | American International Group, Inc. | | 76,761 |
583 | | Assurant, Inc. | | 90,866 |
8,990 | | Bank of America Corp. | | 399,965 |
125 | | BlackRock, Inc. | | 114,445 |
2,330 | | Charles Schwab Corp. | | 195,953 |
875 | | Chubb, Ltd. | | 169,146 |
2,210 | | Citigroup, Inc. | | 133,462 |
1,140 | | Discover Financial Services | | 131,739 |
495 | | Goldman Sachs Group, Inc. | | 189,362 |
4,520 | | Huntington Bancshares, Inc. | | 69,698 |
1,370 | | Intercontinental Exchange, Inc. | | 187,375 |
2,785 | | JPMorgan Chase & Company | | 441,005 |
5,425 | | KeyCorp | | 125,480 |
1,555 | | Marsh & McLennan Companies, Inc. | | 270,290 |
3,680 | | Morgan Stanley | | 361,229 |
510 | | Northern Trust Corp. | | 61,001 |
2,915 | | Wells Fargo & Company | | 139,862 |
| | | | 3,236,985 |
|
Health Care (7.2%) |
1,630 | | Abbott Laboratories | | 229,406 |
1,345 | | AbbVie, Inc. | | 182,113 |
215 | | Anthem, Inc. | | 99,661 |
1,745 | | Bristol-Myers Squibb Company | | 108,801 |
480 | | Eli Lilly & Company | | 132,586 |
255 | | Intuitive Surgical, Inc.# | | 91,622 |
1,705 | | Johnson & Johnson | | 291,674 |
2,060 | | Medtronic, PLC | | 213,107 |
2,915 | | Merck & Company, Inc. | | 223,406 |
3,310 | | Pfizer, Inc. | | 195,455 |
230 | | Stryker Corp. | | 61,507 |
230 | | Thermo Fisher Scientific, Inc. | | 153,465 |
1,160 | | UnitedHealth Group, Inc. | | 582,482 |
| | | | 2,565,285 |
|
Industrials (5.3%) |
4,585 | | Carrier Global Corp. | | 248,691 |
10,170 | | CSX Corp. | | 382,392 |
175 | | FedEx Corp. | | 45,262 |
1,455 | | Honeywell International, Inc. | | 303,382 |
14 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Schedule of Investments December 31, 2021
See accompanying Notes to Schedule of Investments
| | | | | | | |
NUMBER OF
SHARES | | | | VALUE |
1,085 | | JB Hunt Transport Services, Inc. | $ | 221,774 |
445 | | Northrop Grumman Corp. | | 172,246 |
4,280 | | Raytheon Technologies Corp. | | 368,337 |
580 | | Union Pacific Corp. | | 146,119 |
| | | | 1,888,203 |
|
Information Technology (21.8%) |
765 | | Accenture, PLC - Class A | | 317,131 |
370 | | Adobe, Inc.#~ | | 209,812 |
505 | | Advanced Micro Devices, Inc.# | | 72,670 |
12,215 | | Apple, Inc. | | 2,169,018 |
2,510 | | Cisco Systems, Inc. | | 159,059 |
1,240 | | Fidelity National Information Services, Inc. | | 135,346 |
480 | | Lam Research Corp. | | 345,192 |
1,335 | | Marvell Technology, Inc. | | 116,799 |
795 | | Mastercard, Inc. - Class A | | 285,659 |
1,005 | | Micron Technology, Inc. | | 93,616 |
6,100 | | Microsoft Corp.~ | | 2,051,552 |
2,375 | | NVIDIA Corp. | | 698,511 |
315 | | PayPal Holdings, Inc.# | | 59,403 |
565 | | QUALCOMM, Inc. | | 103,322 |
830 | ��� | salesforce.com, Inc.# | | 210,928 |
250 | | ServiceNow, Inc.#~ | | 162,277 |
995 | | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | | 119,708 |
2,130 | | Visa, Inc. - Class A | | 461,592 |
| | | | 7,771,595 |
|
Materials (2.7%) |
1,000 | | Alcoa Corp. | | 59,580 |
885 | | Celanese Corp. | | 148,733 |
4,620 | | Freeport-McMoRan, Inc. | | 192,793 |
930 | | Linde, PLC | | 322,180 |
1,110 | | PPG Industries, Inc. | | 191,408 |
240 | | Vulcan Materials Company | | 49,819 |
| | | | 964,513 |
|
Real Estate (0.9%) |
680 | | American Tower Corp. | | 198,900 |
640 | | Crown Castle International Corp. | | 133,594 |
| | | | 332,494 |
| | Total Common Stocks
(Cost $11,927,591) | | 25,161,093 |
|
| | | | | | | |
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT | | | VALUE |
PURCHASED OPTIONS (0.4%) # |
Airlines (0.0%) |
20
85,680 | | | Southwest Airlines Company
Call, 02/18/22, Strike $42.50 | | $4,870
|
| | | | |
Consumer Discretionary (0.1%) |
2
211,356 | | | Tesla, Inc.
Call, 03/18/22, Strike $820.00 | | 53,305 |
|
Other (0.3%) |
25
994,625 | | | Invesco QQQ Trust Series
Put, 02/18/22, Strike $390.00 | | 21,250 |
| | iShares MSCI EAFE ETF | | |
300
2,360,400 | | | Call, 01/21/22, Strike $83.00 | | 2,400 |
140
1,101,520 | | | Call, 03/18/22, Strike $78.00 | | 35,910 |
65
511,420 | | | Call, 03/18/22, Strike $80.00 | | 9,035 |
100
488,500 | | | iShares MSCI Emerging Markets
Call, 03/18/22, Strike $53.00 | | 2,550 |
30
667,350 | | | iShares Russell 2000 ETF
Call, 03/18/22, Strike $230.00 | | 15,585 |
30
763,110 | | | SPDR S&P 500 ETF Trust
Put, 02/18/22, Strike $440.00 | | 9,090 |
| | | | 95,820 |
| | | Total PURCHASED OPTIONS
(Cost $172,734) | | 153,995 |
|
| | | | | |
NUMBER OF
SHARES/
PRINCIPAL AMOUNT | | | | VALUE |
INVESTMENT OF CASH COLLATERAL FOR
SECURITIES LOANED (2.9%) |
1,023,411 | | State Street Navigator Securities Lending Government Money Market Portfolio†
(Cost $1,023,411) | 1,023,411 |
|
| | TOTAL INVESTMENTS (102.0%)
(Cost $21,000,607) | | 36,363,595 |
|
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-2.9%) | (1,023,411) |
OTHER ASSETS, LESS LIABILITIES (0.9%) | | 322,474 |
NET ASSETS (100.0%) | | 35,662,658 |
|
Schedule of Investments December 31, 2021
See accompanying Notes to Schedule of Investments
| | | | | | | |
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT | | | VALUE |
Written Options (-0.1%) # |
Airlines (0.0%) |
| | Southwest Airlines Company | | |
20
85,680 | | | Call, 02/18/22, Strike $50.00 | | $(810)
|
20
85,680 | | | Put, 02/18/22, Strike $35.00 | | (540) |
| | | | (1,350) |
|
Consumer Discretionary (0.0%) |
1
105,678 | | | Tesla, Inc.
Put, 02/18/22, Strike $800.00 | | (1,397) |
|
Materials (0.0%) |
5
29,790 | | | Alcoa Corp.
Call, 02/18/22, Strike $60.00 | | (2,363) |
|
Other (-0.1%) |
25
994,625 | | | Invesco QQQ Trust Series
Put, 02/18/22, Strike $360.00 | | (7,675) |
30
667,350 | | | iShares Russell 2000 ETF
Call, 03/18/22, Strike $240.00 | | (6,330) |
6
176,466 | | | NVIDIA Corp.
Call, 02/18/22, Strike $340.00 | | (3,705) |
| | | | (17,710) |
| | | Total Written Options
(Premium $24,880) | | (22,820) |
|
|
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 on loan.
§Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
**Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at December 31, 2021.
#Non-income producing security.
~Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $136,027.
†Represents investment of cash collateral received from securities on loan as of December 31, 2021.
FORWARD FOREIGN CURRENCY CONTRACTS
| | | | | | | | | | | |
COUNTERPARTY | | LONG
CONTRACTS | | SETTLEMENT
DATE | | LOCAL
CURRENCY | | CURRENT
VALUE | | UNREALIZED
GAIN/LOSS | |
Northern Trust Company | | Canadian Dollar | | 01/27/22 | | 59,000 | | $46,641
| | $197
| |
Northern Trust Company | | Canadian Dollar | | 01/27/22 | | 33,000 | | 26,087 | | 362 | |
State Street Bank and Trust | | New Taiwanese Dollar | | 01/27/22 | | 214,000 | | 7,735 | | 19 | |
| | | | | | | | | | $578
| |
| | | | | | | | | | | |
COUNTERPARTY | | SHORT
CONTRACTS | | SETTLEMENT
DATE | | LOCAL
CURRENCY | | CURRENT
VALUE | | UNREALIZED
GAIN/LOSS | |
Northern Trust Company | | Canadian Dollar | | 01/27/22 | | 7,000 | | $5,534
| | $88
| |
State Street Bank and Trust | | New Taiwanese Dollar | | 01/27/22 | | 231,000 | | 8,349 | | (8 | ) |
Bank of New York | | Canadian Dollar | | 01/27/22 | | 85,000 | | 67,195 | | 1,830 | |
State Street Bank and Trust | | New Taiwanese Dollar | | 01/27/22 | | 3,049,000 | | 110,200 | | (162 | ) |
| | | | | | | | | | $1,748
| |
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.
16 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
See accompanying Notes to Financial Statements
Statement of Assets and Liabilities December 31, 2021
| | | |
ASSETS |
Investments in securities, at value (cost $21,000,607) | $ | 36,363,595 | |
Cash with custodian | | 405,512 | |
Unrealized appreciation on forward foreign currency contracts | | 2,496 | |
Receivables: |
Accrued interest and dividends | | 23,754 | |
Investments sold | | 17,975 | |
Prepaid expenses | | 223 | |
Other assets | | 89,533 | |
Total assets | | 36,903,088 | |
|
LIABILITIES |
Collateral for securities loaned | | 1,023,411 | |
Options written, at value (premium $24,880) | | 22,820 | |
Unrealized depreciation on forward foreign currency contracts | | 170 | |
Payables: |
Investments purchased | | 37,169 | |
Portfolio shares redeemed | | 4,672 | |
Affiliates: |
Investment advisory fees | | 22,356 | |
Deferred compensation to trustees | | 89,533 | |
Trustees’ fees and officer compensation | | 1,595 | |
Other accounts payable and accrued liabilities | | 38,704 | |
Total liabilities | | 1,240,430 | |
NET ASSETS | $ | 35,662,658 | |
|
COMPOSITION OF NET ASSETS |
Paid in capital | $ | 18,156,124 | |
Accumulated distributable earnings (loss) | | 17,506,534 | |
NET ASSETS | $ | 35,662,658 | |
Shares outstanding (no par value; unlimited number of shares authorized) | | 1,560,810 | |
Net asset value and redemption price per share | $ | 22.85 | |
Statement of Operations Year Ended December 31, 2021
See accompanying Notes to Financial Statements
| | | |
INVESTMENT INCOME |
Interest | $ | 50,625 | |
(Amortization)/accretion of investment securities | | (214,620 | ) |
Net interest | | (163,995 | ) |
Dividends | | 439,269 | |
Dividend taxes withheld | | (392 | ) |
Total investment income | | 274,882 | |
|
EXPENSES |
Investment advisory fees | | 257,216 | |
Audit fees | | 46,466 | |
Legal fees | | 29,696 | |
Printing and mailing fees | | 25,011 | |
Trustees’ fees and officer compensation | | 15,051 | |
Accounting fees | | 13,342 | |
Transfer agent fees | | 8,279 | |
Custodian fees | | 6,275 | |
Fund administration fees | | 2,020 | |
Other | | 8,760 | |
Total expenses | | 412,116 | |
NET INVESTMENT INCOME (LOSS) | | (137,234 | ) |
|
REALIZED AND UNREALIZED GAIN (LOSS) |
Net realized gain (loss) from: |
Investments, excluding purchased options | | 2,458,436 | |
Purchased options | | 88,913 | |
Foreign currency transactions | | (5 | ) |
Forward foreign currency contracts | | (4,444 | ) |
Written options | | (31,297 | ) |
Change in net unrealized appreciation/(depreciation) on: |
Investments, excluding purchased options | | 4,380,140 | |
Purchased options | | (204,570 | ) |
Forward foreign currency contracts | | 7,327 | |
Written options | | 50,200 | |
NET GAIN (LOSS) | | 6,744,700 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,607,466 | |
18 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
See accompanying Notes to Financial Statements
Statements of Changes in Net Assets
| | | | | | |
| Year
Ended
December 31,
2021 | | Year
Ended
December 31,
2020 | |
|
OPERATIONS |
Net investment income (loss) | $ | (137,234 | ) | $ | 282,361 | |
Net realized gain (loss) | | 2,511,603 | | | 2,591,410 | |
Change in unrealized appreciation/(depreciation) | | 4,233,097 | | | 3,009,991 | |
Net increase (decrease) in net assets resulting from operations | | 6,607,466 | | | 5,883,762 | |
|
DISTRIBUTIONS TO SHAREHOLDERS |
Total distributions | | (2,796,715 | ) | | (302,796 | ) |
|
CAPITAL SHARE TRANSACTIONS |
Issued | | 1,942,538 | | | 2,338,498 | |
Issued in reinvestment of distributions | | 2,796,715 | | | 302,796 | |
Redeemed | | (5,141,012 | ) | | (4,081,041 | ) |
Net increase (decrease) in net assets from capital share transactions | | (401,759 | ) | | (1,439,747 | ) |
TOTAL INCREASE (DECREASE) IN NET ASSETS | | 3,408,992 | | | 4,141,219 | |
NET ASSETS |
Beginning of year | $ | 32,253,666 | | $ | 28,112,447 | |
End of year | $ | 35,662,658 | | $ | 32,253,666 | |
|
CAPITAL SHARE TRANSACTIONS |
Shares issued | | 91,568 | | | 132,915 | |
Shares issued in reinvestment of distributions | | 141,899 | | | 20,034 | |
Shares redeemed | | (240,628 | ) | | (238,054 | ) |
Net increase (decrease) in capital shares outstanding | | (7,161 | ) | | (85,105 | ) |
Notes to Financial Statements
Note 1 – Organization and Significant Accounting Policies
Organization. CALAMOS ADVISORS TRUST (the “Trust”), a Massachusetts business trust organized February 17, 1999, consists of a single series, Calamos Growth and Income Portfolio (the “Portfolio”), which commenced operations on May 19, 1999.
The Trust currently offers the Portfolio’s shares to certain life insurance companies for allocation to certain separate accounts established for the purpose of funding qualified and non-qualified variable annuity contracts and variable life insurance contracts. The Portfolio seeks a high long-term total return through growth and current income.
The Portfolio invests primarily in a diversified portfolio of convertible instruments (including synthetic convertible instruments), equity and fixed-income securities of U.S. companies without regard to market capitalization. In pursuing its investment objective, the Portfolio attempts to utilize these different types of securities to strike, in the investment adviser’s opinion, the appropriate balance between risk and return in terms of growth and income.
Significant Accounting Policies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), and the Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The Portfolio adheres to the accounting and reporting requirements set forth in ASU 2013-08 and ASC 946. Under U.S. GAAP, management is required to make certain estimates and assumptions at the date of the financial statements and actual results may differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Portfolio:
Portfolio Valuation. The valuation of the Portfolio’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Portfolio 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 Portfolio 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 Portfolio determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Portfolio 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 Portfolio’s NAV is not calculated.
20 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Notes to Financial Statements
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 Portfolio 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 Portfolio’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 Portfolio 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 December 31, 2021. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.
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.
The Portfolio does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.
Allocation of Expenses Among Funds. Expenses directly attributable to the Portfolio are charged to the Portfolio; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund, Calamos Dynamic Convertible and Income Fund, and Calamos Long/Short Equity & Dynamic Income Trust are allocated proportionately among each Fund to which the expenses relate in relation to the net assets of each Fund or on another reasonable basis.
Income Taxes. No provision has been made for U.S. income taxes because the Trust’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of the Portfolio’s taxable income and net realized gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.
Notes to Financial Statements
The Portfolio recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2017 - 2020 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.
Indemnifications. Under the Trust’s organizational documents, the Trust is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Trust. In addition, in the normal course of business, the Trust may enter into contracts that provide general indemnifications to other parties. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the Portfolio’s management expects the risk of material loss in connection to a potential claim to be remote.
Note 2 – Investment Adviser and Transactions With Affiliates Or Certain Other Parties
Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Portfolio pays a monthly investment advisory fee based on the average daily net assets of the Portfolio at the annual rate of 0.75%.
The Portfolio reimburses Calamos Advisors for a portion of compensation paid to the Trust’s Chief Compliance Officer. This compensation is reported as part of the “Trustees’ fees and officer compensation” expense on the Statement of Operations.
A trustee and certain officers of the Trust are also officers and directors of CFS and Calamos Advisors. Such trustee and officers serve without direct compensation from the Trust. The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and Officers and is available without charge, upon request, at www.calamos.com or by calling 800.582.6959.
The Trust has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of their compensation from the Trust. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $89,533 is included in “Other assets” on the Statement of Assets and Liabilities at December 31, 2021. The Portfolio’s obligation to make payments under the Plan is a general obligation of the Portfolio and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at December 31, 2021.
Note 3 – Investments
The cost of purchases and proceeds from sales of long-term investments for the year ended December 31, 2021 were as follows:
| | | | |
| | U.S. Government
Securities | | Other |
Cost of purchases | | $—
| | $5,511,647
|
Proceeds from sales | | — | | 8,710,213 |
The cost basis of investments for federal income tax purposes at December 31, 2021 was as follows:
| | |
Cost basis of investments | $21,251,256
| |
Gross unrealized appreciation | 15,344,609 | |
Gross unrealized depreciation | (255,090 | ) |
Net unrealized appreciation (depreciation) | $15,089,519
| |
Note 4 – Income Taxes
For the fiscal year ended December 31, 2021, the Portfolio recorded the following permanent reclassifications to reflect tax character. The results of operations and net assets were not affected by these reclassifications.
| | |
Paid-in capital | $(10,434
| ) |
Undistributed net investment income/(loss) | 219,700 | |
Accumulated net realized gain/(loss) on investments | (209,266 | ) |
22 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Notes to Financial Statements
Distributions were characterized for federal income tax purposes as follows:
| | | | |
Distributions paid from: | | Year Ended December 31, 2021 | | Year Ended December 31, 2020 |
Ordinary income | | $735,220
| | $136,818
|
Long-term capital gains | | 2,061,495 | | 165,978 |
Return of capital | | — | | — |
As of December 31, 2021, the components of accumulated earnings/(loss) on a tax basis were as follows:
| | | |
| | | |
Undistributed ordinary income | | $434,005
| |
Undistributed capital gains | | 2,165,404 | |
Total undistributed earnings | | 2,599,409 | |
Accumulated capital and other losses | | (61,129 | ) |
Net unrealized gains/(losses) | | 15,091,845 | |
Total accumulated earnings/(losses) | | 17,630,125 | |
Other | | (123,591 | ) |
Paid-in-capital | | 18,156,124 | |
Net assets applicable to common shareholders | | $35,662,658
| |
Note 5 – Derivative Instruments
Foreign Currency Risk. The Portfolio may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform.
To mitigate the counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs Over-The-Counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Generally, collateral is exchanged between the Portfolio and the counterparty and the amount of collateral due from the Portfolio or to a counterparty has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. When a Portfolio is required to post collateral under the terms of a derivatives transaction and master netting agreement, the Portfolio’s custodian holds the collateral in a segregated account, subject to the terms of a tri-party agreement among the Portfolio, the custodian and the counterparty. The master netting agreement and tri-party agreement provide, in relevant part, that the counterparty may have rights to the amounts in the segregated account in the event that the Portfolio defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement. When a counterparty is required to post collateral under the terms of a derivatives transaction and master netting agreement, the counterparty delivers such amount to the Portfolio’s custodian. The master netting agreement provides, in relevant part, that the Portfolio may have rights to such collateral in the event that the counterparty defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement.
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Portfolio’s net counterparty exposure is reflected in the counterparty table below. The net unrealized gain, if any, represents the credit risk to the Portfolio on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. The Portfolio realizes a gain or loss when a position is closed or upon settlement of the contracts. Please see the disclosure regarding ISDA Master Agreements under Foreign Currency Risk within this note.
Notes to Financial Statements
As of December 31, 2021, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Equity Risk. The Portfolio may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.
To seek to offset some of the risk of a potential decline in value of certain long positions, the Portfolio may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds (“ETFs”). The Portfolio may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Portfolio, on broad-based securities indexes, or certain ETFs.
When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately on the Statement of Operations as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.
Options written by the Portfolio do not typically give rise to counterparty credit risk since options written obligate the Portfolio and not the counterparty to perform. Exchange-traded purchased options have minimal counterparty credit risk to the Portfolio since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.
As of December 31, 2021, the Portfolio had outstanding purchased options and/or written options as listed on the Schedule of Investments.
As of December 31, 2021, the Portfolio had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:
| | | | | |
| ASSET
DERIVATIVES | | LIABILITY
DERIVATIVES |
Gross amounts at fair value: |
Forward foreign currency contracts(1) | $ | 2,496 | | $ | 170 |
Purchased options(2) | | 153,995 | | | — |
Written options(3) | | — | | | 22,820 |
| $ | 156,491 | | $ | 22,990 |
(1)Generally, the Statement of Assets and Liabilities location for Forward foreign currency contracts is Unrealized appreciation on forward foreign currency contracts for asset derivatives and Unrealized depreciation on forward foreign currency contracts for liability derivatives.
(2)Generally, the Statement of Assets and Liabilities location for purchased options is investments in securities, at value.
(3)Generally, the Statement of Assets and Liabilities location for written options is Options written, at value.
24 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Notes to Financial Statements
The following table presents the outstanding derivative contracts, organized by counterparty, that are subject to enforceable master netting agreements as of December 31, 2021:
| | | | | | | | | | | | |
| GROSS AMOUNTS NOT OFFSET
IN THE STATEMENT OF ASSETS AND LIABILITIES |
| GROSS AMOUNTS PRESENTED IN THE
STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL
PLEDGED | NET AMOUNT
RECEIVABLE IN
THE EVENT
OF DEFAULT | NET AMOUNT
PAYABLE IN
THE EVENT
OF DEFAULT |
Counterparty | | ASSETS | LIABILITIES |
Bank of New York | ISDA | $ | 1,830 | $ | — | | — | $ | 1,830 | $ | — |
Northern Trust Company | ISDA | | 647 | | — | | — | | 647 | | — |
State Street Bank and Trust | ISDA | | 19 | | 170 | | — | | — | | 151 |
| | | $ | 2,496 | $ | 170 | $ | — | $ | 2,477 | $ | 151 |
For the year ended December 31, 2021, the volume of derivative activity for the Portfolio is reflected below:*
| |
| VOLUME |
Forward foreign currency contracts | 1,133,589 |
Purchased options | 2,888 |
Written options | 284 |
*Activity during the period is measured by opened number of contracts for options purchased or written and opened forward foreign currency contracts (measured in notional).
Note 6 – Securities Lending
The Portfolio may loan one or more of its securities to broker-dealers and banks. Any such loan must be secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the value of the securities loaned by the Portfolio. The Portfolio continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receives an additional return that may be in the form of a fixed fee or a percentage of the collateral disclosed on a net basis as Securities lending income in the Statement of Operations. The additional return is disclosed on a net basis as Securities lending income in the Statement of Operations. Upon receipt of cash or cash equivalent collateral, the Portfolio’s securities lending agent invests the collateral into short-term investments following investment guidelines approved by Calamos Advisors. The Portfolio records the investment of collateral as an asset (Investment in securities, at value or Restricted cash for collateral on securities loaned) and the value of the collateral as a liability (Collateral for securities loaned) on the Statement of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Portfolio will record unrealized depreciation equal to the decline in value of the invested collateral. The Portfolio will pay reasonable fees to persons unaffiliated with the Portfolio for services in arranging these loans. The Portfolio has the right to call a loan and obtain the securities loaned at any time. The Portfolio does not have the right to vote on the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Portfolio could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the year while the Portfolio seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this year, and (c) the expenses of enforcing its rights. In an effort to reduce these risks, the Portfolio’s security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which the Portfolio lends securities.
The following table indicates the total amount of securities loaned by asset class, reconciled to the gross liability payable upon return of the securities loaned by the Portfolio as of December 31, 2021.
| | | | | | |
Amount of
Collateral Held
in Short Term
Investments and
Restricted Cash | Amount of
Non-Cash
Collateral | Total
Collateral | VALUE OF SECURITIES ON
LOAN TO BROKER-DEALERS
BANKS BY ASSET CLASS ON LOAN | Excess Amount
Due To/(From)
Counterparty |
Equity | Fixed Income | Total |
$1,023,411 | $10,991 | $1,034,402 | $502,212 | $510,457 | $1,012,669 | $21,733 |
Notes to Financial Statements
Repurchase agreements involve the Portfolio purchasing securities from a seller, subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. Collateral investments in repurchase agreements are collateralized by U.S. Treasury Bonds. The U.S. Treasury Bonds are held in a custody account at Citibank N.A., the Portfolio’s securities lending agent, on behalf of the Portfolio participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Bonds can either be maintained as part of the Portfolio or sold for cash. The Portfolio could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Portfolio is less than the repurchase price and the Portfolio’s costs associated with the delay and enforcement of the MRA. The Portfolio did not hold any repurchase agreements at December 31, 2021.
Note 7 – Fair Value Measurements
Various inputs are used to determine the value of the Portfolio’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 Portfolio’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 Portfolio’s investments.
The following is a summary of the inputs used in valuing the Portfolio’s holdings at fair value:
| | | | | | | | | | | | |
| LEVEL 1 | | LEVEL 2 | | LEVEL 3 | | TOTAL | |
Assets: |
Convertible Bonds | $ | — | | $ | 6,840,772 | | $ | — | | $ | 6,840,772 | |
Convertible Preferred Stocks | | 3,115,416 | | | 68,908 | | | — | | | 3,184,324 | |
Common Stocks U.S. | | 25,161,093 | | | — | | | — | | | 25,161,093 | |
Purchased Options | | 153,995 | | | — | | | — | | | 153,995 | |
Investment of Cash Collateral For Securities Loaned | | — | | | 1,023,411 | | | — | | | 1,023,411 | |
Forward Foreign Currency Contracts | | — | | | 2,496 | | | — | | | 2,496 | |
Total | $ | 28,430,504 | | $ | 7,935,587 | | $ | — | | $ | 36,366,091 | |
Liabilities: |
Written Options | $ | 22,820 | | $ | — | | $ | — | | $ | 22,820 | |
Forward Foreign Currency Contracts | | — | | | 170 | | | — | | | 170 | |
Total | $ | 22,820 | | $ | 170 | | $ | — | | $ | 22,990 | |
26 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Selected data for a share outstanding throughout each year were as follows:
| | | | | | | | | | |
| Year Ended December 31, |
| 2021 | | 2020 | | 2019 | | 2018 | | 2017 | |
PER SHARE OPERATING PERFORMANCE |
Net asset value, beginning of year | $20.57 | | $17.01 | | $14.01 | | $15.54 | | $14.24 | |
Income from investment operations: | | | | | | | | | | |
Net investment income (loss)(a) | (0.09 | ) | 0.18 | | 0.17 | | 0.18 | | 0.16 | |
Net realized and unrealized gain (loss) | 4.19 | | 3.57 | | 3.38 | | (0.85 | ) | 2.03 | |
Total from investment operations | 4.10 | | 3.75 | | 3.55 | | (0.67 | ) | 2.19 | |
Less distributions to common shareholders from: | | | | | | | | | | |
Net investment income | (0.08 | ) | (0.09 | ) | (0.26 | ) | (0.21 | ) | (0.13 | ) |
Net realized gains | (1.74 | ) | (0.10 | ) | (0.29 | ) | (0.65 | ) | (0.76 | ) |
Total distributions | (1.82 | ) | (0.19 | ) | (0.55 | ) | (0.86 | ) | (0.89 | ) |
Net asset value, end of year | $22.85 | | $20.57 | | $17.01 | | $14.01 | | $15.54 | |
TOTAL RETURN APPLICABLE TO COMMON SHAREHOLDERS |
Total investment return based on:(b) | | | | | | | | | | |
Net asset value(c) | 21.40% | | 22.43% | | 25.56% | | (4.39)% | | 15.51% | |
RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
Net expenses | 1.20% | | 1.29% | | 1.35% | | 1.35% | | 1.48% | |
Net investment income (loss) | (0.40)% | | 1.01% | | 1.09% | | 1.15% | | 1.05% | |
SUPPLEMENTAL DATA |
Net assets applicable to common shareholders, end of year (000) | $35,663 | | $32,254 | | $28,112 | | $24,041 | | $26,887 | |
Portfolio turnover rate | 16% | | 45% | | 21% | | 22% | | 32% | |
(a)Net investment income allocated based on average shares method.
(b)Performance figures of the Portfolio do not reflect fees charged pursuant to the terms of variable life insurance policies and variable annuity contracts. If they did, performance would be lower.
(c)Total return measures net investment income and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions.
Report of Independent Registered Public Accounting Firm
To the shareholders and the Board of Trustees of Calamos Advisors Trust
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Calamos Growth and Income Portfolio (the “Fund”), a series of the Calamos Advisors Trust, including the schedule of investments, as of December 31, 2021, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Chicago, Illinois
February 10, 2022
We have served as the auditor of one or more Calamos investment companies since 2003.
28 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Trustee Approval of Management Agreement (Unaudited)
The Board of Trustees (“Board” or the “Trustees”) of Calamos Advisors Trust (“Trust”) oversees the management of Calamos Growth and Income Portfolio (“Portfolio”), a series of the Trust, and, as required by law, determines annually whether to continue the Trust’s management agreement with Calamos Advisors LLC (“Adviser”) pursuant to which the Adviser serves as the investment manager and administrator for the Portfolio. The “Independent Trustees,” who comprise more than 80% of the Board, have never been affiliated with the Adviser.
In connection with their most recent consideration regarding the continuation of the management agreement, the Trustees received and reviewed a substantial amount of information provided by the Adviser in response to detailed requests of the Independent Trustees and their independent legal counsel. In the course of their consideration of the agreement, the Independent Trustees were advised by their counsel, and in addition to meeting with management of the Adviser, they met separately in executive session with their counsel.
At a meeting held on June 30, 2021,* based on their evaluation of the information referred to above and other information provided in this and previous meetings, the Trustees determined that the overall arrangements between the Trust and the Adviser on behalf of the Portfolio were fair in light of the nature, quality and extent of the services provided by the Adviser and its affiliates, the fees charged for those services and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees, including all of the Independent Trustees, approved the continuation of the management agreement with respect to the Portfolio through July 31, 2022, subject to possible earlier termination as provided in the agreement.
In connection with its consideration of the management agreement, the Board considered, among other things: (i) the nature, quality and extent of the Adviser’s services, (ii) the investment performance of the Portfolio as well as performance information for comparable funds and other, comparable clients of the Adviser, (iii) the fees and other expenses paid by the Portfolio as well as expense information for comparable funds and for other, comparable clients of the Adviser, (iv) the profitability of the Adviser and its affiliates from their relationship with the Portfolio, (v) whether economies of scale may be realized as the Portfolio grows and whether potential economies may be shared, in some measure, with Portfolio investors and (vi) other benefits to the Adviser from its relationship with the Portfolio. In the Board’s deliberations, no single factor was responsible for the Board’s decision to approve continuation of the management agreement, and each Trustee may have afforded different weight to the various factors.
Nature, Quality and Extent of Services. The Board’s consideration of the nature, quality and extent of the Adviser’s services to the Portfolio took into account the knowledge gained from the Board’s meetings with the Adviser throughout the years. In addition, the Board considered: the Adviser’s long-term history of managing the Portfolio; the consistency of investment approach; the background and experience of the Adviser’s investment personnel responsible for managing the Portfolio; and the Adviser’s performance as administrator of the Portfolio, including, among other things, in the areas of brokerage selection, trade execution, compliance and shareholder communications. The Board also reviewed the Adviser’s resources and key personnel involved in providing investment management services to the Portfolio. The Board noted the personal investments that the Adviser’s key investment personnel have made in the Portfolio and other funds in the fund complex, which further aligns the interests of the Adviser and its personnel with those of shareholders. In addition, the Board considered compliance reports about the Adviser from the Portfolio’s Chief Compliance Officer.
The Board also considered the information provided by the Adviser regarding the Portfolio’s performance and the steps the Adviser is taking to improve performance. In particular, the Board noted the additional personnel added to the Adviser’s investment team, which includes portfolio managers, research analysts, research associates and risk management personnel. The Board also noted the Adviser’s significant investment into its infrastructure and investment processes.
Investment Performance of the Portfolio. The Board considered the Portfolio’s investment performance over various time periods, including how the Portfolio performed compared to the median performance of a group of comparable funds (the Portfolio’s “Category”) selected by an independent third-party service provider. The performance periods considered by the Board ended on March 31, 2021.
The Board considered one-, three-, five- and ten-year performance. The Board considered that the Portfolio outperformed the median performance of a group of comparable funds (the Portfolio’s “Category”) for the three- and five-year periods and underperformed its Category median for the remaining periods. The Board further noted that the Portfolio ranked in the 1st quartile of its Category for the three- and five-year periods.
*The meeting was held via videoconference in reliance on an exemptive order issued by the Securities and Exchange Commission on June 19, 2020.
Trustee Approval of Management Agreement (Unaudited)
Costs of Services Provided and Profits Realized by the Adviser. Using information provided by an independent third-party service provider, the Board evaluated the Portfolio’s actual management fee rate compared to the median management fee rate for other mutual funds similar in size, character and investment strategy (the Portfolio’s “Expense Group”), and the Portfolio’s total expense ratio compared to the median total expense ratio of the Portfolio’s Expense Group.
The Board also reviewed the Adviser’s management fee rates for its institutional separate accounts and sub-advisory accounts. The Board took into account that although, generally, the rates of fees paid by institutional clients or for sub-advisory services were lower than the rates of fees paid by the Portfolio, the differences reflected the Adviser’s greater level of responsibilities and significantly broader scope of services regarding the Portfolio, the more extensive regulatory obligations and risks associated with managing the Portfolio, and other financial considerations with respect to creation and sponsorship of the Portfolio. The Board considered factors that lead to more expenses for registered funds including but not limited to: (i) capital expenditures to establish a fund, (ii) length of time to reach critical mass, and the related expenses, (iii) higher servicing costs of intermediaries and shareholders, (iv) higher redemption rates of assets under management, (v) entrepreneurial risk assumed by the Adviser and (vi) greater exposure to “make whole” errors.
The Board also considered the Adviser’s costs in serving as the Portfolio’s investment adviser and manager, including but not limited to costs associated with technology, infrastructure and compliance necessary to manage the Portfolio. The Board reviewed the Adviser’s methodology for allocating costs among the Adviser’s lines of business. The Board also considered information regarding the structure of the Adviser’s compensation program for portfolio managers, analysts and certain other employees, and the relationship of such compensation to the attraction and retention of quality personnel. Finally, the Board reviewed information on the profitability of the Adviser in serving as the Portfolio’s investment manager and of the Adviser and its affiliates in all of their relationships with the Portfolio, as well as an explanation of the methodology utilized in allocating various expenses among the Portfolio and the Adviser’s other business units. Data was provided to the Board with respect to profitability, both on a pre- and post-marketing cost basis. The Board reviewed the financial statements of the Adviser’s parent company and discussed its corporate structure.
The Board considered that the Portfolio’s management fee rate and total expense ratio are higher than the respective medians of the Portfolio’s Expense Group. The Board reviewed the Portfolio’s expenses in light of its intermediate-term performance record.
Economies of Scale. The Board considered whether the Portfolio’s management fee shares with shareholders potential economies of scale that may be achieved by the Adviser. The Board also considered the benefits accruing to shareholders from the Adviser’s investments into its infrastructure and investment processes.
Other Benefits Derived from the Relationship with the Portfolio. The Board also considered other benefits that accrue to the Adviser and its affiliates from their relationship with the Portfolio. The Board concluded that while the Adviser may potentially benefit from its relationship with the Portfolio in ways other than the fees payable by the Portfolio, the Portfolio also may benefit from its relationship with the Adviser in ways other than the services to be provided by the Adviser and its affiliates pursuant to their agreement with the Portfolio and the fees payable by the Portfolio.
The Board also considered the Adviser’s use of a portion of the commissions paid by the Portfolio on its portfolio brokerage transactions to obtain research products and services benefiting the Portfolio and/or other clients of the Adviser and concluded, based on reports from the Portfolio’s Chief Compliance Officer, that the Adviser’s use of “soft” commission dollars to obtain research products and services was consistent with regulatory requirements.
After full consideration of the above factors as well as other factors that were instructive in their consideration, the Trustees, including all of the Independent Trustees, concluded that the continuation of the management agreement for the Portfolio with the Adviser was in the best interest of the Portfolio and its shareholders.
30 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Trustees and Officers (Unaudited)
The management of the Portfolio, including general supervision of the duties performed for the Portfolio under the investment management agreement between the Portfolio and Calamos Advisors, is the responsibility of its board of trustees. Each trustee elected will hold office for the lifetime of the Portfolio or until such trustee’s earlier resignation, death or removal; however, each trustee who is not an interested person of the Portfolio shall retire as a trustee at the end of the calendar year in which the trustee attains the age of 75 years. The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and Officers and is available without charge, upon request, at www.calamos.com or by calling 800.582.6959.
The following table sets forth each trustee’s name, year of birth, position(s) with the Portfolio, number of portfolios in the Calamos Fund Complex overseen, principal occupation(s) during the past five years and other directorships held, and date first elected or appointed.
| | | | | | |
NAME AND
YEAR OF BIRTH | | POSITION(S) AND LENGTH OF
TIME WITH PORTFOLIO | | PORTFOLIOS IN FUND COMPLEX^ OVERSEEN | | PRINCIPAL OCCUPATION(S)
DURING THE PAST 5 YEARS
AND OTHER DIRECTORSHIPS |
| | | | |
Trustees who are interested persons of the Portfolio: | | | | |
John P. Calamos, Sr., (1940)* | | Chairman, Trustee and President (since 1988) | | 27 | | Founder, Chairman and Global Chief Investment Officer,Calamos Asset Management, Inc. (“CAM”), Calamos Investments LLC (“CILLC”), Calamos Advisors LLC and its predecessor (“Calamos Advisors”) and Calamos Wealth Management LLC (“CWM”); Director, CAM; and previously Chief Executive Officer, Calamos Financial Services LLC and its predecessor (“CFS”), CAM, CILLC, Calamos Advisors,and CWM |
| | | | |
Trustees who are not interested persons of the Portfolio: | | | | |
John E. Neal, (1950) | | Trustee (since 2001); Lead Independent Trustee (since July 2019) | | 28 | | Retired; Private investor; Director, Equity Residential Trust (publicly-owned REIT); Director, Creation Investments (private international microfinance company); Director, Centrust Bank (Northbrook Illinois community bank); formerly, Director, Neuro-ID (private company providing prescriptive analytics for the risk industry) (until 2021); formerly, Partner, Linden LLC (health care private equity) (until 2018) |
| | | | | | |
William R. Rybak, (1951) | | Trustee (since 2002) | | 27 | | Private investor; Chairman (since 2016) and Director (since 2010), Christian Brothers Investment Services Inc.; Trustee, JNL Series Trust and JNL Investors Series Trust (since 2007), JNL Variable Fund LLC (2007-2020), Jackson Variable Series Trust (2018-2020) and JNL Strategic Income Fund LLC (2007-2018) (open-end mutual funds)**; Trustee, Lewis University (since 2012); formerly Director, Private Bancorp (2003-2017); Executive Vice President and Chief Financial Officer, Van Kampen Investments, Inc. and subsidiaries (investment manager) (until 2000) |
| | | | | | |
Virginia G. Breen, (1964) | | Trustee (since 2015) | | 27 | | Private Investor; Director, Tech and Energy Transition Corporation (blank check company) (since 2021); Director, Paylocity Holding Corporation (since 2018); Trustee, Neuberger Berman Private Equity Registered Funds (registered private equity funds) (since 2015)****; Trustee, Jones Lang LaSalle Income Property Trust, Inc. (REIT) (since 2004); Director, UBS A&Q Fund Complex (closed-end funds) (since 2008)***** |
| | | | | | |
Trustees and Officers (Unaudited)
| | | | | | |
NAME AND
YEAR OF BIRTH | | POSITION(S) AND LENGTH OF
TIME WITH PORTFOLIO | | PORTFOLIOS IN FUND COMPLEX^ OVERSEEN | | PRINCIPAL OCCUPATION(S)
DURING THE PAST 5 YEARS
AND OTHER DIRECTORSHIPS |
| | | | |
Lloyd A. Wennlund, (1957) | | Trustee (since 2018) | | 27 | | Trustee and Chairman, Datum One Series Trust (since 2020); Expert Affiliate, Bates Group, LLC (financial services consulting and expert testimony firm) (since 2018); Executive Vice President, The Northern Trust Company (1989-2017); President and Business Unit Head of Northern Funds and Northern Institutional Funds (1994-2017); Director, Northern Trust Investments (1998-2017); Governor (2004-2017) and Executive Committee member (2011-2017), Investment Company Institute Board of Governors; Member, Securities Industry Financial Markets Association (SIFMA) Advisory Council, Private Client Services Committee and Private Client Steering Group (2006-2017); Board Member, Chicago Advisory Board of the Salvation Army (2011-2019) |
| | | | | | |
Karen L. Stuckey, (1953) | | Trustee (since December 2019) | | 27 | | Member (since 2015-2021) of Desert Mountain Community Foundation Advisory Board (non-profit organization); Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Member of Executive, Nominating, and Audit Committees and Chair of Finance Committee (1992-2006); Emeritus Trustee (since 2007) of Lehigh University; Member, Women’s Investment Management Forum (professional organization) (since inception); formerly, Trustee, Denver Board of Oppenheimer Funds (open-end mutual funds) (2012-2019) |
| | | | | | |
Christopher M. Toub, (1959) | | Trustee (since December 2019) | | 27 | | Private investor; formerly Director of Equities, AllianceBernstein LP (until 2012) |
*Mr. Calamos, Sr. is an “interested person” of the Trust as defined in the 1940 Act because he is an officer of the Trust and an affiliate of Calamos Advisors and CFS.
**Overseeing 131 portfolios in fund complex.
***Overseeing two portfolios in fund complex.
****Overseeing seventeen portfolios in fund complex.
*****Overseeing four portfolios in fund complex.
^The term “Fund Complex” means two or more registered investment companies that share the same investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies or hold themselves out to investors as related companies for the purpose of investment and investor services. Accordingly, the Fund Complex consists of Calamos Investment Trust, Calamos Advisors Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund, Calamos Dynamic Convertible and Income Fund, Calamos Long/Short Equity & Dynamic Income Trust and Calamos-Avenue Opportunities Fund.
The address of each trustee is 2020 Calamos Court, Naperville, Illinois 60563.
32 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Trustees and Officers (Unaudited)
Officers. The preceding table gives information about John P. Calamos, Sr., who is Chairman, Trustee and President of the Portfolio. The following table sets forth each other officer’s name, year of birth, position with the Portfolio and date first appointed to that position, and principal occupation(s) during the past five years. Each officer serves until his or her successor is chosen and qualified or until his or her resignation or removal by the board of trustees.
| | | | |
NAME AND
YEAR OF BIRTH | | POSITION(S) AND LENGTH OF
TIME WITH PORTFOLIO | | PRINCIPAL OCCUPATION(S)
DURING THE PAST 5 YEARS |
| | | | |
John S. Koudounis, (1966) | | Vice President (since 2016) | | President (since February 2021) and Chief Executive Officer, CAM, CILLC, Calamos Advisors, CWM and CFS (since 2016); Director CAM (since 2016); President and Chief Executive Officer (2010-2016), Mizuho Securities USA Inc. |
| | | | |
Thomas E. Herman, (1961) | | Vice President (since 2016) and Chief Financial Officer (2016-2017 and since August 2019) | | Executive Vice President (since February 2021) and Chief Financial Officer, CAM, CILLC, Calamos Advisors, and CWM (since 2016); prior thereto Chief Financial Officer and Treasurer, Harris Associates (2010-2016) |
| | | | |
Stephen Atkins (1965) | | Treasurer
(since March 2020) | | Senior Vice President, Head of Fund Administration (since February 2020), Calamos Advisors; prior thereto, Consultant, Fund Accounting and Administration, Vx Capital Partners (March 2019-February 2020); Chief Financial Officer and Treasurer of SEC Registered Funds, and Senior Vice President, Head of European Special Purpose Vehicles Accounting and Administration, Avenue Capital Group (2010-2018) |
| | | | |
Robert F. Behan, (1964) | | Vice President
(since 2013) | | Executive Vice President, Chief Distribution Officer (since February 2021), CAM, CILLC, Calamos Advisors, and CFS; prior thereto President (2015-February 2021), Head of Global Distribution (2013-February 2021); Executive Vice President (2013-2015); Senior Vice President (2009-2013), Head of US Intermediary Distribution (2010-2013) |
| | | | |
J. Christopher Jackson, (1951) | | Vice President and Secretary
(since 2010) | | Senior Vice President, General Counsel and Secretary, CAM, CILLC, Calamos Advisors, CWM, and CFS (since 2010); Director, Calamos Global Funds plc (since 2011) |
| | | | |
Mark J. Mickey, (1951) | | Chief Compliance Officer
(since 2005) | | Chief Compliance Officer, Calamos Funds (since 2005) |
| | | | |
Daniel Dufresne (1974) | | Vice President
(since June 30, 2021) | | Executive Vice President and Chief Operating Officer, CAM, CILLC, Calamos Advisors, and CWM (since April 2021); prior thereto Citadel (1999-2020); Partner (2008-2020); Managing Director, Global Treasurer (2008-2020); Global Head of Operations (2011-2020); Global Head of Counterparty Strategy (2018-2020); Senior Advisor to the COO (2020); CEO, Citadel Clearing LLC (2015-2020). |
The address of each officer is 2020 Calamos Court, Naperville, Illinois 60563.
Liquidity Risk Management Program (Unaudited)
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, Calamos Advisors Trust (the “Trust”), on behalf of its series, Calamos Growth and Income Portfolio (the “Portfolio”), has established a liquidity risk management program to govern the Portfolio’s approach to managing liquidity risk (the “Program”). The Program is overseen by the Liquidity Committee, a committee comprised of representatives of the Trust’s investment adviser, Calamos Advisors LLC. The Trust’s Board of Trustees (the “Board”) has approved the designation of the Liquidity Committee to oversee the Program.
The Program’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence the Portfolio’s liquidity and the periodic classification and re-classification of the Portfolio’s investments into groupings that reflect the Liquidity Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on December 14, 2021, the Trustees received an annual report from the Liquidity Committee regarding the design and operational effectiveness of the Program. The Liquidity Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage the Portfolio’s liquidity risk and has operated adequately and effectively to manage the Portfolio’s liquidity risk. The Liquidity Committee reported that during the period covered by the report, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. Among other things, the Board noted that the Portfolio is not required to have a highly liquid investment minimum based on its liquidity classifications. The Board further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other principal risks to which an investment in the Portfolio may be subject.
34 CALAMOS GROWTH AND INCOME PORTFOLIO ANNUAL REPORT
Tax Information (Unaudited)
We are providing this information as required by the Internal Revenue Code (Code). The amounts shown may differ from those elsewhere in this report due to differences between tax and financial reporting requirements. In February 2022, shareholders received Form 1099-DIV which included their share of qualified dividends and capital gains distributed during the calendar year 2021. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual
income tax returns.
Under Section 852(b)(3)(C) of the Code, the Portfolio hereby designates $2,061,495 as capital gain dividends for the fiscal year ended December 31, 2021.
Under Section 854(b)(2) of the Code, the Portfolio hereby designates $424,261, or the maximum amount allowable under the Code, as qualified dividends for the fiscal year ended December 31, 2021.
Under Section 854(b)(2) of the Code, the Portfolio hereby designates 74.05% of the ordinary income dividends as income qualifying for the dividends received deduction for the fiscal year ended December 31, 2021.
2020 Calamos Court
Naperville, IL 60563-2787
800.582.6959
www.calamos.com
© 2022 Calamos Investments LLC. All Rights Reserved.
Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
KCLANR 2146 2021
A description of the Calamos Proxy Voting Policies and Procedures is available free of charge upon request by calling 800.582.6959, by visiting the Calamos website at www.calamos.com, by writing Calamos at: Calamos Advisors LLC, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Portfolio’s proxy voting record for the twelve month period ended June 30, is also available free of charge upon request by calling or writing Calamos Advisors LLC and by visiting the SEC website at http://www.sec.gov. The Portfolio files a complete list of its portfolio holdings with the SEC for the first and third quarters each fiscal year as an exhibit to its reports on Form N-PORT. The Forms N-PORT are available free of charge, upon request, by calling or writing Calamos Advisors LLC or by visiting the SEC website. You may also review or, for a fee, copy the form at the SEC’s Public Reference Room in Washington, D.C. 1.800.SEC.0330.
CALAMOS ADVISORS TRUST
This report, including the unaudited financial statements contained herein, is submitted for general information for the contract owners of the Portfolio. The report is not authorized for distribution to prospective investors in the Portfolio unless it is accompanied by a currently effective prospectus of the Portfolio.
Item 1(b). Registrant has included in its Rule 30e-3(c) notice only the disclosures specified by Rule 30e-3(c)(1) and (2). Therefore, Registrant has not included a copy of the notice herewith.
ITEM 2. CODE OF ETHICS.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Code of Ethics”) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or person performing similar functions.
(b) No response required.
(c) The registrant has not amended its Code of Ethics as it relates to any element of the code of ethics definition enumerated in paragraph(b) of this Item 2 during the period covered by this report.
(d) The registrant has not granted a waiver or an implicit waiver from its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant’s Code of Ethics is attached as an Exhibit hereto.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Trustees has determined that, for the period covered by the shareholder report presented in Item 1 hereto, it has five audit committee financial experts serving on its audit committee, each of whom is an independent Trustee for purpose of this N-CSR item: John E. Neal, William R. Rybak, Virginia G. Breen, Karen L. Stuckey and Christopher M. Toub. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert pursuant to this Item. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert pursuant to this Item does not affect the duties, obligations, or liabilities of any other member of the audit committee or board of directors.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
| | | | | | | | | |
Fiscal Years Ended | | 12/31/2020 | | | 12/31/2021 | |
| Audit Fees(a) | | $ | 31,000 | | | $ | 31,620 | |
| Audit-Related Fees(b) | | $ | 12,200 | | | $ | 12,946 | |
| Tax Fees(c) | | $ | 1,099 | | | $ | 876 | |
| All Other Fees(d) | | $ | — | | | $ | — | |
| Total | | $ | 44,299 | | | $ | 45,442 | |
| (a) | Audit fees are the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. |
| (b) | Audit-related fees are the aggregate fees billed in each of the last two fiscal years for assurance and related services rendered by the principal accountant to the registrant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4. |
| (c) | Tax fees are the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for tax compliance, tax advice and tax planning. |
| (d) | All other fees are the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraph (a)-(c) of this Item 4. |
| (e) | (1) Registrant’s audit committee meets with the principal accountants and management to review and pre-approve all audit services to be provided by the principal accountants. |
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the registrant, including the fees and other compensation to be paid to the principal accountants; provided that the pre-approval of non-audit services is waived if (i) the services were not recognized by management at the time of the engagement as non-audit services, (ii) the aggregate fees for all non-audit services provided to the registrant are less than 5% of the total fees paid by the registrant to its principal accountants during the fiscal year in which the non-audit services are provided, and (iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the investment adviser or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant if the engagement relates directly to the operations or financial reporting of the registrant, including the fees and other compensation to be paid to the principal accountants; provided that pre-approval of non-audit services to the adviser or an affiliate of the adviser is not required if (i) the services were not recognized by management at the time of the engagement as non-audit services, (ii) the aggregate fees for all non-audit services provided to the adviser and all entities controlling, controlled by or under common control with the adviser are less than 5% of the total fees for non-audit services requiring pre-approval under paragraph (e)(1) of this Item 4 paid by the registrant, the adviser or its affiliates to the registrant’s principal accountants during the fiscal year in which the non-audit services are provided, and (iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
(e) (2) No percentage of the principal accountant’s fees or services described in each of paragraphs (b)–(d) of this Item were approved pursuant to the waiver provision paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) The following table presents the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the registrant and the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the investment advisor or any entity controlling, controlled by or under common control of the adviser.
Fiscal Years Ended | | 12/31/2020 | | | 12/31/2021 | |
| Registrant | | $ | 1,099 | | | $ | 876 | |
| Investment Adviser | | $ | — | | | $ | — | |
| (h) | No disclosures are required by this Item 4(h). |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
a) Included in the Report to Shareholders in Item 1.
b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Code of Ethics
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
| Calamos Advisors Trust | |
| | | |
| By: | | /s/ John P. Calamos, Sr. | |
| Name: | | John P. Calamos, Sr. | |
| Title: | | Principal Executive Officer | |
| Date: | | February 16, 2022 | |
| | | |
| By: | | /s/ Thomas E. Herman | |
| Name: | | Thomas E. Herman | |
| Title: | | Principal Financial Officer | |
| Date: | | February 16, 2022 | |
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 Advisors Trust | |
| | | |
| By: | | /s/ John P. Calamos, Sr. | |
| Name: | | John P. Calamos, Sr. | |
| Title: | | Principal Executive Officer | |
| Date: | | February 16, 2022 | |
| | | |
| By: | | /s/ Thomas E. Herman | |
| Name: | | Thomas E. Herman | |
| Title: | | Principal Financial Officer | |
| Date: | | February 16, 2022 | |
