Calamos Convertible Equity Alternative ETF
SCHEDULE OF INVESTMENTS OCTOBER 31, 2023 (UNAUDITED)
PRINCIPAL AMOUNT | VALUE | |||||||
Convertible Bonds (84.9%) | ||||||||
Consumer Discretionary (21.7%) | ||||||||
111,000 | Booking Holdings, Inc. | |||||||
0.750%, 05/01/25 | $ | 169,265 | ||||||
56,000 | Carnival Corp. | |||||||
5.750%, 10/01/24 | 72,486 | |||||||
60,000 | Cinemark Holdings, Inc. | |||||||
4.500%, 08/15/25 | 80,862 | |||||||
36,000 | Guess?, Inc.* | |||||||
3.750%, 04/15/28 | 37,572 | |||||||
220,000 | Rivian Automotive, Inc.* | |||||||
3.625%, 10/15/30 | 199,864 | |||||||
148,000 | Royal Caribbean Cruises, Ltd. | |||||||
6.000%, 08/15/25 | 270,636 | |||||||
55,000 | Stride, Inc. | |||||||
1.125%, 09/01/27 | 65,222 | |||||||
88,000 | Wayfair, Inc.* | |||||||
3.500%, 11/15/28 | 102,246 | |||||||
998,153 | ||||||||
Consumer Staples (2.1%) | ||||||||
36,000 | Glaukos Corp. | |||||||
2.750%, 06/15/27 | 53,232 | |||||||
36,000 | Repligen Corp. | |||||||
0.375%, 07/15/24 | 44,642 | |||||||
97,874 | ||||||||
Energy (11.8%) | ||||||||
44,000 | CNX Resources Corp. | |||||||
2.250%, 05/01/26 | 76,718 | |||||||
52,000 | EQT Corp. | |||||||
1.750%, 05/01/26 | 151,185 | |||||||
64,000 | Northern Oil & Gas, Inc. | |||||||
3.625%, 04/15/29 | 75,588 | |||||||
40,000 | Peabody Energy Corp. | |||||||
3.250%, 03/01/28 | 56,727 | |||||||
71,000 | Pioneer Natural Resources Company | |||||||
0.250%, 05/15/25 | 181,190 | |||||||
541,408 | ||||||||
Health Care (3.1%) | ||||||||
72,000 | Exact Sciences Corp.* | |||||||
2.000%, 03/01/30 | 74,118 | |||||||
64,000 | Integer Holdings Corp.* | |||||||
2.125%, 02/15/28 | 70,450 | |||||||
144,568 | ||||||||
Industrials (5.0%) | ||||||||
90,000 | Axon Enterprise, Inc.* | |||||||
0.500%, 12/15/27 | 97,093 | |||||||
32,000 | Chart Industries, Inc. | |||||||
1.000%, 11/15/24 | 64,611 | |||||||
52,000 | Parsons Corp. | |||||||
0.250%, 08/15/25 | 68,216 | |||||||
229,920 | ||||||||
Information Technology (35.0%) | ||||||||
Akamai Technologies, Inc. | ||||||||
155,000 | 1.125%, 02/15/29* | 152,599 | ||||||
142,000 | 0.125%, 05/01/25 | 164,368 | ||||||
142,000 | 0.375%, 09/01/27 | 144,651 | ||||||
60,000 | HubSpot, Inc. | |||||||
0.375%, 06/01/25 | 93,577 | |||||||
44,000 | Insight Enterprises, Inc. | |||||||
0.750%, 02/15/25 | 92,532 | |||||||
148,000 | MongoDB, Inc. | |||||||
0.250%, 01/15/26 | 252,532 | |||||||
104,000 | ON Semiconductor Corp. | |||||||
0.000%, 05/01/27 | 136,154 | |||||||
192,000 | Palo Alto Networks, Inc. | |||||||
0.375%, 06/01/25 | 468,868 | |||||||
30,000 | Semtech Corp.* | |||||||
4.000%, 11/01/28 | 27,568 | |||||||
75,000 | Splunk, Inc. | |||||||
1.125%, 09/15/25 | 80,630 | |||||||
1,613,479 | ||||||||
Materials (4.4%) | ||||||||
36,000 | ATI, Inc. | |||||||
3.500%, 06/15/25 | 89,070 | |||||||
44,000 | United States Steel Corp. | |||||||
5.000%, 11/01/26 | 112,586 | |||||||
201,656 | ||||||||
Utilities (1.8%) | ||||||||
75,000 | NRG Energy, Inc. | |||||||
2.750%, 06/01/48 | 84,184 | |||||||
TOTAL CONVERTIBLE BONDS (Cost $3,989,481) | 3,911,242 |
NUMBER OF SHARES | VALUE | |||||||
Convertible Preferred Stocks (14.2%) | ||||||||
Communication Services (0.5%) | ||||||||
1,312 | Paramount Global | |||||||
5.750%, 04/01/24 | 20,401 | |||||||
Financials (3.9%) | ||||||||
3,728 | Apollo Global Management, Inc. | |||||||
6.750% | 179,354 | |||||||
Industrials (2.5%) | ||||||||
1,064 | Chart Industries, Inc. | |||||||
6.750%, 12/15/25 | 52,306 | |||||||
604 | RBC Bearings, Inc. | |||||||
5.000%, 10/15/24 | 63,535 | |||||||
115,841 | ||||||||
Utilities (7.3%) | ||||||||
1,319 | AES Corp. | |||||||
6.875%, 02/15/24 | 79,509 | |||||||
1,840 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** | |||||||
3.369%, 09/15/29 | 70,424 | |||||||
5,012 | NextEra Energy, Inc. | |||||||
6.926%, 09/01/25 | 188,151 | |||||||
338,084 | ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $669,063) | 653,680 | |||||||
TOTAL INVESTMENTS (99.1%) (Cost $4,658,544) | $ | 4,564,922 | ||||||
OTHER ASSETS, LESS LIABILITIES (0.9%) | 42,650 | |||||||
NET ASSETS (100.0%) | $ | 4,607,572 |
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. |
§ | 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 October 31, 2023. |
See accompanying Notes to Schedule of Investments
1
Notes to Schedule of Investments (Unaudited)
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos ETF Trust (the “Trust”), a Delaware statutory trust organized on June 17, 2013, consists of two series, including Calamos Convertible Equity Alternative ETF (the “Fund”), which commenced operations on September 29, 2023. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act’), as an open-end management investment company. Prior to commencement of operations, the Fund had issued 4,000 shares of beneficial interest at an aggregate purchase price of $100,000 to Calamos Investments, LLC, the parent of Calamos Advisors, LLC.
The Fund is a non-diversified, actively managed exchange-traded fund (“ETF”). The Fund’s investment objective is total return through capital appreciation and current income. The Fund offers and issues Shares at net asset value (“NAV”) only in aggregations of a specified number of Shares, generally in exchange for a basket of securities constituting the portfolio holdings of the Fund, together with the deposit of a specified cash payment, or, in certain circumstances, for an all cash payment. Shares of the Fund will be listed and principally traded on NYSE Arca, Inc.(the “Exchange”). Shares will trade on the Exchange at market prices that may be below, at, or above NAV.
Calamos Advisors LLC (“Calamos Advisors”), serves as the Fund’s adviser (“Advisor”). Calamos Advisors also serves as the Fund’s subadviser (“Subadviser”).
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The Fund's Board of Trustees ("Board" or "Trustees"), including a majority of the Trustees who are not "interested persons" of the Fund, have designated the Advisor to perform fair valuation determinations related to all Fund investments under the oversight of the Board. As "valuation designee" the Advisor has adopted procedures to guide the determination of the NAV on any day on which the Fund's NAVs are determined. The valuation of the Fund's investments is in accordance with these procedures.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the Board. 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. 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 or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board.
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. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund's NAV is not calculated.
If the Advisor's pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the Advisor, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund's pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the Advisor, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
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.
Note 2 – Fair Value Measurements
Various inputs are used to determine the value of the Fund's investments. These inputs are categorized into three broad levels as follows:
· | Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets. |
· | Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data. |
· | Level 3 – Prices reflect unobservable market inputs (including the Fund's own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable. |
Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund's investments.
The following is a summary of the inputs used in valuing the Fund's holdings at fair value:
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||||||
Assets: | ||||||||||||||||
Convertible Bonds | $ | — | $ | 3,911,242 | $ | — | $ | 3,911,242 | ||||||||
Convertible Preferred Stocks | 583,256 | 70,424 | — | 653,680 | ||||||||||||
Total | $ | 583,256 | $ | 3,981,666 | $ | — | $ | 4,564,922 |