Calamos Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |||||
CORPORATE BONDS (31.8%) |
| |||||
| Airlines (0.3%) | ||||||
282,250 | Air Canada Pass Through Trust Series 2015-1, Class B*~ 3.875%, 09/15/24 | $ | 281,152 | |||
39,333 | Air Canada Pass Through Trust Series 2015-2, Class B*~ 5.000%, 06/15/25 | 38,343 | ||||
189,724 | Alaska Airlines Pass Through Trust Series 2020-1, Class A*~µ 4.800%, 02/15/29 | 185,219 | ||||
110,582 | Alaska Airlines Pass Through Trust Series 2020-1, Class B*~ 8.000%, 02/15/27 | 112,796 | ||||
206,083 | British Airways Pass Through Trust Series 2021-1, Class B*~ 3.900%, 03/15/33 | 176,209 | ||||
145,603 | JetBlue Pass Through Trust Series 2020-1, Class B~ 7.750%, 05/15/30 | 143,734 | ||||
Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* | ||||||
130,000 | 8.000%, 09/20/25 | 133,097 | ||||
114,000 | 8.000%, 09/20/25~ | 116,376 | ||||
85,107 | United Airlines Pass Through Trust Series 2019-2, Class B 3.500%, 11/01/29 | 76,456 | ||||
|
|
| ||||
| 1,263,382 | ||||||
|
|
| ||||
| Communication Services (1.8%) | ||||||
225,000 | Altice France, SA*~ 5.500%, 10/15/29 | 178,004 | ||||
225,000 | APi Group DE, Inc.*~ 4.750%, 10/15/29 | 203,159 | ||||
335,000 | Arrow Bidco, LLC*~ 9.500%, 03/15/24 | 336,913 | ||||
200,000 | Ashtead Capital, Inc.* 2.450%, 08/12/31 | 161,598 | ||||
Audacy Capital Corp.* | ||||||
231,000 | 6.750%, 03/31/29 | 41,513 | ||||
91,000 | 6.500%, 05/01/27~ | 15,844 | ||||
144,000 | Beasley Mezzanine Holdings, LLC* 8.625%, 02/01/26 | 94,176 | ||||
136,000 | Cincinnati Bell Telephone Company, LLC~ 6.300%, 12/01/28 | 122,514 | ||||
45,000 | CMG Media Corp.* 8.875%, 12/15/27 | 35,267 | ||||
285,000 | Consolidated Communications, Inc.*~ 6.500%, 10/01/28 | 232,987 | ||||
CSC Holdings, LLC*~ | ||||||
285,000 | 5.375%, 02/01/28 | 239,782 | ||||
215,000 | 4.500%, 11/15/31 | 158,636 | ||||
200,000 | 5.750%, 01/15/30 | 126,412 | ||||
200,000 | 4.625%, 12/01/30 | 118,504 | ||||
Diamond Sports Group, LLC / Diamond Sports Finance Company* | ||||||
150,000 | 6.625%, 08/15/27 | 3,147 | ||||
115,000 | 5.375%, 08/15/26 | 8,500 | ||||
| PRINCIPAL AMOUNT | VALUE | |||||||
| 264,000 | Directv Financing, LLC / Directv Financing Co-Obligor, Inc.*~ 5.875%, 08/15/27 | $ | 239,543 | |||||
| 135,000 | Embarq Corp. 7.995%, 06/01/36 | 65,224 | ||||||
| 195,000 | Frontier California, Inc.~ 6.750%, 05/15/27 | 184,844 | ||||||
Frontier Communications Holdings, LLC*~ | ||||||||
| 123,000 | 5.000%, 05/01/28 | 111,726 | ||||||
| 48,000 | 8.750%, 05/15/30 | 49,764 | ||||||
| 202,000 | Frontier Florida, LLC@~ 6.860%, 02/01/28 | 187,910 | ||||||
| 280,000 | Frontier North, Inc.@ 6.730%, 02/15/28 | 259,286 | ||||||
| 165,000 | Go Daddy Operating Company, LLC / GD Finance Company, Inc.*~ 3.500%, 03/01/29 | 142,931 | ||||||
| 145,000 | Intelsat Jackson Holdings, SA*~@ 9.750%, 07/15/25 | — | ||||||
| 230,000 | LCPR Senior Secured Financing DAC*~ 6.750%, 10/15/27 | 224,172 | ||||||
| 140,686 | Ligado Networks, LLC* 15.500%, 11/01/23 PIK rate | 49,263 | ||||||
Lumen Technologies, Inc.~ | ||||||||
| 280,000 | 7.600%, 09/15/39 | 189,546 | ||||||
| 92,000 | 4.500%, 01/15/29* | 61,914 | ||||||
| 95,000 | Match Group Holdings II, LLC*~ 3.625%, 10/01/31 | 76,332 | ||||||
| 240,000 | Netflix, Inc.*~ 4.875%, 06/15/30 | 237,902 | ||||||
| 490,000 | Paramount Global~‡ 6.375%, 03/30/62 5 year CMT + 4.00% | 426,849 | ||||||
| 595,000 | Rogers Communications, Inc.*~‡ 5.250%, 03/15/82 5 year CMT + 3.59% | 539,689 | ||||||
Scripps Escrow II, Inc.*~ | ||||||||
| 95,000 | 3.875%, 01/15/29 | 79,842 | ||||||
| 48,000 | 5.375%, 01/15/31 | 38,765 | ||||||
| 195,000 | Scripps Escrow, Inc.*~ 5.875%, 07/15/27 | 174,305 | ||||||
Sirius XM Radio, Inc.*~ | ||||||||
| 140,000 | 4.000%, 07/15/28 | 124,641 | ||||||
| 90,000 | 3.125%, 09/01/26 | 81,237 | ||||||
| 48,000 | 3.875%, 09/01/31 | 39,541 | ||||||
| 100,000 | Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 | 59,125 | ||||||
| 165,000 | Sprint, LLC 7.125%, 06/15/24 | 168,802 | ||||||
| 165,000 | Stagwell Global, LLC*~ 5.625%, 08/15/29 | 144,794 | ||||||
| 190,000 | Telesat Canada / Telesat, LLC*~ 4.875%, 06/01/27 | 87,444 | ||||||
| 70,000 | Time Warner Cable, LLC 7.300%, 07/01/38 | 75,279 | ||||||
| 320,000 | United States Cellular Corp.~ 6.700%, 12/15/33 | 297,824 | ||||||
See accompanying Notes to Schedule of Investments
1
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |||||||
| 395,000 | Vodafone Group, PLC~‡ 7.000%, 04/04/79 U.S. 5 yr Swap + 4.87% | $ | 407,794 | |||||
|
|
| ||||||
| 6,903,244 | ||||||||
|
|
| ||||||
| Consumer Discretionary (3.3%) |
| |||||||
| 228,000 | Abercrombie & Fitch Management Company*~^ 8.750%, 07/15/25 | 230,567 | ||||||
| 201,000 | American Axle & Manufacturing, Inc.~ 6.875%, 07/01/28 | 183,388 | ||||||
Ashton Woods USA, LLC / Ashton Woods Finance Company* | ||||||||
| 194,000 | 6.625%, 01/15/28 | 177,588 | ||||||
| 167,000 | 4.625%, 08/01/29 | 139,550 | ||||||
| 217,000 | At Home Group, Inc.* 4.875%, 07/15/28 | 158,731 | ||||||
Bath & Body Works, Inc.~ | ||||||||
| 254,000 | 6.694%, 01/15/27 | 256,052 | ||||||
| 235,000 | 6.875%, 11/01/35 | 216,889 | ||||||
Caesars Entertainment, Inc.* | ||||||||
| 118,000 | 4.625%, 10/15/29^ | 100,898 | ||||||
| 93,000 | 8.125%, 07/01/27^ | 94,476 | ||||||
| 93,000 | 6.250%, 07/01/25~ | 92,714 | ||||||
Carnival Corp.* | ||||||||
| 98,000 | 10.500%, 02/01/26 | 102,614 | ||||||
| 48,000 | 7.625%, 03/01/26 | 43,732 | ||||||
| 230,000 | Carriage Services, Inc.*~ 4.250%, 05/15/29 | 189,451 | ||||||
| 145,000 | Carvana Company*~ 4.875%, 09/01/29 | 64,771 | ||||||
CCO Holdings, LLC / CCO Holdings Capital Corp.*~ | ||||||||
| 750,000 | 4.750%, 03/01/30 | 656,490 | ||||||
| 250,000 | 4.500%, 08/15/30 | 213,907 | ||||||
| 220,000 | 6.375%, 09/01/29 | 212,491 | ||||||
| 186,000 | 4.250%, 02/01/31 | 155,079 | ||||||
| 96,000 | 4.750%, 02/01/32 | 81,680 | ||||||
| 96,000 | CDI Escrow Issuer, Inc.*~ 5.750%, 04/01/30 | 91,098 | ||||||
Dana, Inc.~ | ||||||||
| 155,000 | 4.250%, 09/01/30 | 131,885 | ||||||
| 95,000 | 4.500%, 02/15/32 | 80,169 | ||||||
DISH DBS Corp. | ||||||||
| 347,000 | 7.750%, 07/01/26~ | 281,969 | ||||||
| 230,000 | 5.250%, 12/01/26*~ | 198,338 | ||||||
| 120,000 | 7.375%, 07/01/28~ | 86,416 | ||||||
| 95,000 | 5.125%, 06/01/29 | 60,567 | ||||||
| 186,000 | DISH Network Corp.* 11.750%, 11/15/27 | 193,083 | ||||||
| 200,000 | Empire Resorts, Inc.* 7.750%, 11/01/26 | 164,094 | ||||||
| 204,000 | Everi Holdings, Inc.*~ 5.000%, 07/15/29 | 184,746 | ||||||
| 190,000 | Ford Motor Company~ 6.100%, 08/19/32 | 186,641 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 375,000 | 4.134%, 08/04/25 | 358,657 | ||||||
| 350,000 | 7.350%, 11/04/27 | 367,444 | ||||||
| 300,000 | 4.000%, 11/13/30~ | 262,236 | ||||||
| 270,000 | 5.113%, 05/03/29~ | 256,162 | ||||||
| 200,000 | 7.350%, 03/06/30 | 210,214 | ||||||
Gap, Inc.* | ||||||||
| 71,000 | 3.875%, 10/01/31^ | 53,248 | ||||||
| 9,000 | 3.625%, 10/01/29 | 6,926 | ||||||
| PRINCIPAL AMOUNT | VALUE | |||||||
General Motors Financial Company, Inc.~‡ | ||||||||
| 465,000 | 5.700%, 09/30/30^ 5 year CMT + 5.00% | $ | 433,175 | |||||
| 395,000 | 6.500%, 09/30/28 3 mo. USD LIBOR + 3.44% | 373,216 | ||||||
goeasy, Ltd.*~ | ||||||||
| 325,000 | 5.375%, 12/01/24 | 311,873 | ||||||
| 177,000 | 4.375%, 05/01/26 | 159,004 | ||||||
| 239,000 | Goodyear Tire & Rubber Company^ 5.000%, 07/15/29 | 210,963 | ||||||
| 79,000 | Group 1 Automotive, Inc.*~ 4.000%, 08/15/28 | 69,510 | ||||||
| 283,000 | Guitar Center, Inc.* 8.500%, 01/15/26 | 247,574 | ||||||
| 190,000 | Liberty Interactive, LLC~ 8.250%, 02/01/30 | 89,731 | ||||||
Life Time, Inc.* | ||||||||
| 144,000 | 8.000%, 04/15/26^ | 140,059 | ||||||
| 100,000 | 5.750%, 01/15/26~ | 96,784 | ||||||
| 123,000 | Lindblad Expeditions, LLC* 6.750%, 02/15/27 | 120,613 | ||||||
| 125,000 | M/I Homes, Inc. 3.950%, 02/15/30 | 105,310 | ||||||
Macy’s Retail Holdings, LLC~ | ||||||||
| 200,000 | 6.700%, 07/15/34* | 169,168 | ||||||
| 120,000 | 5.875%, 03/15/30* | 109,921 | ||||||
| 90,000 | 4.300%, 02/15/43 | 55,893 | ||||||
| 225,000 | Mclaren Finance, PLC*~ 7.500%, 08/01/26 | 170,424 | ||||||
| 242,000 | Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.*~ 4.875%, 05/01/29 | 214,279 | ||||||
| 254,000 | Mohegan Tribal Gaming Authority*~ 8.000%, 02/01/26 | 240,889 | ||||||
Newell Brands, Inc. | ||||||||
| 45,000 | 6.375%, 09/15/27 | 45,298 | ||||||
| 23,000 | 6.625%, 09/15/29^ | 23,341 | ||||||
Nordstrom, Inc.~ | ||||||||
| 90,000 | 5.000%, 01/15/44 | 60,655 | ||||||
| 86,000 | 4.250%, 08/01/31 | 64,760 | ||||||
| 215,000 | Penn Entertainment, Inc.* 4.125%, 07/01/29 | 178,409 | ||||||
| 265,000 | Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.*~ 5.625%, 09/01/29 | 193,105 | ||||||
| 473,000 | Rite Aid Corp.* 8.000%, 11/15/26 | 264,298 | ||||||
| 270,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*~ 4.625%, 03/01/29 | 229,338 | ||||||
| 212,000 | Sonic Automotive, Inc.*~ 4.625%, 11/15/29 | 176,469 | ||||||
| 282,000 | Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 | 264,911 | ||||||
| 450,000 | Station Casinos, LLC*~ 4.500%, 02/15/28 | 405,504 | ||||||
| 212,000 | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 | 205,892 | ||||||
| 50,000 | Viking Cruises, Ltd.*~ 13.000%, 05/15/25 | 53,067 | ||||||
See accompanying Notes to Schedule of Investments
2
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 220,000 | Vista Outdoor, Inc.*~ 4.500%, 03/15/29 | $ | 178,376 | |||||
| 47,000 | Williams Scotsman International, Inc.*~ 4.625%, 08/15/28 | 43,590 | ||||||
|
|
| ||||||
| 12,250,360 | ||||||||
|
|
| ||||||
| Consumer Staples (0.7%) | ||||||||
| 218,000 | Central Garden & Pet Company*~ 4.125%, 04/30/31 | 183,153 | ||||||
| 213,000 | Edgewell Personal Care Company* 4.125%, 04/01/29 | 185,745 | ||||||
Energizer Holdings, Inc.*~ | ||||||||
| 263,000 | 4.375%, 03/31/29 | 228,350 | ||||||
| 48,000 | 6.500%, 12/31/27 | 46,924 | ||||||
JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* | ||||||||
| 280,000 | 5.500%, 01/15/30~ | 272,278 | ||||||
| 215,000 | 5.125%, 02/01/28~ | 210,906 | ||||||
| 70,000 | 5.750%, 04/01/33 | 68,950 | ||||||
| 395,000 | Land O’ Lakes, Inc.*~ 7.000%, 09/18/28 | 349,903 | ||||||
| 191,000 | Performance Food Group, Inc.*~ 4.250%, 08/01/29 | 170,668 | ||||||
| 250,000 | PetSmart, Inc. / PetSmart Finance Corp.*~ 4.750%, 02/15/28 | 232,327 | ||||||
| 140,000 | Pilgrim’s Pride Corp.* 4.250%, 04/15/31 | 121,531 | ||||||
| 182,000 | Prestige Brands, Inc.*~ 3.750%, 04/01/31 | 154,625 | ||||||
| 210,000 | United Natural Foods, Inc.*~ 6.750%, 10/15/28 | 202,980 | ||||||
| 293,000 | Vector Group, Ltd.*~ 5.750%, 02/01/29 | 256,006 | ||||||
|
|
| ||||||
| 2,684,346 | ||||||||
|
|
| ||||||
| Energy (2.7%) | ||||||||
| 190,000 | Antero Resources Corp.*~ 5.375%, 03/01/30 | 177,369 | ||||||
| 192,000 | Apache Corp.~ 5.100%, 09/01/40 | 167,762 | ||||||
Buckeye Partners, LP~ | ||||||||
| 460,000 | 5.850%, 11/15/43 | 353,919 | ||||||
| 205,000 | 3.950%, 12/01/26 | 188,329 | ||||||
| 270,000 | Callon Petroleum Company*~ 7.500%, 06/15/30 | 261,538 | ||||||
| 96,000 | Cheniere Energy, Inc.~ 4.625%, 10/15/28 | 91,562 | ||||||
| 139,000 | Chesapeake Energy Corp.*~ 6.750%, 04/15/29 | 137,281 | ||||||
Continental Resources, Inc.* | ||||||||
| 135,000 | 2.875%, 04/01/32 | 105,994 | ||||||
| 95,000 | 5.750%, 01/15/31 | 93,369 | ||||||
| 350,000 | DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 346,682 | ||||||
| 150,000 | DT Midstream, Inc.*~ 4.125%, 06/15/29 | 132,473 | ||||||
| 286,000 | Earthstone Energy Holdings, LLC*~ 8.000%, 04/15/27 | 279,285 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
Enbridge, Inc.‡ | ||||||||
| 650,000 | 7.375%, 01/15/83 5 year CMT + 3.71% | $ | 651,047 | |||||
| 620,000 | 5.750%, 07/15/80~ 5 year CMT + 5.31% | 589,837 | ||||||
| 560,000 | Energy Transfer, LP~‡ 6.500%, 11/15/26 5 year CMT + 5.69% | 528,472 | ||||||
EnLink Midstream Partners, LP | ||||||||
| 835,000 | 8.879%, 03/03/23‡ 3 mo. USD LIBOR + 4.11% | 702,928 | ||||||
| 205,000 | 4.850%, 07/15/26~ | 199,416 | ||||||
| 90,000 | Enlink Midstream, LLC* 6.500%, 09/01/30 | 91,851 | ||||||
| 185,000 | Enterprise Products Operating, LLC‡ 7.630%, 08/16/77 3 mo. USD LIBOR + 2.99% | 175,883 | ||||||
| 220,000 | EQM Midstream Partners, LP*~ 7.500%, 06/01/27 | 220,832 | ||||||
| 46,000 | Genesis Energy, LP / Genesis Energy Finance Corp. 8.875%, 04/15/30 | 46,779 | ||||||
| 210,000 | Gulfport Energy Corp.*~ 8.000%, 05/17/26 | 208,639 | ||||||
| 220,000 | Hilcorp Energy I, LP / Hilcorp Finance Company*~ 6.000%, 04/15/30 | 206,186 | ||||||
| 144,000 | Howard Midstream Energy Partners, LLC*~ 6.750%, 01/15/27 | 140,587 | ||||||
| 186,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*~ 6.000%, 08/01/26 | 180,186 | ||||||
| 646,000 | MPLX, LP~‡ 6.875%, 02/15/23 3 mo. USD LIBOR + 4.65% | 646,413 | ||||||
| 90,000 | Nabors Industries, Inc.* 7.375%, 05/15/27 | 90,188 | ||||||
New Fortress Energy, Inc.*~ | ||||||||
| 180,000 | 6.750%, 09/15/25 | 172,903 | ||||||
| 96,000 | 6.500%, 09/30/26 | 88,723 | ||||||
| 169,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.*~ 7.750%, 12/15/25 | 166,977 | ||||||
| 200,000 | Parkland Corp.*~ 5.875%, 07/15/27 | 192,292 | ||||||
| 187,000 | Patterson-UTI Energy, Inc.~ 5.150%, 11/15/29 | 174,707 | ||||||
| 565,000 | Plains All American Pipeline, LP‡ 8.716%, 03/03/23 3 mo. USD LIBOR + 4.11% | 511,257 | ||||||
| 175,000 | Rockcliff Energy II, LLC* 5.500%, 10/15/29 | 166,850 | ||||||
Southwestern Energy Company~ | ||||||||
| 140,000 | 5.375%, 03/15/30 | 130,567 | ||||||
| 98,000 | 4.750%, 02/01/32 | 86,459 | ||||||
| 90,000 | 5.375%, 02/01/29 | 84,664 | ||||||
| 48,000 | Sunoco, LP / Sunoco Finance Corp.~ 4.500%, 04/30/30 | 42,843 | ||||||
| 92,000 | Transocean, Inc.* 8.750%, 02/15/30 | 95,066 | ||||||
Venture Global Calcasieu Pass, LLC* | ||||||||
| 45,000 | 4.125%, 08/15/31~ | 39,996 | ||||||
See accompanying Notes to Schedule of Investments
3
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 45,000 | 3.875%, 08/15/29~ | $ | 40,185 | |||||
| 10,000 | 6.250%, 01/15/30 | 10,199 | ||||||
Vital Energy, Inc. | ||||||||
| 203,000 | 10.125%, 01/15/28 | 202,466 | ||||||
| 92,000 | 9.500%, 01/15/25~ | 92,915 | ||||||
| 280,000 | VOC Escrow, Ltd.*~ 5.000%, 02/15/28 | 246,868 | ||||||
| 290,000 | W&T Offshore, Inc.*~ 9.750%, 11/01/23 | 290,261 | ||||||
Weatherford International, Ltd.*~ | ||||||||
| 201,000 | 6.500%, 09/15/28 | 200,331 | ||||||
| 145,000 | 8.625%, 04/30/30 | 146,335 | ||||||
|
|
| ||||||
| 10,197,671 | ||||||||
|
|
| ||||||
| Financials (15.1%) | ||||||||
Acrisure, LLC / Acrisure Finance, Inc.*~ | ||||||||
| 283,000 | 6.000%, 08/01/29 | 233,837 | ||||||
| 251,000 | 7.000%, 11/15/25 | 239,288 | ||||||
| 286,000 | Aethon United BR, LP / Aethon United Finance Corp.*~ 8.250%, 02/15/26 | 284,882 | ||||||
| 311,000 | AG Issuer, LLC*~ 6.250%, 03/01/28 | 294,299 | ||||||
Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* | ||||||||
| 875,000 | 6.750%, 10/15/27~ | 820,041 | ||||||
| 50,000 | 4.250%, 10/15/27~ | 45,916 | ||||||
| 45,000 | 5.875%, 11/01/29 | 39,265 | ||||||
| 360,000 | Allstate Corp.‡ 5.750%, 08/15/53 3 mo. USD LIBOR + 2.94% | 355,536 | ||||||
Ally Financial, Inc.~‡ | ||||||||
| 1,236,000 | 4.700%, 05/15/26 5 year CMT + 3.87% | 1,018,217 | ||||||
| 935,000 | 4.700%, 05/15/28 7 year CMT + 3.48% | 721,119 | ||||||
| 417,000 | American Express Company~‡ 3.550%, 09/15/26 5 year CMT + 2.85% | 369,721 | ||||||
| 685,000 | American International Group, Inc.~‡ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87% | 675,143 | ||||||
| 379,000 | AmWINS Group, Inc.*~ 4.875%, 06/30/29 | 334,452 | ||||||
| 1,160,000 | Ares Finance Company III, LLC*~‡ 4.125%, 06/30/51 | 908,257 | ||||||
| 175,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 172,967 | ||||||
| 208,000 | Aviation Capital Group, LLC*~µ 3.500%, 11/01/27 | 186,869 | ||||||
Avolon Holdings Funding, Ltd.*µ | ||||||||
| 100,000 | 3.950%, 07/01/24 | 97,050 | ||||||
| 75,000 | 5.500%, 01/15/26 | 73,517 | ||||||
| 835,000 | AXIS Specialty Finance, LLC~‡ 4.900%, 01/15/40 5 year CMT + 3.19% | 717,724 | ||||||
| 791,000 | Bank of America Corp.µ‡^ 6.125%, 04/27/27 5 year CMT + 3.23% | 789,292 | ||||||
| 405,000 | Bank of Montrealµ‡ 4.800%, 08/25/24 5 year CMT + 2.98% | 383,952 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 1,560,000 | Bank of New York Mellon Corp.µ‡ 4.700%, 09/20/25 5 year CMT + 4.36% | $ | 1,529,143 | |||||
Bank of Nova Scotiaµ‡ | ||||||||
| 670,000 | 3.625%, 10/27/81 5 year CMT + 2.613% | 529,541 | ||||||
| 605,000 | 4.900%, 06/04/25 5 year CMT + 4.55% | 588,459 | ||||||
Barclays, PLC~‡ | ||||||||
| 725,000 | 8.000%, 03/15/29 5 year CMT + 5.43% | 727,327 | ||||||
| 620,000 | 4.375%, 03/15/28 5 year CMT + 3.41% | 506,261 | ||||||
BP Capital Markets, PLC‡ | ||||||||
| 810,000 | 4.875%, 03/22/30~ 5 year CMT + 4.40% | 757,698 | ||||||
| 355,000 | 4.375%, 06/22/25 5 year CMT + 4.04% | 344,702 | ||||||
| 375,000 | BroadStreet Partners, Inc.*~ 5.875%, 04/15/29 | 331,496 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*~ | ||||||||
| 385,000 | 4.500%, 04/01/27 | 339,982 | ||||||
| 231,000 | 5.750%, 05/15/26 | 217,912 | ||||||
| 200,000 | Burford Capital Global Financial, LLC*~ 6.875%, 04/15/30 | 183,030 | ||||||
| 823,000 | Capital One Financial Corp.‡ 3.950%, 09/01/26 5 year CMT + 3.16% | 717,195 | ||||||
| 206,000 | Castlelake Aviation Finance DAC*~^ 5.000%, 04/15/27 | 188,700 | ||||||
Charles Schwab Corp.~‡ | ||||||||
| 895,000 | 4.000%, 06/01/26 5 year CMT + 3.17% | 825,217 | ||||||
| 433,000 | 4.000%, 12/01/30 10 year CMT + 3.08% | 372,804 | ||||||
| 400,000 | 5.375%, 06/01/25^ 5 year CMT + 4.97% | 398,704 | ||||||
Citigroup, Inc.~‡ | ||||||||
| 1,454,000 | 4.150%, 11/15/26 5 year CMT + 3.00% | 1,301,199 | ||||||
| 1,141,000 | 3.875%, 02/18/26 5 year CMT + 3.42% | 1,044,186 | ||||||
| 445,000 | 4.000%, 12/10/25 5 year CMT + 3.60% | 415,759 | ||||||
| 1,115,000 | Citizens Financial Group, Inc.~‡ 4.000%, 10/06/26 5 year CMT + 3.22% | 973,941 | ||||||
| 180,000 | Corebridge Financial, Inc.*~‡ 6.875%, 12/15/52 5 year CMT + 3.85% | 178,099 | ||||||
Credit Acceptance Corp. | ||||||||
| 475,000 | 6.625%, 03/15/26^ | 434,901 | ||||||
| 161,000 | 5.125%, 12/31/24*~ | 151,541 | ||||||
| 565,000 | Credit Suisse Group, AG*‡ 7.500%, 12/11/23 U.S. 5 yr Swap + 4.60% | 535,575 | ||||||
Discover Financial Services~‡ | ||||||||
| 660,000 | 6.125%, 06/23/25 5 year CMT + 5.78% | 658,218 | ||||||
| 425,000 | 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% | 374,752 | ||||||
See accompanying Notes to Schedule of Investments
4
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 241,000 | Enact Holdings, Inc.*~ 6.500%, 08/15/25 | $ | 237,761 | |||||
| 200,000 | Enstar Finance, LLC~‡ 5.500%, 01/15/42 5 year CMT + 4.01% | 165,828 | ||||||
| 1,500,000 | Fifth Third Bancorp~‡ 4.500%, 09/30/25 5 year CMT + 4.22% | 1,454,130 | ||||||
| 275,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP*~ 3.750%, 12/15/27 | 232,458 | ||||||
Goldman Sachs Group, Inc.‡ | ||||||||
| 1,180,000 | 4.400%, 02/10/25 5 year CMT + 2.85% | 1,072,679 | ||||||
| 442,000 | 4.125%, 11/10/26~ 5 year CMT + 2.95% | 394,684 | ||||||
| 427,000 | Greystar Real Estate Partners, LLC*~ 5.750%, 12/01/25 | 421,996 | ||||||
| 400,000 | HSBC Holdings, PLCµ‡ 6.375%, 03/30/25 U.S. 5 yr Swap + 4.37% | 394,856 | ||||||
HUB International, Ltd.* | ||||||||
| 285,000 | 7.000%, 05/01/26 | 283,874 | ||||||
| 276,000 | 5.625%, 12/01/29^ | 248,640 | ||||||
Huntington Bancshares, Inc.~‡ | ||||||||
| 940,000 | 4.450%, 10/15/27^ 7 year CMT + 4.05% | 891,543 | ||||||
| 375,000 | 5.625%, 07/15/30 10 year CMT + 4.95% | 370,035 | ||||||
Icahn Enterprises, LP / Icahn Enterprises Finance Corp. | ||||||||
| 150,000 | 5.250%, 05/15/27 | 140,553 | ||||||
| 144,000 | 4.375%, 02/01/29~ | 125,637 | ||||||
| 510,000 | ILFC E-Capital Trust II*~‡ 6.538%, 12/21/65 3 mo. USD LIBOR + 1.80% | 344,357 | ||||||
ING Groep, NV~‡ | ||||||||
| 800,000 | 4.250%, 05/16/31 5 year CMT + 2.86% | 606,040 | ||||||
| 200,000 | 3.875%, 05/16/27 5 year CMT + 2.86% | 162,838 | ||||||
| 380,000 | Iron Mountain, Inc.* 5.250%, 03/15/28 | 361,715 | ||||||
| 525,000 | Jefferies Finance, LLC / JFIN Co- Issuer Corp.*~ 5.000%, 08/15/28 | 449,237 | ||||||
| 2,840,000 | JPMorgan Chase & Companyµ‡ 3.650%, 06/01/26 5 year CMT + 2.85% | 2,563,952 | ||||||
Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.*~ | ||||||||
| 379,000 | 5.250%, 10/01/25 | 365,170 | ||||||
| 95,000 | 4.750%, 06/15/29 | 79,039 | ||||||
| 265,000 | LD Holdings Group, LLC* 6.125%, 04/01/28 | 173,077 | ||||||
Level 3 Financing, Inc.*~ | ||||||||
| 298,000 | 3.875%, 11/15/29 | 241,863 | ||||||
| 200,000 | 4.250%, 07/01/28 | 158,668 | ||||||
| 1,085,000 | Liberty Mutual Group, Inc.*~‡ 4.125%, 12/15/51 5 year CMT + 3.32% | 929,389 | ||||||
| 575,000 | Lloyds Banking Group, PLC~‡ 7.500%, 06/27/24 U.S. 5 yr Swap + 4.76% | 571,194 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 139,000 | LPL Holdings, Inc.*~ 4.000%, 03/15/29 | $ | 124,473 | |||||
| 670,000 | Markel Corp.~‡ 6.000%, 06/01/25 5 year CMT + 5.66% | 667,226 | ||||||
MetLife, Inc.~ | ||||||||
| 1,205,000 | 6.400%, 12/15/66 | 1,235,390 | ||||||
| 605,000 | 3.850%, 09/15/25‡ 5 year CMT + 3.58% | 578,029 | ||||||
| 400,000 | Munich Re*‡ 5.875%, 05/23/42 5 year CMT + 3.98% | 409,496 | ||||||
| 255,000 | Nationstar Mortgage Holdings, Inc.*~ 5.500%, 08/15/28 | 223,064 | ||||||
| 380,000 | Nationwide Financial Services, Inc. 6.750%, 05/15/87 | 379,016 | ||||||
Navient Corp.~ | ||||||||
| 422,000 | 5.000%, 03/15/27 | 385,788 | ||||||
| 220,000 | 4.875%, 03/15/28 | 194,909 | ||||||
| 220,000 | Necessity Retail REIT, Inc. / American Finance Operating Partner, LP*~ 4.500%, 09/30/28 | 169,235 | ||||||
Nordea Bank Abp*µ‡ | ||||||||
| 900,000 | 3.750%, 03/01/29 5 year CMT + 2.60% | 715,968 | ||||||
| 580,000 | 6.625%, 03/26/26 5 year CMT + 4.11% | 575,151 | ||||||
| 130,000 | OneMain Finance Corp.~ 3.875%, 09/15/28 | 109,668 | ||||||
| 98,000 | Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer*~ 5.875%, 10/01/28 | 90,771 | ||||||
| 1,148,000 | PartnerRe Finance B, LLC~‡^ 4.500%, 10/01/50 5 year CMT + 3.82% | 1,031,375 | ||||||
| 295,000 | PHH Mortgage Corp.*~ 7.875%, 03/15/26 | 270,070 | ||||||
PNC Financial Services Group, Inc.µ‡ | ||||||||
| 885,000 | 3.400%, 09/15/26 5 year CMT + 2.60% | 754,896 | ||||||
| 425,000 | 6.000%, 05/15/27 5 year CMT + 3.00% | 422,246 | ||||||
| 360,000 | 6.200%, 09/15/27 5 year CMT + 3.24% | 360,958 | ||||||
| 785,000 | QBE Insurance Group, Ltd.*~‡ 5.875%, 05/12/25 5 year CMT + 5.51% | 774,277 | ||||||
| 220,000 | RHP Hotel Properties, LP / RHP Finance Corp.*~ 4.500%, 02/15/29 | 196,902 | ||||||
Rocket Mortgage, LLC / Rocket Mortgage Co-Issuer, Inc.*~ | ||||||||
| 85,000 | 3.875%, 03/01/31 | 69,381 | ||||||
| 85,000 | 3.625%, 03/01/29 | 71,827 | ||||||
| 45,000 | 2.875%, 10/15/26 | 40,185 | ||||||
| 1,362,000 | State Street Corp.~‡^ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54% | 1,318,334 | ||||||
| 199,000 | StoneX Group, Inc.*~ 8.625%, 06/15/25 | 201,822 | ||||||
See accompanying Notes to Schedule of Investments
5
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 918,000 | SVB Financial Group~‡ 4.000%, 05/15/26 5 year CMT + 3.20% | $ | 738,421 | |||||
| 651,000 | 4.100%, 02/15/31 10 year CMT + 3.06% | 486,453 | ||||||
| 367,000 | 4.250%, 11/15/26 5 year CMT + 3.07% | 293,886 | ||||||
| 1,075,000 | Toronto-Dominion Bankµ‡ 8.125%, 10/31/82 5 year CMT + 4.08% | 1,141,424 | ||||||
| 835,000 | Truist Financial Corp.µ‡ 4.800%, 09/01/24 5 year CMT + 3.00% | 805,282 | ||||||
| 375,000 | 4.950%, 09/01/25 5 year CMT + 4.61% | 371,783 | ||||||
| 575,000 | UBS Group, AG*~‡ 7.000%, 01/31/24 U.S. 5 yr Swap + 4.34% | 573,752 | ||||||
| 400,000 | 4.875%, 02/12/27 5 year CMT + 3.40% | 360,928 | ||||||
United Wholesale Mortgage, LLC*~ | ||||||||
| 221,000 | 5.500%, 04/15/29 | 190,361 | ||||||
| 90,000 | 5.750%, 06/15/27 | 81,131 | ||||||
| 90,000 | Uniti Group, LP / Uniti Group Finance, Inc. / CSL Capital, LLC*~ 6.500%, 02/15/29 | 62,324 | ||||||
| 210,000 | VZ Secured Financing, BV*~ 5.000%, 01/15/32 | 180,073 | ||||||
| 3,170,000 | Wells Fargo & Company~‡ 3.900%, 03/15/26 5 year CMT + 3.45% | 2,923,533 | ||||||
| 208,000 | XHR, LP*~ 6.375%, 08/15/25 | 206,415 | ||||||
|
|
| ||||||
| 56,615,122 | ||||||||
|
|
| ||||||
| Health Care (1.1%) | ||||||||
Bausch Health Companies, Inc.* | ||||||||
| 318,000 | 11.000%, 09/30/28 | 249,833 | ||||||
| 72,000 | 6.125%, 02/01/27 | 49,182 | ||||||
| 62,000 | 14.000%, 10/15/30 | 40,044 | ||||||
CHS/Community Health Systems, Inc.* | ||||||||
| 610,000 | 8.000%, 03/15/26~ | 593,097 | ||||||
| 377,000 | 6.125%, 04/01/30~ | 229,058 | ||||||
| 108,000 | 6.875%, 04/15/29~ | 68,407 | ||||||
| 24,000 | 5.250%, 05/15/30 | 19,384 | ||||||
DaVita, Inc.*~ | ||||||||
| 372,000 | 4.625%, 06/01/30 | 313,641 | ||||||
| 222,000 | 3.750%, 02/15/31 | 172,860 | ||||||
Embecta Corp.*~ | ||||||||
| 144,000 | 5.000%, 02/15/30 | 118,740 | ||||||
| 48,000 | 6.750%, 02/15/30 | 43,298 | ||||||
Encompass Health Corp.~ | ||||||||
| 100,000 | 4.750%, 02/01/30 | 91,783 | ||||||
| 100,000 | 4.500%, 02/01/28 | 93,454 | ||||||
| 200,000 | Jazz Securities DAC*~ 4.375%, 01/15/29 | 183,066 | ||||||
Medline Borrower, LP*~ | ||||||||
| 233,000 | 5.250%, 10/01/29^ | 195,834 | ||||||
| 230,000 | 3.875%, 04/01/29 | 197,000 | ||||||
Organon & Company / Organon Foreign Debt Co-Issuer, BV*~ | ||||||||
| 350,000 | 5.125%, 04/30/31 | 315,668 | ||||||
| 200,000 | 4.125%, 04/30/28 | 181,776 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 470,000 | Tenet Healthcare Corp.~ 6.875%, 11/15/31 | $ | 435,666 | |||||
Teva Pharmaceutical Finance Netherlands III, BV~ | ||||||||
| 340,000 | 3.150%, 10/01/26 | 305,228 | ||||||
| 200,000 | 7.125%, 01/31/25 | 202,928 | ||||||
| 200,000 | 4.750%, 05/09/27 | 186,124 | ||||||
|
|
| ||||||
| 4,286,071 | ||||||||
|
|
| ||||||
| Industrials (3.3%) | ||||||||
| 220,000 | ACCO Brands Corp.*~ 4.250%, 03/15/29 | 190,485 | ||||||
| 800,000 | AerCap Holdings, NV~‡^ 5.875%, 10/10/79 5 year CMT + 4.54% | 766,192 | ||||||
| 885,000 | Air Lease Corp.~‡ 4.125%, 12/15/26 5 year CMT + 3.15% | 688,309 | ||||||
| 810,000 | 4.650%, 06/15/26 5 year CMT + 4.08% | 720,058 | ||||||
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC*~ | ||||||||
| 315,000 | 4.625%, 01/15/27 | 299,735 | ||||||
| 185,000 | 3.500%, 03/15/29 | 159,685 | ||||||
| 145,000 | 5.875%, 02/15/28 | 141,901 | ||||||
| 220,000 | Allegiant Travel Company*~ 7.250%, 08/15/27 | 215,967 | ||||||
| 50,000 | American Airlines Group, Inc.*^ 3.750%, 03/01/25 | 46,787 | ||||||
| 220,220 | American Airlines Pass Through Trust Series 2021-1, Class B~ 3.950%, 01/11/32 | 186,773 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.*~ | ||||||||
| 144,000 | 5.500%, 04/20/26 | 141,336 | ||||||
| 48,000 | 5.750%, 04/20/29 | 46,511 | ||||||
| 108,000 | Arcosa, Inc.*~ 4.375%, 04/15/29 | 96,567 | ||||||
| 940,000 | ARD Finance, SA*~ 6.500%, 06/30/27 7.250% PIK rate | 738,680 | ||||||
| 70,000 | Ball Corp. 6.875%, 03/15/28 | 72,314 | ||||||
| 151,000 | Beacon Roofing Supply, Inc.*~ 4.125%, 05/15/29 | 130,207 | ||||||
| 191,000 | BWX Technologies, Inc.*~ 4.125%, 04/15/29 | 172,861 | ||||||
| 90,000 | Cascades, Inc. / Cascades USA, Inc.* 5.125%, 01/15/26 | 84,271 | ||||||
| 47,000 | Delta Air Lines, Inc.~ 7.375%, 01/15/26 | 49,221 | ||||||
| 48,000 | Delta Air Lines, Inc. / SkyMiles IP, Ltd.*~ 4.750%, 10/20/28 | 46,706 | ||||||
| 245,000 | Deluxe Corp.*~ 8.000%, 06/01/29 | 210,083 | ||||||
| 96,000 | �� | Dun & Bradstreet Corp.*~ 5.000%, 12/15/29 | 85,740 | |||||
| 143,000 | Eco Material Technologies, Inc.*~ 7.875%, 01/31/27 | 137,851 | ||||||
| 230,000 | Endurance International Group Holdings, Inc.*~ 6.000%, 02/15/29 | 167,044 | ||||||
See accompanying Notes to Schedule of Investments
6
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 85,000 | EnerSys*~ 4.375%, 12/15/27 | $ | 78,606 | |||||
| 135,000 | Fly Leasing, Ltd.*~ 7.000%, 10/15/24 | 117,729 | ||||||
| 118,000 | Graham Packaging Company, Inc.* 7.125%, 08/15/28 | 103,866 | ||||||
| 88,000 | Graphic Packaging International, LLC*~ 3.500%, 03/01/29 | 77,582 | ||||||
| 203,000 | Great Lakes Dredge & Dock Corp.*~ 5.250%, 06/01/29 | 171,438 | ||||||
| 443,000 | H&E Equipment Services, Inc.*~ 3.875%, 12/15/28 | 391,213 | ||||||
| 281,000 | Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.*~ 5.750%, 01/20/26 | 268,886 | ||||||
| 475,000 | Herc Holdings, Inc.*~ 5.500%, 07/15/27 | 455,686 | ||||||
| 220,000 | IEA Energy Services, LLC* 6.625%, 08/15/29 | 216,146 | ||||||
| 290,000 | JELD-WEN, Inc.*~ 4.625%, 12/15/25 | 256,995 | ||||||
| 305,000 | Ken Garff Automotive, LLC*~ 4.875%, 09/15/28 | 263,078 | ||||||
| 96,000 | MasTec, Inc.*~ 4.500%, 08/15/28 | 89,051 | ||||||
| 107,000 | Moog, Inc.*~ 4.250%, 12/15/27 | 99,332 | ||||||
| 172,000 | Novelis Corp.*~ 4.750%, 01/30/30 | 157,402 | ||||||
| 70,000 | OI European Group, BV* 4.750%, 02/15/30 | 62,992 | ||||||
| 225,000 | Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer, LLC*~ 4.000%, 10/15/27 | 202,525 | ||||||
| 285,000 | Patrick Industries, Inc.*~ 4.750%, 05/01/29 | 243,880 | ||||||
QVC, Inc.~ | ||||||||
| 111,000 | 4.375%, 09/01/28 | 71,367 | ||||||
| 95,000 | 5.450%, 08/15/34 | 56,178 | ||||||
Sealed Air Corp.* | ||||||||
| 144,000 | 6.125%, 02/01/28 | 145,397 | ||||||
| 48,000 | 5.000%, 04/15/29~ | 45,563 | ||||||
| 98,000 | Sensata Technologies, Inc.*~ 3.750%, 02/15/31 | 83,889 | ||||||
Sinclair Television Group, Inc.* | ||||||||
| 141,000 | 4.125%, 12/01/30~ | 112,256 | ||||||
| 100,000 | 5.500%, 03/01/30^ | 79,868 | ||||||
| 195,000 | Standard Industries, Inc.*~ 5.000%, 02/15/27 | 185,925 | ||||||
| 315,000 | Stanley Black & Decker, Inc.~‡ 4.000%, 03/15/60 5 year CMT + 2.66% | 277,241 | ||||||
| 150,000 | Stericycle, Inc.*~ 3.875%, 01/15/29 | 133,500 | ||||||
| 145,000 | STL Holding Company, LLC*~ 7.500%, 02/15/26 | 128,102 | ||||||
TransDigm, Inc.~ | ||||||||
| 473,000 | 6.250%, 03/15/26* | 473,307 | ||||||
| 405,000 | 7.500%, 03/15/27 | 408,459 | ||||||
| 141,000 | Tronox, Inc.*~ 4.625%, 03/15/29 | 120,764 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 187,000 | Vertiv Group Corp.*~ 4.125%, 11/15/28 | $ | 163,152 | |||||
| 201,000 | Wabash National Corp.*~ 4.500%, 10/15/28 | 177,214 | ||||||
| 325,000 | Waste Pro USA, Inc.*~ 5.500%, 02/15/26 | 302,617 | ||||||
WESCO Distribution, Inc.*~ | ||||||||
| 93,000 | 7.125%, 06/15/25 | 94,545 | ||||||
| 45,000 | 7.250%, 06/15/28 | 46,316 | ||||||
| 202,000 | Williams Scotsman International, Inc.*~ 6.125%, 06/15/25 | 203,004 | ||||||
|
|
| ||||||
| 12,160,355 | ||||||||
|
|
| ||||||
| Information Technology (0.7%) | ||||||||
| 96,000 | Booz Allen Hamilton, Inc.*~ 4.000%, 07/01/29 | 86,317 | ||||||
| 112,000 | Coherent Corp.*~ 5.000%, 12/15/29 | 102,580 | ||||||
| 299,000 | CommScope Technologies, LLC*~ 6.000%, 06/15/25 | 283,598 | ||||||
| 175,000 | CommScope, Inc.*~ 4.750%, 09/01/29 | 145,721 | ||||||
| 56,000 | Fair Isaac Corp.*~ 4.000%, 06/15/28 | 52,067 | ||||||
| 210,000 | KBR, Inc.*~ 4.750%, 09/30/28 | 191,770 | ||||||
MPH Acquisition Holdings, LLC*~ | ||||||||
| 210,000 | 5.750%, 11/01/28 | 152,840 | ||||||
| 95,000 | 5.500%, 09/01/28 | 79,125 | ||||||
| 96,000 | NCR Corp.*~ 5.125%, 04/15/29 | 83,617 | ||||||
| 143,000 | ON Semiconductor Corp.*~ 3.875%, 09/01/28 | 130,593 | ||||||
Open Text Corp.* | ||||||||
| 129,000 | 3.875%, 02/15/28~ | 112,255 | ||||||
| 90,000 | 6.900%, 12/01/27 | 92,304 | ||||||
| 72,000 | 3.875%, 12/01/29~ | 60,016 | ||||||
| 72,000 | Open Text Holdings, Inc.*~ 4.125%, 12/01/31 | 58,599 | ||||||
| 96,000 | Playtika Holding Corp.*~ 4.250%, 03/15/29 | 79,829 | ||||||
| 118,000 | PTC, Inc.*~ 4.000%, 02/15/28 | 110,039 | ||||||
| 265,000 | TTM Technologies, Inc.*^ 4.000%, 03/01/29 | 231,650 | ||||||
Twilio, Inc.~ | ||||||||
| 130,000 | 3.625%, 03/15/29 | 110,556 | ||||||
| 47,000 | 3.875%, 03/15/31 | 39,013 | ||||||
| 240,000 | Viavi Solutions, Inc.*~ 3.750%, 10/01/29 | 209,496 | ||||||
| 220,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.*~ 3.875%, 02/01/29 | 189,981 | ||||||
|
|
| ||||||
| 2,601,966 | ||||||||
|
|
| ||||||
| Materials (0.6%) | ||||||||
| 150,000 | ArcelorMittal, SA~ 7.000%, 10/15/39 | 162,441 | ||||||
| 90,000 | ATI, Inc.~ 5.875%, 12/01/27 | 87,447 | ||||||
| 46,000 | Carpenter Technology Corp. 7.625%, 03/15/30 | 47,267 | ||||||
| 145,000 | Chemours Company*~ 4.625%, 11/15/29 | 121,235 | ||||||
See accompanying Notes to Schedule of Investments
7
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 300,000 | Clearwater Paper Corp.*~ 4.750%, 08/15/28 | $ | 268,512 | |||||
Commercial Metals Company~ | ||||||||
| 96,000 | 4.125%, 01/15/30 | 86,218 | ||||||
| 48,000 | 4.375%, 03/15/32 | 42,509 | ||||||
| 250,000 | Constellium, SE*~^ 3.750%, 04/15/29 | 214,030 | ||||||
| 144,000 | HB Fuller Company~ 4.250%, 10/15/28 | 127,683 | ||||||
Kaiser Aluminum Corp.* | ||||||||
| 210,000 | 4.625%, 03/01/28~ | 192,217 | ||||||
| 24,000 | 4.500%, 06/01/31 | 20,336 | ||||||
| 133,000 | LSF11 A5 HoldCo, LLC* 6.625%, 10/15/29 | 111,088 | ||||||
| 201,000 | Mercer International, Inc.~ 5.125%, 02/01/29 | 172,181 | ||||||
| 285,000 | Owens-Brockway Glass Container, Inc.*~^ 6.625%, 05/13/27 | 280,594 | ||||||
| 80,000 | Silgan Holdings, Inc.~ 4.125%, 02/01/28 | 74,850 | ||||||
| 96,000 | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 | 69,452 | ||||||
| 85,000 | Univar Solutions USA, Inc.*~ 5.125%, 12/01/27 | 82,683 | ||||||
|
|
| ||||||
| 2,160,743 | ||||||||
|
|
| ||||||
| Other (0.1%) | ||||||||
| 179,000 | 1375209 B.C., Ltd.* 9.000%, 01/30/28 | 178,527 | ||||||
Gen Digital, Inc.* | ||||||||
| 90,000 | 7.125%, 09/30/30 | 91,448 | ||||||
| 90,000 | 6.750%, 09/30/27 | 91,387 | ||||||
|
|
| ||||||
| 361,362 | ||||||||
|
|
| ||||||
| Real Estate (0.2%) | ||||||||
| 152,000 | EPR Properties~ 3.750%, 08/15/29 | 126,997 | ||||||
Forestar Group, Inc.* | ||||||||
| 139,000 | 5.000%, 03/01/28 | 122,249 | ||||||
| 97,000 | 3.850%, 05/15/26~ | 87,043 | ||||||
| 211,000 | MIWD Holdco II, LLC / MIWD Finance Corp.*~ 5.500%, 02/01/30 | 175,812 | ||||||
| 95,000 | Service Properties Trust~ 5.250%, 02/15/26 | 82,408 | ||||||
|
|
| ||||||
| 594,509 | ||||||||
|
|
| ||||||
| Special Purpose Acquisition Companies (0.1%) |
| |||||||
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Company, Inc.*~ | ||||||||
| 185,000 | 6.750%, 01/15/30 | 153,794 | ||||||
| 96,000 | 4.625%, 01/15/29 | 84,794 | ||||||
|
|
| ||||||
| 238,588 | ||||||||
|
|
| ||||||
| Utilities (1.8%) | ||||||||
| 910,000 | Algonquin Power & Utilities Corp.~‡ 4.750%, 01/18/82 5 year CMT + 3.25% | 767,567 | ||||||
| 200,000 | CenterPoint Energy, Inc.~‡ 6.125%, 09/01/23 3 mo. USD LIBOR + 3.27% | 196,800 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 390,000 | CMS Energy Corp.‡ 4.750%, 06/01/50 5 year CMT + 4.12% | $ | 355,142 | |||||
| 695,000 | Dominion Energy, Inc.~‡ 4.650%, 12/15/24 5 year CMT + 2.99% | 651,771 | ||||||
| 367,000 | 4.350%, 01/15/27 5 year CMT + 3.20% | 327,100 | ||||||
| 900,000 | Duke Energy Corp.~‡ 4.875%, 09/16/24 5 year CMT + 3.39% | 873,243 | ||||||
| 368,000 | 3.250%, 01/15/82 5 year CMT + 2.32% | 300,229 | ||||||
| 770,000 | NextEra Energy Capital Holdings, Inc.~‡ 3.800%, 03/15/82 5 year CMT + 2.55% | 672,117 | ||||||
| 254,000 | PPL Capital Funding, Inc.‡ 7.395%, 03/30/67 3 mo. USD LIBOR + 2.67% | 223,642 | ||||||
| 375,000 | Sempra Energy~‡ 4.875%, 10/15/25 5 year CMT + 4.55% | 360,559 | ||||||
| 240,000 | 4.125%, 04/01/52 5 year CMT + 2.87% | 208,795 | ||||||
| 668,000 | Southern Company~‡ 4.000%, 01/15/51 5 year CMT + 3.73% | 636,183 | ||||||
| 280,000 | 3.750%, 09/15/51 5 year CMT + 2.92% | 245,874 | ||||||
| 375,000 | Vistra Corp.*‡ 8.000%, 10/15/26 5 year CMT + 6.93% | 367,894 | ||||||
| 305,000 | 7.000%, 12/15/26~ 5 year CMT + 5.74% | 287,859 | ||||||
| 205,000 | WEC Energy Group, Inc.‡ 6.719%, 05/15/67 3 mo. USD LIBOR + 2.11% | 175,539 | ||||||
|
|
| ||||||
| 6,650,314 | ||||||||
|
|
| ||||||
TOTAL CORPORATE BONDS (Cost $131,910,516) | 118,968,033 | |||||||
|
|
| ||||||
CONVERTIBLE BONDS (0.1%) | ||||||||
| Consumer Discretionary (0.1%) | ||||||||
| 338,000 | DISH Network Corp.µ 2.375%, 03/15/24 | 315,020 | ||||||
|
|
| ||||||
| Other (0.0%) | ||||||||
| 95,000 | Multiplan Corp.* 6.000%, 10/15/27 7.000% PIK rate | 62,163 | ||||||
|
|
| ||||||
TOTAL CONVERTIBLE BONDS | 377,183 | |||||||
|
|
| ||||||
BANK LOANS (2.4%) ¡ | ||||||||
| Airlines (0.1%) | ||||||||
| 166,500 | Mileage Plus Holdings, LLC‡ 9.996%, 06/21/27 3 mo. LIBOR + 5.25% | 173,878 | ||||||
See accompanying Notes to Schedule of Investments
8
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| 245,625 | United Airlines, Inc.‡ 8.568%, 04/21/28 3 mo. LIBOR + 3.75% | $ | 246,083 | |||||
|
|
| ||||||
| 419,961 | ||||||||
|
|
| ||||||
| Communication Services (0.3%) | ||||||||
| 482,500 | Clear Channel Outdoor Holdings, Inc.‡ 8.325%, 08/21/26 3 mo. LIBOR + 3.50% | 460,185 | ||||||
| 1,250 | Clear Channel Outdoor Holdings, Inc.‡ 8.070%, 08/21/26 1 mo. LIBOR + 3.50% | 1,192 | ||||||
| 99,746 | CMG Media Corp.‡ 8.230%, 12/17/26 3 mo. LIBOR + 3.50% | 94,873 | ||||||
| 261,551 | DIRECTV Financing, LLC‡ 9.570%, 08/02/27 1 mo. LIBOR + 5.00% | 257,806 | ||||||
| 284,000 | Entercom Media Corp.‡ 7.047%, 11/18/24 1 mo. LIBOR + 2.50% | 204,775 | ||||||
| 73,805 | Nexstar Broadcasting, Inc.‡ 7.070%, 09/18/26 1 mo. LIBOR + 2.50% | 73,928 | ||||||
| 94,525 | Univision Communications, Inc.‡ 8.830%, 06/24/29 3 mo. SOFR + 4.25% | 94,643 | ||||||
|
|
| ||||||
| 1,187,402 | ||||||||
|
|
| ||||||
| Consumer Discretionary (0.4%) | ||||||||
| 90,000 | Caesars Entertainment, Inc.! 0.000%, 01/20/30 | 90,032 | ||||||
| 64,382 | Life Time Fitness, Inc.‡ 9.485%, 12/16/24 3 mo. LIBOR + 4.75% | 64,535 | ||||||
| 91,739 | Penn National Gaming, Inc.‡ 7.411%, 05/03/29 1 mo. SOFR + 2.75% | 91,790 | ||||||
| 334,050 | Petco Health and Wellness Company, Inc.‡ 7.976%, 03/03/28 3 mo. LIBOR + 3.25% | 331,145 | ||||||
| 315,040 | PetSmart, Inc.‡ 8.411%, 02/11/28 1 mo. LIBOR + 3.75% | 313,334 | ||||||
| 180,500 | SkyMiles IP, Ltd.‡ 8.558%, 10/20/27 3 mo. LIBOR + 3.75% | 186,976 | ||||||
| 126,343 | TKC Holdings, Inc.‡ 10.070%, 05/15/28 1 mo. LIBOR + 5.50% | 106,076 | ||||||
| 316,575 | WW International, Inc.‡ 8.070%, 04/13/28 1 mo. LIBOR + 3.50% | 190,208 | ||||||
|
|
| ||||||
| 1,374,096 | ||||||||
|
|
| ||||||
| Financials (0.2%) | ||||||||
| 174,560 | AssuredPartners, Inc.! 0.000%, 02/12/27 | 172,897 | ||||||
| 185,000 | Hub International, Ltd.‡ 8.220%, 11/10/29 3 mo. SOFR + 4.00% | 185,144 | ||||||
PRINCIPAL AMOUNT | VALUE | |||||||
| 199,851 | Jazz Financing Lux Sarl‡ 8.070%, 05/05/28 1 mo. LIBOR + 3.50% | $ | 199,882 | |||||
| 257,400 | VFH Parent, LLC‡ 7.612%, 01/13/29 1 mo. SOFR + 3.00% | 256,595 | ||||||
|
|
| ||||||
| 814,518 | ||||||||
|
|
| ||||||
| Health Care (0.4%) | ||||||||
| 164,989 | Amneal Pharmaceuticals, LLC‡ 8.125%, 05/04/25 1 mo. LIBOR + 3.50% | 155,949 | ||||||
| 160,404 | Amneal Pharmaceuticals, LLC‡ 8.250%, 05/04/25 3 mo. LIBOR + 3.50% | 151,616 | ||||||
| 43,875 | Bausch Health Companies, Inc.‡ 9.828%, 02/01/27 1 mo. SOFR + 5.25% | 33,956 | ||||||
| 125,017 | Icon Luxembourg Sarl‡ 7.000%, 07/03/28 3 mo. LIBOR + 2.25% | 125,174 | ||||||
| 253,144 | Mallinckrodt International Finance, SA‡ 9.986%, 09/30/27 3 mo. LIBOR + 5.25% | 194,935 | ||||||
| 207,059 | Padagis, LLC‡ 9.538%, 07/06/28 3 mo. LIBOR + 4.75% | 193,255 | ||||||
| 31,148 | PRA Health Sciences, Inc.‡ 7.000%, 07/03/28 3 mo. LIBOR + 2.25% | 31,187 | ||||||
| 820,573 | Team Health Holdings, Inc.‡ 9.811%, 03/02/27 1 mo. SOFR + 5.25% | 684,152 | ||||||
|
|
| ||||||
| 1,570,224 | ||||||||
|
|
| ||||||
| Industrials (0.4%) | ||||||||
| 74,000 | ACProducts, Inc.‡ 8.980%, 05/17/28 6 mo. LIBOR + 4.25% | 60,228 | ||||||
| 24,500 | ACProducts, Inc.‡ 8.980%, 05/17/28 3 mo. LIBOR + 4.25% | 19,941 | ||||||
| 119,400 | Air Canada‡ 8.130%, 08/11/28 3 mo. LIBOR + 3.50% | 119,719 | ||||||
| 165,000 | American Airlines, Inc.‡ 9.558%, 04/20/28 3 mo. LIBOR + 4.75% | 169,692 | ||||||
| 234,413 | ChampionX Corp.‡ 7.747%, 06/07/29 1 mo. SOFR + 3.25% | 234,816 | ||||||
| 425,776 | Dun & Bradstreet Corp.‡ 7.767%, 02/06/26 1 mo. LIBOR + 3.25% | 425,587 | ||||||
| 296,774 | Granite Holdings US Acquisition Company‡ 8.750%, 09/30/26 3 mo. LIBOR + 4.00% | 296,959 | ||||||
| 199,000 | Scientific Games International, Inc.‡ 7.578%, 04/14/29 1 mo. SOFR + 3.00% | 199,071 | ||||||
|
|
| ||||||
| 1,526,013 | ||||||||
|
|
| ||||||
See accompanying Notes to Schedule of Investments
9
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
| Information Technology (0.2%) | ||||||||
| 178,351 | Banff Merger Sub, Inc.‡ 8.320%, 10/02/25 1 mo. LIBOR + 3.75% | $ | 175,487 | |||||
| 223,176 | Camelot U.S. Acquisition LLC‡ 7.517%, 10/30/26 1 mo. LIBOR + 3.00% | 223,148 | ||||||
| 60,531 | Camelot U.S. Acquisition LLC‡ 7.517%, 10/30/26 1 mo. LIBOR + 3.00% | 60,559 | ||||||
| 191,030 | II-VI, Inc.‡ 7.320%, 07/02/29 1 mo. LIBOR + 2.75% | 190,970 | ||||||
|
|
| ||||||
| 650,164 | ||||||||
|
|
| ||||||
| Information Technology (0.0%) | ||||||||
| 45,000 | CDK Global, Inc.‡ 9.080%, 07/06/29 3 mo. SOFR + 4.50% | 44,965 | ||||||
|
|
| ||||||
| Materials (0.2%) | ||||||||
| 150,000 | American Axle and Manufacturing, Inc.‡ 8.033%, 12/13/29 1 mo. SOFR + 3.60% | 150,250 | ||||||
| 226,288 | Innophos, Inc.‡ 7.820%, 02/05/27 1 mo. LIBOR + 3.25% | 226,146 | ||||||
| 95,000 | LSF11 A5 HoldCo, LLC! 0.000%, 10/15/28 | 92,863 | ||||||
| 94,288 | LSF11 A5 HoldCo, LLC‡ 8.176%, 10/15/28 1 mo. LIBOR + 3.50% | 91,655 | ||||||
|
|
| ||||||
| 560,914 | ||||||||
|
|
| ||||||
| Special Purpose Acquisition Companies (0.2%) |
| |||||||
| 162,500 | AP Core Holdings II, LLC‡ 10.070%, 09/01/27 1 mo. LIBOR + 5.50% | 157,219 | ||||||
| 99,500 | Clydesdale Acquisition Holdings, Inc.‡ 8.836%, 04/13/29 1 mo. SOFR + 4.18% | 97,912 | ||||||
| 44,663 | Fertitta Entertainment, LLC‡ 8.561%, 01/27/29 1 mo. SOFR + 4.00% | 44,219 | ||||||
| 199,500 | Oscar AcquisitionCo, LLC‡ 9.180%, 04/29/29 3 mo. SOFR + 4.50% | 193,736 | ||||||
| 179,550 | Patagonia Holdco, LLC‡ 9.960%, 08/01/29 3 mo. SOFR + 5.75% | 151,720 | ||||||
|
|
| ||||||
| 644,806 | ||||||||
|
|
| ||||||
TOTAL BANK LOANS (Cost $9,224,696) | 8,793,063 | |||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (0.4%) | ||||||||
| Communication Services (0.1%) | ||||||||
| 14,325 | United States Cellular Corp.µ 5.500%, 06/01/70 | 268,021 | ||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
| Financials (0.3%) | ||||||||
| 3,850 | Bank OZK 4.625%, 11/15/26 | $ | 72,188 | |||||
| 8,383 | KeyCorpµ‡ 6.200%, 12/15/27 5 year CMT + 3.13% | 214,856 | ||||||
| 28,900 | Reinsurance Group of America, Inc.µ‡ 7.125%, 10/15/52 5 year CMT + 3.46% | 769,896 | ||||||
|
|
| ||||||
| 1,056,940 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,280,929) | 1,324,961 | |||||||
|
|
| ||||||
PREFERRED STOCKS (2.8%) | ||||||||
| Communication Services (0.5%) | ||||||||
| 21,155 | AT&T, Inc. 4.750%, 02/18/25 | 443,832 | ||||||
| 9,450 | AT&T, Inc. 5.350%, 11/01/66 | 226,894 | ||||||
| 56,730 | Qwest Corp.µ 6.500%, 09/01/56 | 1,168,638 | ||||||
|
|
| ||||||
| 1,839,364 | ||||||||
|
|
| ||||||
| Consumer Discretionary (0.2%) | ||||||||
| 7,685 | Ford Motor Company~µ 6.200%, 06/01/59 | 191,203 | ||||||
| 7,236 | Ford Motor Companyµ 6.500%, 08/15/62 | 176,341 | ||||||
| 3,615 | Guitar Center, Inc.& , 01/15/26 | 450,068 | ||||||
| 1,670 | Qurate Retail, Inc.µ 8.000%, 03/15/31 | 78,657 | ||||||
|
|
| ||||||
| 896,269 | ||||||||
|
|
| ||||||
| Energy (0.5%) | ||||||||
| 31,635 | Energy Transfer, LP‡ 7.625%, 08/15/23 3 mo. USD LIBOR + 4.74 | 765,251 | ||||||
| 24,000 | NuStar Energy, LP‡ 10.379%, 03/02/23 3 mo. USD LIBOR + 5.64% | 557,760 | ||||||
| 17,500 | NuStar Logistics, LP‡ 11.526%, 01/15/43 3 mo. USD LIBOR + 6.73% | 438,725 | ||||||
|
|
| ||||||
| 1,761,736 | ||||||||
|
|
| ||||||
| Financials (1.1%) | ||||||||
| 8,975 | Affiliated Managers Group, Inc. 4.750%, 09/30/60 | 179,500 | ||||||
| 15,560 | Annaly Capital Management, Inc.‡ 6.950%, 03/02/23 5 year CMT + 3.16% | 386,666 | ||||||
| 17,761 | B Riley Financial, Inc. 5.250%, 08/31/28 | 377,244 | ||||||
| 7,475 | B Riley Financial, Inc. 6.000%, 01/31/28 | 165,497 | ||||||
| 3,675 | Capital One Financial Corp.µ 4.800%, 06/01/25 | 76,440 | ||||||
| 27,375 | CNO Financial Group, Inc. 5.125%, 11/25/60 | 497,677 | ||||||
See accompanying Notes to Schedule of Investments
10
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||
4,608 | Cullen/Frost Bankers, Inc.µ 4.450%, 12/15/25 | $ | 92,344 | |||
8,923 | Ellington Financial, Inc.µ‡ 6.250%, 01/30/27 5 year CMT + 4.99% | 175,962 | ||||
3,184 | First Citizens BancShares, Inc.^ | 68,074 | ||||
7,332 | First Republic Bankµ | 134,029 | ||||
5,687 | First Republic Bankµ | 107,143 | ||||
5,850 | Morgan Stanley | 116,649 | ||||
5,400 | Morgan Stanleyµ | 140,616 | ||||
19,000 | Prospect Capital Corp. | 325,280 | ||||
33,732 | Selective Insurance Group, Inc.µ | 628,427 | ||||
8,025 | Spirit Realty Capital, Inc.µ | 194,044 | ||||
18,602 | Western Alliance Bancorpµ‡ | 399,385 | ||||
|
|
| ||||
| 4,064,977 | ||||||
|
|
| ||||
| Industrials (0.1%) | ||||||
7,275 | WESCO International, Inc.µ‡ 10.625%, 06/22/25 |
| 197,880 |
| ||
|
|
| ||||
| Real Estate (0.2%) | ||||||
30,350 | Brookfield Property Partners, LP~ 5.750%, 03/31/25 | 553,584 | ||||
12,800 | Brookfield Property Partners, LP~ 6.375%, 09/30/24 | 254,336 | ||||
6,245 | Global Net Lease, Inc.µ | 147,195 | ||||
|
|
| ||||
| 955,115 | ||||||
|
|
| ||||
| Utilities (0.2%) | ||||||
14,975 | Brookfield Renewable Partners, LP | 314,325 | ||||
13,450 | DTE Energy Company~µ | 333,560 | ||||
|
|
| ||||
| 647,885 | ||||||
|
|
| ||||
TOTAL PREFERRED STOCKS (Cost $11,956,351) | 10,363,226 | |||||
|
|
| ||||
| COMMON STOCKS (86.1%) |
| |||||
| Communication Services (4.7%) | ||||||
178,000 | Alphabet, Inc. - Class A~^# | 17,593,520 | ||||
3,935 | Altice USA, Inc. - Class A# | 19,282 | ||||
1,322 | Cumulus Media, Inc. - Class Aµ# | 8,857 | ||||
|
|
| ||||
| 17,621,659 | ||||||
|
|
| ||||
| Consumer Discretionary (13.6%) | ||||||
191,400 | Amazon.com, Inc.~# | 19,739,082 | ||||
3,500 | Booking Holdings, Inc.# | 8,519,350 | ||||
189,000 | Caesars Entertainment, Inc.~µ# | 9,839,340 | ||||
NUMBER OF SHARES | VALUE | |||||||
| 73,000 | Marriott International, Inc. - Class A | $ | 12,715,140 | |||||
|
|
| ||||||
| 50,812,912 | ||||||||
|
|
| ||||||
Consumer Staples (2.8%) | ||||||||
| 134,000 | Sysco Corp.~ | 10,379,640 | ||||||
|
|
| ||||||
Energy (0.1%) | ||||||||
| 560 | Chesapeake Energy Corp.µ | 48,563 | ||||||
| 12,950 | Energy Transfer, LP | 171,976 | ||||||
|
|
| ||||||
| 220,539 | ||||||||
|
|
| ||||||
Financials (13.1%) | ||||||||
| 500,000 | Huntington Bancshares, Inc.~^ | 7,585,000 | ||||||
| 140,000 | Morgan Stanley~^ | 13,626,200 | ||||||
| 2,545,000 | GBP | NatWest Group, PLC | 9,709,319 | |||||
| 65,500 | PNC Financial Services Group, Inc.~µ^ | 10,835,665 | ||||||
| 158,000 | Wells Fargo & Company^ | 7,405,460 | ||||||
|
|
| ||||||
| 49,161,644 | ||||||||
|
|
| ||||||
Health Care (5.5%) | ||||||||
| 175,000 | Boston Scientific Corp.~^# | 8,093,750 | ||||||
| 12,000 | Danaher Corp.~^ | 3,172,560 | ||||||
| 18,000 | Humana, Inc.~ | 9,210,600 | ||||||
|
|
| ||||||
| 20,476,910 | ||||||||
|
|
| ||||||
Industrials (30.4%) | ||||||||
| 173,500 | AerCap Holdings, NV# | 10,966,935 | ||||||
| 331,000 | Air Lease Corp. - Class A^ | 14,885,070 | ||||||
| 384,000 | CSX Corp.~^ | 11,873,280 | ||||||
| 327,000 | Delta Air Lines, Inc.^# | 12,785,700 | ||||||
| 48,000 | Honeywell International, Inc.^ | 10,007,040 | ||||||
| 60,500 | L3Harris Technologies, Inc.~ | 12,996,610 | ||||||
| 103,000 | Raytheon Technologies Corp.~µ | 10,284,550 | ||||||
| 188,000 | Southwest Airlines Company~ | 6,724,760 | ||||||
| 96,000 | TransUnion~ | 6,888,000 | ||||||
| 243,000 | Uber Technologies, Inc.~# | 7,515,990 | ||||||
| 42,500 | Union Pacific Corp.~ | 8,678,075 | ||||||
|
|
| ||||||
| 113,606,010 | ||||||||
|
|
| ||||||
Information Technology (14.0%) |
| |||||||
| 92,500 | Advanced Micro Devices, Inc.^# | 6,951,375 | ||||||
| 45,000 | Analog Devices, Inc.~ | 7,716,150 | ||||||
| 67,100 | Microsoft Corp.^ | 16,628,051 | ||||||
| 16,500 | Paycom Software, Inc.~# | 5,345,010 | ||||||
| 68,000 | Visa, Inc. - Class A~ | 15,654,280 | ||||||
|
|
| ||||||
| 52,294,866 | ||||||||
|
|
| ||||||
Materials (1.9%) | ||||||||
| 22,000 | Linde, PLC~ | 7,280,680 | ||||||
|
|
| ||||||
Real Estate (0.0%) | ||||||||
| 5,466 | American Finance Trust, Inc.µ | 130,091 | ||||||
|
|
| ||||||
Special Purpose Acquisition Company (0.0%) |
| |||||||
| 1,377 | Intelsat Emergence, SA~# | 32,015 | ||||||
|
|
| ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $321,236,678) | 322,016,966 | |||||||
|
|
| ||||||
See accompanying Notes to Schedule of Investments
11
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
NUMBER OF NOTIONAL | VALUE | |||||||
PURCHASED OPTIONS (1.6%) # | ||||||||
| Airlines (0.3%) | ||||||||
| 1,465 | United Airlines Holdings, Inc. | |||||||
| 7,172,640 | Call, 02/17/23, Strike $41.00 | $1,193,975 | ||||||
|
|
| ||||||
| Communication Services (0.4%) | ||||||||
Alphabet, Inc. | ||||||||
| 1,780 | ||||||||
| 17,593,520 | Put, 02/03/23, Strike $95.00 | 237,630 | ||||||
| 1,780 | ||||||||
| 17,593,520 | Call, 02/03/23, Strike $92.00 | 1,299,400 | ||||||
|
|
| ||||||
| 1,537,030 | ||||||||
|
|
| ||||||
| Consumer Staples (0.0%) | ||||||||
Sysco Corp. | ||||||||
| 1,305 | ||||||||
| 10,108,530 | Call, 02/03/23, Strike $80.00 | 19,575 | ||||||
| 435 | ||||||||
| 3,369,510 | Put, 02/03/23, Strike $74.00 | 4,350 | ||||||
|
|
| ||||||
| 23,925 | ||||||||
|
|
| ||||||
| Health Care (0.0%) | ||||||||
| 180 | Humana, Inc. | |||||||
| 9,210,600 | Put, 02/17/23, Strike $480.00 | 67,500 | ||||||
|
|
| ||||||
| Industrials (0.0%) | ||||||||
| 695 | Raytheon Technologies Corp. | |||||||
| 6,939,575 | Call, 02/17/23, Strike $100.00 | 136,567 | ||||||
|
|
| ||||||
| Information Technology (0.2%) | ||||||||
| 1,090 | Advanced Micro Devices, Inc. | |||||||
| 8,191,350 | Put, 02/03/23, Strike $73.00 | 198,380 | ||||||
| 900 | Apple, Inc. | |||||||
| 12,986,100 | Put, 02/17/23, Strike $130.00 | 66,150 | ||||||
| 1,250 | Docusign, Inc. | |||||||
| 7,580,000 | Call, 02/03/23, Strike $58.00 | 425,000 | ||||||
|
|
| ||||||
| 689,530 | ||||||||
|
|
| ||||||
| Other (0.7%) | ||||||||
| 2,090 | SPDR S&P 500 ETF Trust | |||||||
| 84,954,320 | Call, 02/03/23, Strike $395.00 | 2,501,730 | ||||||
|
|
| ||||||
TOTAL PURCHASED OPTIONS (Cost $3,321,995) | 6,150,257 | |||||||
|
|
| ||||||
| | TOTAL INVESTMENTS (125.2%) | 467,993,689 | ||||||
|
|
| ||||||
| LIABILITIES, LESS OTHER ASSETS (-25.2%) | (94,189,750) | |||||||
|
|
| ||||||
| NET ASSETS (100.0%) | $ | 373,803,939 | ||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
| COMMON STOCKS SOLD SHORT (-8.0%) # | ||||||||
| Consumer Staples (-0.9%) | ||||||||
| (6,600) | Costco Wholesale Corp. | (3,373,858) | ||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
| Health Care (-0.9%) | ||||||||
| (4,700) | Regeneron Pharmaceuticals, Inc. | $ | (3,565,142) | |||||
|
|
| ||||||
| Information Technology (-6.2%) | ||||||||
| (44,000) | Apple, Inc. | (6,348,843) | ||||||
| (21,000) | First Solar, Inc. | (3,729,683) | ||||||
| (19,100) | Lam Research Corp. | (9,551,993) | ||||||
| (71,500) | STMicroelectronics, NV | (3,376,314) | ||||||
|
|
| ||||||
| (23,006,833) | ||||||||
|
|
| ||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $26,845,014) | (29,945,833) | |||||||
|
|
| ||||||
EXCHANGE-TRADED FUND SOLD SHORT (-50.0%) # | ||||||||
| Other (-50.0%) | ||||||||
| (459,500) | SPDR S&P 500 ETF Trust (Proceeds $178,885,138) | (186,778,560) | ||||||
|
|
| ||||||
| | TOTAL SECURITIES SOLD SHORT | (216,724,393) | ||||||
|
|
| ||||||
NUMBER OF NOTIONAL | VALUE | |||||||
WRITTEN OPTIONS (-0.5%) # | ||||||||
| Airlines (0.0%) | ||||||||
| 1,165 | United Airlines Holdings, Inc. | |||||||
| 5,703,840 | Put, 02/17/23, Strike $45.00 | (44,270) | ||||||
|
|
| ||||||
| Communication Services (-0.1%) | ||||||||
Alphabet, Inc. | ||||||||
| 350 | ||||||||
| 3,459,400 | Call, 02/03/23, Strike $100.00 | (82,075) | ||||||
| 350 | ||||||||
| 3,459,400 | Put, 02/03/23, Strike $100.00 | (122,500) | ||||||
|
|
| ||||||
| (204,575) | ||||||||
|
|
| ||||||
| Consumer Staples (0.0%) | ||||||||
| 435 | Sysco Corp. | |||||||
| 3,369,510 | Put, 02/03/23, Strike $78.00 | (48,937) | ||||||
|
|
| ||||||
| Energy (0.0%) | ||||||||
| 1,930 | BP, PLC | |||||||
| 6,992,390 | Put, 02/10/23, Strike $36.00 | (125,450) | ||||||
|
|
| ||||||
| Financials (0.0%) | ||||||||
| 240 | First Republic Bank | |||||||
| 3,381,120 | Call, 02/17/23, Strike $140.00 | (114,000) | ||||||
|
|
| ||||||
| Health Care (-0.1%) | ||||||||
| 360 | Humana, Inc. | |||||||
| 18,421,200 | Put, 05/19/23, Strike $400.00 | (147,600) | ||||||
|
|
| ||||||
| Industrials (0.0%) | ||||||||
| 960 | Transunion | |||||||
| 6,888,000 | Call, 02/17/23, Strike $75.00 | (122,400) | ||||||
|
|
| ||||||
| Information Technology (-0.2%) | ||||||||
| 1,090 | Advanced Micro Devices, Inc. | |||||||
| 8,191,350 | Call, 02/17/23, Strike $83.00 | (142,790) | ||||||
See accompanying Notes to Schedule of Investments
12
| Calamos Long/Short Equity & Dynamic Income Trust |
SCHEDULE OF INVESTMENTS JANUARY 31, 2023 (UNAUDITED) |
NUMBER OF NOTIONAL AMOUNT | VALUE | |||||||
| 170 | First Solar, Inc. | |||||||
| 3,019,200 | Call, 03/17/23, Strike $200.00 | $ | (81,175) | |||||
| 96 | Lam Research Corp. | |||||||
| 4,800,960 | Call, 02/03/23, Strike $475.00 | (257,520) | ||||||
| 375 | STMicroelectronics, NV | |||||||
| 1,770,750 | Call, 02/17/23, Strike $46.00 | (87,188) | ||||||
| 340 | Visa, Inc. | |||||||
| 7,827,140 | Call, 03/17/23, Strike $240.00 | (95,200) | ||||||
|
|
| ||||||
| (663,873) | ||||||||
|
|
| ||||||
| Materials (0.0%) | ||||||||
| 345 | Sherwin-Williams Company | |||||||
| 8,162,355 | Put, 03/17/23, Strike $200.00 | (37,950) | ||||||
|
|
| ||||||
| Other (-0.1%) | ||||||||
| 1,185 | SPDR S&P 500 ETF Trust | |||||||
| 48,167,880 | Put, 03/17/23, Strike $331.00 | (58,065) | ||||||
| 1,165 | SPDR S&P Metals & Mining ETF | |||||||
| 6,654,480 | Call, 02/17/23, Strike $59.00 | (122,325) | ||||||
|
|
| ||||||
| (180,390) | ||||||||
|
|
| ||||||
TOTAL WRITTEN OPTIONS (Premium $1,757,764) | (1,689,445) | |||||||
|
|
| ||||||
| NOTES TO SCHEDULE OF INVESTMENTS | ||
| * | Securities issued and sold pursuant to a Rule 144A transaction are exempted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. | |
| ~ | Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $157,415,737. | |
| µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $30,934,364. | |
| @ | In default status and considered non-income producing. | |
| ‡ | Variable rate security. The rate shown is the rate in effect at January 31, 2023. | |
| ^ | Security, or portion of security, is on loan. | |
| ¡ | Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown. | |
| ! | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
| & | Illiquid security. | |
| # | Non-income producing security. | |
| FOREIGN CURRENCY ABBREVIATIONS | ||
| CAD | Canadian Dollar | |
| GBP | British Pound Sterling | |
| JPY | Japanese Yen | |
| Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown. | ||
See accompanying Notes to Schedule of Investments
13
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Long/Short Equity & Dynamic Income Trust (the “Fund”) was organized as a Delaware statutory trust on September 21, 2017 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on November 29, 2019.
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 Trust’s Board of Trustees, including a majority of the Trustees who are not “interested persons” of the Trust, have designated Calamos Advisors LLC (“Calamos Advisors”) to perfom fair valuation determinations related to all Fund investments under the oversight of the Board. As “valuation designee” the Calamos Advisors has adopted procedures to guide the determination of the NAV on any day on which the Fund’s NAVs are dertermined. 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 each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the 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 Calamos Advisors, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at January 31, 2023 was as follows*:
Cost basis of investments | $ | 271,796,922 | ||||||
Gross unrealized appreciation | 14,671,765 | |||||||
Gross unrealized depreciation | (36,926,345) | |||||||
Net unrealized appreciation (depreciation) | $ | (22,254,580) |
14
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.
Note 3 – Short Sales
Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on securities sold short are disclosed as an expense on the Statement of Operations. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.
15