Calamos Closed End Funds Third Quarter Holdings

Calamos Convertible Opportunities and Income Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)

See accompanying Notes to Schedule of Investments

1 9/2/2021 10:38 AM

PRINCIPAL AMOUNT VALUE

CORPORATE BONDS (33.9%) Airlines (0.9%)

1,727,872 Air Canada Pass Through Trust Series 2015-1, Class B*µ 3.875%, 09/15/24 $ 1,751,181

255,999 Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 259,819

1,104,927 Alaska Airlines Pass Through Trust Series 2020-1, Class A* 4.800%, 02/15/29 1,225,883

807,342 Alaska Airlines Pass Through Trust Series 2020-1, Class B*µ 8.000%, 02/15/27 902,738

American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.*

717,000 5.500%, 04/20/26 750,964 239,000 5.750%, 04/20/29 258,662

1,105,000 British Airways Pass Through Trust Series 2021-1, Class B* 3.900%, 03/15/33 1,122,426

866,317 JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 1,025,321

351,000 Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 395,981

333,929 UAL Pass Through Trust Series 2007-1 6.636%, 01/02/24 345,791

889,155 United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 910,788

532,993 United Airlines Pass Through Trust Series 2019-2, Class B 3.500%, 11/01/29 528,393 ___________

9,477,947 ___________ Communication Services (4.2%)

1,490,000 Arrow Bidco, LLC* 9.500%, 03/15/24 1,529,723

980,000 Ashtead Capital, Inc.* 4.000%, 05/01/28 1,036,203

717,000 Beasley Mezzanine Holdings, LLC* 8.625%, 02/01/26 728,407

705,000 Brink's Company* 5.500%, 07/15/25 743,211

1,740,000 Cincinnati Bell, Inc.* 8.000%, 10/15/25 1,830,289

830,000 Consolidated Communications, Inc.*^ 6.500%, 10/01/28 897,288

CSC Holdings, LLC* 3,100,000 5.500%, 04/15/27^ 3,246,010 2,100,000 5.750%, 01/15/30^ 2,192,946 1,450,000 5.375%, 02/01/28^ 1,535,318 1,350,000 4.625%, 12/01/30^ 1,331,059

440,000 4.500%, 11/15/31 444,246 1,010,000 Cumulus Media New Holdings,

Inc.*^ 6.750%, 07/01/26 1,064,348


Diamond Sports Group, LLC / Diamond Sports Finance Company*

750,000 6.625%, 08/15/27 $ 301,538 540,000 5.375%, 08/15/26 314,172 120,000 DIRECTV Holdings, LLC /

DIRECTV Financing Company, Inc.* 5.875%, 08/15/27 124,177

3,346,000 Embarq Corp. 7.995%, 06/01/36 3,753,710

Entercom Media Corp.*^ 478,000 6.750%, 03/31/29 488,301 443,000 6.500%, 05/01/27 456,782 559,000 Frontier Florida, LLC^&

6.860%, 02/01/28 613,072 1,445,000 Frontier North, Inc.@

6.730%, 02/15/28 1,572,969

Go Daddy Operating Company, LLC / GD Finance Company, Inc.*

835,000 3.500%, 03/01/29 836,603 250,000 5.250%, 12/01/27 262,780 270,000 Hughes Satellite Systems Corp.

5.250%, 08/01/26 302,535 Intelsat Jackson Holdings, SA@

731,000 9.750%, 07/15/25* 413,651 475,000 5.500%, 08/01/23 262,172

1,350,000 LCPR Senior Secured Financing DAC* 6.750%, 10/15/27 1,443,933

532,875 Ligado Networks, LLC* 15.500%, 11/01/23 15.500% PIK rate 527,791

1,145,000 Lumen Technologies, Inc.* 4.000%, 02/15/27 1,178,812

Netflix, Inc. 725,000 4.875%, 06/15/30* 874,865 525,000 4.875%, 04/15/28^ 614,297

Scripps Escrow II, Inc.* 477,000 3.875%, 01/15/29 477,673 239,000 5.375%, 01/15/31^ 239,186

1,275,000 Scripps Escrow, Inc.* 5.875%, 07/15/27 1,320,913

477,000 Shift4 Payments, LLC / Shift4 Payments Finance Sub, Inc.* 4.625%, 11/01/26 497,416

Sirius XM Radio, Inc.* 1,250,000 5.500%, 07/01/29^ 1,371,112 1,250,000 4.625%, 07/15/24^ 1,284,363

723,000 4.000%, 07/15/28 746,136 715,000 Spanish Broadcasting System,

Inc.* 9.750%, 03/01/26 729,686

1,740,000 Sprint Capital Corp.^ 6.875%, 11/15/28 2,246,653

2,430,000 Sprint Corp. 7.125%, 06/15/24 2,798,437

755,000 Telecom Italia Capital, SA 6.000%, 09/30/34 868,439

1,340,000 United States Cellular Corp. 6.700%, 12/15/33 1,669,305

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


2

9/2/2021 10:38 AM


392,000 Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 $ 4,214 ___________

45,174,741 ___________ Consumer Discretionary (5.3%)

1,004,000 American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28 1,088,236

Ashton Woods USA, LLC / Ashton Woods Finance Company*

705,000 6.625%, 01/15/28 752,785 598,000 4.625%, 08/01/29 600,093 285,000 Avis Budget Car Rental, LLC /

Avis Budget Finance, Inc.*^ 5.375%, 03/01/29 297,241

1,250,000 Bally's Corp.*^ 6.750%, 06/01/27 1,352,338

Caesars Entertainment, Inc.* 472,000 8.125%, 07/01/27 520,087 472,000 6.250%, 07/01/25 498,852

1,460,000 Caesars Resort Collection, LLC / CRC Finco, Inc.*^ 5.250%, 10/15/25 1,472,322

Carnival Corp.* 488,000 10.500%, 02/01/26^ 559,516 239,000 7.625%, 03/01/26 253,715

1,130,000 Carriage Services, Inc.*^ 4.250%, 05/15/29 1,130,949

710,000 Carvana Company* 5.625%, 10/01/25 737,995

CCO Holdings, LLC / CCO Holdings Capital Corp.*

3,130,000 5.125%, 05/01/27^ 3,278,518 1,055,000 4.750%, 03/01/30 1,119,724

585,000 5.750%, 02/15/26 605,136 565,000 5.000%, 02/01/28 592,973 476,000 4.250%, 02/01/31 491,213 750,000 Cedar Fair, LP^

5.250%, 07/15/29 764,085 Century Communities, Inc.

1,250,000 6.750%, 06/01/27 1,337,388 1,095,000 5.875%, 07/15/25 1,132,099

DISH DBS Corp.^ 763,000 7.750%, 07/01/26 872,262 595,000 7.375%, 07/01/28 644,498 718,000 Everi Holdings, Inc.*

5.000%, 07/15/29 734,966 600,000 Ford Motor Company

8.500%, 04/21/23 667,092 Ford Motor Credit Company, LLC

1,525,000 4.000%, 11/13/30 1,615,494 1,300,000 4.063%, 11/01/24 1,380,795 1,140,000 3.664%, 09/08/24 1,196,191 1,120,000 4.134%, 08/04/25 1,200,326

500,000 4.389%, 01/08/26 542,785 goeasy, Ltd.*

1,660,000 5.375%, 12/01/24 1,723,578 881,000 4.375%, 05/01/26 908,875 478,000 Goodyear Tire & Rubber

Company*^ 5.000%, 07/15/29 504,051

477,000 Guitar Center, Inc.*& 8.500%, 01/15/26 509,989


International Game Technology, PLC*

1,260,000 6.250%, 01/15/27 $ 1,433,137 301,000 5.250%, 01/15/29 321,546 200,000 4.125%, 04/15/26^ 208,522

L Brands, Inc. 1,264,000 6.694%, 01/15/27^ 1,501,961

718,000 6.875%, 11/01/35 924,396 475,000 Liberty Interactive, LLC^

8.500%, 07/15/29 545,447 717,000 Life Time, Inc.*^

8.000%, 04/15/26 751,631 M/I Homes, Inc.

1,335,000 5.625%, 08/01/25 1,374,823 705,000 4.950%, 02/01/28 743,838

Macy's Retail Holdings, LLC 475,000 6.700%, 07/15/34* 505,481 250,000 5.125%, 01/15/42 228,983 472,000 Macy's, Inc.*

8.375%, 06/15/25 514,976 Mattel, Inc.*

1,250,000 5.875%, 12/15/27 1,369,050 120,000 3.750%, 04/01/29 126,672

Mclaren Finance, PLC* 1,155,000 5.750%, 08/01/22 1,155,000

930,000 7.500%, 08/01/26 945,791 1,100,000 Midwest Gaming Borrower, LLC /

Midwest Gaming Finance Corp.* 4.875%, 05/01/29 1,110,120

717,000 Mohegan Gaming & Entertainment* 8.000%, 02/01/26 746,834

931,000 Newell Brands, Inc. 4.700%, 04/01/26 1,038,437

480,000 Penn National Gaming, Inc.*^ 4.125%, 07/01/29 473,357

2,360,000 Rite Aid Corp.* 8.000%, 11/15/26 2,371,871

Royal Caribbean Cruises, Ltd.* 465,000 11.500%, 06/01/25 532,778 233,000 10.875%, 06/01/23 264,842

1,110,000 Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*^ 4.625%, 03/01/29 1,123,975

1,250,000 Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 1,278,938

750,000 Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 849,143

238,000 Viking Cruises, Ltd.* 13.000%, 05/15/25 276,249

1,100,000 Vista Outdoor, Inc.*^ 4.500%, 03/15/29 1,122,935

1,000,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 993,430

241,000 Williams Scotsman International, Inc.*^ 4.625%, 08/15/28 249,413 ___________

56,169,743 ___________ Consumer Staples (1.6%)

1,099,000 Central Garden & Pet Company* 4.125%, 04/30/31 1,124,343




3 9/2/2021 10:38 AM


Edgewell Personal Care Company*

717,000 4.125%, 04/01/29^ $ 722,084 482,000 5.500%, 06/01/28 510,828

1,091,000 Energizer Holdings, Inc.*^ 4.375%, 03/31/29 1,097,371

680,000 Fresh Market, Inc.* 9.750%, 05/01/23 700,998

1,275,000 JBS USA LUX, SA / JBS USA Finance, Inc.* 6.750%, 02/15/28 1,403,036

403,000 JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* 6.500%, 04/15/29 454,403

Kraft Heinz Foods Company 1,470,000 4.375%, 06/01/46 1,693,117

237,000 4.250%, 03/01/31^ 273,252 237,000 3.875%, 05/15/27 262,551 621,000 New Albertsons, LP

7.750%, 06/15/26 713,436 957,000 Performance Food Group, Inc.*^

4.250%, 08/01/29 973,929 1,450,000 Pilgrim's Pride Corp.*^

5.875%, 09/30/27 1,552,428 Post Holdings, Inc.*^

1,250,000 5.750%, 03/01/27 1,303,750 696,000 4.625%, 04/15/30 709,739 909,000 Prestige Brands, Inc.*

3.750%, 04/01/31 902,482 1,050,000 United Natural Foods, Inc.*^

6.750%, 10/15/28 1,135,407 Vector Group, Ltd.*

1,500,000 5.750%, 02/01/29 1,528,590 578,000 10.500%, 11/01/26 615,084 ___________

17,676,828 ___________ Energy (3.1%)

Antero Resources Corp.* 355,000 7.625%, 02/01/29 389,151 239,000 5.375%, 03/01/30^ 243,383

Apache Corp. 958,000 5.100%, 09/01/40^ 1,028,547 538,000 4.875%, 11/15/27 579,458 478,000 4.625%, 11/15/25 514,366

45,262 Bonanza Creek Energy, Inc. 7.500%, 04/30/26 45,660

Buckeye Partners, LP 750,000 3.950%, 12/01/26 762,503 500,000 5.850%, 11/15/43 508,990 577,000 ChampionX Corp.

6.375%, 05/01/26 604,408 Cheniere Energy Partners, LP

1,000,000 5.625%, 10/01/26 1,034,260 232,000 4.000%, 03/01/31* 245,623 477,000 Cheniere Energy, Inc.

4.625%, 10/15/28 504,084 Continental Resources, Inc.^

965,000 3.800%, 06/01/24 1,013,318 725,000 4.375%, 01/15/28 810,383

1,490,000 DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 1,402,284

12,570 Diamond Foreign Asset Company / Diamond Finance, LLC 13.000%, 04/22/27 12,609


502,000 DT Midstream, Inc.* 4.125%, 06/15/29 $ 515,253

Energy Transfer, LP‡ 1,400,000 3.143%, 11/01/66

3 mo. USD LIBOR + 3.02% 1,155,392 700,000 6.500%, 11/15/26

5 year CMT + 5.69% 716,968 EnLink Midstream Partners, LP

1,235,000 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% 956,668

1,015,000 4.850%, 07/15/26^ 1,062,451 EQT Corp.

550,000 7.500%, 02/01/30 723,135 385,000 6.625%, 02/01/25 445,341 235,000 5.000%, 01/15/29 265,832 978,000 Genesis Energy, LP / Genesis

Energy Finance Corp. 6.250%, 05/15/26 966,694

Gulfport Energy Operating Corp. 940,000 6.375%, 05/15/25@ 39,950 275,051 8.000%, 05/17/26^ 294,643

Laredo Petroleum, Inc. 807,000 10.125%, 01/15/28 855,331 243,000 7.750%, 07/31/29* 235,350

1,060,000 Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*^ 6.000%, 08/01/26 1,086,935

Moss Creek Resources Holdings, Inc.*

500,000 10.500%, 05/15/27 480,585 455,000 7.500%, 01/15/26 412,125 478,000 Murphy Oil Corp.

6.375%, 07/15/28 506,322 New Fortress Energy, Inc.*

478,000 6.500%, 09/30/26 483,683 477,000 6.750%, 09/15/25 487,217 450,000 Nine Energy Service, Inc.*

8.750%, 11/01/23 270,972 240,000 Oasis Midstream Partners, LP /

OMP Finance Corp.* 8.000%, 04/01/29 251,136

Occidental Petroleum Corp. 2,930,000 4.300%, 08/15/39 2,908,904 2,142,000 2.900%, 08/15/24 2,159,607

494,000 5.875%, 09/01/25 548,078 245,000 Ovintiv, Inc.^

6.500%, 08/15/34 327,305 464,000 Par Petroleum, LLC / Par

Petroleum Finance Corp.* 7.750%, 12/15/25 461,054

750,000 Parkland Corp. / Canada*^ 5.875%, 07/15/27 800,580

960,000 Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% 860,899

360,000 Range Resources Corp.*^ 8.250%, 01/15/29 399,053

536,000 Transocean, Inc.*^ 11.500%, 01/30/27 533,990

Venture Global Calcasieu Pass, LLC*

240,000 4.125%, 08/15/31 247,584 240,000 3.875%, 08/15/29 245,352 480,000 Vine Energy Holdings, LLC*

6.750%, 04/15/29 501,710




4

9/2/2021 10:38 AM


500,000 Viper Energy Partners, LP* 5.375%, 11/01/27 $ 524,635

665,000 W&T Offshore, Inc.* 9.750%, 11/01/23 640,475

460,000 Weatherford International, Ltd.* 11.000%, 12/01/24 476,611 ___________

33,546,847 ___________ Financials (6.6%)

Acrisure, LLC / Acrisure Finance, Inc.*

2,455,000 7.000%, 11/15/25^ 2,498,282 1,434,000 6.000%, 08/01/29 1,435,075

720,000 Aethon United BR, LP / Aethon United Finance Corp.* 8.250%, 02/15/26 771,394

984,000 AG Issuer, LLC*^ 6.250%, 03/01/28 1,034,883

2,065,000 Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 2,159,701

Ally Financial, Inc. 842,000 4.700%, 05/15/26‡

5 year CMT + 3.87% 884,925 777,000 8.000%, 11/01/31^ 1,132,804 445,000 4.700%, 05/15/28‡

7 year CMT + 3.48% 463,570 961,000 AmWINS Group, Inc.*

4.875%, 06/30/29 981,421 2,200,000 AssuredPartners, Inc.*

7.000%, 08/15/25 2,242,416 1,069,000 Aviation Capital Group, LLC*^

3.500%, 11/01/27 1,138,603 956,000 BroadStreet Partners, Inc.*

5.875%, 04/15/29 974,604 2,720,000 Brookfield Property REIT, Inc. /

BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco LL*^ 5.750%, 05/15/26 2,831,901

Credit Acceptance Corp.^ 1,250,000 6.625%, 03/15/26 1,322,700

869,000 5.125%, 12/31/24* 899,050 297,000 Cushman & Wakefield US

Borrower, LLC* 6.750%, 05/15/28 319,382

1,250,000 Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 1,296,512

1,005,000 Enact Holdings, Inc.*^ 6.500%, 08/15/25 1,091,360

1,398,000 Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 1,388,577

1,563,000 Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 1,602,278

4,250,000 HUB International, Ltd.* 7.000%, 05/01/26 4,408,610

Icahn Enterprises, LP / Icahn Enterprises Finance Corp.

1,180,000 5.250%, 05/15/27 1,242,906 718,000 4.375%, 02/01/29 727,722

1,825,000 ILFC E-Capital Trust II*‡ 3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 1,545,501


2,195,000 Iron Mountain, Inc.*^ 5.250%, 03/15/28 $ 2,302,467

Jefferies Finance, LLC / JFIN Co-Issuer Corp.*

2,435,000 5.000%, 08/15/28 2,494,195 2,000,000 6.250%, 06/03/26^ 2,156,300

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*

1,874,000 5.250%, 10/01/25^ 1,905,202 478,000 4.750%, 06/15/29 476,518

1,119,000 LD Holdings Group, LLC* 6.125%, 04/01/28 1,112,017

Level 3 Financing, Inc. 1,040,000 5.375%, 05/01/25 1,064,367

985,000 4.250%, 07/01/28* 1,004,592 LPL Holdings, Inc.*

1,195,000 4.000%, 03/15/29 1,215,423 359,000 4.375%, 05/15/31 368,488

2,085,000 MetLife, Inc.^ 6.400%, 12/15/66 2,673,867

Navient Corp. 2,113,000 5.000%, 03/15/27 2,204,831 1,100,000 4.875%, 03/15/28^ 1,110,538

OneMain Finance Corp. 1,230,000 7.125%, 03/15/26 1,449,309

925,000 6.875%, 03/15/25 1,051,549

Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer*

578,000 7.500%, 06/01/25 626,928 476,000 5.875%, 10/01/28 508,168 599,000 PHH Mortgage Corp.*^

7.875%, 03/15/26 615,688 1,100,000 Prospect Capital Corp.µ

3.706%, 01/22/26 1,142,702 445,000 Quicken Loans, LLC / Quicken

Loans Co-Issuer, Inc.* 3.625%, 03/01/29 448,529

1,250,000 Radian Group, Inc.^ 4.875%, 03/15/27 1,359,537

1,100,000 RHP Hotel Properties, LP / RHP Finance Corp.* 4.500%, 02/15/29 1,112,540

717,000 RLJ Lodging Trust, LP* 3.750%, 07/01/26 727,325

580,000 SLM Corp.^ 4.200%, 10/29/25 628,529

1,250,000 Starwood Property Trust, Inc.^ 4.750%, 03/15/25 1,326,650

943,000 StoneX Group, Inc.* 8.625%, 06/15/25 1,025,371

United Wholesale Mortgage, LLC* 716,000 5.500%, 11/15/25^ 738,590 478,000 5.500%, 04/15/29 476,174 940,000 VICI Properties, LP / VICI Note

Company, Inc.*^ 3.750%, 02/15/27 968,914

XHR, LP* 1,017,000 6.375%, 08/15/25 1,084,915

478,000 4.875%, 06/01/29 489,615 ___________ 70,264,015 ___________

Health Care (3.0%) 477,000 Acadia Healthcare Company, Inc.*

5.000%, 04/15/29 502,105




5 9/2/2021 10:38 AM


2,730,000 Bausch Health Americas, Inc.* 8.500%, 01/31/27 $ 2,957,027

Bausch Health Companies, Inc.* 1,340,000 5.250%, 02/15/31^ 1,257,041 1,050,000 5.000%, 01/30/28^ 1,005,049

413,000 5.000%, 02/15/29 390,595 Centene Corp.

1,000,000 4.250%, 12/15/27 1,054,790 477,000 3.000%, 10/15/30 496,528 479,000 Charles River Laboratories

International, Inc.* 3.750%, 03/15/29 491,483

CHS/Community Health Systems, Inc.*

1,917,000 6.125%, 04/01/30 1,944,835 1,100,000 8.000%, 03/15/26 1,179,948

538,000 6.875%, 04/15/29 566,939 DaVita, Inc.*

1,447,000 4.625%, 06/01/30^ 1,496,285 709,000 3.750%, 02/15/31 690,353

Encompass Health Corp. 470,000 4.750%, 02/01/30^ 504,193 470,000 4.500%, 02/01/28 489,688

1,109,000 HCA, Inc. 7.500%, 11/06/33 1,585,371

300,000 Jazz Securities DAC* 4.375%, 01/15/29 313,239

1,650,000 Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 1,099,065

Organon & Company / Organon Foreign Debt Co-Issuer, BV*

1,760,000 5.125%, 04/30/31 1,815,088 450,000 4.125%, 04/30/28 462,101

1,025,000 Team Health Holdings, Inc.*^ 6.375%, 02/01/25 957,073

Tenet Healthcare Corp. 2,250,000 6.250%, 02/01/27* 2,346,750 1,405,000 4.625%, 07/15/24 1,425,415 1,315,000 6.875%, 11/15/31 1,508,134 1,250,000 4.875%, 01/01/26* 1,296,062

Teva Pharmaceutical Finance Netherlands III, BV

2,050,000 6.000%, 04/15/24 2,157,215 1,950,000 2.800%, 07/21/23 1,934,731 ___________

31,927,103 ___________ Industrials (5.2%)

960,000 Abercrombie & Fitch Management Company*^ 8.750%, 07/15/25 1,063,085

1,100,000 ACCO Brands Corp.*^ 4.250%, 03/15/29 1,100,561

Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC*

1,183,000 4.875%, 02/15/30 1,281,556 1,175,000 4.625%, 01/15/27^ 1,243,585

477,000 3.500%, 03/15/29^ 482,133 Allison Transmission, Inc.*

825,000 4.750%, 10/01/27 862,117 240,000 3.750%, 01/30/31 240,228 240,000 Ambience Merger Sub, Inc.*

7.125%, 07/15/29 243,230 240,000 American Airlines Group, Inc.*^

3.750%, 03/01/25 213,934


538,000 Arcosa, Inc.* 4.375%, 04/15/29 $ 551,525

2,450,000 ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate 2,587,543

500,000 Avolon Holdings Funding, Ltd.*µ 5.250%, 05/15/24 550,730

872,000 Beacon Roofing Supply, Inc.*^ 4.125%, 05/15/29 875,035

956,000 BWX Technologies, Inc.* 4.125%, 04/15/29 980,129

Cascades, Inc. / Cascades USA, Inc.*

750,000 5.125%, 01/15/26^ 794,947 500,000 5.375%, 01/15/28 526,990

Delta Air Lines, Inc. 239,000 7.375%, 01/15/26 281,640 236,000 3.800%, 04/19/23^ 243,861

Delta Air Lines, Inc. / SkyMiles IP, Ltd.*

239,000 4.750%, 10/20/28 267,897 119,000 4.500%, 10/20/25µ 128,187 718,000 Endure Digital, Inc.*^

6.000%, 02/15/29 697,185 475,000 EnerSys*

4.375%, 12/15/27 497,615 1,100,000 Fly Leasing, Ltd.

5.250%, 10/15/24 1,116,511 477,000 GFL Environmental, Inc.*

3.750%, 08/01/25 491,410 Golden Nugget, Inc.*

725,000 6.750%, 10/15/24 727,653 505,000 8.750%, 10/01/25^ 532,568 533,000 Graham Packaging Company,

Inc.* 7.125%, 08/15/28 570,683

500,000 Granite US Holdings Corp.* 11.000%, 10/01/27 558,690

Graphic Packaging International, LLC*

625,000 4.750%, 07/15/27 678,225 446,000 3.500%, 03/01/29 444,845 239,000 Great Lakes Dredge & Dock

Corp.* 5.250%, 06/01/29 246,801

2,244,000 H&E Equipment Services, Inc.*^ 3.875%, 12/15/28 2,228,584

538,000 HCRX Investments Holdco, LP* 4.500%, 08/01/29 549,524

1,250,000 Herc Holdings, Inc.*^ 5.500%, 07/15/27 1,313,825

Howmet Aerospace, Inc. 1,450,000 5.125%, 10/01/24^ 1,598,161

429,000 6.875%, 05/01/25 499,549 1,250,000 JELD-WEN, Inc.*

4.625%, 12/15/25 1,275,200 480,000 KeHE Distributors, LLC / KeHE

Finance Corp.* 8.625%, 10/15/26 520,608

1,091,000 Ken Garff Automotive, LLC* 4.875%, 09/15/28 1,125,039

474,000 MasTec, Inc.* 4.500%, 08/15/28 500,226

624,000 Meritor, Inc.* 4.500%, 12/15/28 639,013

588,000 Moog, Inc.*^ 4.250%, 12/15/27 607,463




6

9/2/2021 10:38 AM


1,300,000 Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 $ 1,323,218

940,000 Novelis Corp.* 4.750%, 01/30/30 1,002,378

1,120,000 Park-Ohio Industries, Inc. 6.625%, 04/15/27 1,139,802

Patrick Industries, Inc.* 505,000 7.500%, 10/15/27 549,536 478,000 4.750%, 05/01/29 488,157

1,170,000 Peninsula Pacific Entertainment, LLC / Peninsula Pacific Entertainment Finance In* 8.500%, 11/15/27 1,270,456

213,000 Picasso Finance Sub, Inc.*^ 6.125%, 06/15/25 225,976

935,000 QVC, Inc. 4.375%, 09/01/28 961,376

1,100,000 Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu* 4.000%, 10/15/27 1,100,242

790,000 Scientific Games International, Inc.* 5.000%, 10/15/25 812,641

463,000 SEG Holding, LLC / SEG Finance Corp.*^ 5.625%, 10/15/28 488,683

450,000 Sensata Technologies, BV* 4.000%, 04/15/29 463,208

479,000 Sensata Technologies, Inc.* 3.750%, 02/15/31 483,795

Sinclair Television Group, Inc.* 477,000 4.125%, 12/01/30 463,067 475,000 5.500%, 03/01/30^ 477,142

Standard Industries, Inc.* 955,000 5.000%, 02/15/27 989,447 236,000 4.375%, 07/15/30^ 242,894

Station Casinos, LLC* 1,965,000 4.500%, 02/15/28^ 1,983,766

647,000 5.000%, 10/01/25 656,013 477,000 Stericycle, Inc.*

3.875%, 01/15/29 484,169 717,000 STL Holding Company, LLC*

7.500%, 02/15/26 756,643 1,000,000 TransDigm UK Holdings, PLC^

6.875%, 05/15/26 1,056,730 TransDigm, Inc.

1,260,000 6.250%, 03/15/26* 1,323,970 700,000 7.500%, 03/15/27 742,672 478,000 Tronox, Inc.*^

4.625%, 03/15/29 486,963

United Rentals North America, Inc.

480,000 3.750%, 01/15/32 480,000 450,000 5.875%, 09/15/26 465,431 239,000 3.875%, 02/15/31^ 246,263 615,000 Waste Pro USA, Inc.*

5.500%, 02/15/26 628,186 WESCO Distribution, Inc.*

470,000 7.125%, 06/15/25^ 506,970 235,000 7.250%, 06/15/28 262,004

1,250,000 XPO Logistics, Inc.* 6.750%, 08/15/24 1,297,787 ___________

55,797,876 ___________


Information Technology (1.4%) 478,000 Booz Allen Hamilton, Inc.*

4.000%, 07/01/29 $ 493,043 500,000 CDK Global, Inc.*

5.250%, 05/15/29 545,190 1,114,000 CommScope Technologies, LLC*

6.000%, 06/15/25 1,132,047

Dell International, LLC / EMC Corp.

1,155,000 6.020%, 06/15/26µ 1,390,551 750,000 6.100%, 07/15/27 927,893 425,000 5.850%, 07/15/25µ 499,664 480,000 Fair Isaac Corp.*

4.000%, 06/15/28 502,262 1,050,000 KBR, Inc.*

4.750%, 09/30/28 1,068,805 1,050,000 MPH Acquisition Holdings, LLC*^

5.750%, 11/01/28 1,021,335 478,000 NCR Corp.*

5.125%, 04/15/29 498,176 1,102,000 Nielsen Finance, LLC / Nielsen

Finance Company* 4.500%, 07/15/29 1,113,075

723,000 ON Semiconductor Corp.* 3.875%, 09/01/28 753,330

705,000 Open Text Corp.* 3.875%, 02/15/28 729,760

479,000 Playtika Holding Corp.* 4.250%, 03/15/29 478,253

646,000 PTC, Inc.* 4.000%, 02/15/28 669,430

1,100,000 TTM Technologies, Inc.*^ 4.000%, 03/01/29 1,108,239

Twilio, Inc. 680,000 3.625%, 03/15/29 699,448 236,000 3.875%, 03/15/31^ 246,957

1,100,000 ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 1,102,134 ___________

14,979,592 ___________ Materials (1.7%)

Alcoa Nederland Holding, BV* 1,625,000 7.000%, 09/30/26 1,697,052

600,000 4.125%, 03/31/29^ 631,566 534,000 Allegheny Technologies, Inc.^

5.875%, 12/01/27 561,501 725,000 ArcelorMittal, SA

7.250%, 10/15/39 1,059,508 412,000 Ardagh Packaging Finance, PLC /

Ardagh Holdings USA, Inc.* 6.000%, 02/15/25 425,048

1,530,000 Clearwater Paper Corp.*^ 4.750%, 08/15/28 1,548,161

650,000 First Quantum Minerals, Ltd.*^ 7.250%, 04/01/23 662,558

Freeport-McMoRan, Inc. 645,000 5.000%, 09/01/27 681,591 475,000 5.450%, 03/15/43 610,698 425,000 5.400%, 11/14/34^ 540,311 716,000 HB Fuller Company

4.250%, 10/15/28 733,513 957,000 Intertape Polymer Group, Inc.*

4.375%, 06/15/29 980,265




7 9/2/2021 10:38 AM


725,000 JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 $ 764,744

Kaiser Aluminum Corp.* 505,000 4.625%, 03/01/28^ 528,003 120,000 4.500%, 06/01/31 124,933 777,000 Mercer International, Inc.^

5.125%, 02/01/29 793,457 New Gold, Inc.*

628,000 6.375%, 05/15/25 648,266 237,000 7.500%, 07/15/27 256,173 936,000 OCI, NV*

4.625%, 10/15/25 972,130 475,000 Owens-Brockway Glass

Container, Inc.*^ 6.625%, 05/13/27 515,223

481,000 PBF Holding Company, LLC / PBF Finance Corp. 7.250%, 06/15/25 290,659

1,105,000 Silgan Holdings, Inc.^ 4.125%, 02/01/28 1,148,272

478,000 Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 487,871

750,000 Univar Solutions USA, Inc.* 5.125%, 12/01/27 786,757

480,000 Valvoline, Inc.*^ 3.625%, 06/15/31 478,502 ___________

17,926,762 ___________ Real Estate (0.4%)

764,000 EPR Properties^ 3.750%, 08/15/29 775,926

Forestar Group, Inc.* 750,000 5.000%, 03/01/28 781,792 242,000 3.850%, 05/15/26 245,688 719,000 iStar, Inc.

5.500%, 02/15/26 754,864 Service Properties Trust

1,250,000 4.350%, 10/01/24 1,261,687 465,000 5.250%, 02/15/26 470,692 ___________

4,290,649 ___________ Utilities (0.5%)

705,000 Calpine Corp.*^ 4.500%, 02/15/28 727,708

755,000 NRG Energy, Inc. 6.625%, 01/15/27 782,459

1,449,000 PPL Capital Funding, Inc.^‡ 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% 1,420,788

Talen Energy Supply, LLC* 500,000 10.500%, 01/15/26 345,155 250,000 7.250%, 05/15/27^ 228,243

1,250,000 TerraForm Power Operating, LLC* 5.000%, 01/31/28 1,353,525 ___________

4,857,878 ___________

TOTAL CORPORATE BONDS (Cost $346,620,153) 362,089,981 ___________ ___________

CONVERTIBLE BONDS (88.5%) Communication Services (10.3%)

3,696,000 Eventbrite, Inc.*µ 0.750%, 09/15/26 3,495,307


Liberty Media Corp. 9,000,000 0.500%, 12/01/50* $ 9,966,780 8,550,000 1.375%, 10/15/23µ 11,368,850 4,500,000 Liberty Media Corp. / Liberty

Formula Oneµ 1.000%, 01/30/23 5,960,070

5,250,000 Match Group Financeco 3, Inc.* 2.000%, 01/15/30 10,595,078

4,500,000 Sea, Ltd. 2.375%, 12/01/25 13,988,520

Snap, Inc. 11,750,000 0.000%, 05/01/27* 13,526,600

5,750,000 0.750%, 08/01/26 18,824,637 9,250,000 Twitter, Inc.^

0.250%, 06/15/24 12,827,252 7,400,000 Zynga, Inc.

0.250%, 06/01/24 9,889,138 ___________ 110,442,232 ___________

Consumer Discretionary (25.4%) 5,750,000 Airbnb, Inc.*µ

0.000%, 03/15/26 5,389,360 9,000,000 Booking Holdings, Inc.^

0.750%, 05/01/25 12,704,400 6,250,000 Burlington Stores, Inc.^

2.250%, 04/15/25 10,226,687 5,500,000 Cheesecake Factory, Inc.

0.375%, 06/15/26 5,159,550 8,500,000 Chegg, Inc.*

0.000%, 09/01/26 9,217,145 2,500,000 Dick's Sporting Goods, Inc.

3.250%, 04/15/25 7,692,400 DISH Network Corp.

5,250,000 0.000%, 12/15/25* 6,144,600 1,832,000 2.375%, 03/15/24^~ 1,775,263

11,500,000 DraftKings, Inc.*µ 0.000%, 03/15/28 10,095,160

12,750,000 Etsy, Inc.*µ^ 0.125%, 09/01/27 15,367,575

4,312,000 Expedia Group, Inc.*µ^ 0.000%, 02/15/26 4,636,349

11,500,000 Ford Motor Company*µ 0.000%, 03/15/26 12,322,825

5,500,000 LCI Industries*µ 1.125%, 05/15/26 5,931,420

Liberty Interactive, LLCµ 970,000 4.000%, 11/15/29 747,511 615,000 3.750%, 02/15/30 474,436

4,229,000 MakeMyTrip, Ltd.* 0.000%, 02/15/28 4,275,012

11,250,000 Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 12,028,837

3,000,000 NCL Corp. Ltd. 6.000%, 05/15/24 5,885,190

4,255,000 NCL Corp., Ltd.* 5.375%, 08/01/25 6,733,708

440,000 Peloton Interactive, Inc.* 0.000%, 02/15/26 416,359

4,500,000 RH 0.000%, 09/15/24 14,075,595

15,250,000 Royal Caribbean Cruises, Ltd.^ 4.250%, 06/15/23 19,649,625

5,750,000 Shake Shack, Inc.* 0.000%, 03/01/28 5,388,382




8

9/2/2021 10:38 AM


4,340,000 Tesla, Inc. 2.000%, 05/15/24 $ 48,097,833

3,500,000 Under Armour, Inc. 1.500%, 06/01/24 6,533,765

15,000,000 Vail Resorts, Inc.*^ 0.000%, 01/01/26 15,145,650

5,500,000 Vroom, Inc.* 0.750%, 07/01/26 5,350,730

12,500,000 Wayfair, Inc.* 0.625%, 10/01/25 12,143,625

6,000,000 Winnebago Industries, Inc. 1.500%, 04/01/25 7,939,920 ___________


5,750,000 Beyond Meat, Inc.* 0.000%, 03/15/27 5,297,935 ___________

Energy (1.0%) 7,000,000 Pioneer Natural Resources

Company 0.250%, 05/15/25 10,298,330

SunEdison, Inc.@ 9,411,000 0.250%, 01/15/20 145,588

898,000 2.000%, 10/01/18 13,892 ___________ 10,457,810 ___________

Financials (1.0%) 5,500,000 Coinbase Global, Inc.*

0.500%, 06/01/26 5,553,185 5,500,000 Realogy Group, LLC / Realogy

Co-Issuer Corp.* 0.250%, 06/15/26 5,571,280 ___________

11,124,465 ___________ Health Care (14.5%)

5,750,000 Bridgebio Pharma, Inc.* 2.250%, 02/01/29 5,254,753

2,750,000 CONMED Corp.^ 2.625%, 02/01/24 4,451,068

14,000,000 Dexcom, Inc.^ 0.250%, 11/15/25 15,964,340

2,426,000 Envista Holdings Corp.µ^ 2.375%, 06/01/25 5,174,973

9,250,000 Exact Sciences Corp.µ 0.375%, 03/15/27 11,183,527

5,750,000 Halozyme Therapeutics, Inc.*µ 0.250%, 03/01/27 5,267,978

13,500,000 Insulet Corp.µ 0.375%, 09/01/26 18,698,580

9,000,000 Integra LifeSciences Holdings Corp.µ 0.500%, 08/15/25 10,246,320

9,950,000 Jazz Investments I, Ltd.µ 2.000%, 06/15/26 12,899,677

10,250,000 NeoGenomics, Inc. 0.250%, 01/15/28 10,101,477

4,000,000 NuVasive, Inc.^ 0.375%, 03/15/25 3,893,160

5,500,000 Oak Street Health, Inc.* 0.000%, 03/15/26 5,824,830

8,500,000 Omnicell, Inc.* 0.250%, 09/15/25 13,389,285

8,000,000 Pacira BioSciences, Inc. 0.750%, 08/01/25 8,803,040


6,470,000 Repligen Corp. 0.375%, 07/15/24 $ 13,995,063

1,675,000 Sarepta Therapeutics, Inc. 1.500%, 11/15/24 2,054,873

6,750,000 Teladoc Health, Inc.^ 1.250%, 06/01/27 7,270,898 ___________

154,473,842 ___________ Industrials (6.7%)

3,500,000 Air Canadaµ 4.000%, 07/01/25 5,340,825

3,750,000 Air Transport Services Group, Inc.µ 1.125%, 10/15/24 3,900,600

3,650,000 Atlas Air Worldwide Holdings, Inc. 1.875%, 06/01/24 4,607,541

11,250,000 JetBlue Airways Corp.*^ 0.500%, 04/01/26 11,126,812

5,500,000 John Bean Technologies Corp.*µ 0.250%, 05/15/26 5,931,145

4,250,000 Middleby Corp.* 1.000%, 09/01/25 6,648,148

10,000,000 Southwest Airlines Company~ 1.250%, 05/01/25 14,693,000

20,000,000 Uber Technologies, Inc.*^ 0.000%, 12/15/25 19,535,800 ___________

71,783,871 ___________ Information Technology (26.9%)

9,250,000 Bentley Systems, Inc.* 0.125%, 01/15/26 10,676,072

5,207,000 Bill.com Holdings, Inc.* 0.000%, 12/01/25 7,568,479

14,000,000 Coupa Software, Inc. 0.375%, 06/15/26 15,031,380

7,250,000 Datadog, Inc.~ 0.125%, 06/15/25 10,060,318

Enphase Energy, Inc.*µ 5,750,000 0.000%, 03/01/26 5,796,748 5,750,000 0.000%, 03/01/28 5,831,995 2,500,000 Everbridge, Inc.µ

0.125%, 12/15/24 3,495,475 3,500,000 Five9, Inc.µ

0.500%, 06/01/25 5,660,760 4,750,000 LivePerson, Inc.*

0.000%, 12/15/26 5,142,920 18,705,000 Microchip Technology, Inc.^

0.125%, 11/15/24 20,528,176 6,000,000 MicroStrategy, Inc.*

0.000%, 02/15/27 4,447,080 6,750,000 MongoDB, Inc.

0.250%, 01/15/26 12,197,047 5,645,000 Nova Measuring Instruments,

Ltd.* 0.000%, 10/15/25 7,974,635

Okta, Inc. 7,500,000 0.125%, 09/01/25^ 10,944,450 4,000,000 0.375%, 06/15/26 5,045,760

11,000,000 ON Semiconductor Corp.*^ 0.000%, 05/01/27 11,706,200

8,500,000 Palo Alto Networks, Inc. 0.750%, 07/01/23 13,134,370

2,000,000 Q2 Holdings, Inc. 0.750%, 06/01/26 2,633,180

11,250,000 Repay Holdings Corp.* 0.000%, 02/01/26 11,206,575




9 9/2/2021 10:38 AM


8,250,000 RingCentral, Inc. 0.000%, 03/01/25 $ 8,725,365

13,750,000 Shift4 Payments, Inc.* 0.000%, 12/15/25 17,890,262

1,824,000 Shopify, Inc.^ 0.125%, 11/01/25 2,405,072

7,750,000 Silicon Laboratories, Inc. 0.625%, 06/15/25 10,525,585

11,500,000 Splunk, Inc. 1.125%, 06/15/27 11,272,070

Square, Inc.*^ 9,000,000 0.250%, 11/01/27 10,619,550 9,000,000 0.000%, 05/01/26 10,239,300 5,750,000 Tyler Technologies, Inc.*

0.250%, 03/15/26 6,577,080 8,000,000 Wix.com, Ltd.*^

0.000%, 08/15/25 8,742,400 5,250,000 Workday, Inc.

0.250%, 10/01/22 8,500,013 7,750,000 Zendesk, Inc.

0.625%, 06/15/25 10,562,707 7,250,000 Zscaler, Inc.

0.125%, 07/01/25 12,114,025 ___________ 287,255,049 ___________

Materials (1.3%) 5,500,000 Ivanhoe Mines, Ltd.*µ

2.500%, 04/15/26 6,880,555 6,306,000 MP Materials Corp.*

0.250%, 04/01/26 6,829,083 ___________ 13,709,638 ___________

Real Estate (0.9%) 3,600,000 IH Merger Sub, LLCµ

3.500%, 01/15/22 6,440,436 2,879,000 Redfin Corp.*

0.000%, 10/15/25 3,122,189 ___________ 9,562,625 ___________

TOTAL CONVERTIBLE BONDS (Cost $751,870,092) 945,656,379 ___________ ___________

BANK LOANS (4.9%) ¡ Airlines (0.2%)

800,000 AAdvantage Loyalty IP, Ltd.‡ 5.500%, 04/20/28 3 mo. LIBOR + 4.75% 823,700

1,197,000 United Airlines, Inc.‡ 4.500%, 04/21/28 1 mo. LIBOR + 3.75% 1,200,669 ___________


1,277,250 Clear Channel Outdoor Holdings, Inc.‡ 3.629%, 08/21/26 3 mo. LIBOR + 3.50% 1,242,260

810,563 CommScope, Inc.‡ 3.342%, 04/06/26 1 mo. LIBOR + 3.25% 803,977

617,614 Consolidated Communications, Inc.‡ 4.250%, 10/02/27 1 mo. LIBOR + 3.50% 616,302


540,396 CSC Holdings, LLC‡ 2.593%, 04/15/27 1 mo. LIBOR + 2.50% $ 534,508

2,700,000 DIRECTV Financing, LLC! 0.000%, 07/22/27 2,697,988

1,486,275 Frontier Communications Corp.‡ 4.500%, 05/01/28 1 mo. LIBOR + 3.75% 1,488,140

740,000 Frontier Communications Corp.! 0.000%, 05/01/28 740,929

860,484 iHeartCommunications, Inc.‡ 3.092%, 05/01/26 1 mo. LIBOR + 3.00% 850,266

2,297,500 Intelsat Jackson Holdings, SA@ 8.625%, 01/02/24 2,343,864

1,775,000 Intelsat Jackson Holdings, SA‡@ 8.750%, 01/02/24 3 mo. PRIME + 5.50% 1,812,399 ___________


480,000 At Home Group, Inc.! 0.000%, 06/24/28 480,600

240,000 At Home Group, Inc.‡ 4.750%, 06/24/28 3 mo. LIBOR + 4.25% 240,300

945,250 Life Time Fitness, Inc.‡ 5.750%, 12/16/24 3 mo. LIBOR + 4.75% 945,846

1,412,743 Meredith Corp.‡ 5.250%, 01/31/25 3 mo. LIBOR + 4.25% 1,444,240

1,690,763 Petco Health and Wellness Company, Inc.‡ 4.000%, 03/03/28 3 mo. LIBOR + 3.25% 1,685,344

1,940,000 PetSmart, Inc.‡ 4.500%, 02/12/28 6 mo. LIBOR + 3.75% 1,941,697

723,487 Rent-A-Center, Inc.‡ 4.750%, 02/17/28 1 mo. LIBOR + 4.00% 727,104

385,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 386,925

483,400 TKC Holdings, Inc.! 0.000%, 05/15/28 478,416

400,000 TKC Holdings, Inc.! 0.000%, 05/15/28 395,876

241,700 TKC Holdings, Inc.‡ 6.500%, 05/15/28 3 mo. LIBOR + 5.50% 239,208

1,700,000 WW International, Inc.‡ 4.000%, 04/13/28 1 mo. LIBOR + 3.50% 1,698,411 ___________


198,044 United Natural Foods, Inc.‡ 3.592%, 10/22/25 1 mo. LIBOR + 3.50% 197,672 ___________

Energy (0.1%) 1,036,184 Par Pacific Holdings, Inc.‡

6.870%, 01/12/26 3 mo. LIBOR + 6.75% 1,031,008 ___________




10

9/2/2021 10:38 AM


Financials (0.2%) 2,000,000 Jazz Financing Lux S.a.r.l.‡

4.000%, 05/05/28 1 mo. LIBOR + 3.50% $ 2,005,000

269,862 Level 3 Financing, Inc.‡ 1.842%, 03/01/27 1 mo. LIBOR + 1.75% 264,550 ___________

2,269,550 ___________ Health Care (0.9%)

2,411,459 Amneal Pharmaceuticals LLC‡ 3.625%, 05/04/25 1 mo. LIBOR + 3.50% 2,337,235

1,042,550 Endo Luxembourg Finance Company I Sarl‡ 5.750%, 03/27/28 3 mo. LIBOR + 5.00% 1,020,787

1,338,193 Gentiva Health Services, Inc.‡ 2.875%, 07/02/25 1 mo. LIBOR + 2.75% 1,334,855

468,318 Icon Luxembourg Sarl! 0.000%, 07/03/28 467,899

360,245 Icon Luxembourg Sarl‡ 3.000%, 07/03/28 3 mo. LIBOR + 2.50% 359,922



1,036,050 Mallinckrodt International Finance S.A.‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% 1,009,936

1,050,000 Padagis, LLC‡ 5.250%, 07/06/28 3 mo. LIBOR + 4.75% 1,053,281

2,183,855 Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% 2,119,366 ___________

9,909,533 ___________ Industrials (0.7%)

480,000 ACProducts, Inc.‡ 4.750%, 05/05/28 6 mo. LIBOR + 4.25% 477,638

615,000 Air Canada! 0.000%, 07/28/28 616,796

1,584,360 Berry Global, Inc.‡ 1.850%, 07/01/26 1 mo. LIBOR + 1.75% 1,567,668

977,800 BW Gas & Convenience Holdings, LLC‡ 4.000%, 03/17/28 1 mo. LIBOR + 3.50% 980,245

1,012,226 Dun & Bradstreet Corp.‡ 3.336%, 02/06/26 1 mo. LIBOR + 3.25% 1,004,948

741,958 Granite Holdings US Acquisition Company‡ 4.147%, 09/30/26 3 mo. LIBOR + 4.00% 741,958


569,422 RegionalCare Hospital Partners Holdings, Inc.‡ 3.842%, 11/16/25 1 mo. LIBOR + 3.75% $ 565,314

1,580,496 Scientific Games International, Inc.‡ 2.842%, 08/14/24 1 mo. LIBOR + 2.75% 1,559,318

268,823 TransDigm, Inc.‡ 2.342%, 12/09/25 1 mo. LIBOR + 2.25% 264,430 ___________


605,000 AP Core Holdings II, LLC! 0.000%, 07/21/27 603,112

999,280 Banff Merger Sub Inc‡ 3.842%, 10/02/25 1 mo. LIBOR + 3.75% 992,230

1,182,000 Camelot U.S. Acquisition 1 Co.‡ 3.092%, 10/30/26 1 mo. LIBOR + 3.00% 1,172,101

636,800 Camelot U.S. Acquisition 1 Co.‡ 4.000%, 10/30/26 1 mo. LIBOR + 3.00% 637,497

1,028,684 VFH Parent LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% 1,022,620 ___________

4,427,560 ___________ Materials (0.1%)

720,875 Innophos, Inc.‡ 3.592%, 02/07/27 1 mo. LIBOR + 3.50% 720,425 ___________

TOTAL BANK LOANS (Cost $52,314,118) 52,153,032 ___________ ___________

NUMBER OF SHARES VALUE

CONVERTIBLE PREFERRED STOCKS (14.3%) Communication Services (0.9%)

7,750 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 9,806,308 ___________

Consumer Discretionary (1.4%) 78,610 Aptiv, PLCµ

5.500%, 06/15/23 14,759,814 ___________ Energy (0.0%)

26 Gulfport Energy Operating Corp. 10.000%, 08/30/21 15.00% PIK rate 128,050 ___________

Financials (1.3%) 4,600 Bank of America Corp.‡‡

7.250% 6,805,930 83,355 KKR & Company, Inc.^

6.000%, 09/15/23 6,921,799 ___________ 13,727,729 ___________




11 9/2/2021 10:38 AM


Health Care (3.8%) 113,945 Avantor, Inc.

6.250%, 05/15/22 $ 13,177,739 70,970 Boston Scientific Corp.^

5.500%, 06/01/23 8,719,374 9,125 Danaher Corp.

4.750%, 04/15/22 18,183,844 ___________ 40,080,957 ___________

Industrials (0.8%) 73,760 Stanley Black & Decker, Inc.^

5.250%, 11/15/22 8,703,680 ___________ Information Technology (2.2%)

15,360 Broadcom, Inc.~ 8.000%, 09/30/22 23,721,062 ___________

Utilities (3.9%) 56,585 AES Corp.µ^

6.875%, 02/15/24 5,736,587 151,970 Dominion Energy, Inc.µ

7.250%, 06/01/22 15,155,968 NextEra Energy, Inc.

177,495 6.219%, 09/01/23 9,210,216 138,185 4.872%, 09/01/22 8,121,132

77,785 5.279%, 03/01/23 3,993,482 ___________ 42,217,385 ___________

TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $121,932,050) 153,144,985 ___________ ___________

COMMON STOCKS (0.7%) Communication Services (0.0%)

6,663 Cumulus Media, Inc. - Class A# 78,557 1 Frontier Communications Parent,

Inc.^# 30 15,505 Lumen Technologies, Inc.^ 193,347 ___________

271,934 ___________ Energy (0.7%)

4,215 Bonanza Creek Energy, Inc.^ 162,151 40,024 Calfrac Well Services, Ltd.# 115,669

8,836 Chaparral Energy, Inc. - Class A# 335,768 2,748 Chesapeake Energy Corp. 148,529 1,875 Chevron Corp.^ 190,894 4,496 Denbury, Inc.^# 295,432

23,595 Diamond Offshore Drilling, Inc.# 139,800 42,100 Energy Transfer, LP 415,106 45,595 Enterprise Products Partners, LP~ 1,029,079

6,644 EP Energy Corp.&# 657,756 6,463 Gulfport Energy Operating

Corp.^# 441,423 55,412 Lonestar Resources US, Inc.&# 545,808 12,830 Magellan Midstream Partners, LP 597,878

2,215 Oasis Petroleum, Inc.^ 203,138 6,925 Schlumberger, NV 199,648

15,995 Superior Energy Services, Inc.# 623,805 21,440 Targa Resources Corp. 902,839 15,224 Weatherford International, PLC^# 265,507

3,462 Whiting Petroleum Corp.# 162,368 8,500 Williams Companies, Inc.^ 212,925 ___________

7,645,523 ___________


Industrials (0.0%) 159,459 McDermott International, Inc.# $ 52,781 ___________

TOTAL COMMON STOCKS (Cost $10,837,439) 7,970,238 ___________ ___________

PREFERRED STOCKS (0.6%) Communication Services (0.1%)

42,000 United States Cellular Corp.^ 6.250%, 09/01/69 1,166,760 ___________

Consumer Discretionary (0.1%) 6,122 Guitar Center, Inc.

0.000% 695,612 4,640 Qurate Retail, Inc.

8.000%, 03/15/31 503,347 ___________ 1,198,959 ___________

Energy (0.4%) 62,620 NuStar Energy, LP‡

7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% 1,459,046

37,094 NuStar Energy, LP^‡ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% 934,398

43,000 NuStar Logistics, LP^‡ 6.860%, 01/15/43 3 mo. USD LIBOR + 6.73% 1,086,610 ___________

3,480,054 ___________

TOTAL PREFERRED STOCKS (Cost $5,900,833) 5,845,773 ___________ ___________

WARRANTS (0.0%) # Energy (0.0%)

3,152

Chesapeake Energy Corp. 02/09/26, Strike $32.13 78,800

2,837


1,751

Chesapeake Energy Corp.^ 02/09/26, Strike $36.18 37,752

4,875

Denbury, Inc. 09/18/25, Strike $32.59 161,996

1,776


47,739

Mcdermott International, Ltd. 06/30/27, Strike $15.98 5

42,965

Mcdermott International, Ltd. 06/30/27, Strike $12.33 4 ___________

TOTAL WARRANTS (Cost $1,041,213) 412,971 ___________ ___________

NUMBER OF CONTRACTS/

NOTIONAL AMOUNT VALUE

PURCHASED OPTIONS (1.2%) # Communication Services (0.2%)

Sea, Ltd.




12

9/2/2021 10:38 AM



490 13,531,840

Put, 01/21/22, Strike $200.00 $ 330,750

490 13,531,840

Put, 01/21/22, Strike $260.00 1,242,150

2,450 18,232,900

Snap, Inc. Put, 01/21/22, Strike $55.00 649,250 ___________


700 48,104,000

Tesla, Inc. Put, 01/21/22, Strike $700.00 7,416,500 ___________ Information Technology (0.1%)

1,350 10,473,300

Micron Technology, Inc. Call, 01/21/22, Strike $85.00 664,875 ___________ Other (0.2%)

1,350 49,216,950

Invesco QQQ Trust Series Put, 01/21/22, Strike $325.00 1,334,475

1,200 30,524,400

SPDR S&P 500 ETF Trust Put, 01/21/22, Strike $400.00 1,347,000 ___________

2,681,475 ___________

TOTAL PURCHASED OPTIONS (Cost $19,920,914) 12,985,000 ___________ ___________

TOTAL INVESTMENTS (144.1%) (Cost $1,310,436,812) 1,540,258,359 ___________ ___________

MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-9.4%) (100,000,000) ___________

LIABILITIES, LESS OTHER ASSETS (-34.7%) (371,360,186) ___________

NET ASSETS (100.0%) $ 1,068,898,173 ___________ ___________

WRITTEN OPTIONS (-0.1%) # Communication Services (-0.1%)

490 13,531,840

Sea, Ltd. Call, 01/21/22, Strike $320.00 (908,950) ___________ Consumer Discretionary (0.0%)

350 24,052,000

Tesla, Inc. Call, 01/21/22, Strike $1,500.00 (126,000) ___________

TOTAL WRITTEN OPTIONS (Premium $4,265,926) (1,034,950) ___________ ___________

NOTES TO SCHEDULE OF INVESTMENTS *

Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.

µ

Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $208,750,556.

^ Security, or portion of security, is on loan. @ In default status and considered non-income producing. & Illiquid security. ‡

Variable rate security. The rate shown is the rate in effect at July 31, 2021.

~

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 $16,787,514.

¡

Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.

!

This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

# Non-income producing security. ‡‡ Perpetual maturity. 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.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 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 June 26, 2002. Significant Accounting Policies. The Schedules of Investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its 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, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

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

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. 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 July 31, 2021 was as follows:* Cost basis of investments $1,306,170,886 Gross unrealized appreciation 260,775,993

Gross unrealized depreciation (27,723,470) Net unrealized appreciation (depreciation) $233,052,523

* 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 – Mandatory Redeemable Preferred Shares On September 6, 2017, the Fund issued 4,000,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $100.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations. The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2021.

Series Term

Redemption Date Dividend Rate Shares (000’s) Liquidation Preference Per Share Aggregate Liquidation Preference Series A 9/06/22 3.70% 1,330 $25 $33,250,000 Series B 9/06/24 4.00% 1,330 $25 $33,250,000 Series C 9/06/27 4.24% 1,340 $25 $33,500,000

Total $100,000,000 The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy. Previously, the MRPS had been assigned a rating of “AA” by Fitch Ratings, Inc. (“Fitch”). As of December 17, 2020, Kroll Bond Rating Agency LLC (“Kroll”) replaced Fitch as the rating agency for the MRPS. The MRPS have been assigned a rating of `AA-' by Kroll. If the ratings of the MRPS are downgraded, the Fund's dividend expense may increase, as described below. Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA-” by Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund, such as Kroll), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in "Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares" within the Statement of Operations. The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions. Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.

Calamos Convertible and High Income Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 1:01 PM








783,000 5.500%, 04/20/26 820,091 261,000 5.750%, 04/20/29 282,472


937,405 JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 1,109,456






1,625,000 Arrow Bidco, LLC* 9.500%, 03/15/24 1,668,323

1,075,000 Ashtead Capital, Inc.* 4.000%, 05/01/28 1,136,651


765,000 Brink's Company*^ 5.500%, 07/15/25 806,463



CSC Holdings, LLC* 3,385,000 5.500%, 04/15/27^ 3,544,433 2,300,000 5.750%, 01/15/30 2,401,798 1,630,000 5.375%, 02/01/28 1,725,909 1,600,000 4.625%, 12/01/30^ 1,577,552


Inc.*^ 6.750%, 07/01/26 1,164,460





3,624,000 Embarq Corp. 7.995%, 06/01/36 4,065,584

Entercom Media Corp.*^ 522,000 6.750%, 03/31/29 533,249 495,000 6.500%, 05/01/27 510,399 615,000 Frontier Florida, LLC&


6.730%, 02/15/28 1,692,711




790,000 9.750%, 07/15/25* 447,037 510,000 5.500%, 08/01/23 281,489




Netflix, Inc. 835,000 4.875%, 06/15/30* 1,007,603 525,000 4.875%, 04/15/28 614,297



514,000 Shift4 Payments, LLC / Shift4 Payments Finance Sub, Inc.*^ 4.625%, 11/01/26 535,999

Sirius XM Radio, Inc.* 1,350,000 5.500%, 07/01/29^ 1,480,802 1,350,000 4.625%, 07/15/24^ 1,387,112


Inc.* 9.750%, 03/01/26 801,124

1,885,000 Sprint Capital Corp.^ 6.875%, 11/15/28 2,433,874

1,915,000 Sprint Corp. 7.125%, 06/15/24 2,205,352



Calamos Convertible and High Income Fund



2

8/31/2021 1:01 PM








1,350,000 Bally's Corp.*^ 6.750%, 06/01/27 1,460,524



Carnival Corp.* 512,000 10.500%, 02/01/26^ 587,034 257,000 7.625%, 03/01/26 272,823

1,219,000 Carriage Services, Inc.*^ 4.250%, 05/15/29 1,220,024

775,000 Carvana Company* 5.625%, 10/01/25 805,558


3,350,000 5.125%, 05/01/27 3,508,957 1,150,000 4.750%, 03/01/30 1,220,553

955,000 5.750%, 02/15/26 987,871 540,000 5.000%, 02/01/28 566,735 515,000 4.250%, 02/01/31 531,459 810,000 Cedar Fair, LP^


1,350,000 6.750%, 06/01/27 1,444,378 800,000 5.875%, 07/15/25^ 827,104




1,650,000 4.000%, 11/13/30 1,747,911 1,400,000 4.063%, 11/01/24 1,487,010 1,250,000 4.134%, 08/04/25 1,339,650 1,225,000 3.664%, 09/08/24 1,285,380

500,000 4.389%, 01/08/26 542,785 goeasy, Ltd.*

1,795,000 5.375%, 12/01/24 1,863,748 962,000 4.375%, 05/01/26 992,438 522,000 Goodyear Tire & Rubber

Company*^ 5.000%, 07/15/29 550,449




1,350,000 6.250%, 01/15/27 $ 1,535,503 325,000 5.250%, 01/15/29 347,185 200,000 4.125%, 04/15/26^ 208,522

L Brands, Inc. 1,369,000 6.694%, 01/15/27^ 1,626,728

765,000 6.875%, 11/01/35 984,907 525,000 Liberty Interactive, LLC

8.500%, 07/15/29 602,863 783,000 Life Time, Inc.*^

8.000%, 04/15/26 820,819 M/I Homes, Inc.

1,415,000 5.625%, 08/01/25 1,457,209 780,000 4.950%, 02/01/28 822,970

Macy's Retail Holdings, LLC 520,000 6.700%, 07/15/34* 553,368 265,000 5.125%, 01/15/42^ 242,721 512,000 Macy's, Inc.*

8.375%, 06/15/25 558,618 Mattel, Inc.*

1,350,000 5.875%, 12/15/27 1,478,574 128,000 3.750%, 04/01/29^ 135,117

Mclaren Finance, PLC* 1,255,000 5.750%, 08/01/22 1,255,000

800,000 7.500%, 08/01/26 813,584 1,200,000 Midwest Gaming Borrower, LLC /



1,004,000 Newell Brands, Inc. 4.700%, 04/01/26 1,119,862


2,564,000 Rite Aid Corp.* 8.000%, 11/15/26 2,576,897






1,215,000 Vista Outdoor, Inc.*^ 4.500%, 03/15/29 1,240,333

1,045,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 1,038,134



1,191,000 Central Garden & Pet Company* 4.125%, 04/30/31 1,218,464




3 8/31/2021 1:01 PM


Edgewell Personal Care Company*^

783,000 4.125%, 04/01/29 $ 788,551 513,000 5.500%, 06/01/28 543,683


720,000 Fresh Market, Inc.* 9.750%, 05/01/23 742,234




259,000 4.250%, 03/01/31^ 298,617 259,000 3.875%, 05/15/27 286,923 672,000 New Albertsons, LP

7.750%, 06/15/26 772,027 1,043,000 Performance Food Group, Inc.*^

4.250%, 08/01/29 1,061,451 1,525,000 Pilgrim's Pride Corp.*^

5.875%, 09/30/27 1,632,726 Post Holdings, Inc.*^

1,350,000 5.750%, 03/01/27 1,408,050 748,000 4.625%, 04/15/30 762,766 986,000 Prestige Brands, Inc.*

3.750%, 04/01/31 978,930 1,130,000 United Natural Foods, Inc.*^

6.750%, 10/15/28 1,221,914 Vector Group, Ltd.*

1,625,000 5.750%, 02/01/29 1,655,972 630,000 10.500%, 11/01/26 670,421 ___________

18,968,983 ___________ Energy (3.1%)

Antero Resources Corp.*^ 393,000 7.625%, 02/01/29 430,807 261,000 5.375%, 03/01/30 265,787

Apache Corp. 1,037,000 5.100%, 09/01/40^ 1,113,365

582,000 4.875%, 11/15/27 626,849 518,000 4.625%, 11/15/25 557,409


Buckeye Partners, LP 810,000 3.950%, 12/01/26^ 823,503 545,000 5.850%, 11/15/43 554,799 649,000 ChampionX Corp.


1,040,000 5.625%, 10/01/26 1,075,630 263,000 4.000%, 03/01/31* 278,443 520,000 Cheniere Energy, Inc.

4.625%, 10/15/28 549,526 Continental Resources Inc.^

1,035,000 3.800%, 06/01/24 1,086,822 780,000 4.375%, 01/15/28 871,861

1,590,000 DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 1,496,397


13,501 Diamond Foreign Asset Company / Diamond Finance, LLC 13.000%, 04/22/27 13.000% PIK rate $ 13,543

548,000 DT Midstream, Inc.* 4.125%, 06/15/29 562,467


3 mo. USD LIBOR + 3.02% 1,254,426 764,000 6.500%, 11/15/26


1,300,000 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% 1,007,019

1,125,000 4.850%, 07/15/26 1,177,594 EQT Corp.

600,000 7.500%, 02/01/30 788,874 430,000 6.625%, 02/01/25 497,394 250,000 5.000%, 01/15/29 282,800

1,017,000 Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26 1,005,243

Gulfport Energy Operating Corp. 1,015,000 6.375%, 05/15/25@ 43,137

296,997 8.000%, 05/17/26^ 318,152 Laredo Petroleum, Inc.

875,000 10.125%, 01/15/28^ 927,404 250,000 7.750%, 07/31/29* 242,130



540,000 10.500%, 05/15/27^ 519,032 495,000 7.500%, 01/15/26 448,356 528,000 Murphy Oil Corp.




OMP Finance Corp.* 8.000%, 04/01/29 272,064

Occidental Petroleum Corp. 3,165,000 4.300%, 08/15/39 3,142,212 2,335,000 2.900%, 08/15/24^ 2,354,194

520,000 5.875%, 09/01/25^ 576,924 250,000 Ovintiv, Inc.^



810,000 Parkland Corp. / Canada* 5.875%, 07/15/27 864,626

1,040,000 Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% 932,641

385,000 Range Resources Corp.*^ 8.250%, 01/15/29 426,765

584,000 Transocean, Inc.*^ 11.500%, 01/30/27 581,810


260,000 4.125%, 08/15/31 268,216




4

8/31/2021 1:01 PM


260,000 3.875%, 08/15/29 $ 265,798 520,000 Vine Energy Holdings, LLC*

6.750%, 04/15/29 543,520 550,000 Viper Energy Partners, LP*

5.375%, 11/01/27 577,098 725,000 W&T Offshore, Inc.*

9.750%, 11/01/23 698,262 496,000 Weatherford International, Ltd.*

11.000%, 12/01/24 513,911 ___________ 36,281,164 ___________

Financials (6.5%)


2,657,000 7.000%, 11/15/25^ 2,703,843 1,566,000 6.000%, 08/01/29 1,567,175

782,000 Aethon United BR, LP / Aethon United Finance Corp.*^ 8.250%, 02/15/26 837,819

1,081,000 AG Issuer, LLC*^ 6.250%, 03/01/28 1,136,899

2,250,000 Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 2,353,185

Ally Financial, Inc. 918,000 4.700%, 05/15/26^‡

5 year CMT + 3.87% 964,800 844,000 8.000%, 11/01/31^ 1,230,484 480,000 4.700%, 05/15/28‡

7 year CMT + 3.48% 500,030 1,040,000 AmWINS Group, Inc.*

4.875%, 06/30/29 1,062,100 2,385,000 AssuredPartners, Inc.*

7.000%, 08/15/25 2,430,983 1,146,000 Aviation Capital Group, LLC*^

3.500%, 11/01/27 1,220,616 1,044,000 BroadStreet Partners, Inc.*

5.875%, 04/15/29 1,064,316 2,937,000 Brookfield Property REIT, Inc. /


Credit Acceptance Corp.^ 1,335,000 6.625%, 03/15/26 1,412,644 1,045,000 5.125%, 12/31/24* 1,081,136

320,000 Cushman & Wakefield US Borrower, LLC* 6.750%, 05/15/28 344,115

1,350,000 Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 1,400,234

1,087,000 Enact Holdings, Inc.*^ 6.500%, 08/15/25 1,180,406

1,503,000 Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 1,492,870

1,688,000 Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 1,730,419



1,285,000 5.250%, 05/15/27 1,353,503 781,000 4.375%, 02/01/29 791,575


2,090,000 ILFC E-Capital Trust II*‡ 3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% $ 1,769,916

2,390,000 Iron Mountain, Inc.*^ 5.250%, 03/15/28 2,507,014


2,640,000 5.000%, 08/15/28 2,704,178 2,175,000 6.250%, 06/03/26 2,344,976


2,029,000 5.250%, 10/01/25 2,062,783 522,000 4.750%, 06/15/29 520,382


Level 3 Financing, Inc. 1,125,000 5.375%, 05/01/25^ 1,151,359 1,080,000 4.250%, 07/01/28* 1,101,481

LPL Holdings, Inc.* 1,299,000 4.000%, 03/15/29 1,321,200

391,000 4.375%, 05/15/31 401,334 2,250,000 MetLife, Inc.^

6.400%, 12/15/66 2,885,467 Navient Corp.

2,298,000 5.000%, 03/15/27 2,397,871 1,200,000 4.875%, 03/15/28^ 1,211,496

OneMain Finance Corp. 1,350,000 7.125%, 03/15/26 1,590,705 1,000,000 6.875%, 03/15/25 1,136,810



7.875%, 03/15/26 669,137 1,200,000 Prospect Capital Corp.µ

3.706%, 01/22/26 1,246,584 475,000 Quicken Loans, LLC / Quicken


1,350,000 Radian Group, Inc.^ 4.875%, 03/15/27 1,468,301



625,000 SLM Corp. 4.200%, 10/29/25 677,294

1,300,000 Starwood Property Trust, Inc.^ 4.750%, 03/15/25 1,379,716

1,047,000 StoneX Group, Inc.* 8.625%, 06/15/25 1,138,455

United Wholesale Mortgage, LLC* 771,000 5.500%, 11/15/25 795,325 522,000 5.500%, 04/15/29 520,006

1,041,000 VICI Properties, LP / VICI Note Company, Inc.*^ 3.750%, 02/15/27 1,073,021

XHR, LP* 1,091,000 6.375%, 08/15/25 1,163,857

522,000 4.875%, 06/01/29 534,685 ___________ 76,359,276 ___________




5 8/31/2021 1:01 PM



5.000%, 04/15/29 $ 547,368 2,935,000 Bausch Health Americas, Inc.*

8.500%, 01/31/27 3,179,075 Bausch Health Companies, Inc.*

1,460,000 5.250%, 02/15/31^ 1,369,611 1,150,000 5.000%, 01/30/28^ 1,100,769

444,000 5.000%, 02/15/29 419,913 Centene Corp.




2,075,000 6.125%, 04/01/30 2,105,129 1,180,000 8.000%, 03/15/26^ 1,265,762

594,000 6.875%, 04/15/29^ 625,951 DaVita, Inc.*

1,561,000 4.625%, 06/01/30^ 1,614,168 770,000 3.750%, 02/15/31 749,749

Encompass Health Corp. 525,000 4.750%, 02/01/30 563,194 525,000 4.500%, 02/01/28 546,992

1,234,000 HCA, Inc. 7.500%, 11/06/33 1,764,065




1,900,000 5.125%, 04/30/31 1,959,470 450,000 4.125%, 04/30/28 462,101

1,103,000 Team Health Holdings, Inc.*^ 6.375%, 02/01/25 1,029,904

Tenet Healthcare Corp. 2,465,000 6.250%, 02/01/27* 2,570,995 1,475,000 4.625%, 07/15/24 1,496,432 1,420,000 6.875%, 11/15/31^ 1,628,555 1,350,000 4.875%, 01/01/26* 1,399,748


2,320,000 2.800%, 07/21/23 2,301,834 2,105,000 6.000%, 04/15/24 2,215,091 ___________

34,670,714 ___________ Industrials (5.2%)

1,035,000 Abercrombie & Fitch Management Company* 8.750%, 07/15/25 1,146,138

1,200,000 ACCO Brands Corp.*^ 4.250%, 03/15/29 1,200,612


1,303,000 4.875%, 02/15/30 1,411,553 1,300,000 4.625%, 01/15/27 1,375,881

514,000 3.500%, 03/15/29^ 519,531 Allison Transmission, Inc.*

900,000 4.750%, 10/01/27 940,491 255,000 3.750%, 01/30/31 255,242


260,000 Ambience Merger Sub, Inc.* 7.125%, 07/15/29 $ 263,500

260,000 American Airlines Group, Inc.*^ 3.750%, 03/01/25 231,761

587,000 Arcosa, Inc.* 4.375%, 04/15/29 601,757

2,650,000 ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate 2,798,771



1,044,000 BWX Technologies, Inc.* 4.125%, 04/15/29 1,070,351


810,000 5.125%, 01/15/26^ 858,543 540,000 5.375%, 01/15/28 569,149



257,000 4.750%, 10/20/28 288,074 128,000 4.500%, 10/20/25µ 137,882 782,000 Endure Digital, Inc.*^

6.000%, 02/15/29 759,330 500,000 EnerSys*

4.375%, 12/15/27 523,805 1,200,000 Fly Leasing, Ltd.




Inc.* 7.125%, 08/15/28 623,147

535,000 Granite US Holdings Corp.*^ 11.000%, 10/01/27 597,798



Corp.* 5.250%, 06/01/29 269,519

2,438,000 H&E Equipment Services, Inc.* 3.875%, 12/15/28 2,421,251


1,350,000 Herc Holdings, Inc.*^ 5.500%, 07/15/27 1,418,931


446,000 6.875%, 05/01/25 519,345 1,319,000 JELD-WEN, Inc.*


Finance Corp.* 8.625%, 10/15/26 566,161


515,000 MasTec, Inc.*^ 4.500%, 08/15/28 543,495




6

8/31/2021 1:01 PM


673,000 Meritor, Inc.* 4.500%, 12/15/28 $ 689,192

650,000 Moog, Inc.* 4.250%, 12/15/27 671,515

1,415,000 Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 1,440,272

1,040,000 Novelis Corp.* 4.750%, 01/30/30 1,109,014




256,000 Picasso Finance Sub, Inc.* 6.125%, 06/15/25 271,596

1,040,000 QVC, Inc. 4.375%, 09/01/28 1,069,338






Sinclair Television Group, Inc.* 515,000 5.500%, 03/01/30^ 517,323 514,000 4.125%, 12/01/30 498,986

Standard Industries, Inc.* 1,030,000 5.000%, 02/15/27 1,067,152

256,000 4.375%, 07/15/30^ 263,478 Station Casinos, LLC*

2,125,000 4.500%, 02/15/28^ 2,145,294 709,000 5.000%, 10/01/25 718,876 513,000 Stericycle, Inc.*


7.500%, 02/15/26 822,071 1,400,000 TransDigm UK Holdings, PLC

6.875%, 05/15/26 1,479,422 TransDigm, Inc.

1,360,000 6.250%, 03/15/26* 1,429,047 815,000 7.500%, 03/15/27 864,682 522,000 Tronox, Inc.*

4.625%, 03/15/29 531,788


520,000 3.750%, 01/15/32 520,000 465,000 5.875%, 09/15/26 480,945 258,000 3.875%, 02/15/31^ 265,841 655,000 Waste Pro USA, Inc.*


520,000 7.125%, 06/15/25^ 560,903 260,000 7.250%, 06/15/28 289,877


1,350,000 XPO Logistics, Inc.* 6.750%, 08/15/24 $ 1,401,610 ___________


521,000 Booz Allen Hamilton, Inc.* 4.000%, 07/01/29 537,396

540,000 CDK Global, Inc.* 5.250%, 05/15/29 588,805

1,136,000 CommScope Technologies, LLC* 6.000%, 06/15/25 1,154,403


1,265,000 6.020%, 06/15/26µ 1,522,984 825,000 6.100%, 07/15/27 1,020,682 500,000 5.850%, 07/15/25µ 587,840 520,000 Fair Isaac Corp.*

4.000%, 06/15/28 544,118 1,130,000 KBR, Inc.*


5.750%, 11/01/28 1,099,151 522,000 NCR Corp.*


Finance Company* 4.500%, 07/15/29 1,204,990


780,000 Open Text Corp.* 3.875%, 02/15/28 807,394


715,000 PTC, Inc.* 4.000%, 02/15/28 740,933

1,200,000 TTM Technologies, Inc.*^ 4.000%, 03/01/29 1,208,988

Twilio, Inc. 725,000 3.625%, 03/15/29 745,735 259,000 3.875%, 03/15/31 271,025

1,200,000 ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 1,202,328 ___________

16,256,571 ___________ Materials (1.6%)






1,640,000 Clearwater Paper Corp.*^ 4.750%, 08/15/28 1,659,467


Freeport-McMoRan, Inc. 700,000 5.000%, 09/01/27^ 739,711 520,000 5.450%, 03/15/43 668,554 460,000 5.400%, 11/14/34^ 584,807 770,000 HB Fuller Company

4.250%, 10/15/28 788,834




7 8/31/2021 1:01 PM


1,043,000 Intertape Polymer Group, Inc.* 4.375%, 06/15/29 $ 1,068,356

800,000 JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 843,856

Kaiser Aluminum Corp.* 555,000 4.625%, 03/01/28^ 580,280 130,000 4.500%, 06/01/31 135,344 848,000 Mercer International, Inc.^

5.125%, 02/01/29 865,961 New Gold, Inc.*

323,000 6.375%, 05/15/25 333,423 250,000 7.500%, 07/15/27^ 270,225

1,120,000 OCI, NV* 4.625%, 10/15/25 1,163,232

517,000 Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 560,780


1,194,000 Silgan Holdings, Inc. 4.125%, 02/01/28 1,240,757


807,000 Univar Solutions USA, Inc.*^ 5.125%, 12/01/27 846,551

516,000 Valvoline, Inc.* 3.625%, 06/15/31 514,390 ___________

19,022,968 ___________ Real Estate (0.4%)

834,000 EPR Properties^ 3.750%, 08/15/29 847,019



1,350,000 4.350%, 10/01/24 1,362,622 485,000 5.250%, 02/15/26 490,936 ___________

4,556,978 ___________ Utilities (0.4%)

780,000 Calpine Corp.* 4.500%, 02/15/28 805,124

520,000 NRG Energy, Inc. 6.625%, 01/15/27 538,912

1,569,000 PPL Capital Funding, Inc.^‡ 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% 1,538,452

Talen Energy Supply, LLC* 540,000 10.500%, 01/15/26 372,767 270,000 7.250%, 05/15/27^ 246,502


4,909,423 ___________




4,032,000 Eventbrite, Inc.*µ 0.750%, 09/15/26 $ 3,813,062

Liberty Media Corp. 10,000,000 0.500%, 12/01/50* 11,074,200

9,499,000 1.375%, 10/15/23 12,630,725 4,750,000 Liberty Media Corp. / Liberty

Formula Oneµ 1.000%, 01/30/23 6,291,185

5,750,000 Match Group Financeco 3, Inc.*~ 2.000%, 01/15/30 11,604,133

5,000,000 Sea, Ltd. 2.375%, 12/01/25 15,542,800

Snap, Inc. 12,750,000 0.000%, 05/01/27* 14,677,800

6,000,000 0.750%, 08/01/26 19,643,100 10,000,000 Twitter, Inc.^

0.250%, 06/15/24 13,867,300 8,100,000 Zynga, Inc.

0.250%, 06/01/24 10,824,597 ___________ 119,968,902 ___________

Consumer Discretionary (25.6%) 6,250,000 Airbnb, Inc.*µ

0.000%, 03/15/26 5,858,000 10,000,000 Booking Holdings, Inc.^

0.750%, 05/01/25 14,116,000 7,000,000 Burlington Stores, Inc.^

2.250%, 04/15/25 11,453,890 6,000,000 Cheesecake Factory, Inc.

0.375%, 06/15/26 5,628,600 9,250,000 Chegg, Inc.*

0.000%, 09/01/26 10,030,423 2,750,000 Dick's Sporting Goods, Inc.

3.250%, 04/15/25 8,461,640 DISH Network Corp.µ

5,750,000 0.000%, 12/15/25* 6,729,800 1,968,000 2.375%, 03/15/24 1,907,051

12,500,000 DraftKings, Inc.*µ 0.000%, 03/15/28 10,973,000

14,000,000 Etsy, Inc.*^~ 0.125%, 09/01/27 16,874,200

4,672,000 Expedia Group, Inc.*^ 0.000%, 02/15/26 5,023,428


6,000,000 LCI Industries*µ 1.125%, 05/15/26 6,470,640

Liberty Interactive, LLC 1,010,000 4.000%, 11/15/29µ 778,336

675,000 3.750%, 02/15/30~ 520,722 4,598,000 MakeMyTrip, Ltd.*

0.000%, 02/15/28 4,648,026 12,250,000 Marriott Vacations Worldwide

Corp.* 0.000%, 01/15/26 13,098,068

NCL Corp., Ltd. 4,642,000 5.375%, 08/01/25* 7,346,151 3,500,000 6.000%, 05/15/24 6,866,055


5,000,000 RH^~ 0.000%, 09/15/24 15,639,550




8

8/31/2021 1:01 PM


16,750,000 Royal Caribbean Cruises, Ltd.^ 4.250%, 06/15/23 $ 21,582,375

6,250,000 Shake Shack, Inc.* 0.000%, 03/01/28 5,856,938

4,790,000 Tesla, Inc.~ 2.000%, 05/15/24 53,084,935

4,000,000 Under Armour, Inc. 1.500%, 06/01/24 7,467,160

16,250,000 Vail Resorts, Inc.*^ 0.000%, 01/01/26 16,407,787

6,000,000 Vroom, Inc.* 0.750%, 07/01/26 5,837,160

13,750,000 Wayfair, Inc.* 0.625%, 10/01/25 13,357,987



6,500,000 Beyond Meat, Inc.* 0.000%, 03/15/27 5,988,970 ___________

Energy (1.0%) 7,750,000 Pioneer Natural Resources

Company 0.250%, 05/15/25 11,401,722

SunEdison, Inc.@ 10,545,000 0.250%, 01/15/20 163,131

1,027,000 2.000%, 10/01/18 15,888 ___________ 11,580,741 ___________

Financials (1.0%) 6,000,000 Coinbase Global, Inc.*


Co-Issuer Corp.* 0.250%, 06/15/26 6,077,760 ___________

12,135,780 ___________ Health Care (14.6%)


3,000,000 CONMED Corp.^ 2.625%, 02/01/24 4,855,710

15,500,000 Dexcom, Inc. 0.250%, 11/15/25 17,674,805

2,599,000 Envista Holdings Corp.µ 2.375%, 06/01/25 5,544,005



15,000,000 Insulet Corp.µ^ 0.375%, 09/01/26 20,776,200



11,250,000 NeoGenomics, Inc. 0.250%, 01/15/28 11,086,987

4,250,000 NuVasive, Inc. 0.375%, 03/15/25 4,136,483



9,500,000 Omnicell, Inc.* 0.250%, 09/15/25 $ 14,964,495


7,085,000 Repligen Corp. 0.375%, 07/15/24 15,325,351



169,677,849 ___________ Industrials (6.7%)

3,750,000 Air Canadaµ 4.000%, 07/01/25 5,722,313

4,250,000 Air Transport Services Group, Inc.µ 1.125%, 10/15/24 4,420,680

4,150,000 Atlas Air Worldwide Holdings, Inc.µ 1.875%, 06/01/24 5,238,711



4,750,000 Middleby Corp.* 1.000%, 09/01/25 7,430,282







8,000,000 Datadog, Inc. 0.125%, 06/15/25 11,101,040

Enphase Energy, Inc.*µ 6,500,000 0.000%, 03/01/26 6,552,845 6,500,000 0.000%, 03/01/28 6,592,690 2,750,000 Everbridge, Inc.µ

0.125%, 12/15/24 3,845,023 4,000,000 Five9, Inc.µ^

0.500%, 06/01/25 6,469,440 5,250,000 LivePerson, Inc.*


0.125%, 11/15/24 23,607,677 6,500,000 MicroStrategy, Inc.*

0.000%, 02/15/27 4,817,670 7,500,000 MongoDB, Inc.

0.250%, 01/15/26 13,552,275 6,250,000 Nova, Ltd.*

0.000%, 10/15/25 8,829,312 Okta, Inc.

8,000,000 0.125%, 09/01/25^ 11,674,080 4,250,000 0.375%, 06/15/26 5,361,120

12,000,000 ON Semiconductor Corp.*^ 0.000%, 05/01/27 12,770,400

9,500,000 Palo Alto Networks, Inc. 0.750%, 07/01/23 14,679,590




9 8/31/2021 1:01 PM


2,250,000 Q2 Holdings, Inc. 0.750%, 06/01/26 $ 2,962,328

12,250,000 Repay Holdings Corp.* 0.000%, 02/01/26 12,202,715

9,000,000 RingCentral, Inc. 0.000%, 03/01/25 9,518,580


1,981,000 Shopify, Inc.^ 0.125%, 11/01/25 2,612,087

8,500,000 Silicon Laboratories, Inc. 0.625%, 06/15/25 11,544,190

12,750,000 Splunk, Inc. 1.125%, 06/15/27 12,497,295

Square, Inc.*^ 10,000,000 0.250%, 11/01/27 11,799,500 10,000,000 0.000%, 05/01/26 11,377,000

6,250,000 Tyler Technologies, Inc.* 0.250%, 03/15/26 7,149,000

8,750,000 Wix.com, Ltd.*^ 0.000%, 08/15/25 9,562,000

5,750,000 Workday, Inc. 0.250%, 10/01/22 9,309,537

8,500,000 Zendesk, Inc. 0.625%, 06/15/25 11,584,905

7,952,000 Zscaler, Inc. 0.125%, 07/01/25 13,286,997 ___________

317,008,819 ___________ Materials (1.3%)

6,000,000 Ivanhoe Mines, Ltd.*µ 2.500%, 04/15/26 7,506,060

6,858,000 MP Materials Corp.* 0.250%, 04/01/26 7,426,871 ___________

14,932,931 ___________ Real Estate (0.9%)

4,000,000 IH Merger Sub, LLCµ 3.500%, 01/15/22 7,156,040

3,199,000 Redfin Corp.* 0.000%, 10/15/25 3,469,220 ___________

10,625,260 ___________

TOTAL CONVERTIBLE BONDS (Cost $825,708,250) 1,039,072,947 ___________ ___________








671,164 Consolidated Communications, Inc.‡ 4.250%, 10/02/27 1 mo. LIBOR + 3.50% $ 669,738

540,396 CSC Holdings, LLC‡ 2.593%, 04/15/27 1 mo. LIBOR + 2.50% 534,508








520,000 At Home Group, Inc.! 0.000%, 06/24/28 520,650





2,110,000 PetSmart, Inc.‡ 4.500%, 02/12/28 6 mo. LIBOR + 3.75% 2,111,846


430,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 432,150


263,200 TKC Holdings, Inc.! 0.000%, 05/15/28 260,486







10

8/31/2021 1:01 PM



6.870%, 01/12/26 3 mo. LIBOR + 6.75% $ 1,108,907 ___________

Financials (0.2%) 2,100,000 Jazz Financing Lux Sarl‡

4.000%, 05/05/28 1 mo. LIBOR + 3.50% 2,105,250


2,386,334 ___________ Health Care (0.9%)

2,532,032 Amneal Pharmaceuticals, LLC‡ 3.625%, 05/04/25 1 mo. LIBOR + 3.50% 2,454,096







1,044,684 Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% 1,018,353


2,382,144 Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% 2,311,799 ___________

10,652,463 ___________ Industrials (0.7%)


650,000 Air Canada! 0.000%, 07/28/28 651,898


1,053,300 BW Gas & Convenience Holdings, LLC‡ 4.000%, 03/17/28 1 mo. LIBOR + 3.50% 1,055,933



800,921 Granite Holdings US Acquisition Company‡ 4.147%, 09/30/26 3 mo. LIBOR + 4.00% $ 800,921

569,422 RegionalCare Hospital Partners Holdings, Inc.‡ 3.842%, 11/16/25 1 mo. LIBOR + 3.75% 565,314





1,086,174 Banff Merger Sub, Inc.‡ 3.842%, 10/02/25 1 mo. LIBOR + 3.75% 1,078,511

1,280,500 Camelot U.S. Acquisition 1 Company‡ 3.092%, 10/30/26 1 mo. LIBOR + 3.00% 1,269,776

701,475 Camelot U.S. Acquisition 1 Company‡ 4.000%, 10/30/26 1 mo. LIBOR + 3.00% 702,243

1,110,978 VFH Parent, LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% 1,104,429 ___________

4,812,900 ___________ Materials (0.1%)







5.500%, 06/15/23 16,250,628 ___________ Energy (0.0%)



7.250% 7,397,750




11 8/31/2021 1:01 PM


91,925 KKR & Company, Inc.^ 6.000%, 09/15/23 $ 7,633,452 ___________

15,031,202 ___________ Health Care (3.8%)

124,785 Avantor, Inc.µ 6.250%, 05/15/22 14,431,385

78,100 Boston Scientific Corp. 5.500%, 06/01/23 9,595,366

9,990 Danaher Corp. 4.750%, 04/15/22 19,907,573 ___________

43,934,324 ___________ Industrials (0.8%)

80,725 Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 9,525,550 ___________

Information Technology (2.2%) 16,850 Broadcom, Inc.

8.000%, 09/30/22 26,022,129 ___________ Utilities (4.0%)

61,810 AES Corp.^ 6.875%, 02/15/24 6,266,298

166,630 Dominion Energy, Inc.µ 7.250%, 06/01/22 16,618,010

NextEra Energy, Inc. 194,315 6.219%, 09/01/23 10,083,005 151,240 4.872%, 09/01/22 8,888,375

85,265 5.279%, 03/01/23~ 4,377,505 ___________ 46,233,193 ___________



7,495 Cumulus Media, Inc. - Class A# 88,366 16,790 Lumen Technologies, Inc.^ 209,371 ___________

297,737 ___________ Energy (0.7%)

5,396 Bonanza Creek Energy, Inc.^ 207,584 42,604 Calfrac Well Services, Ltd.# 123,126 10,051 Chaparral Energy, Inc. - Class A# 381,938

3,089 Chesapeake Energy Corp. 166,960 2,010 Chevron Corp.^ 204,638 4,868 Denbury, Inc.^# 319,876

25,342 Diamond Offshore Drilling, Inc.# 150,151 45,585 Energy Transfer, LP 449,468 49,370 Enterprise Products Partners, LP 1,114,281

7,238 EP Energy Corp.&# 716,562 7,002 Gulfport Energy Operating Corp.# 478,237

59,960 Lonestar Resources US, Inc.&# 590,606 13,895 Magellan Midstream Partners,

LP~ 647,507 2,398 Oasis Petroleum, Inc.^ 219,921 7,475 Schlumberger, NV 215,504

16,148 Superior Energy Services, Inc.# 629,772 23,215 Targa Resources Corp. 977,584 16,409 Weatherford International, PLC^# 286,173

3,748 Whiting Petroleum Corp.# 175,781


9,185 Williams Companies, Inc.^ $ 230,084 ___________ 8,285,753 ___________

Industrials (0.0%) 175,361 McDermott International, Inc.# 58,045 ___________



3,544


3,190


1,969


5,271


1,922


52,447


47,202


TOTAL WARRANTS (Cost $1,158,966) 455,111 ___________ ___________


45,340 United States Cellular Corp.^ 6.250%, 09/01/69 1,259,545 ___________

Consumer Discretionary (0.1%) 6,662 Guitar Center, Inc. 756,970 5,036 Qurate Retail, Inc.

8.000%, 03/15/31 546,305 ___________ 1,303,275 ___________


7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% 1,575,546

40,095 NuStar Energy, LP‡ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% 1,009,993

47,000 NuStar Logistics, LP^‡ 6.860%, 01/15/43 3 mo. USD LIBOR + 6.73% 1,187,690 ___________

3,773,229 ___________





Sea, Ltd.




12

8/31/2021 1:01 PM



545 15,050,720

Put, 01/21/22, Strike $260.00 $ 1,381,575

545 15,050,720

Put, 01/21/22, Strike $200.00 367,875

2,550 18,977,100

Snap, Inc. Put, 01/21/22, Strike $55.00 675,750 ___________


770 52,914,400

Tesla, Inc. Put, 01/21/22, Strike $700.00 8,158,150 ___________ Information Technology (0.1%)

1,500 11,637,000


1,500 54,685,500


1,300 57,006,300


2,942,000 ___________


TOTAL INVESTMENTS (144.3%) (Cost $1,431,228,280) 1,683,796,196 ___________ ___________



NET ASSETS (100.0%) $ 1,166,326,602 ___________ ___________


545 15,050,720

Sea, Ltd. Call, 01/21/22, Strike $320.00 (1,010,975) ___________ Consumer Discretionary (0.0%)

385 26,457,200





µ




~

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 $27,306,164.

# Non-income producing security. ¡


!


‡‡ Perpetual maturity. 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.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Convertible and High Income Fund (the “Fund”) was organized as a Delaware statutory trust on March 12, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on May 28, 2003. 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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.






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 July 31, 2021 was as follows*: Cost basis of investments $1,426,520,595 Gross unrealized appreciation 286,407,793 Gross unrealized depreciation (30,281,767) Net unrealized appreciation (depreciation) $256,126,026

* 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 – Mandatory Redeemable Preferred Shares On September 6, 2017, the Fund issued 4,400,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $110.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations. . The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2021.

Series Term



Calamos Strategic Total Return Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 11:32 AM






999,007 Alaska Airlines Pass Through Trust Series 2020-1, Class B*µ 8.000%, 02/15/27 1,117,049


884,000 5.500%, 04/20/26 925,875 295,000 5.750%, 04/20/29 319,270


1,074,840 JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 1,272,116


361,757 UAL 2007-1 Pass Through Trust 6.636%, 01/02/24 374,607

1,107,157 United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 1,134,095



1,795,000 Arrow Bidco, LLC* 9.500%, 03/15/24 1,842,855

1,205,000 Ashtead Capital, Inc.* 4.000%, 05/01/28 1,274,107


910,000 Brink's Company* 5.500%, 07/15/25 959,322


1,015,000 Consolidated Communications, Inc.* 6.500%, 10/01/28 1,097,286

CSC Holdings, LLC* 4,240,000 5.500%, 04/15/27 4,439,704 2,600,000 5.750%, 01/15/30 2,715,076 1,800,000 5.375%, 02/01/28 1,905,912 1,800,000 4.625%, 12/01/30 1,774,746


Inc.* 6.750%, 07/01/26 1,311,993





3,976,000 Embarq Corp. 7.995%, 06/01/36 4,460,476



6.730%, 02/15/28 1,943,080


1,030,000 3.500%, 03/01/29 1,031,978 301,000 5.250%, 12/01/27 316,387 345,000 Hughes Satellite Systems Corp.


900,000 9.750%, 07/15/25* 509,283 585,000 5.500%, 08/01/23 322,885


645,421 Ligado Networks, LLC* 15.500%, 11/01/23 639,264


Netflix, Inc. 910,000 4.875%, 06/15/30* 1,098,106 610,000 4.875%, 04/15/28 713,755

Scripps Escrow II, Inc.* 591,000 3.875%, 01/15/29 591,833 295,000 5.375%, 01/15/31 295,230



Sirius XM Radio, Inc.* 1,500,000 5.500%, 07/01/29^ 1,645,335 1,500,000 4.625%, 07/15/24 1,541,235


Inc.* 9.750%, 03/01/26 903,178

2,150,000 Sprint Capital Corp. 6.875%, 11/15/28 2,776,037

3,045,000 Sprint Corp. 7.125%, 06/15/24 3,506,683

880,000 Telecom Italia Capital, SA 6.000%, 09/30/34 1,012,220


125,000 Vodafone Group, PLC‡ 7.000%, 04/04/79 USD 5 year swap rate + 4.87% 154,861

Calamos Strategic Total Return Fund



2

8/31/2021 11:32 AM








1,500,000 Bally's Corp.* 6.750%, 06/01/27 1,622,805



Carnival Corp.* 582,000 10.500%, 02/01/26^ 667,292 295,000 7.625%, 03/01/26 313,163

1,385,000 Carriage Services, Inc.* 4.250%, 05/15/29 1,386,163

900,000 Carvana Company* 5.625%, 10/01/25 935,487


3,900,000 5.125%, 05/01/27 4,085,055 1,300,000 4.750%, 03/01/30 1,379,755

702,000 5.750%, 02/15/26 726,163 620,000 5.000%, 02/01/28 650,696 598,000 4.250%, 02/01/31 617,112 900,000 Cedar Fair, LP^


1,500,000 6.750%, 06/01/27 1,604,865 1,330,000 5.875%, 07/15/25 1,375,060

DISH DBS Corp. 926,000 7.750%, 07/01/26 1,058,603 739,000 7.375%, 07/01/28^ 800,477 893,000 Everi Holdings, Inc.*



1,885,000 4.000%, 11/13/30 1,996,856 1,600,000 4.063%, 11/01/24 1,699,440 1,400,000 4.134%, 08/04/25 1,500,408 1,400,000 3.664%, 09/08/24 1,469,006

600,000 4.389%, 01/08/26 651,342

General Motors Financial Company, Inc.‡

140,000 5.700%, 09/30/30 5 year CMT + 5.00% 159,961

125,000 6.500%, 09/30/28^ 3 mo. USD LIBOR + 3.44% 141,586

goeasy, Ltd.* 2,050,000 5.375%, 12/01/24 2,128,515 1,111,000 4.375%, 05/01/26 1,146,152


596,000 Goodyear Tire & Rubber Company* 5.000%, 07/15/29 $ 628,482



1,500,000 6.250%, 01/15/27 1,706,115 400,000 4.125%, 04/15/26 417,044 374,000 5.250%, 01/15/29 399,529

L Brands, Inc. 1,577,000 6.694%, 01/15/27 1,873,886

878,000 6.875%, 11/01/35 1,130,390 600,000 Liberty Interactive, LLC

8.500%, 07/15/29 688,986 884,000 Life Time, Inc.*^

8.000%, 04/15/26 926,697 M/I Homes, Inc.

1,295,000 5.625%, 08/01/25 1,333,630 855,000 4.950%, 02/01/28 902,102


8.375%, 06/15/25 660,085 Mattel, Inc.*

1,505,000 5.875%, 12/15/27 1,648,336 147,000 3.750%, 04/01/29^ 155,173

Mclaren Finance, PLC* 1,365,000 5.750%, 08/01/22 1,365,000 1,175,000 7.500%, 08/01/26 1,194,952 1,370,000 Midwest Gaming Borrower, LLC /



1,122,000 Newell Brands, Inc. 4.700%, 04/01/26 1,251,479


2,933,000 Rite Aid Corp.* 8.000%, 11/15/26 2,947,753




901,000 Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 1,020,103


1,355,000 Vista Outdoor, Inc.* 4.500%, 03/15/29 1,383,252

1,200,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 1,192,116

298,000 Williams Scotsman International, Inc.* 4.625%, 08/15/28 308,403 ___________

69,034,871 ___________




3 8/31/2021 11:32 AM


Consumer Staples (0.8%) 1,358,000 Central Garden & Pet Company*

4.125%, 04/30/31 $ 1,389,315


884,000 4.125%, 04/01/29 890,268 588,000 5.500%, 06/01/28 623,168


780,000 Fresh Market, Inc.* 9.750%, 05/01/23 804,086




296,000 4.250%, 03/01/31 341,276 296,000 3.875%, 05/15/27 327,912 125,000 Land O' Lakes, Inc.*

7.000%, 09/18/28 130,248 751,000 New Albertsons, LP

7.750%, 06/15/26 862,786 1,192,000 Performance Food Group, Inc.*

4.250%, 08/01/29 1,213,086 1,720,000 Pilgrim's Pride Corp.*^

5.875%, 09/30/27 1,841,501 Post Holdings, Inc.*

1,430,000 5.750%, 03/01/27 1,491,490 860,000 4.625%, 04/15/30 876,976

1,124,000 Prestige Brands, Inc.* 3.750%, 04/01/31 1,115,941

1,300,000 United Natural Foods, Inc.*^ 6.750%, 10/15/28 1,405,742

Vector Group, Ltd.* 1,850,000 5.750%, 02/01/29 1,885,261

718,000 10.500%, 11/01/26 764,067 ___________ 21,572,538 ___________

Energy (1.5%) Antero Resources Corp.*

448,000 7.625%, 02/01/29 491,098 298,000 5.375%, 03/01/30 303,465

Apache Corp. 1,187,000 5.100%, 09/01/40 1,274,411

667,000 4.875%, 11/15/27 718,399 593,000 4.625%, 11/15/25 638,115


Buckeye Partners, LP 900,000 3.950%, 12/01/26^ 915,003 600,000 5.850%, 11/15/43 610,788 733,000 ChampionX Corp.


1,200,000 5.625%, 10/01/26 1,241,112 300,000 4.000%, 03/01/31*^ 317,616 591,000 Cheniere Energy, Inc.


1,175,000 3.800%, 06/01/24 1,233,832 875,000 4.375%, 01/15/28 978,049


1,950,000 DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% $ 1,835,204


626,000 DT Midstream, Inc.* 4.125%, 06/15/29 642,526

200,000 Enbridge, Inc.‡ 5.750%, 07/15/80 5 year CMT + 5.31% 225,458


3 mo. USD LIBOR + 3.02% 1,431,861 1,015,000 6.500%, 11/15/26

5 year CMT + 5.69% 1,039,604 EnLink Midstream Partners, LP

1,775,000 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% 1,374,968

1,285,000 4.850%, 07/15/26 1,345,074 EQT Corp.

630,000 7.500%, 02/01/30 828,318 500,000 6.625%, 02/01/25 578,365 300,000 5.000%, 01/15/29 339,360

1,173,000 Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26 1,159,440

Gulfport Energy Operating Corp. 1,000,000 6.375%, 05/15/25@ 42,500

292,608 8.000%, 05/17/26 313,450 Laredo Petroleum, Inc.

985,000 10.125%, 01/15/28 1,043,992 300,000 7.750%, 07/31/29* 290,556



600,000 10.500%, 05/15/27 576,702 540,000 7.500%, 01/15/26 489,116 135,000 MPLX, LP‡

6.875%, 02/15/23 3 mo. USD LIBOR + 4.65% 137,547

589,000 Murphy Oil Corp. 6.375%, 07/15/28 623,898

New Fortress Energy, Inc.* 591,000 6.750%, 09/15/25 603,659 589,000 6.500%, 09/30/26 596,003 540,000 Nine Energy Service, Inc.*


OMP Finance Corp.* 8.000%, 04/01/29 309,734

Occidental Petroleum Corp. 3,641,000 4.300%, 08/15/39 3,614,785 2,675,000 2.900%, 08/15/24 2,696,989

580,000 5.875%, 09/01/25^ 643,493 285,000 Ovintiv, Inc.



900,000 Parkland Corp. / Canada*~ 5.875%, 07/15/27 960,696




4

8/31/2021 11:32 AM


1,390,000 Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% $ 1,246,510

446,000 Range Resources Corp.* 8.250%, 01/15/29 494,382

639,000 Transocean, Inc.* 11.500%, 01/30/27 636,604




5.375%, 11/01/27 629,562 770,000 W&T Offshore, Inc.*


11.000%, 12/01/24 571,933 ___________ 42,083,431 ___________

Financials (3.6%)


3,028,000 7.000%, 11/15/25^ 3,081,384 1,783,000 6.000%, 08/01/29 1,784,337

889,000 Aethon United BR, LP / Aethon United Finance Corp.* 8.250%, 02/15/26 952,457

1,297,000 AG Issuer, LLC* 6.250%, 03/01/28 1,364,068

2,500,000 Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer*^ 6.750%, 10/15/27 2,614,650

Ally Financial, Inc. 1,392,000 4.700%, 05/15/26^‡

5 year CMT + 3.87% 1,462,964 964,000 8.000%, 11/01/31 1,405,435 780,000 4.700%, 05/15/28‡

7 year CMT + 3.48% 812,549 258,000 American Express Company‡

3.550%, 09/15/26 5 year CMT + 2.85% 260,268

250,000 American International Group, Inc.‡ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87% 285,847

1,183,000 AmWINS Group, Inc.* 4.875%, 06/30/29 1,208,139

320,000 Ares Finance Company III, LLC*‡ 4.125%, 06/30/51 5 year CMT + 3.24% 322,957

2,700,000 AssuredPartners, Inc.* 7.000%, 08/15/25 2,752,056

1,307,000 Aviation Capital Group, LLC* 3.500%, 11/01/27 1,392,099

285,000 AXIS Specialty Finance, LLC‡ 4.900%, 01/15/40 5 year CMT + 3.19% 304,537

240,000 Bank of America Corp.µ‡ 4.300%, 01/28/25 3 mo. USD LIBOR + 2.66% 247,894

220,000 Bank of Montrealµ‡ 4.800%, 08/25/24 5 year CMT + 2.98% 235,664


Bank of New York Mellon Corp.µ‡ 400,000 4.700%, 09/20/25

5 year CMT + 4.36% $ 442,496 62,000 3.700%, 03/20/26

5 year CMT + 3.35% 65,107 400,000 Bank of Nova Scotiaµ‡

4.900%, 06/04/25 5 year CMT + 4.55% 439,016

200,000 Barclays, PLC‡ 7.875%, 03/15/22 USD 5 year swap rate + 6.77% 207,668

BP Capital Markets, PLC‡ 280,000 4.875%, 03/22/30

5 year CMT + 4.40% 309,044 135,000 4.375%, 06/22/25

5 year CMT + 4.04% 144,588 1,191,000 BroadStreet Partners, Inc.*

5.875%, 04/15/29 1,214,177 3,447,000 Brookfield Property REIT, Inc. /


387,000 Capital One Financial Corp.‡ 3.950%, 09/01/26 5 year CMT + 3.16% 398,269

Charles Schwab Corp.‡ 325,000 4.000%, 06/01/26^

5 year CMT + 3.17% 340,619 147,000 4.000%, 12/01/30

10 year CMT + 3.08% 153,161 135,000 5.375%, 06/01/25^

5 year CMT + 4.97% 150,779 250,000 CIT Group, Inc.‡

5.800%, 06/15/22 3 mo. USD LIBOR + 3.97% 256,730

Citigroup, Inc.‡ 975,000 3.875%, 02/18/26

5 year CMT + 3.42% 1,001,881 150,000 4.000%, 12/10/25

5 year CMT + 3.60% 155,599 385,000 Citizens Financial Group, Inc.‡

4.000%, 10/06/26 5 year CMT + 3.22% 393,297

Credit Acceptance Corp. 1,500,000 6.625%, 03/15/26^ 1,587,240 1,092,000 5.125%, 12/31/24* 1,129,761

200,000 Credit Suisse Group, AG*‡ 7.500%, 12/11/23 USD 5 year swap rate + 4.60% 221,390


Discover Financial Services‡ 245,000 6.125%, 06/23/25

5 year CMT + 5.78% 275,983 135,000 5.500%, 10/30/27

3 mo. USD LIBOR + 3.08% 146,156 1,500,000 Donnelley Financial Solutions, Inc.

8.250%, 10/15/24 1,555,815 1,233,000 Enact Holdings, Inc.*

6.500%, 08/15/25 1,338,952 550,000 Fifth Third Bancorp‡

4.500%, 09/30/25 5 year CMT + 4.22% 599,802




5 8/31/2021 11:32 AM


1,718,000 Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 $ 1,706,421

Goldman Sachs Group, Inc.‡ 500,000 4.400%, 02/10/25

5 year CMT + 2.85% 520,150 475,000 3.800%, 05/10/26

5 year CMT + 2.97% 484,604 52,000 3.650%, 08/10/26

5 year CMT + 2.92% 52,249 1,891,000 Greystar Real Estate Partners,

LLC* 5.750%, 12/01/25 1,938,521

200,000 HSBC Holdings, PLCµ‡ 6.375%, 03/30/25 U.S. 5 yr Swap + 4.37% 222,002


Huntington Bancshares, Inc.‡ 350,000 4.450%, 10/15/27

7 year CMT + 4.05% 376,932 125,000 5.625%, 07/15/30^

10 year CMT + 4.95% 147,446 70,000 5.700%, 04/15/23^

3 mo. USD LIBOR + 2.88% 72,489


1,455,000 5.250%, 05/15/27 1,532,566 892,000 4.375%, 02/01/29 904,078

2,448,000 ILFC E-Capital Trust II*‡ 3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 2,073,089

2,625,000 Iron Mountain, Inc.*^ 5.250%, 03/15/28 2,753,520


3,000,000 5.000%, 08/15/28 3,072,930 2,475,000 6.250%, 06/03/26 2,668,421

JPMorgan Chase & Company‡ 555,000 4.600%, 02/01/25µ

SOFR + 3.13% 575,030 385,000 3.650%, 06/01/26^

5 year CMT + 2.85% 388,738


2,306,000 5.250%, 10/01/25 2,344,395 596,000 4.750%, 06/15/29 594,152


Level 3 Financing, Inc. 1,250,000 4.250%, 07/01/28* 1,274,862

990,000 5.375%, 05/01/25 1,013,196 200,000 Lloyds Banking Group, PLC‡

7.500%, 06/27/24 USD 5 year swap rate + 4.76% 226,006

LPL Holdings, Inc.* 1,467,000 4.000%, 03/15/29 1,492,071

445,000 4.375%, 05/15/31 456,761 240,000 Markel Corp.‡

6.000%, 06/01/25 5 year CMT + 5.66% 268,193

MetLife, Inc. 2,990,000 6.400%, 12/15/66 3,834,466

285,000 3.850%, 09/15/25^‡ 5 year CMT + 3.58% 299,125


120,000 Nationwide Financial Services, Inc. 6.750%, 05/15/87 $ 148,242

Navient Corp. 2,555,000 5.000%, 03/15/27^ 2,666,040 1,355,000 4.875%, 03/15/28 1,367,981

200,000 Nippon Life Insurance Company*‡ 2.750%, 01/21/51 5 year CMT + 2.65% 198,538

200,000 Nordea Bank Abp*µ‡ 6.625%, 03/26/26 5 year CMT + 4.11% 230,930

OneMain Finance Corp. 1,500,000 7.125%, 03/15/26 1,767,450 1,145,000 6.875%, 03/15/25 1,301,647


708,000 7.500%, 06/01/25 767,932 592,000 5.875%, 10/01/28 632,007 442,000 PartnerRe Finance B, LLC^‡

4.500%, 10/01/50 5 year CMT + 3.82% 464,056

742,000 PHH Mortgage Corp.* 7.875%, 03/15/26 762,672

1,355,000 Prospect Capital Corp.µ 3.706%, 01/22/26 1,407,601

124,000 Prudential Financial, Inc.^‡ 3.700%, 10/01/50 5 year CMT + 3.04% 131,121

200,000 QBE Insurance Group, Ltd.*^‡ 5.875%, 05/12/25 5 year CMT + 5.51% 220,472

555,000 Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc.* 3.625%, 03/01/29 559,401

1,500,000 Radian Group, Inc. 4.875%, 03/15/27 1,631,445



718,000 SLM Corp. 4.200%, 10/29/25 778,075

1,500,000 Starwood Property Trust, Inc. 4.750%, 03/15/25 1,591,980

800,000 State Street Corp.^‡ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54% 852,312

1,225,000 StoneX Group, Inc.* 8.625%, 06/15/25 1,332,004

SVB Financial Group‡ 300,000 4.000%, 05/15/26^

5 year CMT + 3.20% 311,946 224,000 4.100%, 02/15/31

10 year CMT + 3.06% 231,661 Truist Financial Corp.µ‡

415,000 4.800%, 09/01/24 5 year CMT + 3.00% 442,340

125,000 4.950%, 09/01/25 5 year CMT + 4.61% 137,798

200,000 UBS Group, AG*‡ 7.000%, 01/31/24 USD 5 year swap rate + 4.34% 220,498




6

8/31/2021 11:32 AM


United Wholesale Mortgage, LLC* 886,000 5.500%, 11/15/25 $ 913,953 593,000 5.500%, 04/15/29 590,735

1,141,000 VICI Properties, LP / VICI Note Company, Inc.*^ 3.750%, 02/15/27 1,176,097

630,000 Wells Fargo & Company‡ 3.900%, 03/15/26 5 year CMT + 3.45% 654,576

XHR, LP* 1,255,000 6.375%, 08/15/25 1,338,809

596,000 4.875%, 06/01/29 610,483 ___________ 102,732,771 ___________


5.000%, 04/15/29 622,104 3,285,000 Bausch Health Americas, Inc.*

8.500%, 01/31/27 3,558,181 Bausch Health Companies, Inc.*

1,670,000 5.250%, 02/15/31 1,566,610 1,300,000 5.000%, 01/30/28^ 1,244,347

511,000 5.000%, 02/15/29 483,278 Centene Corp.




2,392,000 6.125%, 04/01/30 2,426,732 1,325,000 8.000%, 03/15/26 1,421,301

663,000 6.875%, 04/15/29 698,663 DaVita, Inc.*

1,772,000 4.625%, 06/01/30 1,832,354 880,000 3.750%, 02/15/31 856,856

Encompass Health Corp. 600,000 4.750%, 02/01/30^ 643,650 600,000 4.500%, 02/01/28 625,134

1,369,000 HCA, Inc. 7.500%, 11/06/33 1,957,054




2,200,000 5.125%, 04/30/31 2,268,860 500,000 4.125%, 04/30/28 513,445

1,251,000 Team Health Holdings, Inc.*^ 6.375%, 02/01/25 1,168,096

Tenet Healthcare Corp. 2,710,000 6.250%, 02/01/27* 2,826,530 1,600,000 4.625%, 07/15/24 1,623,248 1,575,000 6.875%, 11/15/31 1,806,320 1,520,000 4.875%, 01/01/26* 1,576,012


2,530,000 2.800%, 07/21/23 2,510,190 2,380,000 6.000%, 04/15/24 2,504,474 ___________

38,911,593 ___________


Industrials (2.4%) 1,180,000 Abercrombie & Fitch Management

Company* 8.750%, 07/15/25 $ 1,306,708

1,355,000 ACCO Brands Corp.* 4.250%, 03/15/29 1,355,691

190,000 Air Lease Corp.‡ 4.650%, 06/15/26 5 year CMT + 4.08% 198,968


1,448,000 4.875%, 02/15/30 1,568,633 1,425,000 4.625%, 01/15/27 1,508,177

591,000 3.500%, 03/15/29 597,359 Allison Transmission, Inc.*

1,025,000 4.750%, 10/01/27 1,071,115 295,000 3.750%, 01/30/31 295,280 298,000 Ambience Merger Sub, Inc.*


3.750%, 03/01/25 262,960 670,000 Arcosa, Inc.*

4.375%, 04/15/29 686,844 3,100,000 ARD Finance, SA*

6.500%, 06/30/27 7.250% PIK rate 3,274,034


1,086,000 Beacon Roofing Supply, Inc.* 4.125%, 05/15/29 1,089,779

1,191,000 BWX Technologies, Inc.* 4.125%, 04/15/29 1,221,061


901,000 5.125%, 01/15/26 954,997 600,000 5.375%, 01/15/28 632,388

Delta Air Lines, Inc. 297,000 7.375%, 01/15/26 349,988 297,000 3.800%, 04/19/23 306,893


295,000 4.750%, 10/20/28 330,668 148,000 4.500%, 10/20/25µ 159,426 879,000 Endure Digital, Inc.*

6.000%, 02/15/29 853,518 575,000 EnerSys*

4.375%, 12/15/27 602,376 1,355,000 Fly Leasing, Ltd.




Inc.* 7.125%, 08/15/28 720,581



750,000 4.750%, 07/15/27 813,870 551,000 3.500%, 03/01/29 549,573




7 8/31/2021 11:32 AM


298,000 Great Lakes Dredge & Dock Corp.* 5.250%, 06/01/29 $ 307,727

2,775,000 H&E Equipment Services, Inc.* 3.875%, 12/15/28 2,755,936


1,500,000 Herc Holdings, Inc.* 5.500%, 07/15/27 1,576,590


511,000 6.875%, 05/01/25 595,034 1,450,000 JELD-WEN, Inc.*


Finance Corp.* 8.625%, 10/15/26 644,252


598,000 MasTec, Inc.* 4.500%, 08/15/28 631,087

770,000 Meritor, Inc.* 4.500%, 12/15/28 788,526

722,000 Moog, Inc.* 4.250%, 12/15/27 745,898

1,615,000 Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 1,643,844

1,140,000 Novelis Corp.* 4.750%, 01/30/30 1,215,650





1,155,000 QVC, Inc. 4.375%, 09/01/28 1,187,583






Sinclair Television Group, Inc.* 600,000 5.500%, 03/01/30 602,706 591,000 4.125%, 12/01/30 573,737

Standard Industries, Inc.* 1,165,000 5.000%, 02/15/27 1,207,022

302,000 4.375%, 07/15/30^ 310,821 100,000 Stanley Black & Decker, Inc.^‡

4.000%, 03/15/60 5 year CMT + 2.66% 107,301


Station Casinos, LLC* 2,430,000 4.500%, 02/15/28 $ 2,453,206

788,000 5.000%, 10/01/25 798,977 591,000 Stericycle, Inc.*


7.500%, 02/15/26 927,600 1,200,000 TransDigm UK Holdings, PLC

6.875%, 05/15/26 1,268,076 TransDigm, Inc.

1,490,000 6.250%, 03/15/26* 1,565,647 875,000 7.500%, 03/15/27 928,340 589,000 Tronox, Inc.*

4.625%, 03/15/29 600,044


640,000 5.875%, 09/15/26 661,946 595,000 3.750%, 01/15/32 595,000 297,000 3.875%, 02/15/31 306,026 750,000 Waste Pro USA, Inc.*


563,000 7.125%, 06/15/25^ 607,286 283,000 7.250%, 06/15/28 315,519

1,500,000 XPO Logistics, Inc.* 6.750%, 08/15/24 1,557,345 ___________



600,000 CDK Global, Inc.* 5.250%, 05/15/29 654,228

1,201,000 CommScope Technologies, LLC* 6.000%, 06/15/25 1,220,456


1,405,000 6.020%, 06/15/26µ 1,691,536 925,000 6.100%, 07/15/27 1,144,401 545,000 5.850%, 07/15/25µ 640,745 586,000 Fair Isaac Corp.*

4.000%, 06/15/28 613,179 1,315,000 KBR, Inc.*


5.750%, 11/01/28 1,264,510 589,000 NCR Corp.*


Finance Company* 4.500%, 07/15/29 1,377,708


855,000 Open Text Corp.* 3.875%, 02/15/28 885,027


784,000 PTC, Inc.* 4.000%, 02/15/28 812,436

1,355,000 TTM Technologies, Inc.* 4.000%, 03/01/29 1,365,149

Twilio, Inc. 830,000 3.625%, 03/15/29 853,738 298,000 3.875%, 03/15/31^ 311,836




8

8/31/2021 11:32 AM


1,355,000 ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 $ 1,357,629 ___________

18,271,995 ___________ Materials (0.8%)






1,880,000 Clearwater Paper Corp.* 4.750%, 08/15/28 1,902,316

800,000 First Quantum Minerals, Ltd.* 7.250%, 04/01/23 815,456

Freeport-McMoRan, Inc. 780,000 5.000%, 09/01/27 824,249 570,000 5.450%, 03/15/43 732,838 515,000 5.400%, 11/14/34 654,730 886,000 HB Fuller Company

4.250%, 10/15/28 907,672 1,192,000 Intertape Polymer Group, Inc.*

4.375%, 06/15/29 1,220,978 900,000 JW Aluminum Continuous Cast

Company* 10.250%, 06/01/26 949,338

Kaiser Aluminum Corp.* 615,000 4.625%, 03/01/28^ 643,013 149,000 4.500%, 06/01/31 155,125 957,000 Mercer International, Inc.

5.125%, 02/01/29 977,269 New Gold, Inc.*

364,000 6.375%, 05/15/25 375,746 300,000 7.500%, 07/15/27 324,270

1,170,000 OCI, NV* 4.625%, 10/15/25 1,215,162

593,000 Owens-Brockway Glass Container, Inc.* 6.625%, 05/13/27 643,215

594,000 PBF Holding Company, LLC / PBF Finance Corp.~ 7.250%, 06/15/25 358,942

1,328,000 Silgan Holdings, Inc. 4.125%, 02/01/28 1,380,004



593,000 Valvoline, Inc.* 3.625%, 06/15/31 591,150 ___________

21,450,699 ___________ Real Estate (0.2%)

953,000 EPR Properties 3.750%, 08/15/29 967,877


5.500%, 02/15/26 924,944


Service Properties Trust 1,500,000 4.350%, 10/01/24 $ 1,514,025

550,000 5.250%, 02/15/26 556,732 ___________ 5,165,675 ___________

Utilities (0.3%) 856,000 Calpine Corp.*

4.500%, 02/15/28 883,572 65,000 CenterPoint Energy, Inc.‡

6.125%, 09/01/23 3 mo. USD LIBOR + 3.27% 68,858

175,000 CMS Energy Corp.‡ 4.750%, 06/01/50 5 year CMT + 4.12% 196,745

250,000 Dominion Energy, Inc.‡ 4.650%, 12/15/24 5 year CMT + 2.99% 267,647

330,000 Duke Energy Corp.‡ 4.875%, 09/16/24 5 year CMT + 3.39% 353,097

265,000 NextEra Energy Capital Holdings, Inc.^‡ 4.800%, 12/01/77 3 mo. USD LIBOR + 2.41% 298,803

810,000 NRG Energy, Inc. 6.625%, 01/15/27 839,460

1,896,000 PPL Capital Funding, Inc.‡ 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% 1,859,085

125,000 Sempra Energy‡ 4.875%, 10/15/25 5 year CMT + 4.55% 136,713

Southern Company‡ 247,000 4.000%, 01/15/51

5 year CMT + 3.73% 262,270 95,000 3.750%, 09/15/51

5 year CMT + 2.92% 97,236 Talen Energy Supply, LLC*

600,000 10.500%, 01/15/26 414,186 300,000 7.250%, 05/15/27 273,891


7,575,793 ___________



3,394,000 Eventbrite, Inc.* 0.750%, 09/15/26 3,209,706

Liberty Media Corp. 7,750,000 1.375%, 10/15/23 10,305,097 2,680,000 0.500%, 12/01/50* 2,967,886 7,150,000 Liberty Media Corp. / Liberty

Formula One 1.000%, 01/30/23 9,469,889

1,883,000 Live Nation Entertainment, Inc. 2.500%, 03/15/23 2,454,886

3,669,000 Magnite, Inc.* 0.250%, 03/15/26 3,163,705

3,000,000 Match Group Financeco 2, Inc.*~ 0.875%, 06/15/26 5,706,720

2,500,000 Match Group Financeco 3, Inc.* 2.000%, 01/15/30 5,045,275




9 8/31/2021 11:32 AM


11,350,000 Snap, Inc.* 0.000%, 05/01/27 $ 13,066,120

4,330,000 Twitter, Inc. 0.250%, 06/15/24 6,004,541

4,935,000 Zynga, Inc. 0.250%, 06/01/24 6,594,986 ___________


1,187,000 Bloomin' Brands, Inc.µ 5.000%, 05/01/25 2,677,943

15,201,000 Booking Holdings, Inc.µ^ 0.750%, 05/01/25 21,457,732

7,785,000 Burlington Stores, Inc. 2.250%, 04/15/25 12,738,362

6,435,000 Chegg, Inc.*µ 0.000%, 09/01/26 6,977,921

1,895,000 Dick's Sporting Goods, Inc.µ 3.250%, 04/15/25 5,830,839

2,164,000 DISH Network Corp.µ 2.375%, 03/15/24 2,096,981

6,685,000 DraftKings, Inc.* 0.000%, 03/15/28 5,868,360

4,415,000 Etsy, Inc.*^ 0.125%, 09/01/27 5,321,399

4,598,000 Expedia Group, Inc.*^ 0.000%, 02/15/26 4,943,862

5,635,000 Ford Motor Company* 0.000%, 03/15/26 6,038,184

Liberty Interactive, LLC 1,160,000 4.000%, 11/15/29 893,931

790,000 3.750%, 02/15/30 609,438 2,970,000 MakeMyTrip, Ltd.*

0.000%, 02/15/28 3,002,314 7,670,000 Marriott Vacations Worldwide

Corp.* 0.000%, 01/15/26 8,200,994


11,345,000 Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 14,618,032

5,730,000 Shake Shack, Inc.* 0.000%, 03/01/28 5,369,640

400,000 Tesla, Inc. 2.000%, 05/15/24 4,432,980

4,160,000 Under Armour, Inc. 1.500%, 06/01/24 7,765,846

7,865,000 Vail Resorts, Inc.* 0.000%, 01/01/26 7,941,369

4,630,000 Vroom, Inc.* 0.750%, 07/01/26 4,504,342

4,225,000 Wayfair, Inc.* 0.625%, 10/01/25 4,104,545



5,700,000 Beyond Meat, Inc.*µ 0.000%, 03/15/27 5,251,866 ___________

Energy (0.5%) 3,190,000 EQT Corp.^

1.750%, 05/01/26 4,682,697


6,515,000 Pioneer Natural Resources Company 0.250%, 05/15/25 $ 9,584,803 ___________

14,267,500 ___________ Financials (0.7%)

Ares Capital Corp. 7,500,000 3.750%, 02/01/22^ 7,950,300 3,000,000 4.625%, 03/01/24 3,290,280 4,700,000 JPMorgan Chase Bank NA*^


Co-Issuer Corp.* 0.250%, 06/15/26 4,735,588 ___________

20,988,530 ___________ Health Care (3.1%)

1,850,000 CONMED Corp.^ 2.625%, 02/01/24 2,994,355

9,218,000 Dexcom, Inc.µ 0.250%, 11/15/25 10,511,378

3,673,000 Envista Holdings Corp.^ 2.375%, 06/01/25 7,834,986

11,015,000 Exact Sciences Corp. 0.375%, 03/15/27 13,317,465

3,702,000 Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 3,391,661

5,015,000 Insulet Corp. 0.375%, 09/01/26 6,946,176

3,960,000 Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 4,508,381

8,035,000 Jazz Investments I, Ltd. 2.000%, 06/15/26 10,416,976

6,925,000 NeoGenomics, Inc. 0.250%, 01/15/28 6,824,657


4,680,000 Omnicell, Inc.* 0.250%, 09/15/25 7,371,983

7,755,000 Pacira BioSciences, Inc. 0.750%, 08/01/25 8,533,447 ___________

87,120,698 ___________ Industrials (3.7%)

6,350,000 Air Canadaµ 4.000%, 07/01/25 9,689,783

4,600,000 Air Transport Services Group, Inc. 1.125%, 10/15/24 4,784,736

1,015,000 Chart Industries, Inc.*µ 1.000%, 11/15/24 2,713,958

7,440,000 JetBlue Airways Corp.* 0.500%, 04/01/26 7,358,532

10,395,000 John Bean Technologies Corp.* 0.250%, 05/15/26 11,209,864

8,240,000 Middleby Corp.* 1.000%, 09/01/25 12,889,585

3,763,000 Parsons Corp.* 0.250%, 08/15/25 3,971,056

21,015,000 Southwest Airlines Company 1.250%, 05/01/25 30,877,339

5,805,000 Sunrun, Inc.*^ 0.000%, 02/01/26 5,183,691




10

8/31/2021 11:32 AM


14,800,000 Uber Technologies, Inc.*^ 0.000%, 12/15/25 $ 14,456,492 ___________



5,830,000 Coupa Software, Inc.µ 0.375%, 06/15/26 6,259,496

2,015,000 Datadog, Inc.µ 0.125%, 06/15/25 2,796,074

Enphase Energy, Inc.* 5,945,000 0.000%, 03/01/28 6,029,776 2,629,000 0.000%, 03/01/26 2,650,374 1,355,000 Five9, Inc.

0.500%, 06/01/25 2,191,523 5,040,000 Itron, Inc.*

0.000%, 03/15/26 5,163,530 6,115,000 LivePerson, Inc.*



Ltd.* 0.000%, 10/15/25 3,863,707

5,015,000 Okta, Inc.^ 0.125%, 09/01/25 7,318,189

ON Semiconductor Corp. 5,435,000 0.000%, 05/01/27* 5,783,927 4,695,000 1.625%, 10/15/23 9,107,126 3,520,000 Palo Alto Networks, Inc.

0.375%, 06/01/25 5,050,179 7,590,000 Repay Holdings Corp.*

0.000%, 02/01/26 7,560,703 7,650,000 RingCentral, Inc.

0.000%, 03/01/25 8,090,793 4,981,000 Shift4 Payments, Inc.*

0.000%, 12/15/25 6,480,829 1,542,000 Shopify, Inc.

0.125%, 11/01/25 2,033,235 3,524,000 Silicon Laboratories, Inc.

0.625%, 06/15/25 4,786,085 2,680,000 Square, Inc.*

0.000%, 05/01/26 3,049,036 2,389,000 Wix.com, Ltd.*

0.000%, 08/15/25 2,610,699 2,670,000 Workday, Inc.

0.250%, 10/01/22 4,322,863 2,852,000 Zscaler, Inc.

0.125%, 07/01/25 4,765,407 ___________ 125,717,299 ___________

Materials (0.1%) 3,060,000 MP Materials Corp.*

0.250%, 04/01/26 3,313,827 ___________ Real Estate (0.8%)

6,120,000 IH Merger Sub, LLC 3.500%, 01/15/22 10,948,741

4,640,000 Pebblebrook Hotel Trust 1.750%, 12/15/26 5,206,869


5,430,000 Redfin Corp.* 0.000%, 10/15/25 $ 5,888,672 ___________

22,044,282 ___________



990,000 AAdvantage Loyalty IP, Ltd.‡ 5.500%, 04/20/28 3 mo. LIBOR + 4.75% 1,019,329










1,033,468 iHeartCommunications, Inc.‡ 3.092%, 05/01/26 1 mo. LIBOR + 3.00% 1,021,196




595,000 At Home Group, Inc.! 0.000%, 06/24/28 595,744


1,243,750 Life Time Fitness, Inc.‡ 5.750%, 12/16/24 3 mo. LIBOR + 4.75% 1,244,533






11 8/31/2021 11:32 AM


2,390,000 PetSmart, Inc.‡ 4.500%, 02/12/28 6 mo. LIBOR + 3.75% $ 2,392,091


475,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 477,375

1,091,500 TKC Holdings, Inc.! 0.000%, 05/15/28 1,080,247






6.870%, 01/12/26 3 mo. LIBOR + 6.75% 1,250,957 ___________

Financials (0.1%) 2,450,000 Jazz Financing Lux Sarl‡

4.000%, 05/05/28 1 mo. LIBOR + 3.50% 2,456,125


2,753,744 ___________ Health Care (0.4%)

2,797,293 Amneal Pharmaceuticals, LLC‡ 3.625%, 05/04/25 1 mo. LIBOR + 3.50% 2,711,192







1,156,923 Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% 1,127,762



2,634,456 Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% $ 2,556,660 ___________

11,837,246 ___________ Industrials (0.3%)


745,000 Air Canada! 0.000%, 07/28/28 747,175


1,200,000 BW Gas & Convenience Holdings, LLC‡ 4.000%, 03/17/28 1 mo. LIBOR + 3.50% 1,203,000








1,238,412 Banff Merger Sub, Inc.‡ 3.842%, 10/02/25 1 mo. LIBOR + 3.75% 1,229,675

1,433,175 Camelot U.S. Acquisition 1 Co.‡ 3.092%, 10/30/26 1 mo. LIBOR + 3.00% 1,421,172


1,296,141 VFH Parent LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% 1,288,501 ___________

5,488,860 ___________ Materials (0.0%)






12

8/31/2021 11:32 AM



18,160 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 $ 22,978,393 ___________

Consumer Discretionary (0.7%) 100,805 Aptiv, PLC

5.500%, 06/15/23 18,927,147 ___________ Energy (0.0%)


Financials (0.8%) 80,250 AMG Capital Trust II

5.150%, 10/15/37 4,720,064 430 Bank of America Corp.µ‡‡

7.250% 636,207 222,280 KKR & Company, Inc.^

6.000%, 09/15/23 18,458,131 2,083 Prospect Capital Corp.

5.350%, 07/01/26 51,304 ___________ 23,865,706 ___________


6.250%, 05/15/22 11,119,169 90,115 Boston Scientific Corp.µ

5.500%, 06/01/23 11,071,529 9,980 Danaher Corp.µ

4.750%, 04/15/22 19,887,645 ___________ 42,078,343 ___________

Industrials (1.2%) 62,970 Colfax Corp.µ

5.750%, 01/15/22 11,673,379 180,605 Stanley Black & Decker, Inc.^

5.250%, 11/15/22 21,311,390 ___________ 32,984,769 ___________

Information Technology (1.1%) 19,390 Broadcom, Inc.µ

8.000%, 09/30/22 29,944,753 ___________ Utilities (3.1%)

91,020 AES Corp.µ 6.875%, 02/15/24 9,227,608

84,885 CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)µ§**** 4.566%, 09/15/29 5,634,836

170,935 Dominion Energy, Inc. 7.250%, 06/01/22 17,047,348

391,410 DTE Energy Company 6.250%, 11/01/22 20,079,333

142,970 Essential Utilities, Inc. 6.000%, 04/30/22 8,671,130

NextEra Energy, Inc. 382,660 4.872%, 09/01/22 22,488,928


94,060 6.219%, 09/01/23 $ 4,880,773 ___________ 88,029,956 ___________



34,670 Alphabet, Inc. - Class A^# 93,419,355 10,635 Alphabet, Inc. - Class C^# 28,761,507

264,885 AT&T, Inc.^~ 7,430,024 411,425 Comcast Corp. - Class A^ 24,204,133

8,050 Cumulus Media, Inc. - Class A# 94,909 176,235 Facebook, Inc. - Class A^# 62,792,530

2 Frontier Communications Parent, Inc.# 60

19,165 Lumen Technologies, Inc.^ 238,988 32,360 Netflix, Inc.# 16,748,565

205,085 EUR Orange, SA 2,282,418 149,335 Walt Disney Company# 26,285,947 ___________


32,615 Amazon.com, Inc.^# 108,529,348 59,260 Carnival Corp.# 1,282,979

825,570 Ford Motor Company# 11,516,701 243,463 General Motors Company# 13,838,437

94,175 Home Depot, Inc.^ 30,907,293 38,550 Lennar Corp. - Class A 4,053,533 69,245 Lowe's Companies, Inc.^ 13,342,819 62,500 McDonald's Corp. 15,169,375

245,080 MGM Resorts International^ 9,197,852 162,800 NIKE, Inc. - Class B^ 27,270,628

44,300 Royal Caribbean Cruises, Ltd.^# 3,405,341 77,770 Starbucks Corp. 9,443,611 56,455 Target Corp. 14,737,578 14,925 Tesla, Inc.^# 10,256,460

143,900 TJX Companies, Inc.^ 9,901,759 ___________ 282,853,714 ___________

Consumer Staples (5.5%) 58,750 Altria Group, Inc. 2,822,350

459,960 Coca-Cola Company^ 26,231,519 41,820 Costco Wholesale Corp. 17,970,890

250,885 Mondelez International, Inc. - Class A 15,870,985

112,795 PepsiCo, Inc. 17,703,175 147,500 Philip Morris International, Inc.^ 14,763,275 203,745 Procter & Gamble Company^ 28,978,651

86,605 Sysco Corp. 6,426,091 52,650 Walgreens Boots Alliance, Inc. 2,482,448

154,510 Walmart, Inc.^ 22,025,401 ___________ 155,274,785 ___________

Energy (3.5%) 4,679 Bonanza Creek Energy, Inc.^ 180,001

475,000 BP, PLC^ 11,485,500 47,998 Calfrac Well Services, Ltd.# 138,714 11,045 Chaparral Energy, Inc. - Class A# 419,710

3,547 Chesapeake Energy Corp. 191,715 237,650 Chevron Corp.^ 24,195,147

5,556 Denbury, Inc.# 365,085 22,502 Diamond Offshore Drilling, Inc.# 133,324




13 8/31/2021 11:32 AM


52,035 Energy Transfer, LP $ 513,065 56,355 Enterprise Products Partners, LP 1,271,932

7,920 EP Energy Corp.&# 784,080 431,180 Exxon Mobil Corp. 24,823,033

7,987 Gulfport Energy Operating Corp.# 545,512 126,365 Hess Corp. 9,659,341 232,940 Kinder Morgan, Inc. 4,048,497

67,538 Lonestar Resources US, Inc.# 665,249 15,860 Magellan Midstream Partners, LP 739,076

100,220 Marathon Petroleum Corp. 5,534,149 2,737 Oasis Petroleum, Inc. 251,010

26,500 Pioneer Natural Resources Company 3,852,305

156,200 Schlumberger, NV 4,503,246 17,747 Superior Energy Services, Inc.# 692,133 26,500 Targa Resources Corp. 1,115,915 33,540 Valero Energy Corp. 2,246,174 18,259 Weatherford International, PLC# 318,437

4,278 Whiting Petroleum Corp.# 200,638 10,000 Williams Companies, Inc.^ 250,500 ___________

99,123,488 ___________ Financials (10.4%)

35,430 Affiliated Managers Group, Inc.^ 5,613,529 65,730 American Express Company 11,208,937

346,890 American International Group, Inc. 16,425,241 29,983 Assurant, Inc. 4,731,617

1,019,405 Bank of America Corp.~ 39,104,376 71,870 Bank of New York Mellon Corp. 3,689,087 10,715 BlackRock, Inc. 9,291,727

132,485 Charles Schwab Corp.^ 9,002,356 46,700 Chubb, Ltd.^~ 7,880,158

344,010 Citigroup, Inc.^ 23,261,956 125,000 Discover Financial Services^ 15,540,000

51,500 Goldman Sachs Group, Inc.^ 19,306,320 33,700 Intercontinental Exchange, Inc. 4,038,271

273,910 JPMorgan Chase & Company 41,574,060 226,225 KeyCorp^ 4,447,584 132,475 Marsh & McLennan Companies,

Inc. 19,502,969 290,930 Morgan Stanley 27,923,461

43,760 Northern Trust Corp. 4,938,316 157,631 Starwood Property Trust, Inc. 4,103,135 150,870 US Bancorp 8,379,320 288,350 Wells Fargo & Company 13,246,799 ___________

293,209,219 ___________ Health Care (10.0%)

139,700 Abbott Laboratories~ 16,900,906 124,675 AbbVie, Inc. 14,499,702

55,690 Agilent Technologies, Inc.^ 8,533,379 18,870 Anthem, Inc. 7,246,269

149,780 Baxter International, Inc. 11,585,483 151,745 Bristol-Myers Squibb Company 10,298,933

26,830 CVS Health Corp. 2,209,719 82,050 Edwards Lifesciences Corp.# 9,211,754

109,850 Eli Lilly & Company 26,748,475 48,980 Gilead Sciences, Inc. 3,344,844 26,400 Humana, Inc.^ 11,242,704 10,420 Intuitive Surgical, Inc.# 10,331,013

176,230 Johnson & Johnson^ 30,346,806 156,340 Medtronic, PLC 20,529,005 251,550 Merck & Company, Inc. 19,336,648 288,990 Pfizer, Inc. 12,371,662

20,295 Stryker Corp. 5,498,727 21,460 Thermo Fisher Scientific, Inc. 11,588,615


105,000 UnitedHealth Group, Inc.^ $ 43,283,100 26,610 Vertex Pharmaceuticals, Inc.# 5,364,044 ___________

280,471,788 ___________ Industrials (6.1%)

546,335 Carrier Global Corp. 30,185,009 967,920 CSX Corp.^ 31,283,174

14,820 FedEx Corp. 4,148,859 836,550 General Electric Company 10,833,323 104,790 Honeywell International, Inc.^ 24,498,854

92,435 JB Hunt Transport Services, Inc. 15,570,676 191,469 McDermott International, Inc.# 63,376

37,050 Northrop Grumman Corp. 13,449,891 334,130 Raytheon Technologies Corp.^ 29,052,603

49,810 Union Pacific Corp. 10,896,436 ___________ 169,982,201 ___________

Information Technology (25.8%) 56,335 Accenture, PLC - Class A 17,896,503 35,170 Adobe, Inc.# 21,862,727 44,250 Advanced Micro Devices, Inc.^# 4,698,907

1,235,330 Apple, Inc.^~ 180,185,234 322,615 Applied Materials, Inc. 45,143,517 247,515 Cisco Systems, Inc.^ 13,704,906 117,815 Fidelity National Information

Services, Inc. 17,560,326 43,165 Global Payments, Inc. 8,348,543 49,985 Lam Research Corp. 31,860,939

125,850 Marvell Technology, Inc. 7,615,183 72,315 Mastercard, Inc. - Class A 27,909,251

158,425 Micron Technology, Inc.# 12,290,611 593,615 Microsoft Corp.^~ 169,126,850

1,520,000 Nokia Oyj^# 9,241,600 221,780 NVIDIA Corp. 43,244,882

27,590 PayPal Holdings, Inc.# 7,601,873 66,010 QUALCOMM, Inc. 9,888,298 86,580 salesforce.com, Inc.# 20,946,299 21,845 ServiceNow, Inc.# 12,842,457 44,000 Skyworks Solutions, Inc. 8,118,440 85,550 Taiwan Semiconductor

Manufacturing Company, Ltd. (ADR) 9,978,552

178,525 Visa, Inc. - Class A^ 43,986,775 ___________ 724,052,673 ___________

Materials (2.7%) 41,160 Celanese Corp. - Class A~ 6,411,493

410,755 Freeport-McMoRan, Inc. 15,649,766 80,575 Linde, PLC 24,767,949 82,000 Nucor Corp. 8,529,640 96,625 PPG Industries, Inc. 15,800,120 20,585 Vulcan Materials Company^ 3,705,094 ___________

74,864,062 ___________ Real Estate (1.2%)

70,930 American Tower Corp. 20,059,004 76,060 Crown Castle International Corp.^ 14,686,426 ___________

34,745,430 ___________

TOTAL COMMON STOCKS (Cost $1,494,956,320) 2,376,835,796 ___________ ___________




14

8/31/2021 11:32 AM



4,069

Chesapeake Energy Corp. 02/09/26, Strike $32.13 $101,725

3,662


2,260


6,263


2,279


57,470


51,723


47,885

Tidewater, Inc. 11/14/42, Strike $0.01 $596,168

16,676

Tidewater, Inc. 11/14/42, Strike $0.00 207,616 ___________

TOTAL WARRANTS (Cost $5,139,246) 1,335,465 ___________ ___________

EXCHANGE-TRADED FUNDS (0.6%) Other (0.6%)

195,550 iShares MSCI EAFE ETF^ 15,544,269 5,525 iShares Preferred & Income

Securities ETF^ 217,796 ___________

TOTAL EXCHANGE-TRADED FUNDS (Cost $13,484,963) 15,762,065 ___________ ___________


8,482 AT&T, Inc.^ 4.750%, 02/18/25 224,518

5,000 AT&T, Inc.^ 5.350%, 11/01/66 132,500

20,000 Qwest Corp.^ 6.500%, 09/01/56 507,200

58,050 United States Cellular Corp. 6.250%, 09/01/69 1,612,629 ___________


4,000 Ford Motor Company^ 6.200%, 06/01/59 111,040

8,177 Guitar Center, Inc. 929,112 6,705 Qurate Retail, Inc.

8.000%, 03/15/31 727,358 ___________ 1,767,510 ___________

Energy (0.1%) 12,420 Energy Transfer, LP‡

7.625%, 08/15/23 3 mo. USD LIBOR + 4.74% 314,971

82,205 NuStar Energy, LP‡ 7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% 1,915,377


31,109 NuStar Energy, LP‡ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% $ 783,636

55,975 NuStar Logistics, LP‡ 6.860%, 01/15/43 3 mo. USD LIBOR + 6.73% 1,414,488 ___________

4,428,472 ___________ Financials (0.2%)

6,000 Affiliated Managers Group, Inc.^ 4.750%, 09/30/60 160,320

5,970 Annaly Capital Management, Inc.^‡ 6.950%, 09/30/22 3 mo. USD LIBOR + 4.99% 155,817

11,779 Arch Capital Group, Ltd. 5.250%, 09/29/21 298,244

3,000 B Riley Financial, Inc. 6.000%, 01/31/28 79,770

5,617 Bank of America Corp. 4.375%, 11/03/25 146,491

7,000 Brookfield Finance, Inc. 4.625%, 10/16/80 179,760

8,000 CIT Group, Inc.^ 5.625%, 12/15/24 213,360

8,775 CNO Financial Group, Inc. 5.125%, 11/25/60 240,874

5,206 Cullen/Frost Bankers, Inc.^ 4.450%, 12/15/25 137,438

2,413 First Republic Bank/CA^ 4.125%, 10/30/25 61,001

2,750 Fulton Financial Corp.^ 5.125%, 01/15/26 74,938

9,355 KeyCorp 5.650%, 12/15/23 258,292

5,735 Legg Mason, Inc.^ 5.450%, 09/15/56 144,867

11,550 Morgan Stanley 4.875%, 01/15/25 314,044

5,400 Oaktree Capital Group, LLC^ 6.550%, 09/15/23 151,362

8,500 Prudential Financial, Inc.^ 4.125%, 09/01/60 223,125

12,000 Selective Insurance Group, Inc.^ 4.600%, 12/15/25 312,600

3,006 Signature Bank/New York NY 5.000%, 12/30/25 79,088

5,250 Spirit Realty Capital, Inc. 6.000%, 10/03/22 137,708

10,840 Truist Financial Corp. 4.750%, 09/01/25 287,585

6,345 US Bancorp^ 3.750%, 01/15/26 158,498

12,350 W R Berkley Corp. 5.100%, 12/30/59 338,266

23,990 Wells Fargo & Company^ 4.750%, 03/15/25 628,298 ___________

4,781,746 ___________ Industrials (0.0%)

6,250 Air Lease Corp.^‡ 6.150%, 03/15/24 3 mo. USD LIBOR + 3.65% 170,500

2,500 Brookfield Finance I UK, PLC 4.500%, 11/24/25 63,550




15 8/31/2021 11:32 AM


3,750 QVC, Inc. 6.250%, 11/26/68 $ 98,400

2,555 WESCO International, Inc.‡ 10.625%, 06/22/25 5 year CMT + 10.33% 79,333 ___________

411,783 ___________ Real Estate (0.0%)

5,180 American Homes 4 Rent^ 6.250%, 09/19/23 143,745

7,275 Brookfield Property Partners, LP 5.750%, 03/31/25 178,165

5,000 Brookfield Property Partners, LP 6.375%, 09/30/24 127,150

5,400 EPR Properties 5.750%, 11/30/22 138,024

5,710 Global Net Lease, Inc. 6.875%, 11/26/24 153,256

11,000 Kimco Realty Corp.^ 5.250%, 12/20/22 295,790

3,880 Public Storage^ 4.625%, 06/17/25 108,019 ___________

1,144,149 ___________ Utilities (0.0%)

5,000 Algonquin Power & Utilities Corp.‡ 6.875%, 10/17/78 3 mo. USD LIBOR + 3.68% 139,000

6,000 Brookfield Renewable Partners, LP 5.250%, 03/31/25 157,020

5,100 DTE Energy Company 5.250%, 12/01/77 134,946 ___________

430,966 ___________




PURCHASED OPTIONS (0.2%) # Consumer Discretionary (0.0%)

Tesla, Inc. 160

10,995,200

Call, 01/21/22, Strike $750.00 1,197,200 150

10,308,000

Call, 09/17/21, Strike $850.00 102,375 ___________ 1,299,575 ___________

Other (0.2%) 155

68,126,530 S&P 500 Index

Put, 09/30/21, Strike $4,000.00 561,100 S&P 500 Index

150 65,928,900

Put, 12/31/21, Strike $4,050.00 1,615,500

135 59,336,010

Put, 12/31/21, Strike $4,300.00 2,224,800 ___________

4,401,400 ___________


VALUE

TOTAL INVESTMENTS (134.9%) (Cost $2,741,335,096) $ 3,790,568,999 ___________ ___________



NET ASSETS (100.0%) $ 2,810,375,992 ___________ ___________



WRITTEN OPTIONS (0.0%) # Consumer Discretionary (0.0%)

Tesla, Inc. 160

10,995,200 Put, 01/21/22, Strike $500.00 (452,400) 150

10,308,000 Put, 09/17/21, Strike $600.00 (252,750) ___________ (705,150) ___________

Information Technology (0.0%) 450

12,398,850 Paypal Holdings, Inc.

Put, 09/17/21, Strike $270.00 (402,750) ___________




µ


^ Security, or portion of security, is on loan. @ In default status and considered non-income producing. ‡


& Illiquid security. ~


¡


!


‡‡ Perpetual maturity. §

Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.




16

8/31/2021 11:32 AM

**

Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2021.

# Non-income producing security.

FOREIGN CURRENCY ABBREVIATION EUR European Monetary Unit 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.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Strategic Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004. 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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.






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 July 31, 2021 was as follows*: Cost basis of investments $2,739,851,191 Gross unrealized appreciation 1,197,021,779

Gross unrealized depreciation (147,411,871) Net unrealized appreciation (depreciation) $1,049,609,908


Series Term



Calamos Global Total Return Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 2:09 PM



82,001 Air Canada Pass Through Trust Series 2015-1, Class B*µ 3.875%, 09/15/24 $ 83,107


52,844 Alaska Airlines Pass Through Trust Series 2020-1, Class A* 4.800%, 02/15/29 58,629



33,000 5.500%, 04/20/26 34,563 11,000 5.750%, 04/20/29 11,905 50,000 British Airways Pass Through

Trust Series 2021-1, Class B* 3.900%, 03/15/33 50,788

37,913 JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 44,872





456,388 ___________ Communication Services (1.4%)

75,000 Arrow Bidco, LLC* 9.500%, 03/15/24 76,999


30,000 Brink's Company* 5.500%, 07/15/25 31,626

95,000 Cincinnati Bell, Inc.* 8.000%, 10/15/25 99,930

60,000 CommScope, Inc.* 5.500%, 03/01/24 61,818

50,000 Consolidated Communications, Inc.* 6.500%, 10/01/28 54,054

200,000 CSC Holdings, LLC* 5.500%, 04/15/27 209,420

46,000 Cumulus Media New Holdings, Inc.*^ 6.750%, 07/01/26 48,475


45,000 6.625%, 08/15/27 18,092 27,000 5.375%, 08/15/26 15,709


5,000 DIRECTV Holdings, LLC / DIRECTV Financing Company, Inc.* 5.875%, 08/15/27 $ 5,174

150,000 Embarq Corp. 7.995%, 06/01/36 168,277


6.860%, 02/01/28 27,418 65,000 Frontier North, Inc.@

6.730%, 02/15/28 70,756



5.250%, 08/01/26 16,808 60,000 iHeartCommunications, Inc.*


30,000 9.750%, 07/15/25* 16,976 25,000 5.500%, 08/01/23 13,799 27,833 Ligado Networks, LLC*

15.500%, 11/01/23 15.500% PIK rate 27,567

60,000 Lumen Technologies, Inc.* 4.000%, 02/15/27 61,772

Netflix, Inc. 40,000 4.875%, 06/15/30* 48,268 25,000 4.875%, 04/15/28^ 29,252

Scripps Escrow II, Inc.* 23,000 3.875%, 01/15/29 23,032 11,000 5.375%, 01/15/31^ 11,009 61,000 Scripps Escrow, Inc.*

5.875%, 07/15/27 63,197 23,000 Shift4 Payments, LLC / Shift4

Payments Finance Sub, Inc.*^ 4.625%, 11/01/26 23,984

Sirius XM Radio, Inc.* 65,000 5.500%, 07/01/29^ 71,298 65,000 4.625%, 07/15/24^ 66,787 33,000 4.000%, 07/15/28 34,056 30,000 Spanish Broadcasting System,

Inc.* 9.750%, 03/01/26 30,616

80,000 Sprint Capital Corp.^ 6.875%, 11/15/28 103,294

110,000 Sprint Corp. 7.125%, 06/15/24 126,678


60,000 United States Cellular Corp. 6.700%, 12/15/33 74,745

19,000 Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 204 ___________


46,000 American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28 49,859

Calamos Global Total Return Fund



2

8/31/2021 2:09 PM



39,000 6.625%, 01/15/28 $ 41,643 27,000 4.625%, 08/01/29 27,095 13,000 Avis Budget Car Rental, LLC /


65,000 Bally's Corp.* 6.750%, 06/01/27 70,322

Caesars Entertainment, Inc.* 21,000 8.125%, 07/01/27 23,139 21,000 6.250%, 07/01/25 22,195 80,000 Caesars Resort Collection, LLC /

CRC Finco, Inc.*^ 5.250%, 10/15/25 80,675

Carnival Corp.* 21,000 10.500%, 02/01/26^ 24,078 11,000 7.625%, 03/01/26 11,677 50,000 Carriage Services, Inc.*

4.250%, 05/15/29 50,042 30,000 Carvana Company*

5.625%, 10/01/25 31,183


155,000 5.125%, 05/01/27 162,355 50,000 4.750%, 03/01/30 53,067 32,000 5.750%, 02/15/26 33,101 21,000 4.250%, 02/01/31 21,671 20,000 5.000%, 02/01/28^ 20,990 39,000 Cedar Fair, LP^


65,000 6.750%, 06/01/27 69,544 58,000 5.875%, 07/15/25 59,965

DISH DBS Corp. 41,000 7.750%, 07/01/26 46,871 30,000 7.375%, 07/01/28^ 32,496 32,000 Everi Holdings, Inc.*


8.500%, 04/21/23 33,355 200,000 Ford Motor Credit Company, LLC

2.900%, 02/16/28 200,750 goeasy, Ltd.*

75,000 5.375%, 12/01/24 77,872 40,000 4.375%, 05/01/26 41,266 22,000 Goodyear Tire & Rubber

Company*^ 5.000%, 07/15/29 23,199


L Brands, Inc. 57,000 6.694%, 01/15/27 67,731 34,000 6.875%, 11/01/35 43,774 25,000 Liberty Interactive, LLC

8.500%, 07/15/29 28,708 Life Time, Inc.*

50,000 5.750%, 01/15/26 50,894 33,000 8.000%, 04/15/26^ 34,594

M/I Homes, Inc. 60,000 5.625%, 08/01/25 61,790 40,000 4.950%, 02/01/28 42,204


8.375%, 06/15/25 22,912


Mattel, Inc.* 65,000 5.875%, 12/15/27 $ 71,191

6,000 3.750%, 04/01/29^ 6,334 75,000 Meritage Homes Corp.

6.000%, 06/01/25 85,366 50,000 Midwest Gaming Borrower, LLC /

Midwest Gaming Finance Corp.* 4.875%, 05/01/29 50,460


49,000 Newell Brands, Inc.^ 4.700%, 04/01/26 54,655


111,000 Rite Aid Corp.* 8.000%, 11/15/26 111,558

Royal Caribbean Cruises, Ltd.* 25,000 11.500%, 06/01/25 28,644 13,000 10.875%, 06/01/23 14,777 53,000 Simmons Foods, Inc. / Simmons

Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*^ 4.625%, 03/01/29 53,667

65,000 Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 66,505



50,000 Vista Outdoor, Inc.* 4.500%, 03/15/29 51,043

45,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 44,704

11,000 Williams Scotsman International, Inc.* 4.625%, 08/15/28 11,384 ___________


51,000 Central Garden & Pet Company* 4.125%, 04/30/31 52,176


33,000 4.125%, 04/01/29 33,234 23,000 5.500%, 06/01/28 24,376 49,000 Energizer Holdings, Inc.*

4.375%, 03/31/29 49,286 25,000 Fresh Market, Inc.*

9.750%, 05/01/23 25,772 50,000 JBS USA LUX, SA / JBS USA

Finance, Inc.* 6.750%, 02/15/28 55,021


Kraft Heinz Foods Company 65,000 4.375%, 06/01/46 74,866 12,000 4.250%, 03/01/31^ 13,835 12,000 3.875%, 05/15/27 13,294 33,000 New Albertsons, LP

7.750%, 06/15/26 37,912




3 8/31/2021 2:09 PM


43,000 Performance Food Group, Inc.* 4.250%, 08/01/29 $ 43,761

75,000 Pilgrim's Pride Corp.* 5.875%, 09/30/27 80,298

Post Holdings, Inc.* 60,000 5.750%, 03/01/27 62,580 32,000 4.625%, 04/15/30^ 32,632 42,000 Prestige Brands, Inc.*

3.750%, 04/01/31 41,699 50,000 United Natural Foods, Inc.*^

6.750%, 10/15/28 54,067 Vector Group, Ltd.*

70,000 5.750%, 02/01/29 71,334 28,000 10.500%, 11/01/26 29,796 ___________

817,362 ___________ Energy (1.2%)


Apache Corp. 45,000 5.100%, 09/01/40^ 48,314 26,000 4.875%, 11/15/27 28,004 23,000 4.625%, 11/15/25 24,750



50,000 5.625%, 10/01/26 51,713 10,000 4.000%, 03/01/31* 10,587 23,000 Cheniere Energy, Inc.


45,000 3.800%, 06/01/24 47,253 35,000 4.375%, 01/15/28 39,122 80,000 DCP Midstream Operating, LP*‡

5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 75,290

349 Diamond Foreign Asset Company / Diamond Finance, LLC 13.000%, 04/22/27 13.000% PIK rate 350

22,000 DT Midstream, Inc.* 4.125%, 06/15/29 22,581

Energy Transfer, LP‡ 65,000 3.143%, 11/01/66

3 mo. USD LIBOR + 3.02% 53,643 32,000 6.500%, 11/15/26


60,000 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% 46,478

50,000 4.850%, 07/15/26 52,337 EQT Corp.

28,000 7.500%, 02/01/30 36,814 20,000 6.625%, 02/01/25 23,135 12,000 5.000%, 01/15/29 13,574 43,000 Genesis Energy, LP / Genesis


Gulfport Energy Operating Corp. 45,000 6.375%, 05/15/25@ 1,913 13,167 8.000%, 05/17/26^ 14,105


Laredo Petroleum, Inc. 42,000 10.125%, 01/15/28 $ 44,515 10,000 7.750%, 07/31/29* 9,685 50,000 Magnolia Oil & Gas Operating,

LLC / Magnolia Oil & Gas Finance Corp.*^ 6.000%, 08/01/26 51,270


25,000 10.500%, 05/15/27 24,029 25,000 7.500%, 01/15/26 22,644 22,000 Murphy Oil Corp.




OMP Finance Corp.* 8.000%, 04/01/29 10,464

Occidental Petroleum Corp. 135,000 4.300%, 08/15/39 134,028

98,000 2.900%, 08/15/24 98,806 22,000 5.875%, 09/01/25^ 24,408 15,000 Ovintiv, Inc.^






27,000 Transocean, Inc.*^ 11.500%, 01/30/27 26,899




5.375%, 11/01/27 26,232 40,000 W&T Offshore, Inc.*


11.000%, 12/01/24 23,831 ___________ 1,671,716 ___________

Financials (2.3%)


131,000 7.000%, 11/15/25^ 133,309 64,000 6.000%, 08/01/29 64,048 32,000 Aethon United BR, LP / Aethon

United Finance Corp.* 8.250%, 02/15/26 34,284

48,000 AG Issuer, LLC* 6.250%, 03/01/28 50,482

110,000 Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 115,045




4

8/31/2021 2:09 PM



5 year CMT + 3.87% $ 40,988 35,000 8.000%, 11/01/31 51,027 20,000 4.700%, 05/15/28‡


4.875%, 06/30/29 43,914 120,000 AssuredPartners, Inc.*

7.000%, 08/15/25 122,314 48,000 Aviation Capital Group, LLC*

3.500%, 11/01/27 51,125 44,000 BroadStreet Partners, Inc.*

5.875%, 04/15/29 44,856 141,000 Brookfield Property REIT, Inc. /

BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco LL*^ 5.750%, 05/15/26 146,801

Credit Acceptance Corp.^ 65,000 6.625%, 03/15/26 68,780 52,000 5.125%, 12/31/24* 53,798 15,000 Cushman & Wakefield US

Borrower, LLC* 6.750%, 05/15/28 16,130

65,000 Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 67,419

48,000 Enact Holdings, Inc.*^ 6.500%, 08/15/25 52,125

64,000 Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 63,569

84,000 Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 86,111

225,000 HUB International, Ltd.* 7.000%, 05/01/26 233,397


65,000 5.250%, 05/15/27 68,465 31,000 4.375%, 02/01/29 31,420

100,000 ILFC E-Capital Trust II*‡ 3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 84,685

120,000 Iron Mountain, Inc.* 5.250%, 03/15/28 125,875


88,000 5.250%, 10/01/25 89,465 22,000 4.750%, 06/15/29 21,932 51,000 LD Holdings Group, LLC*

6.125%, 04/01/28 50,682 Level 3 Financing, Inc.

45,000 4.250%, 07/01/28* 45,895 35,000 5.375%, 05/01/25 35,820

LPL Holdings, Inc.* 55,000 4.000%, 03/15/29 55,940 16,000 4.375%, 05/15/31 16,423

100,000 MetLife, Inc.^ 6.400%, 12/15/66 128,243

Navient Corp. 95,000 5.000%, 03/15/27 99,129 50,000 4.875%, 03/15/28 50,479

OneMain Finance Corp. 65,000 7.125%, 03/15/26 76,589 41,000 6.875%, 03/15/25 46,609



27,000 7.500%, 06/01/25 $ 29,285 23,000 5.875%, 10/01/28 24,554 26,000 PHH Mortgage Corp.*

7.875%, 03/15/26 26,724 50,000 Prospect Capital Corp.µ

3.706%, 01/22/26 51,941 20,000 Quicken Loans, LLC / Quicken


65,000 Radian Group, Inc. 4.875%, 03/15/27 70,696

50,000 RHP Hotel Properties, LP / RHP Finance Corp.* 4.500%, 02/15/29 50,570


28,000 SLM Corp. 4.200%, 10/29/25 30,343

65,000 Starwood Property Trust, Inc.^ 4.750%, 03/15/25 68,986

43,000 StoneX Group, Inc.* 8.625%, 06/15/25 46,756

United Wholesale Mortgage, LLC* 34,000 5.500%, 11/15/25 35,073 22,000 5.500%, 04/15/29 21,916 52,000 VICI Properties, LP / VICI Note

Company, Inc.*^ 3.750%, 02/15/27 53,599

XHR, LP* 47,000 6.375%, 08/15/25 50,139 22,000 4.875%, 06/01/29 22,535 ___________

3,224,759 ___________ Health Care (1.3%)

22,000 Acadia Healthcare Company, Inc.* 5.000%, 04/15/29 23,158

145,000 Bausch Health Americas, Inc.* 8.500%, 01/31/27 157,058

Bausch Health Companies, Inc.* 60,000 5.250%, 02/15/31^ 56,285 50,000 5.000%, 01/30/28 47,860 20,000 5.000%, 02/15/29 18,915

Centene Corp. 52,000 4.250%, 12/15/27 54,849 23,000 3.000%, 10/15/30 23,942 22,000 Charles River Laboratories



88,000 6.125%, 04/01/30 89,278 60,000 8.000%, 03/15/26 64,361 25,000 6.875%, 04/15/29 26,345

DaVita, Inc.* 68,000 4.625%, 06/01/30 70,316 32,000 3.750%, 02/15/31 31,158

Encompass Health Corp. 20,000 4.750%, 02/01/30^ 21,455 20,000 4.500%, 02/01/28 20,838 52,000 HCA, Inc.

7.500%, 11/06/33 74,337 200,000 Jazz Securities DAC*

4.375%, 01/15/29 208,826




5 8/31/2021 2:09 PM


75,000 Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 $ 49,957

200,000 Organon & Company / Organon Foreign Debt Co-Issuer, BV* 5.125%, 04/30/31 206,260

62,000 Team Health Holdings, Inc.*^ 6.375%, 02/01/25 57,891

Tenet Healthcare Corp. 120,000 6.250%, 02/01/27* 125,160

75,000 4.625%, 07/15/24 76,090 70,000 6.875%, 11/15/31 80,281 65,000 4.875%, 01/01/26* 67,395

195,000 Teva Pharmaceutical Finance Netherlands III, BV 2.800%, 07/21/23 193,473 ___________

1,868,061 ___________ Industrials (2.1%)

45,000 Abercrombie & Fitch Management Company* 8.750%, 07/15/25 49,832

50,000 ACCO Brands Corp.*^ 4.250%, 03/15/29 50,025


65,000 4.625%, 01/15/27 68,794 59,000 4.875%, 02/15/30 63,915 23,000 3.500%, 03/15/29 23,247

Allison Transmission, Inc.* 40,000 4.750%, 10/01/27 41,800 10,000 3.750%, 01/30/31 10,010 11,000 Ambience Merger Sub, Inc.*


3.750%, 03/01/25 8,914 25,000 Arcosa, Inc.*

4.375%, 04/15/29 25,629 200,000 ARD Finance, SA*

6.500%, 06/30/27 7.250% PIK rate 211,228



65,000 Berry Global, Inc.*^ 4.875%, 07/15/26 68,622



39,000 5.125%, 01/15/26 41,337 26,000 5.375%, 01/15/28 27,403



11,000 4.750%, 10/20/28 12,330 6,000 4.500%, 10/20/25µ 6,463

36,000 Dun & Bradstreet Corp.* 6.875%, 08/15/26 38,214

32,000 Endure Digital, Inc.*^ 6.000%, 02/15/29 31,072


25,000 EnerSys* 4.375%, 12/15/27 $ 26,190

23,000 GFL Environmental, Inc.* 3.750%, 08/01/25 23,695

Golden Nugget, Inc.* 35,000 6.750%, 10/15/24 35,128 25,000 8.750%, 10/01/25^ 26,365 23,000 Graham Packaging Company,

Inc.* 7.125%, 08/15/28 24,626




Corp.* 5.250%, 06/01/29 11,359

101,000 H&E Equipment Services, Inc.* 3.875%, 12/15/28 100,306


65,000 Herc Holdings, Inc.* 5.500%, 07/15/27 68,319

Howmet Aerospace, Inc. 61,000 5.125%, 10/01/24 67,233 18,000 6.875%, 05/01/25 20,960 62,000 JELD-WEN, Inc.*

4.625%, 12/15/25 63,250 20,000 KeHE Distributors, LLC / KeHE

Finance Corp.* 8.625%, 10/15/26 21,692

49,000 Ken Garff Automotive, LLC* 4.875%, 09/15/28 50,529

21,000 MasTec, Inc.* 4.500%, 08/15/28 22,162

27,000 Meritor, Inc.* 4.500%, 12/15/28 27,650

33,000 Moog, Inc.* 4.250%, 12/15/27 34,092

60,000 Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 61,072

52,000 Novelis Corp.* 4.750%, 01/30/30 55,451

50,000 Park-Ohio Industries, Inc. 6.625%, 04/15/27 50,884

Patrick Industries, Inc.* 30,000 7.500%, 10/15/27 32,646 22,000 4.750%, 05/01/29 22,468 55,000 Peninsula Pacific Entertainment,

LLC / Peninsula Pacific Entertainment Finance In* 8.500%, 11/15/27 59,722


55,000 QVC, Inc. 4.375%, 09/01/28 56,552

50,000 Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu* 4.000%, 10/15/27 50,011





6

8/31/2021 2:09 PM


19,000 SEG Holding, LLC / SEG Finance Corp.*^ 5.625%, 10/15/28 $ 20,054



Standard Industries, Inc.* 50,000 5.000%, 02/15/27 51,803 11,000 4.375%, 07/15/30^ 11,321

Station Casinos, LLC* 90,000 4.500%, 02/15/28 90,859 34,000 5.000%, 10/01/25 34,474 23,000 Stericycle, Inc.*


7.500%, 02/15/26 36,935 TransDigm, Inc.

95,000 6.250%, 03/15/26* 99,823 60,000 7.500%, 03/15/27 63,658 22,000 Tronox, Inc.*^

4.625%, 03/15/29 22,413


20,000 5.875%, 09/15/26 20,686 20,000 3.750%, 01/15/32 20,000 11,000 3.875%, 02/15/31 11,334 25,000 Waste Pro USA, Inc.*


27,000 7.125%, 06/15/25^ 29,124 13,000 7.250%, 06/15/28 14,494 65,000 XPO Logistics, Inc.*

6.750%, 08/15/24 67,485 ___________ 2,915,271 ___________


4.000%, 07/01/29 21,661 25,000 CDK Global, Inc.*

5.250%, 05/15/29 27,259 39,000 Clear Channel Worldwide

Holdings, Inc.*^ 5.125%, 08/15/27 40,119

60,000 CommScope Technologies, LLC* 6.000%, 06/15/25 60,972


55,000 6.020%, 06/15/26µ 66,217 45,000 6.100%, 07/15/27 55,673 25,000 5.850%, 07/15/25µ 29,392 26,000 Fair Isaac Corp.*

4.000%, 06/15/28 27,206 50,000 KBR, Inc.*

4.750%, 09/30/28 50,895 50,000 MPH Acquisition Holdings, LLC*^

5.750%, 11/01/28 48,635 22,000 NCR Corp.*

5.125%, 04/15/29 22,929 53,000 Nielsen Finance, LLC / Nielsen

Finance Company* 4.500%, 07/15/29 53,533



39,000 Open Text Corp.* 3.875%, 02/15/28 $ 40,370


36,000 PTC, Inc.* 4.000%, 02/15/28 37,306

50,000 TTM Technologies, Inc.*^ 4.000%, 03/01/29 50,374

Twilio, Inc. 30,000 3.625%, 03/15/29 30,858 11,000 3.875%, 03/15/31^ 11,511 50,000 ZoomInfo Technologies, LLC /

ZoomInfo Finance Corp.* 3.875%, 02/01/29 50,097 ___________

782,399 ___________ Materials (0.5%)

27,000 Allegheny Technologies, Inc.^ 5.875%, 12/01/27 28,390

35,000 ArcelorMittal, SA 7.250%, 10/15/39 51,149

65,000 Clearwater Paper Corp.*^ 4.750%, 08/15/28 65,771

Freeport-McMoRan, Inc. 35,000 5.000%, 09/01/27 36,986 25,000 5.450%, 03/15/43 32,142 20,000 5.400%, 11/14/34 25,426 34,000 HB Fuller Company


4.375%, 06/15/29 44,045 40,000 JW Aluminum Continuous Cast

Company* 10.250%, 06/01/26 42,193

Kaiser Aluminum Corp.* 25,000 4.625%, 03/01/28^ 26,139

5,000 4.500%, 06/01/31 5,206 36,000 Mercer International, Inc.^

5.125%, 02/01/29 36,762 New Gold, Inc.*

14,000 6.375%, 05/15/25 14,452 13,000 7.500%, 07/15/27^ 14,052 23,000 Owens-Brockway Glass

Container, Inc.*^ 6.625%, 05/13/27 24,948


56,000 Silgan Holdings, Inc. 4.125%, 02/01/28 58,193



23,000 Valvoline, Inc.* 3.625%, 06/15/31 22,928 ___________

639,253 ___________ Real Estate (0.1%)

34,000 EPR Properties^ 3.750%, 08/15/29 34,531

Forestar Group, Inc.* 38,000 5.000%, 03/01/28 39,611 11,000 3.850%, 05/15/26 11,167




7 8/31/2021 2:09 PM


34,000 iStar, Inc. 5.500%, 02/15/26 $ 35,696

Service Properties Trust 65,000 4.350%, 10/01/24 65,608 20,000 5.250%, 02/15/26 20,245 ___________

206,858 ___________ Utilities (0.2%)

39,000 Calpine Corp.* 4.500%, 02/15/28 40,256

20,000 NRG Energy, Inc. 6.625%, 01/15/27 20,727

68,000 PPL Capital Funding, Inc.^‡ 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% 66,676

Talen Energy Supply, LLC* 25,000 10.500%, 01/15/26 17,258 10,000 7.250%, 05/15/27 9,130 65,000 TerraForm Power Operating, LLC*

5.000%, 01/31/28 70,383 ___________ 224,430 ___________


CONVERTIBLE BONDS (26.1%) Airlines (0.2%)

2,000,000 HKD Cathay Pacific Finance III, Ltd. 2.750%, 02/05/26 257,373 ___________

Communication Services (3.3%) 813,000 Eventbrite, Inc.*

0.750%, 09/15/26 768,854 200,000 Kakao Corp.

0.000%, 04/28/23 303,504 1,190,000 Liberty Media Corp.*

0.500%, 12/01/50 1,317,830 515,000 Live Nation Entertainment, Inc.

2.500%, 03/15/23 671,411 436,000 Sea, Ltd.

2.375%, 12/01/25 1,355,332 200,000 Xiaomi Best Time International,

Ltd. 0.000%, 12/17/27 207,988 ___________


781,000 Booking Holdings, Inc.^ 0.750%, 05/01/25 1,102,460

1,525,000 Cheesecake Factory, Inc. 0.375%, 06/15/26 1,430,603

106,000 DISH Network Corp. 2.375%, 03/15/24 102,717

152,000 Expedia Group, Inc.*^ 0.000%, 02/15/26 163,433

2,775,000 Ford Motor Company* 0.000%, 03/15/26 2,973,551

1,200,000 EUR Global Fashion Group, SA 1.250%, 03/15/28 1,419,414

170,000 Liberty Broadband Corp.* 2.750%, 09/30/50 182,509

Liberty Interactive, LLC 56,000 4.000%, 11/15/29 43,155 35,000 3.750%, 02/15/30 27,000


1,930,000 Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 $ 2,063,614

400,000 Meituan 0.000%, 04/27/28 371,832


730,000 Shake Shack, Inc.* 0.000%, 03/01/28 684,090

2,505,000 Vail Resorts, Inc.*^ 0.000%, 01/01/26 2,529,324

500,000 GBP WH Smith, PLC 1.625%, 05/07/26 682,046 ___________


1,415,000 CAD Premium Brands Holdings Corp. 4.200%, 09/30/27 1,268,090 ___________

Financials (2.7%) 13,000,000 HKD Citigroup Global Markets Funding

Luxembourg SCA 0.000%, 05/28/24 1,861,903

165,000 JPMorgan Chase Bank NA*^ 0.125%, 01/01/23 175,966

745,000 Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 754,655

70,000,000 JPY SBI Holdings, Inc. 0.000%, 07/25/25 694,659

200,000 EUR SGX Treasury I Pte, Ltd. 0.000%, 03/01/24 248,712 ___________

3,735,895 ___________ Health Care (1.5%)

700,000 Jazz Investments I, Ltd. 2.000%, 06/15/26 907,515

765,000 LivaNova USA, Inc. 3.000%, 12/15/25 1,210,046 ___________

2,117,561 ___________ Industrials (3.3%)

700,000 EUR Duerr, AG 0.750%, 01/15/26 1,087,566


740,000 John Bean Technologies Corp.* 0.250%, 05/15/26 798,009

696,000 Southwest Airlines Company 1.250%, 05/01/25 1,022,633 ___________


400,000 Globalwafers Company, Ltd. 0.000%, 06/01/26 420,316

730,000 ON Semiconductor Corp.*^ 0.000%, 05/01/27 776,866

900,000 Shift4 Payments, Inc.* 0.000%, 12/15/25 1,170,999

1,195,000 Square, Inc.*^ 0.250%, 11/01/27 1,410,040 ___________

3,778,221 ___________




8

8/31/2021 2:09 PM


Materials (0.8%) 250,000 BASF, SE

0.925%, 03/09/23 $ 250,905 725,000 Ivanhoe Mines, Ltd.*

2.500%, 04/15/26 906,982 ___________ 1,157,887 ___________

Real Estate (0.7%) 800,000 Redfin Corp.*

0.500%, 04/01/27 770,392 200,000 Vingroup, JSC

3.000%, 04/20/26 215,012 ___________ 985,404 ___________

Utilities (0.1%) 470,000 EUR Voltalia, SA

1.000%, 01/13/25 178,752 ___________


BANK LOANS (0.2%) ¡ Communication Services (0.1%)

157,119 Intelsat Jackson Holdings, SA 8.625%, 01/02/24 160,290 ___________

Consumer Discretionary (0.0%) 20,000 At Home Group, Inc.!

0.000%, 06/24/28 20,025 10,000 At Home Group, Inc.‡

4.750%, 06/24/28 3 mo. LIBOR + 4.25% 10,012 ___________

30,037 ___________ Information Technology (0.1%)

52,136 Banff Merger Sub, Inc.‡ 3.842%, 10/02/25 1 mo. LIBOR + 3.75% 51,769 ___________

TOTAL BANK LOANS (Cost $240,428) 242,096 ___________ ___________





5.500%, 06/15/23 2,811,706 ___________ Energy (0.0%)


Financials (1.1%) 29,750 BRL Banco Bradesco, SA

0.000% 138,518


16,140 KKR & Company, Inc.^ 6.000%, 09/15/23 $ 1,340,266 ___________

1,478,784 ___________ Health Care (2.1%)

1,475 Danaher Corp. 4.750%, 04/15/22 2,939,306 ___________

Industrials (2.0%) 7,700 Clarivate, PLC

5.250%, 06/01/24 699,930 17,741 Stanley Black & Decker, Inc.^

5.250%, 11/15/22 2,093,438 ___________ 2,793,368 ___________

Information Technology (0.8%) 765 Broadcom, Inc.

8.000%, 09/30/22 1,181,420 ___________ Utilities (1.3%)

7,200 AES Corp.µ 6.875%, 02/15/24 729,936

19,761 NextEra Energy, Inc. 4.872%, 09/01/22 1,161,354 ___________

1,891,290 ___________



7,500 Facebook, Inc. - Class A^# 2,672,250 710 Lumen Technologies, Inc.^ 8,854 650 KRW NAVER Corp. 244,986 970 Sea, Ltd.# 267,875 580 KRW SK Telecom Company, Ltd. 151,922

43,210 Tencent Holdings, Ltd.^ 2,644,452 2,500 HKD Tencent Holdings, Ltd. 150,770

14,000 Walt Disney Company#~ 2,464,280 ___________ 8,605,389 ___________

Consumer Discretionary (11.6%) 12,100 HKD Alibaba Group Holding, Ltd.# 295,515

7,725 Alibaba Group Holding, Ltd.# 1,507,843 78,400 MXN Alsea, SAB de CV# 158,169

1,260 Amazon.com, Inc.^# 4,192,763 1 Arcos Dorados Holdings, Inc. -

Class A^# 5 2,600 CNY China Tourism Group Duty Free

Corp., Ltd. - Class A 97,244 710 Chipotle Mexican Grill, Inc. - Class

A^# 1,323,042 29,300 BRL CVC Brasil Operadora e Agencia

de Viagens, SA# 125,453 4,450 INR Dixon Technologies India, Ltd.# 257,786

13,000 DR Horton, Inc.^ 1,240,590 7,000 TWD Eclat Textile Company, Ltd. 152,831

25,800 General Motors Company# 1,466,472 1,135 KRW Hyundai Motor Company 216,007

54,800 INR Indian Hotels Company, Ltd. 106,397 3,550 INR Jubilant Foodworks, Ltd.# 180,431

32,500 HKD Li Ning Company, Ltd. 343,243




9 8/31/2021 2:09 PM


3,160 EUR LVMH Moet Hennessy Louis Vuitton, SE $ 2,530,108

4,275 MakeMyTrip, Ltd.^# 121,667 117 MercadoLibre, Inc.# 183,538

10,200 ZAR Mr Price Group, Ltd. 151,692 95,400 HKD Samsonite International, SA*# 177,568

6,700 HKD Shenzhou International Group Holdings, Ltd. 148,695

1,245 Tesla, Inc.^# 855,564 6,000 Trip.com Group, Ltd.# 155,580 2,800 HKD Yum China Holdings, Inc.µ 171,581 ___________


12,300 Celsius Holdings, Inc.# 844,149 33,699 Coca-Cola Company^~ 1,921,854

3,670 Costco Wholesale Corp. 1,577,073 500 CNY Kweichow Moutai Company, Ltd. -

Class A 130,230 12,799 HKD L'Occitane International, SA 44,495 23,200 Mondelez International, Inc. -

Class A 1,467,632 19,500 BRL Raia Drogasil, SA 94,500 17,550 INR Varun Beverages, Ltd. 178,837 54,700 MXN Wal-Mart de Mexico, SAB de CV 180,206 ___________

6,438,976 ___________ Energy (2.9%)

2,110 Calfrac Well Services, Ltd.# 6,098 20,100 CAD Canadian Natural Resources, Ltd. 663,287

479 Chaparral Energy, Inc. - Class A# 18,202 142 Chesapeake Energy Corp. 7,675

8,250 Chevron Corp.^ 839,932 205 Denbury, Inc.# 13,471 654 Diamond Offshore Drilling, Inc.# 3,875

1,920 Energy Transfer, LP 18,931 2,075 Enterprise Products Partners, LP 46,833

341 EP Energy Corp.&# 33,759 16,215 Exxon Mobil Corp. 933,498

294 Gulfport Energy Operating Corp.# 20,080 2,598 Lonestar Resources US, Inc.&# 25,590

585 Magellan Midstream Partners, LP 27,261 101 Oasis Petroleum, Inc.^ 9,263

4,474 Occidental Petroleum Corp. 116,771 6,100 INR Reliance Industries, Ltd. 167,353

47,265 EUR Royal Dutch Shell, PLC - Class A 960,109 776 Superior Energy Services, Inc.# 30,264 975 Targa Resources Corp. 41,057 787 Weatherford International, PLC^# 13,725 158 Whiting Petroleum Corp.# 7,410 450 Williams Companies, Inc.^ 11,273 ___________ 4,015,717 ___________

Financials (15.2%) 16,000 HKD AIA Group, Ltd. 191,452 73,600 IDR Bank Central Asia, Tbk PT 151,937

142,300 IDR Bank Jago, Tbk PT# 176,596 71,825 Bank of America Corp.~ 2,755,207

113,000 TWD Cathay Financial Holding Company, Ltd. 219,933

13,300 TWD Chailease Holding Company, Ltd. 110,372 42,500 HKD China Merchants Bank Company,

Ltd. - Class H 323,321 60,500 ZAR FirstRand, Ltd. 224,427 24,500 MXN Grupo Financiero Banorte, SAB

de CV - Class O 158,498


4,550 KRW Hana Financial Group, Inc. $ 171,665 139,900 INR HDFC Bank, Ltd. 2,689,525

2,800 HKD Hong Kong Exchanges & Clearing, Ltd. 178,947

5,985 INR Housing Development Finance Corp., Ltd. 197,137

22,240 ICICI Bank, Ltd.^ 413,442 161,800 EUR ING Groep, NV 2,076,006 375,000 EUR Intesa Sanpaolo, S.p.A 1,035,955

39,625 Itau Unibanco Holding, SA^ 228,636 18,800 JPMorgan Chase & Company~ 2,853,464 40,100 THB Kasikornbank PCL 124,790 20,700 Morgan Stanley 1,986,786 23,700 EUR NN Group, NV 1,178,278

2,975 HUF OTP Bank Nyrt# 160,430 9,700 Sberbank of Russia, PJSC 161,311

11,150 INR SBI Cards & Payment Services, Ltd.# 154,653

6,700 KRW Shinhan Financial Group Company, Ltd. 227,084

82,950 UBS Group, AG^# 1,367,016 36,525 Wells Fargo & Companyµ^ 1,677,958 ___________

21,194,826 ___________ Health Care (7.6%)

16,985 CNY Aier Eye Hospital Group Company, Ltd. - Class A 155,092

60,698 Alcon, Inc.^ 4,418,814 5,960 Eli Lilly & Company 1,451,260 1,500 CHF Lonza Group, AG 1,167,938

23,200 Novo Nordisk, A/S 2,148,320 1,400 CNY Shenzhen Mindray Bio-Medical

Electronics Company, Ltd. - Class A 84,938

2,150 UnitedHealth Group, Inc.^ 886,273 24,500 HKD Wuxi Biologics Cayman, Inc.*# 374,219 ___________

10,686,854 ___________ Industrials (7.6%)

12,250 ZAR Barloworld, Ltd. 90,366 475 Boeing Company# 107,578

25,100 CAE, Inc.# 766,303 5,275 Caterpillar, Inc. 1,090,606 2,000 CNY Contemporary Amperex

Technology Company, Ltd. - Class A 171,640

23,750 EUR Deutsche Post, AG 1,609,565 5,800 JPY FANUC Corp. 1,299,012

51,200 PHP International Container Terminal Services, Inc. 159,270

1,694 McDermott International, Inc.# 561 13,600 EUR Schneider Electric, SE 2,277,841 13,000 HKD Techtronic Industries Company,

Ltd. 231,820 4,915 Union Pacific Corp. 1,075,205

13,450 INR Voltas, Ltd. 191,894 10,400 Waste Management, Inc.µ 1,541,904 ___________


5,785 Accenture, PLC - Class Aµ 1,837,779 780 EUR Adyen, NV*# 2,113,838

24,145 Apple, Inc.^ 3,521,790 7,040 ASML Holding, NV^ 5,397,849 2,000 TWD eMemory Technology, Inc. 94,069 9,100 JPY Fujitsu, Ltd. 1,548,187




10

8/31/2021 2:09 PM


635 Globant, SA^# $ 151,867 47,000 TWD Hon Hai Precision Industry

Company, Ltd. 185,731 11,325 Infosys, Ltd.^ 250,509

4,700 JPY Keyence Corp. 2,617,912 10,000 TWD MediaTek, Inc. 326,978 17,255 Microsoft Corp.^ 4,916,122 16,140 NVIDIA Corp. 3,147,139 29,069 Oracle Corp. 2,533,073 22,130 KRW Samsung Electronics Company,

Ltd. 1,512,284 2,080 KRW SK Hynix, Inc. 203,624

323,000 TWD Taiwan Semiconductor Manufacturing Company, Ltd. 6,750,537

450 Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) 52,488

22,977 BRL TOTVS, SA 155,996 ___________ 37,317,772 ___________

Materials (5.9%) 44,025 EUR ArcelorMittal, SA 1,537,592

4,100 INR Asian Paints, Ltd. 162,992 214,400 Cemex, SAB de CV# 1,743,072

20,975 EUR CRH, PLC 1,048,311 8,540 CAD First Quantum Minerals, Ltd. 182,902

38,300 Freeport-McMoRan, Inc. 1,459,230 260 KRW LG Chem, Ltd. 190,971 660 KRW POSCO 209,917

6,200 PPG Industries, Inc. 1,013,824 22,450 INR Tata Steel, Ltd. 433,870

9,600 INR UPL, Ltd. 104,128 7,500 Vale, SA - Class B^ 157,650 ___________

8,244,459 ___________ Real Estate (0.3%)

291,000 PHP Ayala Land, Inc. 190,371 10,900 INR Godrej Properties, Ltd.# 236,046 ___________

426,417 ___________


EXCHANGE-TRADED FUND (0.6%) Other (0.6%)

37,000 Invesco Senior Loan ETF^ (Cost $817,089) 815,110 ___________ ___________


1,900 United States Cellular Corp.µ 6.250%, 09/01/69 52,782 ___________

Consumer Discretionary (0.1%) 305 Guitar Center, Inc.

0.000% 34,656 211 Qurate Retail, Inc.µ

8.000%, 03/15/31 22,889 ___________ 57,545 ___________



7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% $ 61,395

2,335 NuStar Energy, LP‡ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% 58,819

2,270 NuStar Logistics, LP‡ 6.860%, 01/15/43 3 mo. USD LIBOR + 6.73% 57,363 ___________

177,577 ___________

TOTAL PREFERRED STOCKS (Cost $280,644) 287,904 ___________ ___________


164


147


91


256


95


2,607


2,347


TOTAL WARRANTS (Cost $54,580) 21,623 ___________ ___________




18 4,850,154

Alphabet, Inc. Call, 01/21/22, Strike $1,500.00 2,166,570

25 690,400

Sea, Ltd. Call, 01/21/22, Strike $300.00 60,875 ___________


90 325,800

Coupang, Inc. Call, 01/21/22, Strike $45.00 24,750 ___________ Energy (0.0%)

55 799,535

Pioneer Natural Resources Company Call, 09/17/21, Strike $170.00 9,625 ___________ Information Technology (0.2%)

25 1,554,075

Adobe, Inc. Call, 01/21/22, Strike $600.00 150,000

100 504,600

Kraneshares Csi China Internet Call, 01/21/22, Strike $60.00 25,400 ___________

175,400 ___________




11 8/31/2021 2:09 PM



Other (1.5%) Invesco QQQ Trust Series

610 22,238,770

Put, 01/21/22, Strike $298.00 $ 360,205

325 11,848,525

Put, 09/30/21, Strike $335.00 135,200

185 6,744,545

Call, 01/21/22, Strike $347.00 599,862

440 227,040

iShares MSCI Emerging Markets Put, 09/30/21, Strike $53.00 108,240

SPDR S&P 500 ETF Trust 480

21,048,480

Put, 01/21/22, Strike $378.00 380,640 270

11,839,770

Put, 09/30/21, Strike $405.00 116,100 155

6,796,905

Call, 01/21/22, Strike $440.00 291,555 421

1,211,217 VanEck Vectors Russia ETF

Call, 01/21/22, Strike $27.00 115,775 135

508,410

Xtrackers Harvest CSI 300 China A ETF Call, 01/21/22, Strike $40.00 17,010 ___________

2,124,587 ___________


TOTAL INVESTMENTS (142.2%) (Cost $177,085,033) 198,557,898 ___________ ___________



NET ASSETS (100.0%) $ 139,678,366 ___________ ___________

WRITTEN OPTIONS (-1.0%) # Other (-1.0%)

185 6,744,545

Invesco QQQ Trust Series Call, 01/21/22, Strike $331.00 (821,585)

155 6,796,905

SPDR S&P 500 ETF Trust Call, 01/21/22, Strike $420.00 (505,765) ___________

TOTAL WRITTEN OPTIONS (Premium $728,045) (1,327,350) ___________ ___________



µ


^ Security, or portion of security, is on loan.

@ In default status and considered non-income producing. & Illiquid security. ‡


¡


!


# Non-income producing security. ~


FOREIGN CURRENCY ABBREVIATIONS BRL Brazilian Real CAD Canadian Dollar CHF Swiss Franc CNY Chinese Yuan Renminbi EUR European Monetary Unit GBP British Pound Sterling HKD Hong Kong Dollar HUF Hungarian Forint IDR Indonesian Rupiah INR Indian Rupee JPY Japanese Yen KRW South Korean Won MXN Mexican Peso PHP Philippine Peso THB Thai Baht TWD New Taiwan Dollar ZAR South African Rand Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.




12

8/31/2021 2:09 PM

CURRENCY EXPOSURE JULY 31, 2021

Value % of Total

Investments US Dollar $ 143,943,243 73.0 % European Monetary Unit 19,302,047 9.8 % New Taiwan Dollar 7,840,451 4.0 % Japanese Yen 6,159,770 3.1 % Indian Rupee 5,061,049 2.6 % Hong Kong Dollar 4,750,902 2.4 % South Korean Won 3,128,460 1.6 % Canadian Dollar 2,114,279 1.1 % Swiss Franc 1,167,938 0.6 % British Pound Sterling 682,046 0.3 % Chinese Yuan Renminbi 639,144 0.3 % Brazilian Real 514,467 0.2 % Mexican Peso 496,873 0.2 % South African Rand 466,485 0.2 % Philippine Peso 349,641 0.2 % Indonesian Rupiah 328,533 0.2 % Hungarian Forint 160,430 0.1 % Thai Baht 124,790 0.1 % _____________________________ Total Investments Net of Written Options $ 197,230,548 100.0 % Currency exposure may vary over time.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Global Total Return (the “Fund”) was organized as a Delaware statutory trust on March 30, 2004 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 October 27, 2005. 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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.






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 July 31, 2021 was as follows*: Cost basis of investments $176,356,988 Gross unrealized appreciation 27,420,064


* 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 – Mandatory Redeemable Preferred Shares On September 6, 2017, the Fund issued 480,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $12.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations. The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2021.

Series Term

Redemption Date Dividend Rate Shares (000’s) Liquidation Preference Per Share Aggregate Liquidation Preference Series A 9/06/22 3.70% 160 $25 $4,000,000 Series B 9/06/24 4.00% 160 $25 $4,000,000 Series C 9/06/27 4.24% 160 $25 $4,000,000


Calamos Global Dynamic Income Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 3:20 PM








169,000 5.500%, 04/20/26 177,006 56,000 5.750%, 04/20/29 60,607

250,000 British Airways Pass Through Trust Series 2021-1, Class B* 3.900%, 03/15/33 253,943







405,000 Arrow Bidco, LLC* 9.500%, 03/15/24 415,797

265,000 Ashtead Capital, Inc.* 4.000%, 05/01/28 280,198


165,000 Brink's Company* 5.500%, 07/15/25 173,943


CSC Holdings, LLC* 410,000 5.500%, 04/15/27 429,311 400,000 4.625%, 12/01/30 394,388 335,000 5.375%, 02/01/28 354,712 300,000 5.750%, 01/15/30 313,278 200,000 4.500%, 11/15/31 201,930 230,000 Cumulus Media New Holdings,

Inc.*^ 6.750%, 07/01/26 242,376



180,000 6.625%, 08/15/27 $ 72,369 151,000 5.375%, 08/15/26 87,852

25,000 DIRECTV Holdings, LLC / DIRECTV Financing Company, Inc.* 5.875%, 08/15/27 25,870

745,000 Embarq Corp. 7.995%, 06/01/36 835,778



6.730%, 02/15/28 359,225




170,000 9.750%, 07/15/25* 96,198 130,000 5.500%, 08/01/23 71,752 400,000 LCPR Senior Secured Financing

DAC* 6.750%, 10/15/27 427,832



200,000 Netflix, Inc.* 4.875%, 06/15/30 241,342

Scripps Escrow II, Inc.* 111,000 3.875%, 01/15/29 111,157

56,000 5.375%, 01/15/31 56,044 312,000 Scripps Escrow, Inc.*



165,000 Sirius XM Radio, Inc.* 4.000%, 07/15/28 170,280

170,000 Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 173,492


560,000 Sprint Corp. 7.125%, 06/15/24 644,907



115,000 Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 1,236 ___________

9,308,668 ___________

Calamos Global Dynamic Income Fund



2

8/31/2021 3:20 PM


Consumer Discretionary (2.3%) 230,000 American Axle & Manufacturing,

Inc.^ 6.875%, 07/01/28 $ 249,297


204,000 6.625%, 01/15/28 217,827 136,000 4.625%, 08/01/29 136,476

67,000 Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.*^ 5.375%, 03/01/29 69,878

345,000 Bally's Corp.* 6.750%, 06/01/27 373,245


CRC Finco, Inc.*^ 5.250%, 10/15/25 352,954

Carnival Corp.* 112,000 10.500%, 02/01/26^ 128,414

56,000 7.625%, 03/01/26 59,448 260,000 Carriage Services, Inc.*

4.250%, 05/15/29 260,218 165,000 Carvana Company*

5.625%, 10/01/25 171,506


735,000 5.125%, 05/01/27 769,876 245,000 4.750%, 03/01/30 260,031 125,000 5.000%, 02/01/28^ 131,189 110,000 4.250%, 02/01/31 113,516 207,000 Cedar Fair, LP^


345,000 6.750%, 06/01/27 369,119 190,000 5.875%, 07/15/25^ 196,437

DISH DBS Corp. 209,000 7.750%, 07/01/26 238,929 133,000 7.375%, 07/01/28^ 144,064 163,000 Everi Holdings, Inc.*



350,000 4.063%, 11/01/24 371,752 350,000 4.000%, 11/13/30 370,769 315,000 4.134%, 08/04/25 337,592 315,000 3.664%, 09/08/24 330,526

goeasy, Ltd.* 380,000 5.375%, 12/01/24 394,554 208,000 4.375%, 05/01/26 214,581 112,000 Goodyear Tire & Rubber

Company* 5.000%, 07/15/29 118,104


345,000 International Game Technology, PLC* 6.250%, 01/15/27 392,406

L Brands, Inc. 292,000 6.694%, 01/15/27 346,972 165,000 6.875%, 11/01/35 212,431 110,000 Liberty Interactive, LLC

8.500%, 07/15/29 126,314


169,000 Life Time, Inc.*^ 8.000%, 04/15/26 $ 177,163

M/I Homes, Inc. 340,000 5.625%, 08/01/25 350,142 205,000 4.950%, 02/01/28 216,293

Macy's Retail Holdings, LLC 110,000 6.700%, 07/15/34* 117,059

55,000 5.125%, 01/15/42 50,376 114,000 Macy's, Inc.*

8.375%, 06/15/25 124,380 Mattel, Inc.*

135,000 5.875%, 12/15/27 147,857 28,000 3.750%, 04/01/29^ 29,557

Mclaren Finance, PLC* 350,000 5.750%, 08/01/22 350,000 260,000 7.500%, 08/01/26 264,415 260,000 Midwest Gaming Borrower, LLC /



252,000 Newell Brands, Inc. 4.700%, 04/01/26 281,081


553,000 Rite Aid Corp.* 8.000%, 11/15/26 555,782

Royal Caribbean Cruises, Ltd.* 110,000 11.500%, 06/01/25 126,034

55,000 10.875%, 06/01/23 62,516 265,000 Simmons Foods, Inc. / Simmons






295,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 293,062





170,000 4.125%, 04/01/29 171,205 112,000 5.500%, 06/01/28 118,699 252,000 Energizer Holdings, Inc.*^

4.375%, 03/31/29 253,472 225,000 Fresh Market, Inc.*

9.750%, 05/01/23 231,948 260,000 JBS USA LUX, SA / JBS USA

Finance, Inc.* 6.750%, 02/15/28 286,109




3 8/31/2021 3:20 PM


109,000 JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* 6.500%, 04/15/29 $ 122,903

Kraft Heinz Foods Company 335,000 4.375%, 06/01/46 385,846

56,000 4.250%, 03/01/31 64,566 56,000 3.875%, 05/15/27^ 62,037

174,000 New Albertsons, LP 7.750%, 06/15/26 199,900

217,000 Performance Food Group, Inc.* 4.250%, 08/01/29 220,839


Post Holdings, Inc.* 310,000 5.750%, 03/01/27 323,330 160,000 4.625%, 04/15/30^ 163,158 209,000 Prestige Brands, Inc.*


6.750%, 10/15/28 264,928 Vector Group, Ltd.*

345,000 5.750%, 02/01/29 351,576 136,000 10.500%, 11/01/26 144,726 ___________

4,263,141 ___________ Energy (1.4%)


Apache Corp. 223,000 5.100%, 09/01/40 239,422 127,000 4.875%, 11/15/27 136,787 112,000 4.625%, 11/15/25 120,521




295,000 5.625%, 10/01/26 305,107 55,000 4.000%, 03/01/31*^ 58,230

112,000 Cheniere Energy, Inc. 4.625%, 10/15/28 118,359

Continental Resources, Inc.^ 230,000 3.800%, 06/01/24 241,516 170,000 4.375%, 01/15/28 190,021 410,000 DCP Midstream Operating, LP*‡

5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 385,863

3,142 Diamond Foreign Asset Company / Diamond Finance, LLC 13.000%, 04/22/27 13.000% PIK rate 3,152

114,000 DT Midstream, Inc.* 4.125%, 06/15/29 117,010


3 mo. USD LIBOR + 3.02% 264,090 162,000 6.500%, 11/15/26


330,000 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% 255,628


224,000 4.850%, 07/15/26 $ 234,472 EQT Corp.

145,000 7.500%, 02/01/30 190,644 90,000 6.625%, 02/01/25 104,106 65,000 5.000%, 01/15/29 73,528

293,000 Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26 289,613

Gulfport Energy Operating Corp. 215,000 6.375%, 05/15/25@ 9,137


229,000 10.125%, 01/15/28 242,715 57,000 7.750%, 07/31/29* 55,206

245,000 Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*^ 6.000%, 08/01/26 251,225


135,000 10.500%, 05/15/27 129,758 135,000 7.500%, 01/15/26 122,279 113,000 Murphy Oil Corp.




OMP Finance Corp.* 8.000%, 04/01/29 58,598

Occidental Petroleum Corp. 690,000 4.300%, 08/15/39 685,032 510,000 2.900%, 08/15/24 514,192 114,000 5.875%, 09/01/25^ 126,480

60,000 Ovintiv, Inc.^ 6.500%, 08/15/34 80,156

130,000 Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 129,174




147,000 Transocean, Inc.*^ 11.500%, 01/30/27 146,449


55,000 4.125%, 08/15/31 56,738 55,000 3.875%, 08/15/29 56,226

112,000 Vine Energy Holdings, LLC* 6.750%, 04/15/29 117,066

135,000 Viper Energy Partners, LP* 5.375%, 11/01/27 141,651

220,000 W&T Offshore, Inc.* 9.750%, 11/01/23 211,886


8,486,484 ___________




4

8/31/2021 3:20 PM


Financials (2.7%)


552,000 7.000%, 11/15/25^ $ 561,732 333,000 6.000%, 08/01/29 333,250 168,000 Aethon United BR, LP / Aethon


253,000 AG Issuer, LLC* 6.250%, 03/01/28 266,083



5 year CMT + 3.87 204,941 175,000 8.000%, 11/01/31 255,136 100,000 4.700%, 05/15/28‡







Credit Acceptance Corp. 237,000 5.125%, 12/31/24*^ 245,195 230,000 6.625%, 03/15/26 243,377






485,000 HUB International, Ltd.* 7.000%, 05/01/26 503,100


325,000 5.250%, 05/15/27 342,326 164,000 4.375%, 02/01/29 166,221 500,000 ILFC E-Capital Trust II*‡

3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 423,425

465,000 Iron Mountain, Inc.*^ 5.250%, 03/15/28 487,766


600,000 5.000%, 08/15/28 614,586 350,000 6.250%, 06/03/26 377,353



447,000 5.250%, 10/01/25 $ 454,443 109,000 4.750%, 06/15/29 108,662 256,000 LD Holdings Group, LLC*


260,000 5.375%, 05/01/25 266,092 235,000 4.250%, 07/01/28* 239,674

LPL Holdings, Inc.* 277,000 4.000%, 03/15/29 281,734

82,000 4.375%, 05/15/31 84,167 487,000 MetLife, Inc.^

6.400%, 12/15/66 624,543 Navient Corp.

493,000 5.000%, 03/15/27^ 514,426 260,000 4.875%, 03/15/28 262,491



134,000 7.500%, 06/01/25 145,343 110,000 5.875%, 10/01/28 117,434 140,000 PHH Mortgage Corp.*




345,000 Radian Group, Inc. 4.875%, 03/15/27 375,232



135,000 SLM Corp. 4.200%, 10/29/25 146,295


227,000 StoneX Group, Inc.* 8.625%, 06/15/25 246,828


Company, Inc.*^ 3.750%, 02/15/27 280,367

XHR, LP* 237,000 6.375%, 08/15/25 252,827 108,000 4.875%, 06/01/29 110,624 ___________

16,129,094 ___________ Health Care (1.3%)



Bausch Health Companies, Inc.* 315,000 5.250%, 02/15/31^ 295,498 245,000 5.000%, 01/30/28 234,512

96,000 5.000%, 02/15/29 90,792




5 8/31/2021 3:20 PM


Centene Corp. 276,000 4.250%, 12/15/27 $ 291,122 111,000 3.000%, 10/15/30 115,544 113,000 Charles River Laboratories



435,000 6.125%, 04/01/30 441,316 295,000 8.000%, 03/15/26 316,441 127,000 6.875%, 04/15/29 133,831

DaVita, Inc.* 335,000 4.625%, 06/01/30 346,410 163,000 3.750%, 02/15/31 158,713



4.375%, 01/15/29 208,826 480,000 Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 319,728


400,000 5.125%, 04/30/31 412,520 200,000 4.125%, 04/30/28 205,378 305,000 Team Health Holdings, Inc.*^

6.375%, 02/01/25 284,788 Tenet Healthcare Corp.

605,000 6.250%, 02/01/27* 631,015 365,000 6.875%, 11/15/31 418,608 345,000 4.875%, 01/01/26* 357,713


615,000 2.800%, 07/21/23 610,185 495,000 6.000%, 04/15/24 520,888 ___________

7,830,723 ___________ Industrials (2.2%)


260,000 ACCO Brands Corp.*^ 4.250%, 03/15/29 260,133


307,000 4.875%, 02/15/30 332,576 185,000 4.625%, 01/15/27 195,798 111,000 3.500%, 03/15/29 112,194

Allison Transmission, Inc.* 190,000 4.750%, 10/01/27 198,548

55,000 3.750%, 01/30/31 55,052 54,000 Ambience Merger Sub, Inc.*


3.750%, 03/01/25 49,026 127,000 Arcosa, Inc.*

4.375%, 04/15/29 130,193 475,000 ARD Finance, SA*

6.500%, 06/30/27 7.250% PIK rate 501,666



206,000 Beacon Roofing Supply, Inc.*^ 4.125%, 05/15/29 $ 206,717


207,000 Cascades, Inc. / Cascades USA, Inc.*^ 5.125%, 01/15/26 219,406



56,000 4.750%, 10/20/28 62,771 28,000 4.500%, 10/20/25µ 30,162

168,000 Endure Digital, Inc.* 6.000%, 02/15/29 163,130

140,000 EnerSys* 4.375%, 12/15/27 146,665

260,000 Fly Leasing, Ltd. 5.250%, 10/15/24 263,903



Inc.* 7.125%, 08/15/28 132,767



175,000 4.750%, 07/15/27 189,903 102,000 3.500%, 03/01/29 101,736

56,000 Great Lakes Dredge & Dock Corp.* 5.250%, 06/01/29 57,828




Howmet Aerospace, Inc. 200,000 5.125%, 10/01/24^ 220,436 103,000 6.875%, 05/01/25 119,938 280,000 JELD-WEN, Inc.*


Finance Corp.* 8.625%, 10/15/26 118,221


110,000 MasTec, Inc.* 4.500%, 08/15/28 116,086

143,000 Meritor, Inc.* 4.500%, 12/15/28 146,441

170,000 Moog, Inc.* 4.250%, 12/15/27 175,627


272,000 Novelis Corp.* 4.750%, 01/30/30 290,050





6

8/31/2021 3:20 PM


Patrick Industries, Inc.* 140,000 7.500%, 10/15/27 $ 152,347 112,000 4.750%, 05/01/29 114,380 275,000 Peninsula Pacific Entertainment,



240,000 QVC, Inc. 4.375%, 09/01/28 246,770






Standard Industries, Inc.* 225,000 5.000%, 02/15/27 233,116

56,000 4.375%, 07/15/30^ 57,636 Station Casinos, LLC*

455,000 4.500%, 02/15/28^ 459,345 181,000 5.000%, 10/01/25 183,521 112,000 Stericycle, Inc.*


7.500%, 02/15/26 175,178 200,000 TransDigm UK Holdings, PLC

6.875%, 05/15/26 211,346 TransDigm, Inc.

205,000 7.500%, 03/15/27 217,497 200,000 6.250%, 03/15/26* 210,154 114,000 Tronox, Inc.*

4.625%, 03/15/29 116,138


110,000 3.750%, 01/15/32 110,000 56,000 3.875%, 02/15/31 57,702

195,000 Waste Pro USA, Inc.* 5.500%, 02/15/26 199,181

WESCO Distribution, Inc.* 136,000 7.125%, 06/15/25^ 146,698

67,000 7.250%, 06/15/28 74,699 350,000 XPO Logistics, Inc.*

6.750%, 08/15/24 363,380 ___________ 12,857,433 ___________


4.000%, 07/01/29 112,430 140,000 CDK Global, Inc.*

5.250%, 05/15/29 152,653 200,000 CommScope Technologies, LLC*

6.000%, 06/15/25 203,240 310,000 Dell International, LLC / EMC

Corp.µ 6.020%, 06/15/26 373,221


138,000 Fair Isaac Corp.* 4.000%, 06/15/28 $ 144,400

245,000 KBR, Inc.* 4.750%, 09/30/28 249,388

245,000 MPH Acquisition Holdings, LLC*^ 5.750%, 11/01/28 238,312

113,000 NCR Corp.* 5.125%, 04/15/29 117,770

253,000 Nielsen Finance, LLC / Nielsen Finance Company* 4.500%, 07/15/29 255,543


204,000 Open Text Corp.* 3.875%, 02/15/28 211,164



Twilio, Inc. 150,000 3.625%, 03/15/29 154,290

57,000 3.875%, 03/15/31 59,647 260,000 ZoomInfo Technologies, LLC /


3,081,339 ___________ Materials (0.6%)





Freeport-McMoRan, Inc. 125,000 5.450%, 03/15/43 160,710 115,000 5.400%, 11/14/34 146,202 167,000 HB Fuller Company



Company* 10.250%, 06/01/26 226,786



5.125%, 02/01/29 187,897 New Gold, Inc.*

86,000 6.375%, 05/15/25 88,775 57,000 7.500%, 07/15/27^ 61,611

240,000 OCI, NV*^ 4.625%, 10/15/25 249,264

112,000 Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 121,484






7 8/31/2021 3:20 PM


113,000 Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 $ 115,334


111,000 Valvoline, Inc.* 3.625%, 06/15/31 110,654 ___________

3,522,613 ___________ Real Estate (0.2%)

174,000 EPR Properties^ 3.750%, 08/15/29 176,716

Forestar Group, Inc.* 187,000 5.000%, 03/01/28 194,927

55,000 3.850%, 05/15/26 55,838 166,000 iStar, Inc.


345,000 4.350%, 10/01/24 348,226 105,000 5.250%, 02/15/26 106,285 ___________

1,056,272 ___________ Utilities (0.2%)

175,000 NRG Energy, Inc. 6.625%, 01/15/27 181,365


Talen Energy Supply, LLC* 140,000 10.500%, 01/15/26 96,643

70,000 7.250%, 05/15/27 63,908 260,000 TerraForm Power Operating, LLC*

5.000%, 01/31/28 281,533 ___________ 947,024 ___________


CONVERTIBLE BONDS (28.8%) Airlines (0.2%)

10,000,000 HKD Cathay Pacific Finance III, Ltd. 2.750%, 02/05/26 1,286,862 ___________

Communication Services (3.7%) 200,000 EUR America Movil, BV

0.000%, 03/02/24 248,617 325,000 Bharti Airtel, Ltd.*

1.500%, 02/17/25 387,952 100,000 EUR Cellnex Telecom, SA

1.500%, 01/16/26 222,938 20,000,000 JPY CyberAgent, Inc.

0.000%, 02/19/25 250,333 2,881,000 Eventbrite, Inc.*µ

0.750%, 09/15/26 2,724,562 iQIYI, Inc.

185,000 2.000%, 04/01/25 158,584 179,000 4.000%, 12/15/26 153,516

1,000,000 Kakao Corp. 0.000%, 04/28/23 1,517,520

Liberty Media Corp. 4,210,000 0.500%, 12/01/50* 4,662,238

145,000 1.375%, 10/15/23 192,805 153,000 Liberty Media Corp. / Liberty

Formula One 1.000%, 01/30/23 202,642


1,810,000 Live Nation Entertainment, Inc. 2.500%, 03/15/23 $ 2,359,715

1,745,000 Sea, Ltd. 2.375%, 12/01/25 5,424,437

Snap, Inc. 612,000 0.000%, 05/01/27* 704,534 153,000 0.750%, 08/01/26 500,899

Twitter, Inc. 407,000 0.000%, 03/15/26* 391,701 290,000 0.250%, 06/15/24^ 402,152 800,000 Xiaomi Best Time International,

Ltd. 0.000%, 12/17/27 831,952

165,000 Zynga, Inc. 0.250%, 06/01/24 220,501 ___________


203,000 Airbnb, Inc.*µ 0.000%, 03/15/26 190,268

152,000 Baozun, Inc. 1.625%, 05/01/24 138,442

2,869,000 Booking Holdings, Inc.^ 0.750%, 05/01/25 4,049,880

5,345,000 Cheesecake Factory, Inc.µ 0.375%, 06/15/26 5,014,144

100,000 EUR Delivery Hero, SE 0.250%, 01/23/24 163,412

415,000 DISH Network Corp.µ 2.375%, 03/15/24 402,147

410,000 DraftKings, Inc.*µ 0.000%, 03/15/28 359,914

200,000 CHF Dufry One, BV 0.750%, 03/30/26 211,521

161,000 Etsy, Inc.*µ^ 0.125%, 09/01/27 194,053

825,000 Expedia Group, Inc.*^ 0.000%, 02/15/26 887,057

80,000 Fiverr International, Ltd.* 0.000%, 11/01/25 108,914


4,500,000 EUR Global Fashion Group, SA 1.250%, 03/15/28 5,322,802

100,000 EUR HelloFresh, SE 0.750%, 05/13/25 203,056

937,000 Liberty Broadband Corp.*µ 2.750%, 09/30/50 1,005,944

Liberty Interactive, LLC 270,000 4.000%, 11/15/29µ 208,070 160,000 3.750%, 02/15/30 123,430 296,000 MakeMyTrip, Ltd.*

0.000%, 02/15/28 299,220 7,135,000 Marriott Vacations Worldwide

Corp.* 0.000%, 01/15/26 7,628,956

2,400,000 Meituan 0.000%, 04/27/28 2,230,992

216,000 NCL Corp., Ltd.* 5.375%, 08/01/25 341,829

100,000 GBP Ocado Group, PLC 0.750%, 01/18/27 137,299


339,000 Pinduoduo, Inc. 0.000%, 12/01/25 314,806




8

8/31/2021 3:20 PM


473,000 Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 $ 609,461

168,500 EUR SEB, SA 0.000%, 11/17/21 363,379

2,799,000 Shake Shack, Inc.* 0.000%, 03/01/28 2,622,971

100,000 EUR Shop Apotheke Europe, NV 0.000%, 01/21/28 113,403

162,000 Stride, Inc.*µ 1.125%, 09/01/27 148,091

17,000 Tesla, Inc. 2.000%, 05/15/24 188,402

9,160,000 Vail Resorts, Inc.*^ 0.000%, 01/01/26 9,248,944

314,000 Vroom, Inc.* 0.750%, 07/01/26 305,478

318,000 Wayfair, Inc.* 0.625%, 10/01/25 308,934

1,800,000 GBP WH Smith, PLC 1.625%, 05/07/26 2,455,364

200,000 EUR Zalando, SE 0.050%, 08/06/25 295,390 ___________


600,000 Carrefour, SAµ 0.000%, 03/27/24 616,722

20,000,000 JPY Nippn Corp. 0.000%, 06/20/25 183,301

4,975,000 CAD Premium Brands Holdings Corp. 4.200%, 09/30/27 4,458,479

179,000 Turning Point Brands, Inc. 2.500%, 07/15/24 213,896 ___________

5,472,398 ___________ Energy (0.1%)

273,000 Pioneer Natural Resources Company 0.250%, 05/15/25 401,635

SunEdison, Inc.@ 2,261,000 0.250%, 01/15/20 34,978

275,000 2.000%, 10/01/18 4,254 ___________ 440,867 ___________

Financials (2.8%) 51,000,000 HKD Citigroup Global Markets Funding

Luxembourg SCA 0.000%, 05/28/24 7,304,390

192,000 Coinbase Global, Inc.*µ 0.500%, 06/01/26 193,857

600,000 EUR Corestate Capital Holding, SA 1.375%, 11/28/22 630,553

100,000 GBP Cornwall Jersey, Ltd. 0.750%, 04/16/26 127,648

150,000 GSK Finance No 3, PLC*µ 0.000%, 06/22/23 151,514

JPMorgan Chase Bank NAµ 730,000 0.125%, 01/01/23*^ 778,516 200,000 0.000%, 08/07/22 235,672 200,000 EUR LEG Immobilien, SE

0.875%, 09/01/25 302,593 200,000 EUR Oliver Capital Sarl

0.000%, 12/29/23 259,741 2,595,000 Realogy Group, LLC / Realogy

Co-Issuer Corp.* 0.250%, 06/15/26 2,628,631


SBI Holdings, Inc. 240,000,000 JPY 0.000%, 07/25/25 $ 2,381,689

20,000,000 JPY 0.000%, 09/13/23 187,696 700,000 EUR SGX Treasury I Pte, Ltd.

0.000%, 03/01/24 870,490 210,000 Starwood Property Trust, Inc.µ

4.375%, 04/01/23 225,347 ___________ 16,278,337 ___________

Health Care (2.0%) 197,000 Bridgebio Pharma, Inc.*µ

2.250%, 02/01/29 180,032 135,000 Coherus Biosciences, Inc.µ

1.500%, 04/15/26 135,171 142,000 Dexcom, Inc.µ

0.250%, 11/15/25 161,924 100,000 EUR GN Store Nord AS

0.000%, 05/21/24 150,732 205,000 Haemonetics Corp.*µ

0.000%, 03/01/26 174,172 206,000 Halozyme Therapeutics, Inc.*µ

0.250%, 03/01/27 188,731 73,000 Innoviva, Inc.µ

2.500%, 08/15/25 81,356 232,000 Insulet Corp.µ

0.375%, 09/01/26 321,339 167,000 Integra LifeSciences Holdings

Corp.µ 0.500%, 08/15/25 190,126


2,740,000 LivaNova USA, Inc. 3.000%, 12/15/25 4,334,022

30,000,000 JPY Menicon Company, Ltd. 0.000%, 01/29/25 325,257

181,000 NeoGenomics, Inc. 0.250%, 01/15/28 178,377

143,000 Novocure, Ltd.* 0.000%, 11/01/25 170,342

165,000 NuVasive, Inc. 0.375%, 03/15/25 160,593

376,000 Oak Street Health, Inc.* 0.000%, 03/15/26 398,207

145,000 Omnicell, Inc.* 0.250%, 09/15/25 228,405

Pacira BioSciences, Inc. 135,000 0.750%, 08/01/25 148,551

26,000 2.375%, 04/01/22 27,765 171,000 Tabula Rasa HealthCare, Inc.

1.750%, 02/15/26 164,466 203,000 Teladoc Health, Inc.

1.250%, 06/01/27 218,666 ___________ 11,446,428 ___________

Industrials (3.1%) 250,000 Air Canadaµ

4.000%, 07/01/25 381,488 2,700,000 EUR Duerr, AG

0.750%, 01/15/26 4,194,900 5,920,000 JetBlue Airways Corp.*µ~

0.500%, 04/01/26 5,855,176 2,781,000 John Bean Technologies Corp.*µ

0.250%, 05/15/26 2,999,003 161,000 Middleby Corp.*

1.000%, 09/01/25 251,847




9 8/31/2021 3:20 PM


2,623,000 Southwest Airlines Companyµ~ 1.250%, 05/01/25 $ 3,853,974

393,000 Sunrun, Inc.*^ 0.000%, 02/01/26 350,937

355,000 Uber Technologies, Inc.*^ 0.000%, 12/15/25 346,760

200,000 Vinci, SA 0.375%, 02/16/22 224,820 ___________


196,000 21Vianet Group, Inc.*^ 0.000%, 02/01/26 158,674

400,000 AUD Afterpay, Ltd. 0.000%, 03/12/26 249,025

190,000 Akamai Technologies, Inc.µ 0.125%, 05/01/25 253,872

Alteryx, Inc.µ 165,000 1.000%, 08/01/26 152,925 165,000 0.500%, 08/01/24 156,748 188,000 Bill.com Holdings, Inc.*µ

0.000%, 12/01/25 273,262 430,000 Coupa Software, Inc.µ

0.375%, 06/15/26 461,678 162,000 CyberArk Software, Ltd.µ

0.000%, 11/15/24 185,025 146,000 Datadog, Inc.µ

0.125%, 06/15/25 202,594 207,000 Dropbox, Inc.*µ

0.000%, 03/01/28 233,148 504,000 CAD Dye & Durham, Ltd.*

3.750%, 03/01/26 409,025 206,000 Enphase Energy, Inc.*µ

0.000%, 03/01/28 208,938 411,000 Fastly, Inc.*µ

0.000%, 03/15/26 359,296 142,000 Five9, Inc.µ

0.500%, 06/01/25 229,665 2,400,000 Globalwafers Company, Ltd.

0.000%, 06/01/26 2,521,896 175,000 LivePerson, Inc.*

0.000%, 12/15/26 189,476 324,000 Lumentum Holdings, Inc.

0.500%, 12/15/26 356,371 451,000 Microchip Technology, Inc.^

0.125%, 11/15/24 494,959 418,000 MicroStrategy, Inc.*

0.000%, 02/15/27 309,813 186,000 New Relic, Inc.

0.500%, 05/01/23 186,082 200,000 EUR Nexi S.p.A

1.750%, 04/24/27 291,654 162,000 Nice, Ltd.*^

0.000%, 09/15/25 183,885 241,000 Okta, Inc.^

0.125%, 09/01/25 351,682 2,789,000 ON Semiconductor Corp.*

0.000%, 05/01/27 2,968,054 Palo Alto Networks, Inc.

190,000 0.750%, 07/01/23 293,592 148,000 0.375%, 06/01/25 212,337 173,000 Pegasystems, Inc.

0.750%, 03/01/25 196,365 296,000 Repay Holdings Corp.*

0.000%, 02/01/26 294,857


320,000 RingCentral, Inc.* 0.000%, 03/15/26 $ 315,507

20,000,000 JPY SCREEN Holdings Company, Ltd. 0.000%, 06/11/25 205,323


68,000 Shopify, Inc. 0.125%, 11/01/25 89,663

145,000 Silicon Laboratories, Inc. 0.625%, 06/15/25 196,930

148,300 EUR SOITEC 0.000%, 10/01/25 413,701

190,000 Splunk, Inc.µ^ 1.125%, 09/15/25 229,837

4,544,000 Square, Inc.*µ^ 0.250%, 11/01/27 5,361,693

200,000 Tyler Technologies, Inc.* 0.250%, 03/15/26 228,768

200,000 Win Semiconductors Corp. 0.000%, 01/14/26 203,370

318,000 Wix.com, Ltd.* 0.000%, 08/15/25 347,510

228,000 Workday, Inc. 0.250%, 10/01/22 369,143

170,000 Workiva, Inc. 1.125%, 08/15/26 297,095

265,000 Xero Investments, Ltd. 0.000%, 12/02/25 263,267

308,000 Zendesk, Inc. 0.625%, 06/15/25 419,783

145,000 Zscaler, Inc.µ 0.125%, 07/01/25 242,281 ___________

25,919,681 ___________ Materials (0.7%)

750,000 BASF, SEµ 0.925%, 03/09/23 752,715


100,000 EUR Symrise, AG 0.238%, 06/20/24 159,960

10,000,000 JPY Teijin, Ltd. 0.000%, 12/10/21 91,372 ___________

4,212,888 ___________ Real Estate (1.1%)

200,000 EUR ANLLIAN Capital, Ltd. 0.000%, 02/05/25 377,688

310,000 ESR Cayman, Ltd. 1.500%, 09/30/25 340,073

400,000 EUR Grand City Properties, SA 0.250%, 03/02/22 493,095

145,000 IH Merger Sub, LLCµ 3.500%, 01/15/22 259,406

Redfin Corp.* 2,815,000 0.500%, 04/01/27 2,710,817

330,000 0.000%, 10/15/25 357,875 20,000,000 JPY Relo Group, Inc.

0.000%, 12/17/27 187,607 1,400,000 Vingroup, JSC

3.000%, 04/20/26 1,505,084 ___________ 6,231,645 ___________




10

8/31/2021 3:20 PM


Utilities (0.1%) 2,120,000 EUR Voltalia, SA

1.000%, 01/13/25 $ 806,286 ___________


U.S. GOVERNMENT AND AGENCY SECURITY (0.1%) Other (0.1%)

342,000 U.S. Treasury Noteµ 1.750%, 07/15/22 (Cost $347,263) 347,457 ___________ ___________



284,288 United Airlines, Inc.‡ 4.500%, 04/21/28 1 mo. LIBOR + 3.75% 285,159 ___________


343,875 Clear Channel Outdoor Holdings, Inc.‡ 3.629%, 08/21/26 3 mo. LIBOR + 3.50% 334,455




620,000 DIRECTV Financing, LLC! 0.000%, 07/21/27 619,538

339,150 Frontier Communications Corp.‡ 4.500%, 05/01/28 3 mo. LIBOR + 3.75% 339,576



631,800 Intelsat Jackson Holdings, SA@ 8.625%, 01/02/24 644,550

415,000 Intelsat Jackson Holdings, SA‡@ 8.750%, 01/02/24 3 mo. PRIME + 5.50% 423,744 ___________


110,000 At Home Group, Inc.! 0.000%, 06/24/28 110,137



223,875 Life Time Fitness, Inc.‡ 5.750%, 12/16/24 3 mo. LIBOR + 4.75% $ 224,016

318,368 Meredith Corp.‡ 5.250%, 01/31/25 3 mo. LIBOR + 4.25% 325,466

394,013 Petco Health and Wellness Company, Inc.‡ 4.000%, 03/03/28 3 mo. LIBOR + 3.25% 392,750

445,000 PetSmart, Inc.‡ 4.500%, 02/12/28 6 mo. LIBOR + 3.75% 445,389


85,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 85,425

201,700 TKC Holdings, Inc.! 0.000%, 05/15/28 199,620


385,000 WW International, Inc.‡ 4.000%, 04/13/28 1 mo. LIBOR + 3.500% 384,640 ___________



Energy (0.0%) 274,013 Par Pacific Holdings, Inc.‡

6.870%, 01/12/26 3 mo. LIBOR + 6.75% 272,644 ___________

Financials (0.1%) 300,000 Jazz Financing Lux Sarl‡

4.000%, 05/05/28 1 mo. LIBOR + 3.50% 300,750 ___________

Health Care (0.5%) 699,323 Amneal Pharmaceuticals, LLC‡

3.625%, 05/04/25 1 mo. LIBOR + 3.50% 677,798

275,617 Endo Luxembourg Finance Company I Sarl‡ 5.750%, 03/27/28 3 mo. LIBOR + 5.00% 269,863

363,457 Gentiva Health Services, Inc.‡ 2.875%, 07/02/25 1 mo. LIBOR + 2.75% 362,550








11 8/31/2021 3:20 PM


302,181 Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% $ 294,565

250,000 Padagis, LLC‡ 5.250%, 07/06/28 3 mo. LIBOR + 4.75% 250,781

603,330 Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% 585,513 ___________

2,670,865 ___________ Industrials (0.3%)


140,000 Air Canada! 0.000%, 07/28/28 140,409

440,100 Berry Global, Inc.‡ 1.850%, 07/01/26 1 mo. LIBOR + 1.75% 435,463


281,448 Dun & Bradstreet Corp.‡ 3.336%, 02/06/26 1 mo. LIBOR + 3.25% 279,425



423,435 Scientific Games International, Inc.‡ 2.842%, 08/14/24 1 mo. LIBOR + 2.75% 417,761




304,129 Banff Merger Sub, Inc.‡ 3.842%, 10/02/25 1 mo. LIBOR + 3.75% 301,983



288,031 VFH Parent, LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% 286,334 ___________

1,209,485 ___________


Materials (0.0%) 197,500 Innophos, Inc.‡

3.592%, 02/07/27 1 mo. LIBOR + 3.50% $ 197,377 ___________






5.500%, 06/15/23 10,345,576 ___________ Energy (0.0%)


Financials (1.2%) 162,700 BRL Banco Bradesco, SA

0.000% 757,543 417 Bank of America Corp.µ‡‡

7.250% 616,972 60,618 KKR & Company, Inc.µ^

6.000%, 09/15/23 5,033,719 413 Wells Fargo & Company‡ ‡‡

7.500% 624,667 ___________ 7,032,901 ___________

Health Care (1.8%) 2,030 Avantor, Inc.µ

6.250%, 05/15/22 234,769 5,293 Danaher Corp.µ

4.750%, 04/15/22 10,547,626 ___________ 10,782,395 ___________

Industrials (1.7%) 27,200 Clarivate, PLC

5.250%, 06/01/24 2,472,480 62,608 Stanley Black & Decker, Inc.µ^

5.250%, 11/15/22 7,387,744 ___________ 9,860,224 ___________

Information Technology (0.8%) 2,971 Broadcom, Inc.µ~

8.000%, 09/30/22 4,588,234 ___________ Utilities (1.3%)

27,395 AES Corp.µ 6.875%, 02/15/24 2,777,305

3,391 American Electric Power Company, Inc.µ 6.125%, 03/15/22 170,466

3,250 DTE Energy Companyµ 6.250%, 11/01/22 166,725




12

8/31/2021 3:20 PM


4,476 Essential Utilities, Inc.µ 6.000%, 04/30/22 $ 271,469

NextEra Energy, Inc. 69,293 4.872%, 09/01/22 4,072,350

4,936 6.219%, 09/01/23 256,129 ___________ 7,714,444 ___________



86,500 America Movil, SAB de CV - Class L^ 1,440,225

2,082 Cumulus Media, Inc. - Class A# 24,547 25,500 Facebook, Inc. - Class A^# 9,085,650

1 Frontier Communications Parent, Inc.^# 30

3,555 Lumen Technologies, Inc.^ 44,331 3,555 KRW NAVER Corp. 1,339,884

96,000 EUR Orange, SA 1,068,397 4,895 Sea, Ltd.^# 1,351,803 3,190 KRW SK Telecom Company, Ltd. 835,569

158,170 Tencent Holdings, Ltd.^ 9,680,004 29,100 HKD Tencent Holdings, Ltd. 1,754,967

1,176,545 GBP Vodafone Group, PLC 1,891,828 47,945 Walt Disney Company^~# 8,439,279 ___________


79,000 HKD Alibaba Group Holding, Ltd.# 1,929,397 28,771 Alibaba Group Holding, Ltd.# 5,615,812

431,500 MXN Alsea, SAB de CV# 870,533 4,465 Amazon.com, Inc.^# 14,857,692

14,500 CNY China Tourism Group Duty Free Corp., Ltd. - Class A 542,324

2,300 Chipotle Mexican Grill, Inc. - Class A^# 4,285,912

162,100 BRL CVC Brasil Operadora e Agencia de Viagens, SA# 694,059

22,850 INR Dixon Technologies India, Ltd.# 1,323,689 45,000 DR Horton, Inc.^ 4,294,350 39,000 TWD Eclat Textile Company, Ltd. 851,486 90,000 General Motors Company# 5,115,600

6,035 KRW Hyundai Motor Company 1,148,550 304,800 INR Indian Hotels Company, Ltd. 591,787

19,400 INR Jubilant Foodworks, Ltd.# 986,015 179,000 HKD Li Ning Company, Ltd. 1,890,475

11,585 EUR LVMH Moet Hennessy Louis Vuitton, SE 9,275,727

23,370 MakeMyTrip, Ltd.^# 665,110 640 MercadoLibre, Inc.# 1,003,968

55,900 ZAR Mr Price Group, Ltd. 831,333 17,525 Newell Brands, Inc.^~ 433,744

534,000 HKD Samsonite International, SA*# 993,934 36,700 HKD Shenzhou International Group

Holdings, Ltd. 814,493 4,430 Tesla, Inc.^# 3,044,296

32,700 Trip.com Group, Ltd.# 847,911 15,400 HKD Yum China Holdings, Inc.µ 943,696 ___________

63,851,893 ___________


Consumer Staples (4.7%) 43,100 Celsius Holdings, Inc.# $ 2,957,953

117,775 Coca-Cola Company^ 6,716,708 12,900 Costco Wholesale Corp. 5,543,388 49,900 EUR Danone, SA 3,670,319

2,600 CNY Kweichow Moutai Company, Ltd. - Class A 677,195

70,494 HKD L'Occitane International, SA 245,069 81,100 Mondelez International, Inc. -

Class A 5,130,386 106,700 BRL Raia Drogasil, SA 517,085

96,250 INR Varun Beverages, Ltd. 980,803 300,700 MXN Wal-Mart de Mexico, SAB de CV 990,639 ___________

27,429,545 ___________ Energy (3.2%)

1,405 Bonanza Creek Energy, Inc.^ 54,050 11,178 Calfrac Well Services, Ltd.# 32,304 70,100 CAD Canadian Natural Resources, Ltd. 2,313,255

2,577 Chaparral Energy, Inc. - Class A# 97,926 770 Chesapeake Energy Corp. 41,619

31,175 Chevron Corp.^~ 3,173,927 1,028 Denbury, Inc.# 67,550

23,500 Devon Energy Corp.^~ 607,240 5,899 Diamond Offshore Drilling, Inc.# 34,952 9,620 Energy Transfer, LP 94,853

10,420 Enterprise Products Partners, LP 235,179 1,826 EP Energy Corp.&# 180,774

59,900 Exxon Mobil Corp.~ 3,448,443 1,462 Gulfport Energy Operating Corp.# 99,855


506 Oasis Petroleum, Inc.^ 46,405 33,900 INR Reliance Industries, Ltd. 930,045 82,300 GBP Royal Dutch Shell, PLC 1,654,309 93,075 EUR Royal Dutch Shell, PLC - Class A 1,890,662 98,974 Schlumberger, NV~ 2,853,420

4,189 Superior Energy Services, Inc.# 163,371 4,900 Targa Resources Corp. 206,339 4,287 Weatherford International, PLC# 74,765

791 Whiting Petroleum Corp.# 37,098 2,500 Williams Companies, Inc.^ 62,625 ___________

18,673,779 ___________ Financials (14.4%)

87,600 HKD AIA Group, Ltd. 1,048,201 406,550 IDR Bank Central Asia, Tbk PT 839,264 761,400 IDR Bank Jago, Tbk PT# 944,909 223,200 Bank of America Corp.~ 8,561,952 625,000 TWD Cathay Financial Holding

Company, Ltd. 1,216,445 74,300 TWD Chailease Holding Company, Ltd. 616,588

222,500 HKD China Merchants Bank Company, Ltd. - Class H 1,692,680

282,400 ZAR FirstRand, Ltd. 1,047,574 134,800 MXN Grupo Financiero Banorte, SAB

de CV - Class O 872,065 24,950 KRW Hana Financial Group, Inc. 941,329

556,150 INR HDFC Bank, Ltd. 10,691,774 15,300 HKD Hong Kong Exchanges &

Clearing, Ltd. 977,818 33,150 INR Housing Development Finance

Corp., Ltd. 1,091,911 122,780 ICICI Bank, Ltd.^ 2,282,480 567,300 EUR ING Groep, NV 7,278,852




13 8/31/2021 3:20 PM


1,314,000 EUR Intesa Sanpaolo, S.p.A $ 3,629,986 218,825 Itau Unibanco Holding, SA^ 1,262,620

68,550 JPMorgan Chase & Company~ 10,404,519 219,000 THB Kasikornbank PCL 681,519

71,835 Morgan Stanley 6,894,723 82,700 EUR NN Group, NV 4,111,543 16,300 HUF OTP Bank Nyrt# 878,992 53,700 Sberbank of Russia, PJSC 893,031 61,950 INR SBI Cards & Payment Services,

Ltd.# 859,259 32,600 KRW Shinhan Financial Group

Company, Ltd. 1,104,917 304,570 UBS Group, AG^# 5,019,314 182,625 Wells Fargo & Companyµ~ 8,389,793 ___________

84,234,058 ___________ Health Care (6.7%)

92,956 CNY Aier Eye Hospital Group Company, Ltd. - Class A 848,791

214,606 Alcon, Inc.^ 15,623,317 21,760 Eli Lilly & Company 5,298,560

5,400 CHF Lonza Group, AG 4,204,577 81,600 Novo Nordisk, A/S 7,556,160

7,900 CNY Shenzhen Mindray Bio-Medical Electronics Company, Ltd. - Class A 479,289

7,700 UnitedHealth Group, Inc.^ 3,174,094 135,000 HKD Wuxi Biologics Cayman, Inc.*# 2,062,024 ___________

39,246,812 ___________ Industrials (7.5%)

37,029 EUR Alstom, SA# 1,535,827 67,600 ZAR Barloworld, Ltd. 498,675

2,060 Boeing Company# 466,549 89,000 CAE, Inc.# 2,717,170 18,525 Caterpillar, Inc. 3,830,044 10,500 CNY Contemporary Amperex

Technology Company, Ltd. - Class A 901,110

83,600 EUR Deutsche Post, AG 5,665,669 20,500 JPY FANUC Corp. 4,591,335

242,500 General Electric Company 3,140,375 284,500 PHP International Container Terminal

Services, Inc. 885,008 45,694 McDermott International, Inc.# 15,125 48,500 EUR Schneider Electric, SE 8,123,183 71,000 HKD Techtronic Industries Company,

Ltd. 1,266,092 17,265 Union Pacific Corp. 3,776,891 73,850 INR Voltas, Ltd. 1,053,631 36,500 Waste Management, Inc.µ 5,411,490 ___________


22,560 Accenture, PLC - Class Aµ 7,166,861 2,795 EUR Adyen, NV*# 7,574,587

86,400 Apple, Inc.^ 12,602,304 25,785 ASML Holding, NV^ 19,770,391 60,000 JPY Canon, Inc. 1,381,684 12,000 TWD eMemory Technology, Inc. 564,412 32,600 JPY Fujitsu, Ltd. 5,546,251

3,345 Globant, SA^# 799,990 254,000 TWD Hon Hai Precision Industry

Company, Ltd. 1,003,737 61,451 Infosys, Ltd.^ 1,359,296 16,800 JPY Keyence Corp. 9,357,642


57,000 TWD MediaTek, Inc. $ 1,863,777 60,450 Microsoft Corp.^~ 17,222,809

580,000 EUR Nokia Oyj# 3,563,717 59,695 NVIDIA Corp. 11,639,928

101,770 Oracle Corp.~ 8,868,238 103,610 KRW Samsung Electronics Company,

Ltd. 7,080,333 11,500 KRW SK Hynix, Inc. 1,125,807

1,305,000 TWD Taiwan Semiconductor Manufacturing Company, Ltd. 27,273,842

1,950 Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) 227,448

125,953 BRL TOTVS, SA 855,124 ___________ 146,848,178 ___________

Materials (6.4%) 154,500 EUR ArcelorMittal, SA 5,395,978

22,500 INR Asian Paints, Ltd. 894,466 154,000 CAD Barrick Gold Corp.^ 3,352,549 881,900 Cemex, SAB de CV# 7,169,847

72,500 EUR CRH, PLC 3,623,481 43,800 CAD First Quantum Minerals, Ltd. 938,070

1,445 KRW LG Chem, Ltd. 1,061,358 160,000 AUD Newcrest Mining, Ltd. 3,092,407

3,630 KRW POSCO 1,154,546 21,900 PPG Industries, Inc. 3,581,088

107,550 INR Tata Steel, Ltd. 2,078,518 53,500 INR UPL, Ltd. 580,299 41,500 Vale, SA - Class B^ 872,330

918,300 CAD Yamana Gold, Inc. 4,114,537 ___________ 37,909,474 ___________

Real Estate (0.4%) 1,600,200 PHP Ayala Land, Inc. 1,046,845

52,750 INR Godrej Properties, Ltd.# 1,142,332 ___________ 2,189,177 ___________

Utilities (0.4%) 45,801 EUR Engie, SA# 611,228 10,500 Exelon Corp. 491,400 29,000 EUR RWE, AG 1,031,114

1,576 Sempra Energy 205,905 ___________ 2,339,647 ___________



884


796


491


1,446


534


13,401


12,061





14

8/31/2021 3:20 PM

NUMBER OF SHARES VALUE ___________



9,750 United States Cellular Corp.µ 6.250%, 09/01/69 $ 270,855 ___________

Consumer Discretionary (0.2%) 1,597 Guitar Center, Inc. 181,459 9,000 EUR Porsche Automobil Holding, SE 974,080 1,066 Qurate Retail, Inc.µ

8.000%, 03/15/31 115,640 ___________ 1,271,179 ___________


7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% 391,090



800,718 ___________





62 16,706,086

Alphabet, Inc. Call, 01/21/22, Strike $1,500.00 7,462,630

137 3,783,392

Sea, Ltd. Call, 01/21/22, Strike $300.00 333,595 ___________


Alibaba Group Holding, Ltd. 25

487,975

Call, 11/19/21, Strike $250.00 6,775 12

234,228

Call, 11/19/21, Strike $220.00 9,000 500

1,816,000 Coupang, Inc.

Call, 01/21/22, Strike $45.00 137,500 ___________ 153,275 ___________

Energy (0.0%) 195

2,834,715

Pioneer Natural Resources Company Call, 09/17/21, Strike $170.00 34,125 ___________ Industrials (0.0%)

53 748,315

EUR Schneider Electric, SE Call, 12/17/21, Strike 130.00 94,464 ___________



Information Technology (0.1%) 95

5,905,485 Adobe, Inc.

Call, 01/21/22, Strike $600.00 $ 570,000 550

2,775,300 Kraneshares Csi China Internet

Call, 01/21/22, Strike $60.00 139,700 ___________ 709,700 ___________

Other (1.6%) Invesco QQQ Trust Series

2,625 95,699,625

Put, 01/21/22, Strike $298.00 1,550,063

1,140 41,560,980

Put, 09/30/21, Strike $335.00 474,240

895 32,629,015

Call, 01/21/22, Strike $347.00 2,902,037

2,450 12,642,000

iShares MSCI Emerging Markets Put, 09/30/21, Strike $53.00 602,700

SPDR S&P 500 ETF Trust 2,075

90,990,825

Put, 01/21/22, Strike $378.00 1,645,475 945

41,439,195

Put, 09/30/21, Strike $405.00 406,350 530

23,241,030

Call, 01/21/22, Strike $440.00 996,930 2,325

6,689,025 VanEck Vectors Russia ETF

Call, 01/21/22, Strike $27.00 639,375 750

2,824,500

Xtrackers Harvest CSI 300 China A ETF Call, 01/21/22, Strike $40.00 94,500 ___________

9,311,670 ___________





NET ASSETS (100.0%) $ 586,300,286 ___________ ___________

WRITTEN OPTIONS (-1.0%) # Other (-1.0%)

895 32,629,015

Invesco QQQ Trust Series Call, 01/21/22, Strike $331.00 (3,974,695)

530 23,241,030

SPDR S&P 500 ETF Trust Call, 01/21/22, Strike $420.00 (1,729,390) ___________





15 8/31/2021 3:20 PM



µ




~

Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options and securities sold short. The aggregate value of such securities is $26,353,594.

¡


!


‡‡ Perpetual maturity. # Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar CHF Swiss Franc CNY Chinese Yuan Renminbi EUR European Monetary Unit GBP British Pound Sterling HKD Hong Kong Dollar HUF Hungarian Forint IDR Indonesian Rupiah INR Indian Rupee JPY Japanese Yen KRW South Korean Won MXN Mexican Peso PHP Philippine Peso THB Thai Baht TWD New Taiwan Dollar ZAR South African Rand Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.




16

8/31/2021 3:20 PM

CURRENCY EXPOSURE JULY 31, 2021

Value % of Total

Investments US Dollar $ 588,953,623 70.0 % European Monetary Unit 85,003,204 10.1 % New Taiwan Dollar 33,390,287 4.0 % Japanese Yen 24,689,490 2.9 % Hong Kong Dollar 24,210,098 2.9 % Indian Rupee 23,204,529 2.8 % South Korean Won 15,792,293 1.9 % Canadian Dollar 15,585,915 1.9 % British Pound Sterling 6,266,448 0.7 % Swiss Franc 4,416,098 0.5 % Chinese Yuan Renminbi 3,448,709 0.4 % Australian Dollar 3,341,432 0.4 % Brazilian Real 2,823,811 0.3 % Mexican Peso 2,733,237 0.3 % South African Rand 2,377,582 0.3 % Philippine Peso 1,931,853 0.2 % Indonesian Rupiah 1,784,173 0.2 % Hungarian Forint 878,992 0.1 % Thai Baht 681,519 0.1 % _____________________________ Total Investments Net of Written Options $ 841,513,293 100.0 % Currency exposure may vary over time.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Global Dynamic Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 10, 2007 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 June 27, 2007. 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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.








* 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. Note 4 – Mandatory Redeemable Preferred Shares On September 6, 2017, the Fund issued 2,600,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $65.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations. The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2021.

Series Term

Redemption Date Dividend Rate Shares (000’s) Liquidation Preference Per Share Aggregate Liquidation Preference Series A 9/06/22 3.70% 860 $25 $21,500,000 Series B 9/06/24 4.00% 860 $25 $21,500,000 Series C 9/06/27 4.24% 880 $25 $22,000,000


Calamos Dynamic Convertible and Income Fund SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 10:03 AM








196,000 5.500%, 04/20/26 205,285 65,000 5.750%, 04/20/29 70,348








415,000 Arrow Bidco, LLC* 9.500%, 03/15/24 426,064



200,000 Brink's Company* 5.500%, 07/15/25 210,840



CSC Holdings, LLC* 980,000 5.500%, 04/15/27 1,026,158 600,000 5.750%, 01/15/30 626,556 400,000 5.375%, 02/01/28 423,536 400,000 4.625%, 12/01/30 394,388 200,000 4.500%, 11/15/31 201,930 275,000 Cumulus Media New Holdings,

Inc.*^ 6.750%, 07/01/26 289,798



210,000 6.625%, 08/15/27^ $ 84,431 146,000 5.375%, 08/15/26 84,943

35,000 DIRECTV Holdings, LLC / DIRECTV Financing Company, Inc.* 5.875%, 08/15/27 36,218

942,000 Embarq Corp. 7.995%, 06/01/36 1,056,783



6.730%, 02/15/28 435,424




200,000 9.750%, 07/15/25* 113,174 135,000 5.500%, 08/01/23 74,512 400,000 LCPR Senior Secured Financing

DAC* 6.750%, 10/15/27 427,832



Netflix, Inc. 200,000 4.875%, 06/15/30*^ 241,342 130,000 4.875%, 04/15/28 152,112

Scripps Escrow II, Inc.* 136,000 3.875%, 01/15/29 136,192

68,000 5.375%, 01/15/31 68,053 357,000 Scripps Escrow, Inc.*



Sirius XM Radio, Inc.* 345,000 5.500%, 07/01/29^ 378,427 345,000 4.625%, 07/15/24^ 354,484 201,000 4.000%, 07/15/28 207,432 195,000 Spanish Broadcasting System,

Inc.* 9.750%, 03/01/26 199,005


680,000 Sprint Corp. 7.125%, 06/15/24 783,102



112,000 Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 1,204 ___________

12,843,315 ___________

Calamos Dynamic Convertible and Income Fund



2

8/31/2021 10:03 AM


Consumer Discretionary (2.1%) 278,000 American Axle & Manufacturing,

Inc.^ 6.875%, 07/01/28 $ 301,324


204,000 6.625%, 01/15/28 217,827 163,000 4.625%, 08/01/29 163,571


345,000 Bally's Corp.* 6.750%, 06/01/27 373,245


CRC Finco, Inc.*^ 5.250%, 10/15/25 433,629

Carnival Corp.* 134,000 10.500%, 02/01/26^ 153,638

68,000 7.625%, 03/01/26 72,187 315,000 Carriage Services, Inc.*

4.250%, 05/15/29 315,265 195,000 Carvana Company*

5.625%, 10/01/25 202,689


725,000 5.125%, 05/01/27 759,401 300,000 4.750%, 03/01/30 318,405 169,000 5.750%, 02/15/26 174,817 131,000 4.250%, 02/01/31 135,187 130,000 5.000%, 02/01/28 136,436 207,000 Cedar Fair, LP^


345,000 6.750%, 06/01/27 369,119 315,000 5.875%, 07/15/25 325,672




425,000 4.000%, 11/13/30 450,220 350,000 4.063%, 11/01/24 371,753 320,000 3.664%, 09/08/24 335,773 315,000 4.134%, 08/04/25 337,592 200,000 4.389%, 01/08/26 217,114

goeasy, Ltd.* 460,000 5.375%, 12/01/24 477,618 241,000 4.375%, 05/01/26 248,625 130,000 Goodyear Tire & Rubber

Company*^ 5.000%, 07/15/29 137,085



345,000 6.250%, 01/15/27 392,406 200,000 4.125%, 04/15/26^ 208,522

L Brands, Inc. 355,000 6.694%, 01/15/27 421,832 196,000 6.875%, 11/01/35 252,342


130,000 Liberty Interactive, LLC 8.500%, 07/15/29 $ 149,280

196,000 Life Time, Inc.*^ 8.000%, 04/15/26 205,467

M/I Homes, Inc. 350,000 5.625%, 08/01/25 360,441 205,000 4.950%, 02/01/28 216,293


65,000 5.125%, 01/15/42 59,535 132,000 Macy's, Inc.*

8.375%, 06/15/25 144,019 Mattel, Inc.*

350,000 5.875%, 12/15/27 383,334 33,000 3.750%, 04/01/29^ 34,835

Mclaren Finance, PLC* 325,000 5.750%, 08/01/22 325,000 310,000 7.500%, 08/01/26 315,264 400,000 Meritage Homes Corp.

6.000%, 06/01/25 455,288 300,000 Midwest Gaming Borrower, LLC /





659,000 Rite Aid Corp.* 8.000%, 11/15/26 662,315








275,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 273,193





196,000 4.125%, 04/01/29 197,390 135,000 5.500%, 06/01/28^ 143,074 305,000 Energizer Holdings, Inc.*^

4.375%, 03/31/29 306,781




3 8/31/2021 10:03 AM


185,000 Fresh Market, Inc.* 9.750%, 05/01/23 $ 190,713

340,000 JBS USA LUX, SA / JBS USA Finance, Inc.* 6.750%, 02/15/28 374,143



66,000 4.250%, 03/01/31^ 76,095 66,000 3.875%, 05/15/27 73,116

177,000 New Albertsons, LP 7.750%, 06/15/26 203,346

261,000 Performance Food Group, Inc.*^ 4.250%, 08/01/29 265,617


Post Holdings, Inc.*^ 325,000 5.750%, 03/01/27 338,975 191,000 4.625%, 04/15/30 194,770 252,000 Prestige Brands, Inc.*


6.750%, 10/15/28 324,402 Vector Group, Ltd.*

415,000 5.750%, 02/01/29 422,910 164,000 10.500%, 11/01/26 174,522 ___________

4,874,852 ___________ Energy (1.2%)

Antero Resources Corp.* 101,000 7.625%, 02/01/29 110,716

65,000 5.375%, 03/01/30^ 66,192 Apache Corp.

268,000 5.100%, 09/01/40 287,736 150,000 4.875%, 11/15/27 161,559 134,000 4.625%, 11/15/25 144,195



280,000 5.625%, 10/01/26 289,593 63,000 4.000%, 03/01/31*^ 66,699

129,000 Cheniere Energy, Inc. 4.625%, 10/15/28 136,325

Continental Resources, Inc.^ 270,000 3.800%, 06/01/24 283,519 200,000 4.375%, 01/15/28 223,554 415,000 DCP Midstream Operating, LP*‡

5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 390,569


137,000 DT Midstream, Inc.* 4.125%, 06/15/29 140,617


3 mo. USD LIBOR + 3.02% 321,859 197,000 6.500%, 11/15/26

5 year CMT + 5.69 201,775


EnLink Midstream Partners, LP 340,000 6.000%, 12/15/22‡

3 mo. USD LIBOR + 4.11% $ 263,374 285,000 4.850%, 07/15/26 298,324

EQT Corp. 150,000 7.500%, 02/01/30 197,218 110,000 6.625%, 02/01/25 127,240

65,000 5.000%, 01/15/29^ 73,528 274,000 Genesis Energy, LP / Genesis


Gulfport Energy Operating Corp. 260,000 6.375%, 05/15/25 11,050


230,000 10.125%, 01/15/28 243,775 67,000 7.750%, 07/31/29* 64,891

295,000 Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*^ 6.000%, 08/01/26 302,496


145,000 10.500%, 05/15/27 139,370 130,000 7.500%, 01/15/26 117,750 130,000 Murphy Oil Corp.




OMP Finance Corp.* 8.000%, 04/01/29 69,062

Occidental Petroleum Corp. 815,000 4.300%, 08/15/39 809,132 605,000 2.900%, 08/15/24 609,973 130,000 5.875%, 09/01/25 144,231

70,000 Ovintiv, Inc.^ 6.500%, 08/15/34 93,516

129,000 Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 128,181




149,000 Transocean, Inc.*^ 11.500%, 01/30/27 148,441


65,000 4.125%, 08/15/31 67,054 65,000 3.875%, 08/15/29 66,450

133,000 Vine Energy Holdings, LLC* 6.750%, 04/15/29 139,016

140,000 Viper Energy Partners, LP* 5.375%, 11/01/27 146,898

195,000 W&T Offshore, Inc.* 9.750%, 11/01/23 187,808


9,349,309 ___________




4

8/31/2021 10:03 AM


Financials (2.6%)


686,000 7.000%, 11/15/25^ $ 698,094 393,000 6.000%, 08/01/29 393,295 200,000 Aethon United BR, LP / Aethon


281,000 AG Issuer, LLC* 6.250%, 03/01/28 295,531



5 year CMT + 3.87 249,082 215,000 8.000%, 11/01/31 313,453 125,000 4.700%, 05/15/28‡







Credit Acceptance Corp.^ 350,000 6.625%, 03/15/26 370,356 238,000 5.125%, 12/31/24* 246,230









3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 444,596



550,000 6.250%, 06/03/26 592,983 540,000 5.000%, 08/15/28 553,127



522,000 5.250%, 10/01/25 $ 530,691 130,000 4.750%, 06/15/29 129,597 312,000 LD Holdings Group, LLC*


280,000 4.250%, 07/01/28* 285,569 270,000 5.375%, 05/01/25 276,326

LPL Holdings, Inc.* 335,000 4.000%, 03/15/29 340,725 101,000 4.375%, 05/15/31 103,669 585,000 MetLife, Inc.^

6.400%, 12/15/66 750,222 Navient Corp.

588,000 5.000%, 03/15/27 613,555 300,000 4.875%, 03/15/28 302,874







345,000 Radian Group, Inc. 4.875%, 03/15/27 375,232



166,000 SLM Corp. 4.200%, 10/29/25 179,889


269,000 StoneX Group, Inc.* 8.625%, 06/15/25 292,497


Company, Inc.*^ 3.750%, 02/15/27 280,367

XHR, LP* 280,000 6.375%, 08/15/25 298,698 130,000 4.875%, 06/01/29 133,159 ___________

19,451,171 ___________ Health Care (1.2%)



Bausch Health Companies, Inc.* 365,000 5.250%, 02/15/31^ 342,403 300,000 5.000%, 01/30/28 287,157 118,000 5.000%, 02/15/29 111,599




5 8/31/2021 10:03 AM


Centene Corp. 276,000 4.250%, 12/15/27 $ 291,122 136,000 3.000%, 10/15/30 141,568 130,000 Charles River Laboratories



533,000 6.125%, 04/01/30 540,739 305,000 8.000%, 03/15/26 327,167 146,000 6.875%, 04/15/29 153,853

DaVita, Inc.* 396,000 4.625%, 06/01/30 409,488 198,000 3.750%, 02/15/31 192,793



4.375%, 01/15/29 208,826 465,000 Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 309,736


490,000 5.125%, 04/30/31 505,337 200,000 4.125%, 04/30/28 205,378 302,000 Team Health Holdings, Inc.*^

6.375%, 02/01/25 281,986 Tenet Healthcare Corp.

625,000 6.250%, 02/01/27* 651,875 390,000 4.625%, 07/15/24 395,667 375,000 6.875%, 11/15/31 430,076 345,000 4.875%, 01/01/26* 357,713


590,000 2.800%, 07/21/23 585,380 520,000 6.000%, 04/15/24 547,196 ___________

9,065,675 ___________ Industrials (2.1%)


300,000 ACCO Brands Corp.*^ 4.250%, 03/15/29 300,153


340,000 4.625%, 01/15/27 359,846 337,000 4.875%, 02/15/30 365,075 136,000 3.500%, 03/15/29^ 137,463

Allison Transmission, Inc.* 230,000 4.750%, 10/01/27 240,348

70,000 3.750%, 01/30/31 70,067 66,000 Ambience Merger Sub, Inc.*


3.750%, 03/01/25 57,940 146,000 Arcosa, Inc.*

4.375%, 04/15/29 149,670 700,000 ARD Finance, SA*

6.500%, 06/30/27 7.250% PIK rate 739,298


137,000 Avolon Holdings Funding, Ltd.*µ 5.250%, 05/15/24 $ 150,900




207,000 5.125%, 01/15/26 219,406 138,000 5.375%, 01/15/28 145,449

Delta Air Lines, Inc. 67,000 3.800%, 04/19/23^ 69,232 66,000 7.375%, 01/15/26 77,775


68,000 4.750%, 10/20/28 76,222 34,000 4.500%, 10/20/25µ 36,625

196,000 Endure Digital, Inc.*^ 6.000%, 02/15/29 190,318

145,000 EnerSys* 4.375%, 12/15/27 151,903

300,000 Fly Leasing, Ltd. 5.250%, 10/15/24 304,503



Inc.* 7.125%, 08/15/28 158,464

140,000 Granite US Holdings Corp.* 11.000%, 10/01/27 156,433


175,000 4.750%, 07/15/27 189,903 125,000 3.500%, 03/01/29 124,676





Howmet Aerospace, Inc. 326,000 5.125%, 10/01/24 359,311 114,000 6.875%, 05/01/25 132,747 350,000 JELD-WEN, Inc.*


Finance Corp.* 8.625%, 10/15/26 147,506


134,000 MasTec, Inc.* 4.500%, 08/15/28 141,414

174,000 Meritor, Inc.* 4.500%, 12/15/28 178,186

170,000 Moog, Inc.* 4.250%, 12/15/27 175,627


272,000 Novelis Corp.* 4.750%, 01/30/30 290,050




6

8/31/2021 10:03 AM


310,000 Park-Ohio Industries, Inc. 6.625%, 04/15/27 $ 315,481

Patrick Industries, Inc.* 140,000 7.500%, 10/15/27 152,347 130,000 4.750%, 05/01/29 132,762 335,000 Peninsula Pacific Entertainment,



275,000 QVC, Inc. 4.375%, 09/01/28 282,758






Standard Industries, Inc.* 270,000 5.000%, 02/15/27 279,739

66,000 4.375%, 07/15/30 67,928 Station Casinos, LLC*

545,000 4.500%, 02/15/28^ 550,205 178,000 5.000%, 10/01/25 180,480 136,000 Stericycle, Inc.*


7.500%, 02/15/26 211,058 200,000 TransDigm UK Holdings, PLC

6.875%, 05/15/26 211,346 TransDigm, Inc.

355,000 6.250%, 03/15/26* 373,023 205,000 7.500%, 03/15/27 217,497 130,000 Tronox, Inc.*^

4.625%, 03/15/29 132,438


130,000 3.750%, 01/15/32 130,000 125,000 5.875%, 09/15/26 129,286

66,000 3.875%, 02/15/31^ 68,006 175,000 Waste Pro USA, Inc.*


137,000 7.125%, 06/15/25^ 147,776 68,000 7.250%, 06/15/28 75,814

350,000 XPO Logistics, Inc.* 6.750%, 08/15/24 363,380 ___________



140,000 CDK Global, Inc.* 5.250%, 05/15/29 152,653




310,000 6.020%, 06/15/26µ $ 373,221 215,000 6.100%, 07/15/27 265,996 125,000 5.850%, 07/15/25µ 146,960 138,000 Fair Isaac Corp.*

4.000%, 06/15/28 144,401 300,000 KBR, Inc.*


5.750%, 11/01/28 291,810 130,000 NCR Corp.*

5.125%, 04/15/29 135,487 305,000 Nielsen Finance, LLC / Nielsen

Finance Company* 4.500%, 07/15/29 308,065


204,000 Open Text Corp.* 3.875%, 02/15/28 211,165


187,000 PTC, Inc.* 4.000%, 02/15/28 193,783


Twilio, Inc. 185,000 3.625%, 03/15/29 190,291

66,000 3.875%, 03/15/31^ 69,064 300,000 ZoomInfo Technologies, LLC /


4,182,427 ___________ Materials (0.6%)

300,000 Alcoa Nederland Holding, BV* 7.000%, 09/30/26 313,302





Freeport-McMoRan, Inc. 185,000 5.000%, 09/01/27 195,495 130,000 5.450%, 03/15/43 167,138 120,000 5.400%, 11/14/34^ 152,558 205,000 HB Fuller Company



Company* 10.250%, 06/01/26 226,786



5.125%, 02/01/29 215,469 New Gold, Inc.*

85,000 6.375%, 05/15/25 87,743 68,000 7.500%, 07/15/27^ 73,501

261,000 OCI, NV* 4.625%, 10/15/25 271,075




7 8/31/2021 10:03 AM


132,000 Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 $ 143,178





134,000 Valvoline, Inc.* 3.625%, 06/15/31 133,582 ___________

4,546,605 ___________ Real Estate (0.2%)

210,000 EPR Properties^ 3.750%, 08/15/29 213,278

Forestar Group, Inc.* 195,000 5.000%, 03/01/28 203,266

67,000 3.850%, 05/15/26 68,021 204,000 iStar, Inc.^


345,000 4.350%, 10/01/24 348,226 125,000 5.250%, 02/15/26 126,530 ___________

1,173,497 ___________ Utilities (0.2%)

204,000 Calpine Corp.* 4.500%, 02/15/28 210,571

95,000 NRG Energy, Inc. 6.625%, 01/15/27 98,455


Talen Energy Supply, LLC* 135,000 10.500%, 01/15/26 93,192

70,000 7.250%, 05/15/27 63,908 350,000 TerraForm Power Operating, LLC*

5.000%, 01/31/28 378,987 ___________ 1,238,305 ___________



3,193,000 Eventbrite, Inc.*µ 0.750%, 09/15/26 3,019,620

Liberty Media Corp. 8,000,000 0.500%, 12/01/50* 8,859,360 5,825,000 1.375%, 10/15/23µ 7,745,444 5,000,000 Liberty Media Corp. / Liberty

Formula One 1.000%, 01/30/23 6,622,300

4,500,000 Match Group Financeco 3, Inc.*µ 2.000%, 01/15/30 9,081,495

4,000,000 Sea, Ltd. 2.375%, 12/01/25 12,434,240

Snap, Inc. 10,000,000 0.000%, 05/01/27* 11,512,000

5,000,000 0.750%, 08/01/26 16,369,250


7,750,000 Twitter, Inc.^ 0.250%, 06/15/24 $ 10,747,158

6,600,000 Zynga, Inc.µ 0.250%, 06/01/24 8,820,042 ___________


5,000,000 Airbnb, Inc.* 0.000%, 03/15/26 4,686,400

8,000,000 Booking Holdings, Inc.^ 0.750%, 05/01/25 11,292,800

5,500,000 Burlington Stores, Inc.^ 2.250%, 04/15/25 8,999,485

4,750,000 Cheesecake Factory, Inc. 0.375%, 06/15/26 4,455,975

7,500,000 Chegg, Inc.* 0.000%, 09/01/26 8,132,775

2,250,000 Dick's Sporting Goods, Inc. 3.250%, 04/15/25 6,923,160

DISH Network Corp. 4,500,000 0.000%, 12/15/25* 5,266,800

515,000 2.375%, 03/15/24 499,050 9,750,000 DraftKings, Inc.*

0.000%, 03/15/28 8,558,940 11,250,000 Etsy, Inc.*µ^

0.125%, 09/01/27 13,559,625 3,683,000 Expedia Group, Inc.*µ^

0.000%, 02/15/26 3,960,035 10,000,000 Ford Motor Company*µ

0.000%, 03/15/26 10,715,500 4,750,000 LCI Industries*µ

1.125%, 05/15/26 5,122,590 Liberty Interactive, LLC

280,000 4.000%, 11/15/29 215,776 170,000 3.750%, 02/15/30 131,145

3,677,000 MakeMyTrip, Ltd.* 0.000%, 02/15/28 3,717,006

10,000,000 Marriott Vacations Worldwide Corp.*µ 0.000%, 01/15/26 10,692,300

2,750,000 NCL Corp. Ltd. 6.000%, 05/15/24 5,394,758

3,739,000 NCL Corp., Ltd.* 5.375%, 08/01/25 5,917,117


4,000,000 RH 0.000%, 09/15/24 12,511,640

13,500,000 Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 17,394,750

5,000,000 Shake Shack, Inc.* 0.000%, 03/01/28 4,685,550

3,875,000 Tesla, Inc.~ 2.000%, 05/15/24 42,944,494

3,250,000 Under Armour, Inc.^ 1.500%, 06/01/24 6,067,068

13,250,000 Vail Resorts, Inc.*^ 0.000%, 01/01/26 13,378,657

4,750,000 Vroom, Inc.* 0.750%, 07/01/26 4,621,085

11,000,000 Wayfair, Inc.* 0.625%, 10/01/25 10,686,390


237,596,585 ___________




8

8/31/2021 10:03 AM


Consumer Staples (0.6%) 5,000,000 Beyond Meat, Inc.*

0.000%, 03/15/27 $ 4,606,900 ___________ Energy (1.2%)

6,250,000 Pioneer Natural Resources Company^ 0.250%, 05/15/25 9,194,938

9,600,000 SunEdison, Inc. 0.250%, 01/15/20 148,512 ___________

9,343,450 ___________ Financials (1.3%)

4,500,000 Coinbase Global, Inc.* 0.500%, 06/01/26 4,543,515

4,750,000 Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 4,811,560 ___________

9,355,075 ___________ Health Care (17.8%)


2,500,000 CONMED Corp.^ 2.625%, 02/01/24 4,046,425

12,250,000 Dexcom, Inc. 0.250%, 11/15/25 13,968,797

2,079,000 Envista Holdings Corp.^ 2.375%, 06/01/25 4,434,777



12,250,000 Insulet Corp.~ 0.375%, 09/01/26 16,967,230



9,000,000 NeoGenomics, Inc. 0.250%, 01/15/28 8,869,590

3,500,000 NuVasive, Inc. 0.375%, 03/15/25 3,406,515


7,500,000 Omnicell, Inc.* 0.250%, 09/15/25 11,814,075


5,741,000 Repligen Corp. 0.375%, 07/15/24 12,418,185



133,643,312 ___________ Industrials (8.3%)

3,000,000 Air Canada 4.000%, 07/01/25 4,577,850

3,500,000 Air Transport Services Group, Inc. 1.125%, 10/15/24 3,640,560

3,300,000 Atlas Air Worldwide Holdings, Inc. 1.875%, 06/01/24 4,165,722


9,750,000 JetBlue Airways Corp.*µ^ 0.500%, 04/01/26 $ 9,643,237


3,750,000 Middleby Corp.*µ 1.000%, 09/01/25 5,866,012







6,500,000 Datadog, Inc. 0.125%, 06/15/25 9,019,595

Enphase Energy, Inc.* 5,000,000 0.000%, 03/01/26 5,040,650 5,000,000 0.000%, 03/01/28 5,071,300 2,250,000 Everbridge, Inc.µ

0.125%, 12/15/24 3,145,928 3,250,000 Five9, Inc.µ

0.500%, 06/01/25 5,256,420 4,250,000 LivePerson, Inc.*µ

0.000%, 12/15/26 4,601,560 13,094,000 Microchip Technology, Inc.µ^

0.125%, 11/15/24 14,370,272 5,250,000 MicroStrategy, Inc.*µ

0.000%, 02/15/27 3,891,195 6,000,000 MongoDB, Inc.µ


Ltd.* 0.000%, 10/15/25 7,077,577

Okta, Inc. 6,500,000 0.125%, 09/01/25^ 9,485,190 3,500,000 0.375%, 06/15/26 4,415,040 9,250,000 ON Semiconductor Corp.*^

0.000%, 05/01/27 9,843,850 7,500,000 Palo Alto Networks, Inc.

0.750%, 07/01/23 11,589,150 9,750,000 Repay Holdings Corp.*

0.000%, 02/01/26 9,712,365 7,250,000 RingCentral, Inc.

0.000%, 03/01/25 7,667,745 12,000,000 Shift4 Payments, Inc.*

0.000%, 12/15/25 15,613,320 1,616,000 Shopify, Inc.^

0.125%, 11/01/25 2,130,809 6,750,000 Silicon Laboratories, Inc.

0.625%, 06/15/25 9,167,445 Square, Inc.*^

8,000,000 0.250%, 11/01/27 9,439,600 8,000,000 0.000%, 05/01/26 9,101,600 5,000,000 Tyler Technologies, Inc.*

0.250%, 03/15/26 5,719,200 7,000,000 Wix.com, Ltd.*^

0.000%, 08/15/25 7,649,600 4,500,000 Workday, Inc.~

0.250%, 10/01/22 7,285,725




9 8/31/2021 10:03 AM


6,750,000 Zendesk, Inc. 0.625%, 06/15/25 $ 9,199,777

6,314,000 Zscaler, Inc. 0.125%, 07/01/25 10,550,063 ___________

236,024,438 ___________ Materials (1.5%)


5,225,000 MP Materials Corp.*µ 0.250%, 04/01/26 5,658,414 ___________

11,600,711 ___________ Real Estate (1.1%)

3,250,000 IH Merger Sub, LLCµ 3.500%, 01/15/22 5,814,282

2,559,000 Redfin Corp.* 0.000%, 10/15/25 2,775,159 ___________

8,589,441 ___________




339,150 United Airlines, Inc.‡ 4.500%, 04/21/28 1 mo. LIBOR + 3.75% 340,189 ___________










645,600 Intelsat Jackson Holdings, SA@ 8.625%, 01/02/24 658,628

508,329 Intelsat Jackson Holdings, SA‡@ 8.750%, 01/02/24 3 mo. PRIME + 5.50% 519,040 ___________

3,656,952 ___________


Consumer Discretionary (0.4%) 130,000 At Home Group, Inc.!

0.000%, 07/30/28 $ 130,163 65,000 At Home Group, Inc.‡

4.750%, 07/30/28 3 mo. LIBOR + 4.25% 65,081






110,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 110,550

245,300 TKC Holdings, Inc.! 0.000%, 05/15/28 242,771






6.870%, 01/12/26 3 mo. LIBOR + 6.75% 286,391 ___________


4.000%, 05/05/28 1 mo. LIBOR + 3.50% 426,063 ___________


3.625%, 05/04/25 1 mo. LIBOR + 3.50% 654,426








10

8/31/2021 10:03 AM


31,913 Icon Luxembourg Sarl! 0.000%, 07/03/28 $ 31,884


280,597 Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% 273,524



2,776,322 ___________ Industrials (0.3%)


170,000 Air Canada! 0.000%, 07/28/28 170,496

440,100 Berry Global, Inc.‡ 1.850%, 07/01/26 1 mo. LIBOR + 1.75% 435,463





443,130 Scientific Games International, Inc.‡ 2.842%, 08/14/24 1 mo. LIBOR + 2.75% 437,192








288,031 VFH Parent, LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% $ 286,333 ___________

1,252,018 ___________ Materials (0.0%)






Consumer Discretionary (1.7%) 68,935 Aptiv, PLC

5.500%, 06/15/23 12,943,236 ___________ Energy (0.0%)

7 Gulfport Energy Operating Corp. 10.000%, 08/30/21 15.000% PIK RATE 34,475 ___________


7.250% 5,918,200 73,830 KKR & Company, Inc.^

6.000%, 09/15/23 6,130,843 ___________ 12,049,043 ___________


6.250%, 05/15/22 11,647,690 62,325 Boston Scientific Corp.

5.500%, 06/01/23 7,657,249 8,080 Danaher Corp.

4.750%, 04/15/22 16,101,420 ___________ 35,406,359 ___________

Industrials (1.0%) 65,335 Stanley Black & Decker, Inc.^

5.250%, 11/15/22 7,709,530 ___________ Information Technology (2.8%)

13,625 Broadcom, Inc.~ 8.000%, 09/30/22 21,041,632 ___________

Utilities (5.0%) 48,960 AES Corp.

6.875%, 02/15/24 4,963,565 134,810 Dominion Energy, Inc.

7.250% 13,444,601 NextEra Energy, Inc.

153,825 6.219%, 09/01/23 7,981,979 123,080 4.872%, 09/01/22 7,233,412




11 8/31/2021 10:03 AM


68,765 5.279%, 03/01/23 $ 3,530,395 ___________ 37,153,952 ___________



1,943 Cumulus Media, Inc. - Class A# 22,908 4,305 Lumen Technologies, Inc.^ 53,684 ___________

76,592 ___________ Energy (0.3%)

11,334 Calfrac Well Services, Ltd.# 32,755 2,577 Chaparral Energy, Inc. - Class A# 97,926

785 Chesapeake Energy Corp. 42,429 525 Chevron Corp.^ 53,450

1,248 Denbury, Inc.^# 82,006 6,116 Diamond Offshore Drilling, Inc.# 36,237

11,685 Energy Transfer, LP 115,214 12,655 Enterprise Products Partners, LP 285,623

1,881 EP Energy Corp.&# 186,219 1,806 Gulfport Energy Operating Corp.# 123,350


615 Oasis Petroleum, Inc.^ 56,402 1,960 Schlumberger, NV 56,507 4,189 Superior Energy Services, Inc.# 163,371 5,950 Targa Resources Corp. 250,555 4,325 Weatherford International, PLC^# 75,428

961 Whiting Petroleum Corp.# 45,071 2,400 Williams Companies, Inc.^ 60,120 ___________

2,081,106 ___________ Industrials (0.0%)

46,293 McDermott International, Inc.# 15,323 ___________



900


810


500


1,399


515


13,522


12,170





11,630 United States Cellular Corp. 6.250%, 09/01/69 $ 323,081 ___________

Consumer Discretionary (0.1%) 1,722 Guitar Center, Inc.

0.000% 195,663 1,288 Qurate Retail, Inc.

8.000%, 03/15/31 139,722 ___________ 335,385 ___________


7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% 349,500



1,014,468 ___________





Sea, Ltd. 435

12,012,960

Put, 01/21/22, Strike $260.00 1,102,725 435

12,012,960

Put, 01/21/22, Strike $200.00 293,625 2,150

16,000,300 Snap, Inc.

Put, 01/21/22, Strike $55.00 569,750 ___________ 1,966,100 ___________

Consumer Discretionary (0.9%) 625

42,950,000 Tesla, Inc.

Put, 01/21/22, Strike $700.00 6,621,875 ___________ Information Technology (0.1%)

1,125 8,727,750


1,200 43,748,400


1,000 25,437,000


2,308,700 ___________





12

8/31/2021 10:03 AM



TOTAL INVESTMENTS (142.8%) (Cost $880,628,223) $ 1,074,119,524 ___________ ___________



NET ASSETS (100.0%) $ 752,321,228 ___________ ___________


435 12,012,960

Sea, Ltd. Call, 01/21/22, Strike $320.00 (806,925) ___________ Consumer Discretionary (0.0%)

325 22,334,000


TOTAL WRITTEN OPTIONS (Premium $3,910,814) (923,925) ___________ ___________



µ




~


¡


!


‡‡ Perpetual maturity. # Non-income producing security. Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

Note 1 – Organization and Significant Accounting Policies Organization. Calamos Dynamic Convertible and Income Fund (the “Fund”) was organized as a Delaware statutory trust on March 11, 2014 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 27, 2015. 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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 1, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.









Series Term

Redemption Date Dividend Rate Shares (000’s) Liquidation Preference Per Share Aggregate Liquidation Preference

Series A 9/06/22 3.70% 850 $25 $21,250,000 Series B 9/06/24 4.00% 850 $25 $21,250,000 Series C 9/06/27 4.24% 860 $25 $21,500,000

Total $64,000,000 The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy. Previously, the MRPS had been assigned a rating of “AA” by Fitch Ratings, Inc. (“Fitch”). As of December 17, 2020, Kroll Bond Rating Agency LLC (“Kroll”) replaced Fitch as the rating agency for the MRPS. The MRPS have been assigned a rating of `AA-' by Kroll. If the ratings of the MRPS are downgraded, the Fund's dividend expense may increase, as described below. Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA-” by Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund, such as Kroll), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” with the Statement of Operations. The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions. Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.

Calamos Long/Short Equity & Dynamic Income Trust SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)


1 8/31/2021 9:55 AM








144,000 5.500%, 04/20/26 150,821 48,000 5.750%, 04/20/29 51,949







335,000 Arrow Bidco, LLC* 9.500%, 03/15/24 343,931



140,000 Brink's Company* 5.500%, 07/15/25 147,588



CSC Holdings, LLC* 285,000 5.375%, 02/01/28 301,769 200,000 5.750%, 01/15/30 208,852 200,000 4.625%, 12/01/30 197,194 204,000 Cumulus Media New Holdings,

Inc.* 6.750%, 07/01/26 214,977


150,000 6.625%, 08/15/27 60,308 115,000 5.375%, 08/15/26 66,907


25,000 DIRECTV Holdings, LLC / DIRECTV Financing Company, Inc.* 5.875%, 08/15/27 $ 25,870

680,000 Embarq Corp. 7.995%, 06/01/36 762,858

Entercom Media Corp.*^ 96,000 6.750%, 03/31/29 98,069 96,000 6.500%, 05/01/27 98,987

112,000 Frontier Florida, LLC& 6.860%, 02/01/28 122,834

280,000 Frontier North, Inc.@ 6.730%, 02/15/28 304,797

165,000 Go Daddy Operating Company, LLC / GD Finance Company, Inc.* 3.500%, 03/01/29 165,317

145,000 Intelsat Jackson Holdings, SA*@ 9.750%, 07/15/25 82,051

290,000 LCPR Senior Secured Financing DAC* 6.750%, 10/15/27 310,178



500,000 Netflix, Inc.* 4.875%, 06/15/30 603,355


300,000 Scripps Escrow, Inc.* 5.875%, 07/15/27 310,803


140,000 Sirius XM Radio, Inc.* 4.000%, 07/15/28 144,480

145,000 Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 147,978


480,000 Sprint Corp. 7.125%, 06/15/24 552,778


395,000 Vodafone Group, PLC‡ 7.000%, 04/04/79 U.S. 5 yr Swap + 4.87% 489,362 ___________


201,000 American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28 217,864


394,000 6.625%, 01/15/28 420,705 119,000 4.625%, 08/01/29 119,417


610,000 Bally's Corp.* 6.750%, 06/01/27 659,941

Calamos Long/Short Equity & Dynamic Income Trust



2

8/31/2021 9:55 AM


Caesars Entertainment, Inc.* 93,000 8.125%, 07/01/27 $ 102,475 93,000 6.250%, 07/01/25 98,291

330,000 Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25 332,785

Carnival Corp.* 98,000 10.500%, 02/01/26^ 112,362 48,000 7.625%, 03/01/26 50,955

230,000 Carriage Services, Inc.* 4.250%, 05/15/29 230,193

145,000 Carvana Company* 5.625%, 10/01/25 150,717


750,000 4.750%, 03/01/30 796,012 250,000 4.500%, 08/15/30 262,908 114,000 5.750%, 02/15/26 117,924

96,000 4.250%, 02/01/31 99,068 475,000 Century Communities, Inc.

6.750%, 06/01/27 508,207 DISH DBS Corp.

347,000 7.750%, 07/01/26 396,690 120,000 7.375%, 07/01/28^ 129,983 144,000 Everi Holdings, Inc.*



715,000 4.134%, 08/04/25 766,280 300,000 4.000%, 11/13/30 317,802 200,000 4.389%, 01/08/26 217,114

General Motors Financial Company, Inc.‡

435,000 5.700%, 09/30/30 5 year CMT + 5.00% 497,022

395,000 6.500%, 09/30/28^ 3 mo. USD LIBOR + 3.44% 447,413

goeasy, Ltd.* 325,000 5.375%, 12/01/24 337,448 177,000 4.375%, 05/01/26 182,600

96,000 Goodyear Tire & Rubber Company* 5.000%, 07/15/29 101,232


L Brands, Inc. 254,000 6.694%, 01/15/27 301,818 142,000 6.875%, 11/01/35 182,819

85,000 Liberty Interactive, LLC 8.500%, 07/15/29 97,606

144,000 Life Time, Inc.* 8.000%, 04/15/26 150,955

M/I Homes, Inc. 275,000 5.625%, 08/01/25 283,203 130,000 4.950%, 02/01/28 137,162


50,000 5.125%, 01/15/42 45,797 93,000 Macy's, Inc.*

8.375%, 06/15/25 101,468 Mattel, Inc.*

830,000 5.875%, 12/15/27 909,049 24,000 3.750%, 04/01/29^ 25,334

Mclaren Finance, PLC* 300,000 5.750%, 08/01/22 300,000 225,000 7.500%, 08/01/26 228,821


220,000 Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.* 4.875%, 05/01/29 $ 222,024



93,000 Penn National Gaming, Inc.* 4.125%, 07/01/29 91,713

473,000 Rite Aid Corp.* 8.000%, 11/15/26 475,379








280,000 VOC Escrow, Ltd.* 5.000%, 02/15/28 278,160





143,000 4.125%, 04/01/29 144,014 95,000 5.500%, 06/01/28 100,682

218,000 Energizer Holdings, Inc.*^ 4.375%, 03/31/29 219,273


48,000 4.250%, 03/01/31 55,342 48,000 3.875%, 05/15/27 53,175

395,000 Land O' Lakes, Inc.* 7.000%, 09/18/28 411,582

191,000 Performance Food Group, Inc.* 4.250%, 08/01/29 194,379

135,000 Post Holdings, Inc.*^ 4.625%, 04/15/30 137,665

182,000 Prestige Brands, Inc.* 3.750%, 04/01/31 180,695

210,000 United Natural Foods, Inc.* 6.750%, 10/15/28 227,081

Vector Group, Ltd.* 295,000 5.750%, 02/01/29 300,623 117,000 10.500%, 11/01/26 124,507 ___________

2,706,061 ___________




3 8/31/2021 9:55 AM


Energy (2.3%) Antero Resources Corp.*

71,000 7.625%, 02/01/29 $ 77,830 48,000 5.375%, 03/01/30 48,880

Apache Corp. 192,000 5.100%, 09/01/40 206,139 108,000 4.875%, 11/15/27 116,322

96,000 4.625%, 11/15/25 103,304 Buckeye Partners, LP

550,000 3.950%, 12/01/26 559,168 460,000 5.850%, 11/15/43 468,271 333,000 ChampionX Corp.

6.375%, 05/01/26 348,817 50,000 Cheniere Energy Partners, LP*^

4.000%, 03/01/31 52,936 96,000 Cheniere Energy, Inc.

4.625%, 10/15/28 101,451 Continental Resources, Inc.

190,000 3.800%, 06/01/24^ 199,513 145,000 4.375%, 01/15/28 162,077 475,000 DCP Midstream Operating, LP*‡

5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% 447,037

100,000 DT Midstream, Inc.* 4.125%, 06/15/29 102,640

620,000 Enbridge, Inc.‡ 5.750%, 07/15/80 5 year CMT + 5.31% 698,920

560,000 Energy Transfer, LP‡ 6.500%, 11/15/26 5 year CMT + 5.69 573,574

EnLink Midstream Partners, LP 835,000 6.000%, 12/15/22‡

3 mo. USD LIBOR + 4.11% 646,816 205,000 4.850%, 07/15/26 214,584

EQT Corp. 265,000 7.500%, 02/01/30 348,419

75,000 6.625%, 02/01/25 86,755 50,000 5.000%, 01/15/29 56,560

Laredo Petroleum, Inc. 153,000 10.125%, 01/15/28 162,163

50,000 7.750%, 07/31/29* 48,426 210,000 Magnolia Oil & Gas Operating,

LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 215,336

425,000 MPLX, LP‡ 6.875%, 02/15/23 3 mo. USD LIBOR + 4.65% 433,020

96,000 Murphy Oil Corp. 6.375%, 07/15/28 101,688

New Fortress Energy, Inc.* 96,000 6.500%, 09/30/26 97,141 95,000 6.750%, 09/15/25 97,035 48,000 Oasis Midstream Partners, LP /

OMP Finance Corp.* 8.000%, 04/01/29 50,227

Occidental Petroleum Corp. 590,000 4.300%, 08/15/39 585,752 432,000 2.900%, 08/15/24 435,551

94,000 5.875%, 09/01/25 104,290 50,000 Ovintiv, Inc.




790,000 Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% $ 708,448


38,000 Transocean, Inc.*^ 11.500%, 01/30/27 37,858




5.375%, 11/01/27 293,796 290,000 W&T Offshore, Inc.*

9.750%, 11/01/23 279,305 ___________ 9,740,484 ___________

Financials (14.7%)


516,000 7.000%, 11/15/25^ 525,097 283,000 6.000%, 08/01/29 283,212 146,000 Aethon United BR, LP / Aethon


221,000 AG Issuer, LLC* 6.250%, 03/01/28 232,428


Ally Financial, Inc.‡ 1,186,000 4.700%, 08/01/33

5 year CMT + 3.87% 1,246,462 750,000 4.700%, 05/15/28

7 year CMT + 3.48% 781,297 742,000 American Express Company‡

3.550%, 09/15/26 5 year CMT + 2.85 748,522

790,000 American International Group, Inc.‡ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87% 903,278

189,000 AmWINS Group, Inc.* 4.875%, 06/30/29 193,016

930,000 Ares Finance Company III, LLC*‡ 4.125%, 06/30/51 5 year CMT + 3.24 938,593

710,000 AssuredPartners, Inc.* 7.000%, 08/15/25 723,689

208,000 Aviation Capital Group, LLC* 3.500%, 11/01/27 221,543

835,000 AXIS Specialty Finance, LLC‡ 4.900%, 01/15/40 5 year CMT + 3.19 892,239

760,000 Bank of America Corp.µ‡ 4.300%, 01/28/25 3 mo. USD LIBOR + 2.66% 784,996

690,000 Bank of Montrealµ^‡ 4.800%, 08/25/24 5 year CMT + 2.98% 739,128

Bank of New York Mellon Corp.µ‡ 1,250,000 4.700%, 09/20/25^

5 year CMT + 4.36% 1,382,800




4

8/31/2021 9:55 AM


188,000 3.700%, 03/20/26 5 year CMT + 3.35% $ 197,421

1,250,000 Bank of Nova Scotiaµ‡ 4.900%, 06/04/25 5 year CMT + 4.55% 1,371,925

600,000 Barclays, PLC‡ 7.875%, 03/15/22 U.S. 5 yr Swap + 6.77% 623,004

BP Capital Markets, PLC‡ 810,000 4.875%, 03/22/30

5 year CMT + 4.40% 894,021 410,000 4.375%, 06/22/25

5 year CMT + 4.04% 439,118 191,000 BroadStreet Partners, Inc.*



1,113,000 Capital One Financial Corp.^‡ 3.950%, 09/01/26 5 year CMT + 3.16 1,145,411

Charles Schwab Corp.‡ 975,000 4.000%, 08/01/33^

5 year CMT + 3.17 1,021,858 433,000 4.000%, 12/01/30^

10 year CMT + 3.08% 451,147 400,000 5.375%, 06/01/25

5 year CMT + 4.97% 446,752 792,000 CIT Group, Inc.^‡

5.800%, 06/15/22 3 mo. USD LIBOR + 3.97% 813,321

Citigroup, Inc.‡ 2,875,000 3.875%, 02/18/26

5 year CMT + 3.42 2,954,264 445,000 4.000%, 12/10/25

5 year CMT + 3.60% 461,612 1,115,000 Citizens Financial Group, Inc.‡

4.000%, 10/06/26 5 year CMT + 3.22 1,139,028

Credit Acceptance Corp. 475,000 6.625%, 03/15/26^ 502,626 161,000 5.125%, 12/31/24* 166,567 565,000 Credit Suisse Group, AG*‡

7.500%, 12/11/23 U.S. 5 yr Swap + 4.60% 625,427


Discover Financial Services‡ 755,000 6.125%, 06/23/25

5 year CMT + 5.78% 850,477 425,000 5.500%, 10/30/27

3 mo. USD LIBOR + 3.08% 460,122 500,000 Donnelley Financial Solutions, Inc.

8.250%, 10/15/24 518,605 200,000 Enact Holdings, Inc.*

6.500%, 08/15/25 217,186 1,610,000 Fifth Third Bancorp‡

4.500%, 09/30/25 5 year CMT + 4.22% 1,755,785



Goldman Sachs Group, Inc.‡ 1,435,000 4.400%, 02/10/25

5 year CMT + 2.85% $ 1,492,830 1,375,000 3.800%, 05/10/26^

5 year CMT + 2.97 1,402,802 148,000 3.650%, 08/10/26

5 year CMT + 2.92 148,707 427,000 Greystar Real Estate Partners,

LLC* 5.750%, 12/01/25 437,731

HSBC Holdings, PLCµ‡ 400,000 6.375%, 03/30/25

U.S. 5 yr Swap + 4.37% 444,004 250,000 4.000%, 03/09/26

5 year CMT + 3.22 252,908 410,000 HUB International, Ltd.*

7.000%, 05/01/26 425,301 Huntington Bancshares, Inc.‡

1,075,000 4.450%, 10/15/27 7 year CMT + 4.05% 1,157,721

375,000 5.625%, 07/15/30^ 10 year CMT + 4.95% 442,339

220,000 5.700%, 04/15/23^ 3 mo. USD LIBOR + 2.88% 227,821



3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% 254,055



525,000 5.000%, 08/15/28 537,763 490,000 6.250%, 06/03/26 528,294

JPMorgan Chase & Companyµ‡ 1,720,000 4.600%, 02/01/25

SOFR + 3.13% 1,782,075 1,115,000 3.650%, 06/01/26

5 year CMT + 2.85 1,125,827


379,000 5.250%, 10/01/25 385,310 95,000 4.750%, 06/15/29 94,706

218,000 LD Holdings Group, LLC* 6.125%, 04/01/28 216,640

200,000 Level 3 Financing, Inc.* 4.250%, 07/01/28 203,978

575,000 Lloyds Banking Group, PLC‡ 7.500%, 06/27/24 U.S. 5 yr Swap + 4.76% 649,767

LPL Holdings, Inc.* 239,000 4.000%, 03/15/29 243,085

70,000 4.375%, 05/15/31 71,850 760,000 Markel Corp.‡

6.000%, 06/01/25 5 year CMT + 5.66% 849,277

MetLife, Inc. 1,205,000 6.400%, 12/15/66^ 1,545,328

865,000 3.850%, 09/15/25‡ 5 year CMT + 3.58% 907,869

380,000 Nationwide Financial Services, Inc. 6.750%, 05/15/87 469,433




5 8/31/2021 9:55 AM


Navient Corp. 422,000 5.000%, 03/15/27^ $ 440,340 220,000 4.875%, 03/15/28 222,108 550,000 Nippon Life Insurance Company*‡

2.750%, 01/21/51 5 year CMT + 2.65% 545,979

580,000 Nordea Bank Abp*µ‡ 6.625%, 03/26/26 5 year CMT + 4.11% 669,697


113,000 7.500%, 06/01/25 122,565 98,000 5.875%, 10/01/28 104,623

1,283,000 PartnerRe Finance B, LLC^‡ 4.500%, 10/01/50 5 year CMT + 3.82% 1,347,022

117,000 PHH Mortgage Corp.* 7.875%, 03/15/26 120,260

220,000 Prospect Capital Corp.µ 3.706%, 01/22/26 228,540

376,000 Prudential Financial, Inc.‡ 3.700%, 10/01/50 5 year CMT + 3.04% 397,594

500,000 QBE Insurance Group, Ltd.*^‡ 5.875%, 05/12/25 5 year CMT + 5.51% 551,180

85,000 Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc.* 3.625%, 03/01/29 85,674



116,000 SLM Corp. 4.200%, 10/29/25 125,706

2,530,000 State Street Corp.^‡ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54% 2,695,437

199,000 StoneX Group, Inc.* 8.625%, 06/15/25 216,383

SVB Financial Group‡ 875,000 4.000%, 05/15/26

5 year CMT + 3.20 909,842 651,000 4.100%, 02/15/31^

10 year CMT + 3.06% 673,264 Truist Financial Corp.µ‡

1,280,000 4.800%, 09/01/24^ 5 year CMT + 3.00% 1,364,326

375,000 4.950%, 09/01/25 5 year CMT + 4.61% 413,393

575,000 UBS Group, AG*‡ 7.000%, 01/31/24 U.S. 5 yr Swap + 4.34% 633,932

United Wholesale Mortgage, LLC* 143,000 5.500%, 11/15/25 147,512

96,000 5.500%, 04/15/29 95,633 172,000 VICI Properties, LP / VICI Note

Company, Inc.*^ 3.750%, 02/15/27 177,291

1,870,000 Wells Fargo & Company‡ 3.900%, 03/15/26 5 year CMT + 3.45% 1,942,949

XHR, LP* 208,000 6.375%, 08/15/25 221,890


96,000 4.875%, 06/01/29 $ 98,333 ___________ 62,550,307 ___________


5.000%, 04/15/29 101,053 Bausch Health Companies, Inc.*

640,000 5.000%, 01/30/28 612,602 265,000 5.250%, 02/15/31 248,594

83,000 5.000%, 02/15/29 78,497 95,000 Centene Corp.

3.000%, 10/15/30 98,889 96,000 Charles River Laboratories



610,000 8.000%, 03/15/26 654,335 377,000 6.125%, 04/01/30 382,474 108,000 6.875%, 04/15/29^ 113,809

DaVita, Inc.* 284,000 4.625%, 06/01/30 293,673 142,000 3.750%, 02/15/31 138,265

Encompass Health Corp. 100,000 4.750%, 02/01/30 107,275 100,000 4.500%, 02/01/28 104,189 200,000 Jazz Securities DAC*

4.375%, 01/15/29 208,826


350,000 5.125%, 04/30/31 360,955 200,000 4.125%, 04/30/28 205,378

Tenet Healthcare Corp. 835,000 6.875%, 11/15/31 957,636 480,000 5.125%, 11/01/27* 504,427

1,015,000 Teva Pharmaceutical Finance Netherlands III, BV 2.800%, 07/21/23 1,007,053 ___________

6,276,432 ___________ Industrials (3.0%)


220,000 ACCO Brands Corp.* 4.250%, 03/15/29 220,112

560,000 Air Lease Corp.^‡ 4.650%, 06/15/26 5 year CMT + 4.08 586,432


217,000 4.875%, 02/15/30 235,078 215,000 4.625%, 01/15/27 227,550

95,000 3.500%, 03/15/29 96,022 50,000 Allison Transmission, Inc.*

3.750%, 01/30/31 50,047 47,000 Ambience Merger Sub, Inc.*


3.750%, 03/01/25 44,569 108,000 Arcosa, Inc.*

4.375%, 04/15/29 110,715 940,000 ARD Finance, SA*

6.500%, 06/30/27 7.250% PIK rate 992,772




6

8/31/2021 9:55 AM


175,000 Beacon Roofing Supply, Inc.*^ 4.125%, 05/15/29 $ 175,609


635,000 Cascades, Inc. / Cascades USA, Inc.* 5.125%, 01/15/26 673,056

Delta Air Lines, Inc. 49,000 3.800%, 04/19/23 50,632 47,000 7.375%, 01/15/26 55,385


48,000 4.750%, 10/20/28 53,804 24,000 4.500%, 10/20/25µ 25,853

141,000 Endure Digital, Inc.* 6.000%, 02/15/29 136,912

85,000 EnerSys* 4.375%, 12/15/27 89,047

205,000 Fly Leasing, Ltd. 5.250%, 10/15/24 208,077


100,000 Golden Nugget, Inc.*^ 8.750%, 10/01/25 105,459

108,000 Graham Packaging Company, Inc.* 7.125%, 08/15/28 115,636

88,000 Graphic Packaging International, LLC* 3.500%, 03/01/29 87,772





82,000 Howmet Aerospace, Inc. 6.875%, 05/01/25 95,485

290,000 JELD-WEN, Inc.* 4.625%, 12/15/25 295,846

96,000 KeHE Distributors, LLC / KeHE Finance Corp.* 8.625%, 10/15/26 104,122


96,000 MasTec, Inc.* 4.500%, 08/15/28 101,312

124,000 Meritor, Inc.* 4.500%, 12/15/28 126,983

107,000 Moog, Inc.* 4.250%, 12/15/27 110,542


172,000 Novelis Corp.* 4.750%, 01/30/30 183,414


Patrick Industries, Inc.* 275,000 7.500%, 10/15/27 299,252

96,000 4.750%, 05/01/29 98,040


235,000 Peninsula Pacific Entertainment, LLC / Peninsula Pacific Entertainment Finance In* 8.500%, 11/15/27 $ 255,177


185,000 QVC, Inc. 4.375%, 09/01/28 190,219




Sinclair Television Group, Inc.* 100,000 5.500%, 03/01/30^ 100,451

96,000 4.125%, 12/01/30 93,196 Standard Industries, Inc.*

195,000 5.000%, 02/15/27 202,034 47,000 4.375%, 07/15/30^ 48,373

315,000 Stanley Black & Decker, Inc.‡ 4.000%, 03/15/60 5 year CMT + 2.66% 337,998

Station Casinos, LLC* 450,000 4.500%, 02/15/28 454,297 264,000 5.000%, 10/01/25 267,678

96,000 Stericycle, Inc.* 3.875%, 01/15/29 97,443

145,000 STL Holding Company, LLC* 7.500%, 02/15/26 153,017

TransDigm, Inc. 655,000 7.500%, 03/15/27 694,929 465,000 6.250%, 03/15/26* 488,608

96,000 Tronox, Inc.* 4.625%, 03/15/29 97,800


95,000 3.750%, 01/15/32 95,000 48,000 3.875%, 02/15/31 49,459

280,000 Waste Pro USA, Inc.* 5.500%, 02/15/26 286,003

WESCO Distribution, Inc.* 93,000 7.125%, 06/15/25 100,315 45,000 7.250%, 06/15/28 50,171 ___________





155,000 6.100%, 07/15/27 191,764 80,000 5.850%, 07/15/25µ 94,054 56,000 Fair Isaac Corp.*

4.000%, 06/15/28 58,597 210,000 KBR, Inc.*


5.750%, 11/01/28 204,267 96,000 NCR Corp.*

5.125%, 04/15/29 100,052




7 8/31/2021 9:55 AM


218,000 Nielsen Finance, LLC / Nielsen Finance Company* 4.500%, 07/15/29 $ 220,191


129,000 Open Text Corp.* 3.875%, 02/15/28 133,531


118,000 PTC, Inc.* 4.000%, 02/15/28 122,280

220,000 TTM Technologies, Inc.* 4.000%, 03/01/29 221,648

Twilio, Inc. 130,000 3.625%, 03/15/29 133,718

47,000 3.875%, 03/15/31^ 49,182 220,000 ZoomInfo Technologies, LLC /


2,611,186 ___________ Materials (0.9%)



300,000 Clearwater Paper Corp.* 4.750%, 08/15/28 303,561

285,000 First Quantum Minerals, Ltd.* 7.250%, 04/01/23 290,506

Freeport-McMoRan, Inc. 300,000 5.450%, 03/15/43 385,704 285,000 5.000%, 09/01/27 301,168

90,000 5.400%, 11/14/34 114,419 144,000 HB Fuller Company


4.375%, 06/15/29 195,643 Kaiser Aluminum Corp.*

85,000 4.625%, 03/01/28 88,872 24,000 4.500%, 06/01/31 24,987

156,000 Mercer International, Inc. 5.125%, 02/01/29 159,304

New Gold, Inc.* 64,000 6.375%, 05/15/25 66,065 50,000 7.500%, 07/15/27 54,045

189,000 OCI, NV* 4.625%, 10/15/25 196,296

95,000 Owens-Brockway Glass Container, Inc.* 6.625%, 05/13/27 103,045





97,000 Valvoline, Inc.* 3.625%, 06/15/31 96,697 ___________

3,735,625 ___________


Real Estate (0.2%) 152,000 EPR Properties^

3.750%, 08/15/29 $ 154,373 Forestar Group, Inc.*

139,000 5.000%, 03/01/28 144,892 47,000 3.850%, 05/15/26 47,716

142,000 iStar, Inc. 5.500%, 02/15/26 149,083

95,000 Service Properties Trust 5.250%, 02/15/26 96,163 ___________

592,227 ___________ Utilities (1.3%)

129,000 Calpine Corp.* 4.500%, 02/15/28 133,155

200,000 CenterPoint Energy, Inc.‡ 6.125%, 09/01/23 3 mo. USD LIBOR + 3.27% 211,870

575,000 CMS Energy Corp.^‡ 4.750%, 06/01/50 5 year CMT + 4.12% 646,449

800,000 Dominion Energy, Inc.^‡ 4.650%, 12/15/24 5 year CMT + 2.99% 856,472

1,045,000 Duke Energy Corp.‡ 4.875%, 09/16/24 5 year CMT + 3.39% 1,118,140

840,000 NextEra Energy Capital Holdings, Inc.‡ 4.800%, 12/01/77 3 mo. USD LIBOR + 2.41% 947,150

258,000 PPL Capital Funding, Inc.‡ 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% 252,977

375,000 Sempra Energy‡ 4.875%, 10/15/25 5 year CMT + 4.55% 410,138

Southern Company‡ 753,000 4.000%, 01/15/51

5 year CMT + 3.73% 799,550 280,000 3.750%, 09/15/51

5 year CMT + 2.92 286,591 ___________ 5,662,492 ___________


CONVERTIBLE BONDS (0.1%) Consumer Discretionary (0.1%)

288,000 DISH Network Corp.µ 2.375%, 03/15/24 279,081

85,000 Peloton Interactive, Inc.*µ 0.000%, 02/15/26 80,433 ___________

TOTAL CONVERTIBLE BONDS (Cost $340,552) 359,514 ___________ ___________






8

8/31/2021 9:55 AM


249,375 United Airlines, Inc.‡ 4.500%, 04/21/28 1 mo. LIBOR + 3.75% $ 250,140 ___________








825,000 Intelsat Jackson Holdings, SA 8.625%, 01/02/24 841,649 ___________


95,000 At Home Group, Inc.! 0.000%, 06/24/28 95,119







75,000 Rent-A-Center, Inc.! 0.000%, 02/17/28 75,375

174,500 TKC Holdings, Inc.! 0.000%, 05/15/28 172,701



2,137,681 ___________


Consumer Staples (0.0%) 99,022 United Natural Foods, Inc.‡

3.592%, 10/22/25 1 mo. LIBOR + 3.50% $ 98,836 ___________


6.870%, 01/12/26 3 mo. LIBOR + 6.75% 197,037 ___________


4.000%, 05/05/28 1 mo. LIBOR + 3.50% 225,563 ___________


3.625%, 05/04/25 1 mo. LIBOR + 3.50% 909,793







725,623 Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 6 mo. LIBOR + 5.25% 707,334



3,654,156 ___________ Industrials (0.4%)


70,000 Air Canada! 0.000%, 07/28/28 70,204

50,000 Air Canada! 0.000%, 07/28/28 50,146






9 8/31/2021 9:55 AM


294,818 Granite Holdings US Acquisition Company‡ 4.147%, 09/30/26 3 mo. LIBOR + 4.00% $ 294,818

679,466 Scientific Games International, Inc.‡ 2.842%, 08/14/24 1 mo. LIBOR + 2.75% 670,361 ___________






612,133 VFH Parent, LLC‡ 3.085%, 03/01/26 1 mo. LIBOR + 3.00% 608,525 ___________

1,484,718 ___________ Materials (0.0%)





5,450 Alphabet, Inc. - Class A^#~ 14,685,188 50,000 Facebook, Inc. - Class A^#~ 17,815,000

3,050 Lumen Technologies, Inc.^ 38,034 2,060,000 GBP Vodafone Group, PLC 3,312,380 ___________


1,000 Amazon.com, Inc.# 3,327,590 114,000 Caesars Entertainment, Inc.^#~ 9,959,040 213,500 Las Vegas Sands Corp.#~ 9,041,725

42,000 VF Corp. 3,368,400 ___________ 25,696,755 ___________

Consumer Staples (2.7%) 152,600 Sysco Corp.µ~ 11,322,920 ___________

Energy (2.6%) 177,000 Royal Dutch Shell, PLC - Class A 7,189,740 155,700 Williams Companies, Inc.~ 3,900,285 ___________

11,090,025 ___________ Financials (11.6%)

175,000 Bank of America Corp.~ 6,713,000


521,500 Huntington Bancshares, Inc.~ $ 7,342,720 2,849,000 GBP Legal & General Group, PLC 10,320,410 5,165,000 GBP Natwest Group, PLC 14,496,689

190,000 Truist Financial Corp.^~ 10,341,700 ___________ 49,214,519 ___________

Health Care (3.7%) 229,000 Boston Scientific Corp.^#~ 10,442,400

12,500 UnitedHealth Group, Inc.~ 5,152,750 ___________ 15,595,150 ___________

Industrials (30.1%) 186,900 AerCap Holdings, NV#~ 9,905,700 500,500 Air Lease Corp. - Class Aµ~ 21,201,180

55,000 Boeing Company#~ 12,456,400 324,000 CSX Corp. 10,471,680 300,500 Delta Air Lines, Inc.µ^#~ 11,989,950

59,000 Honeywell International, Inc.µ^~ 13,793,610 38,700 L3Harris Technologies, Inc.~ 8,774,838

155,000 Raytheon Technologies Corp.^~ 13,477,250 121,400 Southwest Airlines Companyµ^#~ 6,133,128

73,500 Uber Technologies, Inc.#~ 3,194,310 46,500 Union Pacific Corp.~ 10,172,340

132,000 United Airlines Holdings, Inc.#~ 6,167,040 ___________ 127,737,426 ___________

Information Technology (12.4%) 63,600 Fidelity National Information

Services, Inc.µ^~ 9,479,580 45,500 FleetCor Technologies, Inc.^#~ 11,749,010 26,500 Paycom Software, Inc.µ^#~ 10,600,000 50,600 salesforce.com, Inc.µ#~ 12,241,658 22,800 Twilio, Inc. - Class A# 8,517,852 ___________

52,588,100 ___________ Materials (1.9%)

26,000 Linde, PLC~ 7,992,140 ___________ Real Estate (0.9%)

104,500 MGM Growth Properties, LLC~ 3,950,100 ___________


CONVERTIBLE PREFERRED STOCKS (2.7%) Consumer Discretionary (2.2%)

38,800 EUR Volkswagen, AG‡ ‡‡ 0.000% 9,450,534 ___________

Financials (0.5%) 1,255 Bank of America Corp.µ‡‡

7.250% 1,856,835 5,917 Prospect Capital Corp.

5.350%, 07/01/26 145,736 ___________ 2,002,571 ___________





10

8/31/2021 9:55 AM



25,330 AT&T, Inc.^ 4.750%, 02/18/25 $ 670,485

15,800 AT&T, Inc.^~ 5.350%, 11/01/66 418,700

58,930 Qwest Corp.µ^ 6.500%, 09/01/56 1,494,465

25,585 United States Cellular Corp.µ 6.250%, 09/01/69 710,751 ___________


12,200 Ford Motor Companyµ^~ 6.200%, 06/01/59 338,672

3,615 Guitar Center, Inc. 0.000% 410,755

3,688 Qurate Retail, Inc.µ 8.000%, 03/15/31 400,074 ___________

1,149,501 ___________ Energy (0.5%)

35,935 Energy Transfer, LP‡ 7.625%, 08/15/23 3 mo. USD LIBOR + 4.74 911,312



2,334,494 ___________ Financials (3.3%)

18,000 Affiliated Managers Group, Inc.^ 4.750%, 09/30/60 480,960

17,285 Annaly Capital Management, Inc.^‡ 6.950%, 09/30/22 3 mo. USD LIBOR + 4.99% 451,138

34,494 Arch Capital Group, Ltd.^ 5.250%, 09/29/21 873,388

9,000 B Riley Financial, Inc. 6.000%, 01/31/28 239,310

16,383 Bank of America Corp.^ 4.375%, 11/03/25 427,269

21,000 Brookfield Finance, Inc. 4.625%, 10/16/80 539,280

23,370 CIT Group, Inc.µ 5.625%, 12/15/24 623,278

26,025 CNO Financial Group, Inc.µ^ 5.125%, 11/25/60 714,386

15,419 Cullen/Frost Bankers, Inc.µ^ 4.450%, 12/15/25 407,061

7,063 First Republic Bank/CAµ^ 4.125%, 10/30/25 178,553

8,250 Fulton Financial Corp.µ^ 5.125%, 01/15/26 224,812

27,185 KeyCorpµ 5.650%, 12/15/23 750,578

17,135 Legg Mason, Inc.µ 5.450%, 09/15/56 432,832

33,420 Morgan Stanleyµ 4.875%, 01/15/25 908,690


16,115 Oaktree Capital Group, LLCµ^ 6.550%, 09/15/23 $ 451,703

24,075 Prudential Financial, Inc.^ 4.125%, 09/01/60 631,969

35,500 Selective Insurance Group, Inc.µ^ 4.600%, 12/15/25 924,775

8,994 Signature Bank/New York NYµ^ 5.000%, 12/30/25 236,632

16,600 Spirit Realty Capital, Inc.µ 6.000%, 10/03/22 435,418

31,375 Truist Financial Corp.µ^ 4.750%, 09/01/25 832,379

18,395 US Bancorp^ 3.750%, 01/15/26 459,507

35,915 W R Berkley Corp.^ 5.100%, 12/30/59 983,712

69,435 Wells Fargo & Company^ 4.750%, 03/15/25 1,818,503 ___________

14,026,133 ___________ Industrials (0.3%)

18,200 Air Lease Corp.‡ 6.150%, 03/15/24 3 mo. USD LIBOR + 3.65% 496,496

7,500 Brookfield Finance I UK, PLC^ 4.500%, 11/24/25 190,650

11,400 QVC, Inc.µ 6.250%, 11/26/68 299,136

7,275 WESCO International, Inc.µ‡ 10.625%, 06/22/25 5 year CMT + 10.33 225,889 ___________

1,212,171 ___________ Real Estate (0.8%)

16,375 American Homes 4 Rent^~ 6.250%, 09/19/23 454,406

22,900 Brookfield Property Partners, LPµ~ 5.750%, 03/31/25 560,821

15,300 Brookfield Property Partners, LPµ~ 6.375%, 09/30/24 389,079

17,100 EPR Propertiesµ^~ 5.750%, 11/30/22 437,076

16,515 Global Net Lease, Inc.µ 6.875%, 11/26/24 443,263

31,680 Kimco Realty Corp.µ^ 5.250%, 12/20/22 851,875

11,330 Public Storage^ 4.625%, 06/17/25 315,427 ___________

3,451,947 ___________ Utilities (0.3%)

15,800 Algonquin Power & Utilities Corp.‡ 6.875%, 10/17/78 3 mo. USD LIBOR + 3.68% 439,240

16,750 Brookfield Renewable Partners, LP^ 5.250%, 03/31/25 438,348

16,150 DTE Energy Companyµ~ 5.250%, 12/01/77 427,329 ___________

1,304,917 ___________





11 8/31/2021 9:55 AM



PURCHASED OPTIONS (0.6%) # Consumer Discretionary (0.1%)

42 13,975,878

Amazon.com, Inc. Call, 10/15/21, Strike $3,500.00 $ 352,380

10 325,490

Domino's Pizza, Inc. Put, 07/23/21, Strike $525.00 1,043

430 5,076,150

Peloton Interactive, Inc. Call, 08/06/21, Strike $118.00 142,975 ___________

496,398 ___________ Energy (0.1%)

890 3,615,180

Royal Dutch Shell, PLC Call, 10/15/21, Strike $40.00 204,700 ___________ Financials (0.2%)

8,700 5,019,900

Itau Unibanco Holding, SA Call, 12/17/21, Strike $5.00 848,250 ___________ Industrials (0.0%)

1,814 9,164,328

Southwest Airlines Company Call, 08/20/21, Strike $52.00 170,516 ___________ Information Technology (0.1%)

333 7,805,520

Workday, Inc. Call, 09/17/21, Strike $230.00 459,540 ___________ Other (0.1%)

357 4,284,000

ARK Innovation ETF Put, 08/06/21, Strike $109.00 8,033

560 20,415,920

Invesco QQQ Trust Series Put, 08/13/21, Strike $355.00 101,080

5,325 79,619,400

iShares 20+ Year Treasury Bond Put, 08/20/21, Strike $140.00 63,900

2,420 106,119,420

SPDR S&P 500 ETF Trust Put, 08/09/21, Strike $432.00 325,490 ___________

498,503 ___________




NET ASSETS (100.0%) $ 424,394,662 ___________ ___________


COMMON STOCKS SOLD SHORT (-3.0%) # Consumer Discretionary (-3.0%)

(60,500) eBay, Inc. (4,126,705) (33,500) Target Corp. (8,745,175) ___________

TOTAL COMMON STOCKS SOLD SHORT (Cost $(11,057,929)) (12,871,880) ___________ ___________


EXCHANGE-TRADED FUNDS SOLD SHORT (-36.8%) # Other (-36.8%)

(35,700) ARK Innovation ETF $ (4,284,000) (56,000) Invesco QQQ Trust Series (20,415,920)

(326,000) Vanguard S&P 500 ETF (131,426,900) ___________

TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT (Cost $(149,486,011)) (156,126,820) ___________ ___________

TOTAL SECURITIES SOLD SHORT (Premium $160,543,940) (168,998,700) ___________ ___________



WRITTEN OPTIONS (-1.1%) # Communication Services (0.0%)

200 7,126,000

Facebook, Inc. Call, 08/20/21, Strike $370.00 (62,000) ___________ Consumer Discretionary (-0.1%)

10 3,327,590

Amazon.com, Inc. Call, 08/20/21, Strike $3,400.00 (47,375)

65 2,115,685

Domino's Pizza, Inc. Call, 08/20/21, Strike $535.00 (44,200)

Peloton Interactive, Inc. 430

5,076,150 Call, 08/06/21, Strike $126.00 (35,475) 430

5,076,150 Call, 08/20/21, Strike $130.00 (87,935) ___________ (214,985) ___________

Energy (0.0%) 2,280

7,528,560 Canadian Natural Resources, Ltd.

Put, 08/20/21, Strike $30.00 (57,000) 3,800

18,768,200 Energy Select Sector SPDR Fund

Put, 08/20/21, Strike $45.00 (117,800) ___________ (174,800) ___________

Financials (-0.2%) 8,700

5,019,900 Itau Unibanco Holding, SA

Put, 08/20/21, Strike $6.00 (300,150) Moody's Corp.

95 3,572,000 Call, 09/17/21, Strike $380.00 (83,600)

95 3,572,000 Call, 09/17/21, Strike $370.00 (134,900)

95 3,572,000 Put, 09/17/21, Strike $370.00 (82,175) ___________

(600,825) ___________ Industrials (0.0%)

Southwest Airlines Company 1,214

6,133,128 Call, 08/06/21, Strike $51.00 (82,552) 1,214

6,133,128 Put, 08/20/21, Strike $47.50 (70,412) ___________ (152,964) ___________




12

8/31/2021 9:55 AM



Other (-0.8%) ARK Innovation ETF

357 4,284,000 Put, 08/06/21, Strike $100.00 $ (1,785)

357 4,284,000 Put, 08/20/21, Strike $100.00 (14,994)

Invesco QQQ Trust Series 560

20,415,920 Put, 08/13/21, Strike $345.00 (44,520) 560

20,415,920 Put, 08/20/21, Strike $340.00 (61,600) iShares 20+ Year Treasury Bond

5,325 79,619,400 Call, 09/17/21, Strike $150.00 (1,605,488)

2,665 39,847,080 Put, 09/17/21, Strike $130.00 (61,295)

Vanguard S&P 500 ETF 3,650

147,149,750 Put, 08/20/21, Strike $350.00 (146,000) 3,260

131,426,900 Put, 08/20/21, Strike $380.00 (415,650) 465

18,746,475 Call, 08/20/21, Strike $385.00 (920,700) ___________ (3,272,032) ___________




µ


^ Security, or portion of security, is on loan. @ In default status and considered non-income producing. ‡


& Illiquid security. ¡


!


# Non-income producing security. ~


‡‡ Perpetual maturity.

FOREIGN CURRENCY ABBREVIATIONS EUR European Monetary Unit GBP British Pound Sterling USD U.S. Dollar 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.

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). 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: In March 2017, the Financial Accounting Standards Board ("FASB") issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of November 29, 2019, with no material impact on the Fund's Schedule of Investments. Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.








* 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.

Calamos Closed End Funds Third Quarter Holdings

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