<PAGE> 1
Dear Shareholder,
CALAMOS is pleased to provide you our Semi-Annual Report on the CALAMOS
Convertible Portfolio. CALAMOS is a pioneer in convertible securities
investment management with over two decades of experience. We are pleased to
have been added to the Century II Variable Products choices earlier this year.
Investing can at times be exhilarating, at other times concerning. We
believe that our disciplined approach to balancing risk and reward provides the
potential to build financial success with security. Our convertible strategy
provides you, the investor, with confidence to withstand the volatility in
today's markets. In addition, with the CALAMOS Convertible Portfolio, the
advantages of convertible securities provide the potential to benefit from
current income and good capital appreciation, while cushioning some of the risk
inherent in the broader market. Our focus is to provide you with stable growth
in all market cycles.
These volatile markets, the exponential growth of technology, and worldwide
free markets make the time we live in exciting. We expect the markets to remain
volatile, but more importantly believe there are long-term opportunities to
build wealth. We are continuing to keep a keen eye on the business valuations,
earnings and accelerating cash flow enabling us to maintain a consistent
risk/reward advantage.
To those who have joined us this year, thank you for your confidence in
choosing the CALAMOS Portfolio. We assure you of our continued dedication to
managing the Portfolio to help you meet, and hopefully exceed your financial
goals.
Sincerely,
John P. Calamos
Kclsar9908
<PAGE> 2
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
CALAMOS CONVERTIBLE PORTFOLIO
Principal
Amount Value
- --------- --------
CONVERTIBLE BONDS (44.3%)
BASIC INDUSTRIES (1.2%)
$ 3,000 Interim Services $ 2,606
4.500%, 06/01/05
CAPITAL GOODS - TECHNOLOGY (18.4%)
3,000 Affiliated Computer Services Corporation 4,040
4.000%, 03/15/05
9,000 Atmel Corporation (b) 3,789
0.000%, 04/15/18
5,000 Bell Atlantic Corporation (Cable&Wireless) 5,100
4.250%, 09/15/05
5,000 Hewlett Packard (Lyons)(a) 3,100
0.000%, 10/14/17
3,000 NET.B@Nk, Inc. 3,705
4.750%, 06/01/04
4,000 Mindspring Entrp 3,782
5.000%, 04/15/06
3,000 Solectron Corporation (a) 1,740
0.000%, 01/27/19
6,000 Solectron Corporation (a),(b) 3,480
0.000%, 01/27/19
3,000 Systems & Computer Technology Corporation 2,524
5.000%, 10/15/04
11,000 U.S. Cellular Corporation 5,652
0.000%, 06/15/15
5,000 Xerox Corporation 3,176
0.570%, 04/21/18 --------
40,088
CONSUMER CYCLICALS (8.5%)
5,000 The Interpublic Group of Companies, Inc.(b) 4,588
1.870%, 06/01/06
8,000 Marriott International, Inc. (a) 5,663
0.000%, 03/25/11
6,000 Office Depot, Inc. 4,927
0.000%, 11/01/08
2,000 Omnicom Group, Inc. 3,430
2.250%, 01/06/13
18,608
CONSUMER GROWTH STAPLES (9.8%)
6,000 Athena Neurosciences (Elan) (a),(b) 3,073
0.000%, 12/14/18
4,000 Cendant (CUC Intl) 3,800
3.000%, 02/15/02
6,000 Costco Companies, Inc. 5,709
0.000%, 08/19/17
2,000 Genzyme Corporation 2,762
5.250%, 06/01/05
6,000 Roche Holdings Company (a)(b) 2,873
0.000%, 05/06/12
7,000 Times Mirror (a) 3,273
0.000%, 04/15/17 --------
21,490
<PAGE> 3
Principal
Amount Value
- --------- --------
CREDIT CYCLICALS (1.5%)
$4,000 BankAtlantic Bancorp, Inc. $3,210
5.625%, 12/01/07
ENERGY (2.8%)
3,000 Diamond Offshore Drilling 2,978
3.750%, 02/15/07
3,000 Pennzenergy (Chevron) 3,060
4.900%, 08/15/08
6,038
FINANCIAL (2.1%)
5,000 Financial Fed Corp 4,600
4.500%, 05/01/05
========
TOTAL CONVERTIBLE BONDS 96,640
(Cost $94,186)
Number of
Shares Value
- --------- --------
CONVERTIBLE PREFERRD STOCKS (25.2%)
BASIC INDUSTRIES (3.3%)
60 Crown Cork & Seal 1,609
2.000% Series A
90 Sealed Air Corporation 5,625
2.000% Series A -------
7,234
CAPITAL GOODS - TECHNOLOGY (4.4%)
10 Adelphia Commun 2,010
5.500%
75 PSINET, Inc. 3,619
6.750%
20 Qualcomm Financial Trust, Inc. 4,047
5.750% -------
9,676
CONSUMER CYCLICALS (1.5%)
25 Royal Caribbean Cruises Limited 3,375
7.250% Series A
CONSUMER GROWTH STAPLES (1.3%)
70 Monsanto Co. 2,809
2.600%
CONSUMER STAPLES (3.7%)
100 Seagram Company, Ltd. 4,994
5.500%
80 Suiza Foods Corporation 2,990
5.500% -------
7,984
<PAGE> 4
Number of
Shares Value
- --------- ---------
FINANCIAL (4.9%)
170 National Australia Bank $5,164
7.875%
130 Host Marriott Corporation 5,444
6.750% ---------
10,608
TRANSPORTATION (3.6%)
100 Arkansas Best Corporation 3,550
2.875% Series A
20 Canadian National Railway (Quips) 1,070
5.250%
60 Union Pacific Capital Trust 3,188
6.250% ---------
7,808
UTILITIES (2.5%)
95 AES Trust II (TECONS) 5,456
5.500% Series B
=========
TOTAL CONVERTIBLE PREFERRED STOCKS 54,950
(Cost $53,598)
Common Stocks (1.3%)
CONSUMER GROWTH STAPLES (1.3%)
45 Nike, Inc. Class B 2,849
=========
TOTAL COMMON STOCKS 2,849
(Cost $2,866)
=========
TOTAL INVESTMENTS (70.8%) 154,439
(Cost $150,650)
CASH DEPOSITS WITH CUSTODIAN 93,777
(INTEREST BEARING) (43.0%)
LIABILITIES, LESS OTHER ASSETS (13.8%) (29,992)
---------
NET ASSETS (100%) 218,224
=========
NET ASSET VALUE PER SHARE 10.29
=========
(21,209 shares outstanding)
NOTES TO SCHEDULE OF INVESTMENTS
(a) LYON - Liquid Yield Option Note
(b) Rule 144A security- Private placement securities issued under Rule 144A
are exempt from the registration requirements of the
Securities Act of 1933. These securities generally are
issued to qualified institutional buyers, and any resale
must be an exempt transaction, normally to other
qualified institutional investors.
<PAGE> 5
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1999 (Unaudited)
Convertible
Portfolio
- ------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $150,650) $154,439
Cash with custodian (interest bearing) 93,777
Accrued interest and dividends receivable 608
Other receivables 112
Total Assets ------------
$248,936
------------
LIABILITIES AND NET ASSETS
Payable for investments purchased 30,561
Payable for fund shares redeemed 18
Payable to investment adviser 100
Accounts payable and accrued liabilities 33
Total Liabilities ------------
30,712
------------
NET ASSETS $218,224
============
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance
of shares over amounts paid on redemptions
of shares on account of capital $214,003
Undistributed net investment income 432
Accumulated net realized gain (loss)
on investments 0
Net unrealized appreciation on investments
and other assets less liabilities 3,789
------------
NET ASSETS $218,224
Net Assets Applicable to Shares Outstanding $218,224
Shares Outstanding 21,209
Net Asset Value and Redemption Price Per Share $10.29
<PAGE> 6
STATEMENT OF OPERATIONS
May 18, 1999 through June 30, 1999 (Unaudited)
Convertible
Portfolio
- --------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 100
Dividends 218
Other 247
----------
Total Investment Income 565
----------
EXPENSES
Investment advisory fees 100
Other 33
----------
Total expenses 133
Less expense reimbursement -
Net expenses ----------
133
----------
NET INVESTMENT INCOME 432
----------
REALIZED AND UNREALIZED
GAIN (LOSS)
Net realized gain (loss) on investments and options, and forward
foreign currency contracts -
Change in net unrealized appreciation
on investments, options, and forward foreign currency contracts 3,789
----------
NET GAIN (LOSS) ON INVESTMENTS 3,789
----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 4,221
==========
See accompanying Notes to Financial Statements
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STATEMENT OF CHANGES IN NET ASSETS
May 18, 1999 through June 30, 1999 (Unaudited)
Convertible
Portfolio
- -------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 432
Net realized gain (loss) on investments
(including options), and forward
foreign currency contracts 0
Change in unrealized appreciation
or depreciation on investments
(including options), and forward
foreign currency contracts 3,789
Increase in net assets ---------
resulting from operations 4,221
---------
DISTRIBUTIONS
TO SHAREHOLDERS
Net investment income -
Net realized gains -
Return of capital -
Total distributions ---------
-
---------
INCREASE (DECREASE) IN
NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS 214,003
---------
TOTAL INCREASE
(DECREASE) IN
NET ASSETS 218,224
---------
NET ASSETS
May 18, 1999 -
---------
End of period, June 30, 1999 $ 218,224
Undistributed Net =========
Investment Income $ 432
See accompanying Notes to Financial Statements
<PAGE> 8
FINANCIAL HIGHLIGHTS (UUNAUDITED)
Selected data for a share outstanding throughout the period is as follows:
CALAMOS Convertible Portfolio
- --------------------------------------------------------------------------------
May 18
through June 30,
------------------
1999
------------------
Net asset value, beginning of period $10.00
Income from investment operations:
Net investment income .02
Net realized and unrealized gain (loss)
on investments .27
------------------
Total from investment operation .29
------------------
Less distributions:
Dividends from net investment income -
Dividends from net realized capital gains -
Dividends in excess of net realized
capital gains -
------------------
Total distributions -
------------------
Net asset value, end of period $10.29
==================
Total return 2.9%
Ratios and supplemental data:
Net assets, end of period (000) $ 218
Ratio of expenses to average net assets 0.1%
Ratio of net investment income to
average net assets 0.3%
Portfolio turnover rate 0.0%
- --------------------------------------------------------------------------------
<PAGE> 9
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization - Calamos Advisors Trust, a Massachusetts business trust organized
February 17, 1999 (the "Trust"), consists of a single series, Calamos
Convertible Portfolio (the"Portfolio"). The Trust currently offers the
Portfolio's shares to certain life insurance companies (Participating Insurance
Companies) for allocation to certain separate accounts established for the
purpose of funding qualified and non-qualified variable annuity contracts and
variable life insurance contracts. The Trust may also offer the Portfolio to
certain pension plans and retirement arrangements and accounts permitting
accumulation of fund on a tax-deferred basis.
Portfolio Valuation - Investments are stated at value. Securities for which
quotations are readily available are valued at the last available sales price on
the exchange market on which they are principally traded, or lacking any sales,
at the mean of the most recently quoted bid and asked prices. Securities and
other assets for which market quotations are not readily available are valued at
fair value as determined in good faith by or under the direction of the Trust's
Board of Trustees.
Investment Transactions and Investment Income - Investment transactions are
recorded on a trade date basis. Realized gains and losses from investment
transactions are reported on an identified cost basis. Interest income is
recognized using the accrual method and includes amortization of original issue
discount and market discount. Dividend income is recognized on the ex-dividend
date.
Federal Income Taxes - No provision has been made for Federal income taxes since
the Portfolio elected to be taxed as a "regulated investment company" and will
meet certain diversification requirements applicable to mutual funds underlying
variable insurance products.
Dividends and Capital Gains - The Portfolio intends to distribute to its
shareholders substantially all of its dividends and capital gains. The Portfolio
declares and pays dividends from net investment income quarterly, and pays any
long-term gains annually.
Use of Estimates - The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimates.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement with Calamos Asset Management, Inc.
("CAM"), the Portfolio pays a monthly investment advisory fee based on the
average daily net assets of the Portfolio. The fee paid by the Portfolio is at
the annual rate of 0.75% of average net assets.
CAM has voluntarily undertaken to limit normal operating expenses of the
Portfolio to 1% of average daily net assets. This reimbursement is voluntary and
may be terminated by CAM at any time.
Certain portfolio transactions for the Portfolio have been executed through CFS
as broker, consistent with the Portfolio's policy of obtaining best price and
execution. During the period May 18, 1999 through June 30,1999, the Portfolio
paid no brokerage commissions to CFS on purchases and sales of portfolio
securities.
Certain officers and trustees of the Trust are also officers and directors of
CFS and CAM. All officers and affiliated trustees serve without direct
compensation from the Trust.
<PAGE> 10
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations by the
Portfolio for the period ended June 30, 1999, were as follows:
Convertible
Portfolio
- -------------------------------------------------------
Purchases $150,549
Proceeds from sales $ 0
The following information is based on the cost basis of investments for Federal
income tax purposes at June 30, 1999:
Convertible
Portfolio
- -------------------------------------------------------
Cost basis of investments $150,650
Gross unrealized appreciation $ 5,794
Gross unrealized depreciation $ (2,005)
Net unrealized appreciation $ 3,789
NOTE 4 - SHORT SALES
Securities sold short represent obligations to purchase the securities at a
future date at then prevailing prices. These transactions result in
off-balance-sheet risk, i.e., the risk that the ultimate obligation may exceed
the amount shown in the accompanying statement of assets and liabilities. To the
extent a portfolio owns equivalent securities, the off-balance-sheet risk is
offset. The Portfolio did not engage in short sales during the period ended June
30, 1999.
NOTE 5 - COVERED CALL OPTIONS WRITTEN
There were no outstanding written covered call options or transactions in
covered call options written by the Portfolio for the period ended June 30,
1999.
NOTE 6 - INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
Effective March 17, 1999, the Portfolio entered into a custody agreement with
The Bank of New York, whereby the Portfolio earns interest on its average daily
balance deposited with the custodian at a rate equal to the current Federal
Reserve federal funds rate. During the period ended June 30, 1999, the Portfolio
earned $34 in interest income under its arrangement with The Bank of New York.
<PAGE> 11
Note 7 - Capital Share Transactions
The following table summarizes the activity in capital shares of the Portfolio:
PERIOD ENDED JUNE 30, 1999
Convertible
Portfolio
- ---------------------------------------------------------
Shares Dollars
Shares Sold 21,213 $214,042
Shares issued in reinvestment
of distributions - -
Less shares redeemed (4) (38)
-------------------------
Increase (Decrease) 21,209 $214,003
=========================
