nvcsrs
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21547
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EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: |
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Calamos Global Total Return Fund |
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: |
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2020 Calamos Court, Naperville, |
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Illinois 60563-2787 |
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NAME AND ADDRESS OF AGENT FOR SERVICE: |
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John P. Calamos, Sr., President |
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Calamos Advisors LLC |
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2020 Calamos Court |
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Naperville, Illinois |
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60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2009
DATE OF REPORTING PERIOD: November 1, 2008 through April 30, 2009
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ITEM 1.
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REPORTS TO
SHAREHOLDERS
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Include a copy of the report transmitted to stockholders
pursuant to
Rule 30e-1
under the Act (17 CFR 270.
30e-1).
Managing Your
Calamos Funds Investments
Calamos Investments offers several convenient means to monitor,
manage and feel confident about your Calamos investment choice.
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TABLE OF
CONTENTS
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Letter to Shareholders
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1
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Investment Team Discussion
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3
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Schedule of Investments
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4
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Statement of Assets and Liabilities
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9
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Statement of Operations
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10
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Statements of Changes In Net Assets
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11
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Statement of Cash Flows
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12
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Notes to Financial Statements
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13
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Financial Highlights
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21
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Report of Independent Registered Public Accounting Firm
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22
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About Closed-End Funds
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26
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Level Rate Distribution Policy and Automatic Dividend
Reinvestment Plan
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27
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The Calamos Investments Advantage
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28
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Calamos Closed-End Funds
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29
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PERSONAL
ASSISTANCE
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800.582.6959
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Dial this toll-free number to speak with a knowledgeable Client
Services Representative who can help answer questions or address
issues concerning your Calamos Fund
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YOUR FINANCIAL
ADVISOR
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We encourage you to talk to your financial advisor to determine
how Calamos Investments can benefit your investment portfolio
based on your financial goals, risk tolerance, time horizon and
income needs
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Go
Paperless!
Sign Up for
e-Delivery
Its convenient, timely and helps reduce mailbox clutter.
You can view shareholder communications, including fund
prospectuses, annual reports and other shareholder materials
online long before the printed publications would have arrived
by traditional mail.
Visit www.calamos.com and sign up for
e-delivery.
Visit
www.calamos.com for timely fund performance, detailed
fund profiles,
fund news and insightful market commentary.
About the Fund
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The Fund is managed to according to a level distribution policy,
with distributions composed of dividend income, interest income,
and realized short-term and long-term gains.
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As part of its total return approach, CGO provides a competitive
stream of income paid out on a monthly basis.
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The Funds dynamic asset allocation approach and broad
investment universeincluding equities, higher-yielding
convertible and corporate bondsprovides enhanced
opportunities for income and total returns.
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Invests in U.S. and
non-U.S. markets.
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Dear Fellow Shareholder:
Enclosed is your semiannual report for the six months ended
April 30, 2009. We appreciate the opportunity to correspond
with you. Please carefully review this report, which includes
Fund commentary from our investment team. The report also
includes a listing of portfolio holdings, financial data and
highlights, as well as detailed information about the
performance and allocations of the Fund.
Early in the reporting period, we saw a continuation of
extraordinary markets that unfolded in the summer of 2008.
Throughout the opening months of the period, the markets
reflected the anguish around the health of the financial system.
Anxiety about the credit crisis, financial and auto industries,
government stimulus plans and economic data contributed to a
climate of extreme investor pessimism. Even securities issued by
fundamentally strong companies saw their values plummet as the
markets were roiled by volatility. These widespread declines
continued through March 9, when the S&P 500 bottomed
out at 676.53, a
13-year low.
However, the tide changed markedly during the later portion of
the period, with markets staging a robust and much-welcomed
rally off March lows. Investor sentiment was boosted by
improving conditions in the credit markets, signs of life in the
new issue debt markets, an upturn in global trade, strengthening
in the manufacturing sector, increased business activity,
rebounding mortgage applications and indications of housing
starts reaching a short-term bottom. Central banks and
governments around the world remained focused on shoring up
investor confidence and attempting to stimulate normal economic
activity.
Given the recent extreme gyrations, many investors wonder if the
markets are poised for a lasting rebound or if another downturn
looms ahead. The fact remains that bear and bull markets can
only be identified in hindsight. Because of this, we caution
against trying to time the turns. Instead, we
encourage investors to follow a patient and disciplined
approach, guided by their long-term objectives and risk
tolerance. Its important to remember that opportunities
exist in turbulent types of market environments. We believe the
difference is that in the down markets, experience matters.
Since our early days in the 1970s, weve invested through
many difficult periods. Although every market is different, we
believe that our time-tested one team, one process approach,
long-term perspective and exacting independent research will
allow us to position the Fund advantageously for the road ahead.
We comprehensively evaluate companies and securities on their
independent merits, within each portfolio as a whole, and also
within the context of the evolving political and economic
landscape.
Systemic risk has begun to abate; we have seen encouraging signs
that the investing environment has improved. However, the global
economy must address a confluence of economic, political and
market influences. This will take time, and trial and error. We
would not be surprised if we see volatile sideways-moving
markets for the next several years. Nonetheless, we are looking
positively to the future. We believe that emotion-driven selling
has created select opportunities for long-term investors, across
numerous asset classes. Many securities are trading at extremely
attractive prices given their issuers underlying
fundamentals.
Broadly speaking, we continue to favor issuers with stronger
balance sheets and the ability to grow without relying on the
capital markets. We emphasize companies with
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Global Total Return Fund
Letter to
Shareholders SEMIANNUAL
REPORT
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1
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global leadership positions, well-recognized brands and capable
management teams. Our investment process also reflects long-term
thematic influences, such as productivity improvements,
globalization, and infrastructure building.
Shortly after the beginning of the reporting period, the
Funds Board of Trustees elected to reduce the
distributions in response to the very challenging market
environment. We believe that the Funds current
distribution rate remains competitive in this interest rate
environment, compared to other investment vehicles. The Board
continues to monitor economic conditions and will set the
distribution rate accordingly.
If you have any questions about your portfolio, please speak to
your financial advisor or contact us at 800.582.6959, Monday
through Friday from 8:00 a.m. to 6:00 p.m., Central
Time. I also encourage you to visit our website at calamos.com
on a regular basis, for updated commentary and more information
about your funds.
We thank you for the opportunity to help you achieve your
investment goals and look forward to serving you in the years to
come.
Sincerely,
John P. Calamos, Sr.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
This report is for informational purposes and should not be
considered investment advice.
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2
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Global Total Return Fund
SEMIANNUAL
REPORT Letter to
Shareholders
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Investment Team
Discussion
TOTAL
RETURN*
Common
Shares Inception 10/27/05
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6
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Since
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Months
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1 Year
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Inception**
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On Share Price
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10.91%
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-33.09%
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-3.75%
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On NAV
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11.14%
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-26.73%
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2.12%
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*Total return measures net investment income and capital gain or
loss from portfolio investments, assuming reinvestment of income
and capital gains distributions.
**Annualized since inception.
The Calamos Investment Management Team, led by Co-Chief
Investment Officers John P. Calamos, Sr. and Nick P.
Calamos, CFA, discusses the Funds performance, strategy
and positioning during the
6-month
period ended April 30, 2009.
Calamos Global Total Return Fund (CGO) seeks total return
through a combination of capital appreciation and current income
by investing in a globally diversified portfolio of equities,
convertible securities and below-investment-grade (high-yield)
fixed-income securities. Taking a defensive approach to global
growth, the Fund seeks to participate in any long-term upward
trends of the global equity markets but with the added
benefit and potential downside
protection of a stable monthly distribution. By
combining equities, convertible bonds and higher-yielding
corporate securities from around the globe, the Fund seeks to
generate capital gains as well as income, taking advantage of
its flexibility to manage risk and reward over the course of the
global economys cycle. The strategy rewarded investors for
the period, as the Fund outperformed the broad global market by
a wide margin.
The underlying portfolio (as represented by net asset value, or
NAV) of Calamos Global Total Return Fund (CGO) rose 11.14% for
the 6-month
period ended April 30, 2009, compared to the MSCI World
Index1
decline of −5.09%. On a market price basis, the Fund
returned 10.91% assuming reinvestment of distributions.
SECTOR
ALLOCATION
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Information Technology
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22.4
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%
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Health Care
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13.9
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Consumer Discretionary
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12.1
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Financials
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11.4
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Energy
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9.7
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Consumer Staples
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8.4
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Materials
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7.5
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Industrials
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6.0
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Telecommunication Services
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4.5
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Utilities
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0.5
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Sector allocations are based on managed assets and may vary over
time.
SINCE
INCEPTION MARKET PRICE AND NAV HISTORY
Relative to the MSCI World Index, value was added in all sectors
during the period. The Funds underweight position and good
selection in the financial sector, in particular in the
diversified financial services and specialized finance
industries, added the most value during the period. While
financials have underperformed for quite some time due to the
credit crisis, the sector had a strong rebound in March and
April. Security selection in the energy sector added to relative
returns. Security selection in the consumer-staples sector,
especially in the packaged foods industry, also contributed to
relative returns. The portfolio continued to benefit from high
volatility that boosted income from call options sold against
the equity portion of the portfolio.
1 The
MSCI World Index (U.S. dollars) is a market capitalization
weighted index composed of companies that represent the market
structure of developed market countries in North America, Europe
and the Asia/Pacific region. Source: Lipper, Inc.
This report is presented for informational purposes and
should not be considered investment advice.
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Global Total Return Fund
Investment Team
Discussion SEMIANNUAL
REPORT
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3
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Schedule of
Investments
APRIL 30,
2009 (UNAUDITED)
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PRINCIPAL
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AMOUNT
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VALUE
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CORPORATE BONDS
(26.9%)
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Consumer Discretionary (9.0%)
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2,022,000
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DIRECTV Financing Company,
Inc.~
8.375%, 03/15/13
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$
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2,062,440
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981,000
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Expedia,
Inc.¹
7.460%, 08/15/18
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892,710
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1,840,000
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Goodyear Tire & Rubber
Company¹
7.860%, 08/15/11
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1,720,400
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1,963,000
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MGM Mirage
8.375%, 02/01/11
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814,645
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1,963,000
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Royal Caribbean Cruises,
Ltd.¹
7.250%, 06/15/16
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1,315,210
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1,963,000
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Service Corp. International
7.500%, 04/01/27
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1,526,232
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8,331,637
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Consumer Staples (3.3%)
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1,472,000
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Del Monte Foods
Company¹
8.625%, 12/15/12
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1,508,800
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1,963,000
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Pilgrims Pride Corp.**
7.625%, 05/01/15
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1,585,123
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3,093,923
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Energy (1.6%)
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608,000
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Frontier Oil
Corp.¹
8.500%, 09/15/16
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604,960
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736,000
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Petróleo Brasileiro,
SA¹
8.375%, 12/10/18
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835,360
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1,440,320
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Financials (0.8%)
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903,000
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Leucadia National
Corp.¹
8.125%, 09/15/15
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763,035
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Health Care (1.9%)
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1,766,000
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HCA,
Inc.~
9.250%, 11/15/16
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1,752,755
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Industrials (1.7%)
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1,766,000
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H&E Equipment Service,
Inc.¹
8.375%, 07/15/16
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1,209,710
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402,000
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SPX
Corp.~
7.625%, 12/15/14
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398,985
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1,608,695
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Information Technology (2.7%)
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2,650,000
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SunGard Data Systems, Inc.
9.125%, 08/15/13
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2,544,000
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Materials (3.1%)
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834,000
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Anglo American, PLC*
9.375%, 04/08/14
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866,284
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1,963,000
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Mosaic
Company*~
7.625%, 12/01/16
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1,975,620
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2,841,904
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Telecommunication Services (2.2%)
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1,668,000
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Frontier Communications
Corp.~
9.000%, 08/15/31
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1,334,400
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736,000
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Windstream Corp.
8.625%, 08/01/16
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736,000
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2,070,400
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Utilities (0.6%)
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981,000
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Energy Future Holdings Corp.
10.250%, 11/01/15
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561,623
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TOTAL CORPORATE BONDS
(Cost $28,861,312)
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25,008,292
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CONVERTIBLE BONDS
(27.4%)
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Consumer Discretionary (2.1%)
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800,000
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EUR
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Adidas, AG
2.500%, 10/08/18
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1,268,004
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85,000,000
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JPY
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Yamada Denki Company,
Ltd.¹
0.000%, 03/31/15
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686,189
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1,954,193
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Consumer Staples (0.7%)
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75,000,000
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JPY
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Asahi Breweries,
Ltd.¹
0.000%, 05/26/28
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647,413
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Energy (5.7%)
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Chesapeake Energy Corp.
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1,380,000
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2.500%, 05/15/37
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1,005,675
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410,000
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2.500%, 05/15/37
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298,787
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3,400,000
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Petroleum Geo-Services
ASA¹
2.700%, 12/03/12
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1,700,000
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800,000
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Petroplus Holdings, AG
3.375%, 03/26/13
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670,000
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1,700,000
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Transocean, Ltd. - Class
A¹
1.625%, 12/15/37
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1,591,625
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5,266,087
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Financials (0.8%)
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700,000
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Leucadia National
Corp.~
3.750%, 04/15/14
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773,500
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Health Care (4.2%)
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1,400,000
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China Medical Technologies,
Inc.¹
4.000%, 08/15/13
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796,250
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1,200,000
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Medtronic,
Inc.~
1.625%, 04/15/13
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1,087,500
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1,800,000
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Teva Pharmaceutical Industries,
Ltd.¹
1.750%, 02/01/26
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1,968,750
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3,852,500
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Industrials (3.6%)
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1,175,000
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Quanta Services,
Inc.~
3.750%, 04/30/26
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1,345,375
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4
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Global Total Return Fund
SEMIANNUAL
REPORT Schedule of
Investments
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See accompanying Notes to Schedule
of Investments
Schedule of
Investments
APRIL 30,
2009 (UNAUDITED)
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PRINCIPAL
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AMOUNT
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VALUE
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600,000
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EUR
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SGL Carbon, AG
0.750%, 05/16/13
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$
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692,123
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Suntech Power Holdings Company,
Ltd.¹
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995,000
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0.250%, 02/15/12
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896,744
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700,000
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3.000%, 03/15/13
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423,500
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3,357,742
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Information Technology (4.9%)
|
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4,200,000
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EUR
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Cap Gemini,
SA¹
1.000%, 01/01/12
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2,257,817
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2,700,000
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Intel
Corp.¹
2.950%, 12/15/35
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2,328,750
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|
|
|
|
|
|
|
|
4,586,567
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (3.0%)
|
|
|
|
|
Newmont Mining
Corp.¹
|
|
|
|
|
|
1,350,000
|
|
|
1.625%, 07/15/17
|
|
|
1,474,875
|
|
|
1,100,000
|
|
|
3.000%, 02/15/12
|
|
|
1,313,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,788,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (2.4%)
|
|
2,400,000
|
|
|
NII Holdings,
Inc.¹
2.750%, 08/15/25
|
|
|
2,211,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $30,302,384)
|
|
|
25,437,002
|
|
|
|
|
|
|
|
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES
(0.6%)
|
Corporate Bonds (0.5%)
|
|
|
|
|
Consumer Discretionary (0.2%)
|
|
38,000
|
|
|
DIRECTV Financing Company,
Inc.~
8.375%, 03/15/13
|
|
|
38,760
|
|
|
19,000
|
|
|
Expedia,
Inc.¹
7.460%, 08/15/18
|
|
|
17,290
|
|
|
35,000
|
|
|
Goodyear Tire & Rubber
Company¹
7.860%, 08/15/11
|
|
|
32,725
|
|
|
37,000
|
|
|
MGM Mirage
8.375%, 02/01/11
|
|
|
15,355
|
|
|
37,000
|
|
|
Royal Caribbean Cruises,
Ltd.¹
7.250%, 06/15/16
|
|
|
24,790
|
|
|
37,000
|
|
|
Service Corp. International
7.500%, 04/01/27
|
|
|
28,767
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
157,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.1%)
|
|
28,000
|
|
|
Del Monte Foods
Company¹
8.625%, 12/15/12
|
|
|
28,700
|
|
|
37,000
|
|
|
Pilgrims Pride Corp.**
7.625%, 05/01/15
|
|
|
29,878
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,578
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.0%)
|
|
12,000
|
|
|
Frontier Oil
Corp.¹
8.500%, 09/15/16
|
|
|
11,940
|
|
|
14,000
|
|
|
Petróleo Brasileiro,
SA¹
8.375%, 12/10/18
|
|
|
15,890
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.0%)
|
|
17,000
|
|
|
Leucadia National
Corp.¹
8.125%, 09/15/15
|
|
|
14,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%)
|
|
34,000
|
|
|
HCA,
Inc.~
9.250%, 11/15/16
|
|
|
33,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.0%)
|
|
34,000
|
|
|
H&E Equipment Service,
Inc.¹
8.375%, 07/15/16
|
|
|
23,290
|
|
|
8,000
|
|
|
SPX
Corp.~
7.625%, 12/15/14
|
|
|
7,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.1%)
|
|
50,000
|
|
|
SunGard Data Systems, Inc.
9.125%, 08/15/13
|
|
|
48,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.1%)
|
|
16,000
|
|
|
Anglo American, PLC*
9.375%, 04/08/14
|
|
|
16,619
|
|
|
37,000
|
|
|
Mosaic
Company*~
7.625%, 12/01/16
|
|
|
37,238
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,857
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.0%)
|
|
32,000
|
|
|
Frontier Communications
Corp.~
9.000%, 08/15/31
|
|
|
25,600
|
|
|
14,000
|
|
|
Windstream Corp.
8.625%, 08/01/16
|
|
|
14,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.0%)
|
|
19,000
|
|
|
Energy Future Holdings Corp.
10.250%, 11/01/15
|
|
|
10,878
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
475,770
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
Purchased Options (0.1%)#
|
|
|
|
|
Consumer Discretionary (0.0%)
|
|
250
|
|
|
Grupo Televisa, SA
Call, 01/16/10, Strike $25.00
|
|
|
10,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%)
|
|
180
|
|
|
Sysco Corp.
Call, 01/16/10, Strike $30.00
|
|
|
7,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Total Return Fund
Schedule of
Investments SEMIANNUAL
REPORT
|
|
|
|
5
|
See accompanying Notes to Schedule
of Investments
Schedule of
Investments
APRIL 30,
2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
|
|
|
|
Industrials (0.0%)
|
|
130
|
CHF
|
|
ABB, Ltd.
Call, 06/18/10, Strike $24.00
|
|
$
|
11,162
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.1%)
|
|
130
|
|
|
QUALCOMM, Inc.
Call, 01/16/10, Strike $45.00
|
|
|
55,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
|
|
|
83,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $1,007,186)
|
|
|
559,707
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
CONVERTIBLE PREFERRED STOCKS
(8.6%)
|
|
|
|
|
Consumer Staples (1.7%)
|
|
22,000
|
|
|
Archer Daniels Midland
Company¹
6.250%
|
|
|
737,440
|
|
|
|
|
|
Bunge, Ltd.
|
|
|
|
|
|
7,800
|
|
|
4.875%
|
|
|
537,225
|
|
|
675
|
|
|
5.125%
|
|
|
329,062
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,603,727
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (3.9%)
|
|
17,000
|
|
|
American International Group,
Inc.¹
8.500%
|
|
|
86,870
|
|
|
2,700
|
|
|
Bank of America
Corp.¹
7.250%
|
|
|
1,579,500
|
|
|
60,000
|
|
|
Citigroup, Inc.
6.500%
|
|
|
1,896,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,562,370
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.0%)
|
|
4,500
|
|
|
Schering-Plough Corp.
6.000%
|
|
|
950,580
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.0%)
|
|
115
|
CHF
|
|
Givaudan,
SA¹
5.375%
|
|
|
680,116
|
|
|
34,000
|
|
|
Vale Capital, Ltd. (Companhia Vale do Rio Doce)Δ
5.500%
|
|
|
1,190,340
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,870,456
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $10,816,025)
|
|
|
7,987,133
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS (63.8%)
|
|
|
|
|
Consumer Discretionary (4.8%)
|
|
20,000
|
|
|
Nike, Inc. - Class
B¹
|
|
|
1,049,400
|
|
|
55,000
|
JPY
|
|
Panasonic Corp.
|
|
|
806,001
|
|
|
90,000
|
CHF
|
|
Swatch Group,
AG¹
|
|
|
2,581,119
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,436,520
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (5.3%)
|
|
48,000
|
|
|
Coca-Cola
Company¹
|
|
|
2,066,400
|
|
|
50,000
|
GBP
|
|
Diageo,
PLC¹
|
|
|
596,487
|
|
|
70,000
|
CHF
|
|
Nestlé,
SA¹
|
|
|
2,281,771
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,944,658
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (5.6%)
|
|
210,000
|
GBP
|
|
BP, PLC
|
|
|
1,483,992
|
|
|
17,000
|
|
|
Chevron
Corp.¹
|
|
|
1,123,700
|
|
|
70,000
|
|
|
Halliburton Company
|
|
|
1,415,400
|
|
|
24,000
|
EUR
|
|
TOTAL, SA
|
|
|
1,200,858
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,223,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (9.5%)
|
|
105,000
|
AUD
|
|
ASX,
Ltd.¹
|
|
|
2,489,157
|
|
|
50,000
|
EUR
|
|
Banco Santander,
SA#¹
|
|
|
480,947
|
|
|
52,000
|
|
|
JPMorgan Chase & Company
|
|
|
1,716,000
|
|
|
140,000
|
GBP
|
|
Schroders, PLC
|
|
|
1,695,573
|
|
|
350,000
|
SGD
|
|
Singapore Exchange,
Ltd.¹
|
|
|
1,468,116
|
|
|
65,000
|
GBP
|
|
Standard Chartered, PLC
|
|
|
1,005,501
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,855,294
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (11.2%)
|
|
29,000
|
|
|
Alcon,
Inc.¹
|
|
|
2,668,290
|
|
|
38,000
|
AUD
|
|
CSL, Ltd.
|
|
|
946,958
|
|
|
53,000
|
|
|
Johnson &
Johnson¹
|
|
|
2,775,080
|
|
|
60,000
|
|
|
Merck & Company,
Inc.¹
|
|
|
1,454,400
|
|
|
38,000
|
DKK
|
|
Novo Nordisk, A/S - Class
B¹
|
|
|
1,808,072
|
|
|
6,000
|
CHF
|
|
Roche Holding,
AG¹
|
|
|
756,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,409,425
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.5%)
|
|
41,000
|
CHF
|
|
ABB,
Ltd.#¹
|
|
|
580,410
|
|
|
52,000
|
|
|
General Electric
Company¹
|
|
|
657,800
|
|
|
16,000
|
EUR
|
|
Siemens,
AG¹
|
|
|
1,075,756
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,313,966
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (21.8%)
|
|
80,000
|
GBP
|
|
Autonomy Corp.,
PLC#¹
|
|
|
1,678,327
|
|
|
37,000
|
JPY
|
|
Canon,
Inc.¹
|
|
|
1,107,251
|
|
|
185,000
|
|
|
Dell,
Inc.#¹
|
|
|
2,149,700
|
|
|
74,000
|
|
|
Infosys Technologies,
Ltd.¹
|
|
|
2,279,940
|
|
|
34,000
|
|
|
Microsoft
Corp.¹
|
|
|
688,840
|
|
|
15,000
|
JPY
|
|
Nintendo Company,
Ltd.¹
|
|
|
4,032,917
|
|
|
235,000
|
EUR
|
|
Nokia
OYJ¹
|
|
|
3,337,810
|
|
|
100,000
|
BRL
|
|
Redecard, SA
|
|
|
1,258,594
|
|
|
65,000
|
EUR
|
|
SAP,
AG¹
|
|
|
2,499,006
|
|
|
240,000
|
HKD
|
|
VTech Holdings,
Ltd.¹
|
|
|
1,200,371
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,232,756
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Schedule of
Investments
|
See accompanying Notes to Schedule
of Investments
Schedule of
Investments
APRIL 30,
2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
|
|
|
|
Materials (1.8%)
|
|
47,000
|
GBP
|
|
Anglo American, PLC
|
|
$
|
1,011,356
|
|
|
3,000
|
CHF
|
|
Syngenta, AG
|
|
|
640,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,651,828
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.3%)
|
|
38,000
|
|
|
América Móvil, SAB de
CV¹
|
|
|
1,248,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $76,520,022)
|
|
|
59,316,697
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
PURCHASED OPTIONS
(0.0%)#
|
|
|
|
|
Financials (0.0%)
|
|
|
|
|
SPDR Trust Series 1
|
|
|
|
|
|
3,000
|
|
|
Put, 05/16/09, Strike $65.00
|
|
|
9,000
|
|
|
1,000
|
|
|
Put, 05/16/09, Strike $72.00
|
|
|
12,500
|
|
|
1,000
|
|
|
Put, 05/16/09, Strike $67.00
|
|
|
4,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
(Cost $1,526,171)
|
|
|
26,000
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
INVESTMENT IN AFFILIATED FUND
(7.3%)
|
|
6,780,886
|
|
|
Calamos Government Money Market Fund
- Class I Shares
(Cost $6,780,886)Ω
|
|
|
6,780,886
|
|
TOTAL INVESTMENTS (134.6%)
(Cost $155,813,986)
|
|
|
125,115,717
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-34.6%)
|
|
|
(32,179,062
|
)
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%)
|
|
$
|
92,936,655
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
WRITTEN OPTIONS
(-3.4%)#
|
|
|
|
|
Financials (-3.4%)
|
|
|
|
|
iShares MSCI EAFE Index Fund
|
|
|
|
|
|
1,800
|
|
|
Call, 06/20/09, Strike $40.00
|
|
|
(594,000
|
)
|
|
900
|
|
|
Call, 06/20/09, Strike $39.00
|
|
|
(364,500
|
)
|
|
650
|
|
|
Call, 06/20/09, Strike $34.00
|
|
|
(533,000
|
)
|
|
500
|
|
|
Call, 06/20/09, Strike $35.00
|
|
|
(365,000
|
)
|
|
|
|
|
SPDR Trust Series 1
|
|
|
|
|
|
1,000
|
|
|
Call, 06/20/09, Strike $83.00
|
|
|
(675,000
|
)
|
|
600
|
|
|
Call, 06/20/09, Strike $78.00
|
|
|
(631,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,163,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $1,276,702)
|
|
|
(3,163,000
|
)
|
|
|
|
|
|
|
|
|
|
NOTES TO
SCHEDULE OF INVESTMENTS
|
|
|
¹
|
|
Security, or portion of security,
is held in a segregated account as collateral for loans
aggregating a total value of $75,004,306.
|
*
|
|
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. At April 30, 2009, the
value of 144A securities that could not be exchanged to the
registered form is $882,904 or 0.95% of net assets applicable to
common shareholders.
|
**
|
|
On December 1, 2008,
Pilgrims Pride Corp. filed for bankruptcy protection.
|
#
|
|
Non-income producing security.
|
Δ
|
|
Securities exchangeable or
convertible into securities of one or more entities that are
different than the issuer. Each entity is identified in the
parenthetical.
|
~
|
|
Security, or portion of security,
is held in a segregated account as collateral for written
options aggregating a total value of $10,873,858.
|
Ω
|
|
Investment in an affiliated fund.
During the period from November 1, 2008, through
April 30, 2009, the fund had net purchases of $3,334,156
and earned $42,156 in dividends from the affiliated fund. As of
October 31, 2008 the fund had holdings of $3,446,730 in the
affiliated fund.
|
FOREIGN CURRENCY
ABBREVIATIONS
|
|
|
AUD
|
|
Australian Dollar
|
BRL
|
|
Brazilian Real
|
CHF
|
|
Swiss Franc
|
DKK
|
|
Danish Krone
|
EUR
|
|
European Monetary Unit
|
GBP
|
|
British Pound Sterling
|
HKD
|
|
Hong Kong Dollar
|
JPY
|
|
Japanese Yen
|
SGD
|
|
Singapore Dollar
|
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
shown on options represents the expiration date on the option
contract. The option contract may be exercised at any date on or
before the date shown.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
Fixed Rate
|
|
Floating Rate
|
|
Termination
|
|
Notional
|
|
|
Swap Counterparty
|
|
(Fund Pays)
|
|
(Fund Receives)
|
|
Date
|
|
Amount
|
|
Unrealized
|
|
|
BNP Paribas SA
|
|
2.020 BPS Quarterly
|
|
|
3 month LIBOR
|
|
|
|
3/9/2012
|
|
|
8,000,000
|
|
$
|
(48,941
|
)
|
BNP Paribas SA
|
|
2.535 BPS Quarterly
|
|
|
3 month LIBOR
|
|
|
|
3/9/2014
|
|
|
12,000,000
|
|
$
|
(60,715
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(109,656
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Total Return Fund
Schedule of
Investments SEMIANNUAL
REPORT
|
|
|
|
7
|
See accompanying Notes to Financial
Statements
Schedule of
Investments
CURRENCY
EXPOSURE April 30, 2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
% of Total Investments
|
|
|
|
US Dollar
|
|
|
$77,686,446
|
|
|
|
63.7%
|
|
|
|
European Monetary Unit
|
|
|
12,812,321
|
|
|
|
10.5%
|
|
|
|
Swiss Franc
|
|
|
7,531,675
|
|
|
|
6.2%
|
|
|
|
British Pound Sterling
|
|
|
7,471,236
|
|
|
|
6.1%
|
|
|
|
Japanese Yen
|
|
|
7,279,771
|
|
|
|
6.0%
|
|
|
|
Australian Dollar
|
|
|
3,436,115
|
|
|
|
2.8%
|
|
|
|
Danish Krone
|
|
|
1,808,072
|
|
|
|
1.5%
|
|
|
|
Singapore Dollar
|
|
|
1,468,116
|
|
|
|
1.2%
|
|
|
|
Brazilian Real
|
|
|
1,258,594
|
|
|
|
1.0%
|
|
|
|
Hong Kong Dollar
|
|
|
1,200,371
|
|
|
|
1.0%
|
|
|
|
Total Investments Net of Written Options
|
|
|
$121,952,717
|
|
|
|
100.0%
|
|
|
|
Currency exposure may vary over time.
|
|
|
8
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Schedule of
Investments
|
See accompanying Notes to Financial
Statements
Statement of Assets
and Liabilities
|
|
|
|
|
|
|
April 30, 2009 (unaudited)
|
|
ASSETS
|
Investments in securities, at value (cost $149,033,100)
|
|
$
|
118,334,831
|
|
|
|
Investments in affiliated fund (cost $6,780,886)
|
|
|
6,780,886
|
|
|
|
Cash with custodian (interest bearing)
|
|
|
49,149
|
|
|
|
Foreign currency (cost $99,634)
|
|
|
99,304
|
|
|
|
Accrued interest and dividends receivables
|
|
|
1,180,344
|
|
|
|
Prepaid expenses
|
|
|
36,371
|
|
|
|
Other assets
|
|
|
25,196
|
|
|
|
|
|
Total assets
|
|
|
126,506,081
|
|
|
|
|
|
|
LIABILITIES
|
Options written, at value (premium $1,276,702)
|
|
|
3,163,000
|
|
|
|
Unrealized depreciation on swaps
|
|
|
109,656
|
|
|
|
Payables:
|
|
|
|
|
|
|
Note payable
|
|
|
30,000,000
|
|
|
|
Affiliates:
|
|
|
|
|
|
|
Investment advisory fees
|
|
|
97,334
|
|
|
|
Deferred compensation to trustees
|
|
|
25,196
|
|
|
|
Financial accounting fees
|
|
|
1,143
|
|
|
|
Trustees fees and officer compensation
|
|
|
4,116
|
|
|
|
Other accounts payable and accrued liabilities
|
|
|
168,981
|
|
|
|
|
|
Total liabilities
|
|
|
33,569,426
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
|
|
$
|
92,936,655
|
|
|
|
|
|
|
COMPOSITION OF NET ASSETS
APPLICABLE TO COMMON SHAREHOLDERS
|
Common stock, no par value, unlimited shares authorized
8,006,981 shares issued and outstanding
|
|
$
|
113,410,723
|
|
|
|
Undistributed net investment income (loss)
|
|
|
(2,871,652
|
)
|
|
|
Accumulated net realized gain (loss) on investments, written
options, foreign currency transactions, and swaps
|
|
|
15,096,569
|
|
|
|
Unrealized appreciation (depreciation) of investments, written
options, foreign currency translations, and swaps
|
|
|
(32,698,985
|
)
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
|
|
$
|
92,936,655
|
|
|
|
|
|
Net asset value per common share based on 8,006,981 shares
issued and outstanding
|
|
$
|
11.61
|
|
|
|
|
|
|
|
|
|
|
Global Total Return Fund
Statement of Assets and
Liabilities SEMIANNUAL
REPORT
|
|
|
|
9
|
See accompanying Notes to Financial
Statements
Statement of
Operations
|
|
|
|
|
|
|
Six Months Ended April 30, 2009 (unaudited)
|
|
|
|
|
|
|
INVESTMENT INCOME
|
Interest
|
|
$
|
1,943,919
|
|
|
|
Dividends (Net of foreign taxes withheld of $66,488)
|
|
|
1,323,932
|
|
|
|
Dividends from affiliates
|
|
|
45,156
|
|
|
|
|
|
Total investment income
|
|
|
3,313,007
|
|
|
|
|
|
|
EXPENSES
|
Investment advisory fees
|
|
|
584,290
|
|
|
|
Financial accounting fees
|
|
|
6,808
|
|
|
|
Transfer agent fees
|
|
|
13,047
|
|
|
|
Accounting fees
|
|
|
4,427
|
|
|
|
Audit fees
|
|
|
12,654
|
|
|
|
Arrangement fee
|
|
|
73,142
|
|
|
|
Custodian fees
|
|
|
17,907
|
|
|
|
Printing and mailing fees
|
|
|
48,735
|
|
|
|
Registration fees
|
|
|
12,052
|
|
|
|
Trustees fees and officer compensation
|
|
|
13,570
|
|
|
|
Interest expense
|
|
|
498,670
|
|
|
|
Other
|
|
|
4,390
|
|
|
|
|
|
Total expenses
|
|
|
1,289,692
|
|
|
|
Less expense reduction
|
|
|
(6,839
|
)
|
|
|
|
|
Net expenses
|
|
|
1,282,853
|
|
|
|
|
|
NET INVESTMENT INCOME (LOSS)
|
|
|
2,030,154
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN
(LOSS)
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
Investments, excluding purchased options
|
|
|
(1,966,676
|
)
|
|
|
Purchased options
|
|
|
11,492,591
|
|
|
|
Foreign currency transactions
|
|
|
93,464
|
|
|
|
Written options
|
|
|
3,724,617
|
|
|
|
Change in net unrealized appreciation/depreciation on:
|
|
|
|
|
|
|
Investments, excluding purchased options
|
|
|
6,921,478
|
|
|
|
Purchased options
|
|
|
(11,673,969
|
)
|
|
|
Foreign currency translations
|
|
|
1,280
|
|
|
|
Written options
|
|
|
(2,079,582
|
)
|
|
|
Swaps
|
|
|
(109,656
|
)
|
|
|
|
|
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
|
|
6,403,547
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
|
|
8,433,701
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS
|
|
$
|
8,433,701
|
|
|
|
|
|
|
|
|
10
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Statement of
Operations
|
See accompanying Notes to Financial
Statements
Statements of
Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
Ended
|
|
Year Ended
|
|
|
April 30, 2009
|
|
October 31,
|
|
|
(Unaudited)
|
|
2008
|
|
|
OPERATIONS
|
Net investment income (loss)
|
|
$
|
2,030,154
|
|
|
$
|
5,867,286
|
|
Net realized gain (loss) from investments in securities, written
options, foreign currency transactions, and swaps
|
|
|
13,343,996
|
|
|
|
7,787,601
|
|
Change in net unrealized appreciation/depreciation on investment
in securities, written options, foreign currency translations,
and swaps
|
|
|
(6,940,449
|
)
|
|
|
(79,757,537
|
)
|
Distributions to preferred shareholders from:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
(742,082
|
)
|
Capital gains
|
|
|
|
|
|
|
(758,895
|
)
|
|
|
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations
|
|
|
8,433,701
|
|
|
|
(67,603,627
|
)
|
|
|
|
DISTRIBUTIONS TO COMMON
SHAREHOLDERS FROM
|
Net investment income
|
|
|
(4,555,172
|
)
|
|
|
(9,167,996
|
)
|
Capital gains
|
|
|
(698,209
|
)
|
|
|
(1,841,607
|
)
|
|
|
Net decrease in net assets from distributions to common
shareholders
|
|
|
(5,253,381
|
)
|
|
|
(11,009,603
|
)
|
|
|
|
CAPITAL STOCK
TRANSACTIONS
|
Offering costs on common shares
|
|
|
|
|
|
|
(181,038
|
)
|
|
|
Net increase (decrease) in net assets from capital stock
transactions
|
|
|
|
|
|
|
(181,038
|
)
|
|
|
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
|
|
|
3,180,320
|
|
|
|
(78,794,268
|
)
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
|
Beginning of period
|
|
$
|
89,756,335
|
|
|
$
|
168,550,603
|
|
|
|
End of period
|
|
|
92,936,655
|
|
|
|
89,756,335
|
|
|
|
Undistributed net investment income (loss)
|
|
$
|
(2,871,652
|
)
|
|
$
|
(346,634
|
)
|
|
|
|
|
|
Global Total Return Fund
Statements of Changes in Net
Assets SEMIANNUAL
REPORT
|
|
|
|
11
|
See accompanying Notes to Financial
Statements
Statement of Cash
Flows
|
|
|
|
|
|
|
Six Months Ended April, 30, 2009 (unaudited)
|
|
|
|
|
|
|
|
|
CASH FLOWS FROM OPERATING
ACTIVITIES:
|
Net increase/(decrease) in net assets from operations
|
|
$
|
8,433,701
|
|
|
|
Adjustments to reconcile net increase/(decrease) in net assets
from operations to net cash used in operating activities:
|
|
|
|
|
|
|
Change in unrealized appreciation or depreciation on swaps
|
|
|
109,656
|
|
|
|
Change in written options
|
|
|
2,178,863
|
|
|
|
Purchase of investment securities
|
|
|
(34,127,525
|
)
|
|
|
Proceeds from disposition of investment securities
|
|
|
43,361,044
|
|
|
|
Amortization and accretion of fixed-income securities
|
|
|
(479,161
|
)
|
|
|
Purchase of short term investments, net
|
|
|
(3,334,156
|
)
|
|
|
Net realized gains/losses from investments, excluding purchased
options
|
|
|
1,966,676
|
|
|
|
Net realized gains/losses from purchased options
|
|
|
(11,492,591
|
)
|
|
|
Change in unrealized appreciation or depreciation on
investments, excluding purchased options
|
|
|
(6,921,478
|
)
|
|
|
Change in unrealized appreciation or depreciation on purchased
options
|
|
|
11,673,969
|
|
|
|
Net change in assets and liabilities:
|
|
|
|
|
|
|
(Increase)/decrease in assets:
|
|
|
|
|
|
|
Accrued interest and dividends receivable
|
|
|
17,738
|
|
|
|
Prepaid expenses
|
|
|
48,939
|
|
|
|
Other assets
|
|
|
(6,813
|
)
|
|
|
Increase/(decrease) in liabilities:
|
|
|
|
|
|
|
Payables to affiliates
|
|
|
(10,444
|
)
|
|
|
Other accounts payable and accrued liabilities
|
|
|
(37,588
|
)
|
|
|
|
|
Net cash provided by/(used in) operating activities
|
|
$
|
11,380,830
|
|
|
|
|
|
|
CASH FLOWS FROM FINANCING
ACTIVITIES:
|
Distributions to common shareholders
|
|
|
(5,253,381
|
)
|
|
|
Repayments of note payable
|
|
|
(6,000,000
|
)
|
|
|
|
|
Net cash provided by/(used in) financing activities
|
|
$
|
(11,253,381
|
)
|
|
|
|
|
Net increase/(decrease) in cash and foreign currency*
|
|
$
|
127,449
|
|
|
|
|
|
Cash and foreign currency at beginning of the year
|
|
$
|
21,004
|
|
|
|
|
|
Cash and foreign currency at end of the year
|
|
$
|
148,453
|
|
|
|
|
|
Supplemental disclosure
|
|
|
|
|
|
|
Cash paid for interest
|
|
$
|
503,831
|
|
|
|
|
|
* Includes net change in unrealized appreciation or
(depreciation) on foreign currency of ($330)
|
|
|
12
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Statement of Cash
Flows
|
See accompanying Notes to Financial
Statements
Notes to Financial
Statements
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.
The Funds investment objective is to provide total return
through a combination of capital appreciation and current income.
Portfolio Valuation. The valuation of the Funds
portfolio securities is in accordance with policies and
procedures adopted by and under the ultimate supervision of the
board of trustees.
Portfolio securities that are traded on U.S. securities
exchanges, except option securities, are valued at the last
current reported sales price at the time the Fund determines its
net asset value (NAV). Securities traded in the
over-the-counter market and quoted on The NASDAQ Stock Market
are valued at the NASDAQ Official Closing Price, as determined
by NASDAQ, or lacking a NASDAQ Official Closing Price, the last
current reported sale price on NASDAQ at the time a Fund
determines its NAV.
When a most recent 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 securities traded in the
over-the-counter market are valued at the mean between the most
recent bid and asked quotations 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 based on a quotation
provided by the counterparty to such option under the ultimate
supervision of the board of trustees.
Fixed income securities are generally traded in the
over-the-counter market and are valued by independent pricing
services or by dealers who make markets in such securities.
Valuations of fixed income securities consider yield or price of
bonds 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 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
Funds 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 Funds 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.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements SEMIANNUAL
REPORT
|
|
|
|
13
|
Notes to Financial
Statements
When fair value pricing of securities is employed, the prices of
securities used by the Fund to calculate its NAV may differ from
market quotations or official closing prices. In light of the
judgment involved in fair valuations, there can be no assurance
that a fair value assigned to a particular security is accurate.
Investment Transactions. Investment transactions are
recorded on a trade date basis as of April 30, 2009. Net
realized gains and losses from investment transactions are
reported on an identified cost basis. Interest income is
recognized using the accrual method and includes accretion of
original issue and market discount and amortization of premium.
Dividend income is recognized on the ex-dividend date, except
that certain dividends from foreign securities are recorded as
soon as the information becomes available after the ex-dividend
date.
Foreign Currency Translation. Values of investments and
other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars using a rate quoted by a major
bank or dealer in the particular currency market, as reported by
a recognized quotation dissemination service.
The Fund does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market
prices of securities held. Such fluctuations are included with
the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise
from disposition of foreign currency, the difference in the
foreign exchange rates between the trade and settlement dates on
securities transactions, and the difference between the amounts
of dividends, interest and foreign withholding taxes recorded on
the ex-date or accrual date and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes (due to the changes
in the exchange rate) in the value of foreign currency and other
assets and liabilities denominated in foreign currencies held at
prior end.
Allocation of Expenses Among Funds. Expenses directly
attributable to the Fund are charged to the Fund; certain other
common expenses of Calamos Advisors Trust, Calamos Investment
Trust, Calamos Convertible Opportunities and Income Fund,
Calamos Convertible and High Income Fund, Calamos Strategic
Total Return Fund, Calamos Global Total Return Fund and Calamos
Global Dynamic Income Fund are allocated proportionately among
each fund to which the expenses relate in relation to the net
assets of each fund or on another reasonable basis.
Use of Estimates. The preparation of financial statements
in conformity with U.S. 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.
Income Taxes. No provision has been made for U.S. income
taxes because the Funds policy is to continue to qualify
as a regulated investment company under the Internal Revenue
Code of 1986, as amended, and distribute to shareholders
substantially all of its taxable income and net realized gains.
Dividends and distributions paid to shareholders are recorded on
the ex-dividend date. The amount of dividends and distributions
from net investment income and net realized capital gains is
determined in accordance with federal income tax regulations,
which may differ from U.S. generally accepted accounting
principles. To the extent these book/tax differences
are permanent in nature, such amounts are reclassified within
the capital accounts based on their federal tax-basis treatment.
These differences are primarily due to differing treatments for
foreign currency transactions, contingent payment debt
instruments and methods of amortizing and accreting on fixed
income securities. The financial statements are not adjusted for
temporary differences.
The Fund recognized no liability for unrecognized tax benefits
in connection with Financial Accounting Standards Board (FASB)
Interpretation No. 48, Accounting for Uncertainty in
Income Taxes an interpretation of FASB Statement
No. 109. A reconciliation is not provided as the
beginning and ending amounts of unrecognized benefits are zero,
with no interim additions, reductions or settlements. Tax years
2005 2007 remain subject to examination by the U.S. and
the State of Illinois tax jurisdictions.
Indemnifications. Under the Funds organizational
documents, the Fund is obligated to indemnify its officers and
trustees against certain liabilities incurred by them by reason
of having been an officer or trustee of the Fund. In addition,
in the normal course of
|
|
|
14
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
business, the Fund may enter into contracts that provide general
indemnifications to other parties. The Funds maximum
exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that
have not yet occurred. Currently, the Funds management
expects the risk of material loss in connection to a potential
claim to be remote.
New Accounting Pronouncements. Effective November 1,
2008, the Fund adopted the provisions of the Statement of
Financial Accounting Standard No. 157, Fair Value
Measurements (SFAS 157). SFAS 157
defines fair value, establishes a framework for measuring fair
value and expands disclosures about fair value measurements.
SFAS 157 requires disclosure surrounding the various inputs
used to determine a valuation, and these inputs are segregated
into three levels. Tables summarizing the Funds
investments under these levels are shown in the Notes to
Financial Statements, Note 9 Valuations.
Effective November 1, 2008, the Fund adopted the Statement
of Financial Accounting Standards No. 161, Disclosures
about Derivative Instruments and Hedging Activities
(SFAS 161). SFAS 161 requires that objectives for
using derivative instruments be disclosed in terms of underlying
risk and accounting designation. The required disclosures are
reflected in the Schedules of Investments, Statement of
Operations, and in the Notes to Financial Statements,
Note 6 Derivative Instruments.
NOTE 2
INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN
OTHER PARTIES
Pursuant to an investment advisory agreement with Calamos
Advisors LLC (Calamos Advisors), the Fund pays an
annual fee, payable monthly, equal to 1.00% based on the average
weekly managed assets. Calamos Advisors has agreed to waive a
portion of its advisory fee charged to the Fund equal to the
advisory fee paid by Calamos Government Money Market Fund
(GMMF, an affiliated fund and a series of Calamos
Investments Trust) attributable to the Funds investment in
GMMF, based on daily net assets. For the period ended
April 30, 2009, the total advisory fee waived pursuant to
such agreement was $6,839 and is included in the Statement of
Operations under the caption Less expense reduction.
Pursuant to a financial accounting services agreement, the Fund
also pays Calamos Advisors a fee for financial accounting
services payable monthly at the annual rate of 0.0175% on the
first $1 billion of combined assets; 0.0150% on the next
$1 billion of combined assets and 0.0110% on combined
assets above $2 billion (for purposes of this calculation
combined assets means the sum of the total average
daily net assets of Calamos Investment Trust, Calamos Advisors
Trust, and the total average weekly managed assets of Calamos
Convertible and High Income Fund, Calamos Convertible
Opportunities and Income Fund, Calamos Strategic Total Return
Fund, Calamos Global Total Return Fund, and Calamos Global
Dynamic Income Fund). Managed assets means the
Funds total assets (including any assets attributable to
any leverage that may be outstanding) minus total liabilities
(other than debt representing financial leverage). Financial
accounting services include, but are not limited to, the
following: managing expenses and expenses payment processing;
monitoring the calculation of expense accrual amounts;
calculating, tracking and reporting tax adjustments on all
assets and monitoring trustee deferred compensation plan
accruals and valuations. The Fund pays its pro rata share
of the financial accounting services fee to Calamos Advisors
based on its respective assets used in calculating the fee.
The Fund reimburses Calamos Advisors for a portion of
compensation paid to the Funds Chief Compliance Officer.
This compensation is reported as part of Trustees
fee and officer compensation expenses on the Statement of
Operations.
A trustee and certain officers of the Fund are also officers and
directors of Calamos Financial Services LLC (CFS)
and Calamos Advisors. Such trustee and officers serve without
direct compensation from the Fund.
The Fund has adopted a deferred compensation plan (the
Plan). Under the Plan, a trustee who is not an
interested person (as defined in the 1940 Act) and
has elected to participate in the Plan (a participating
trustee) may defer receipt of all or a portion of his
compensation from the Fund. The deferred compensation payable to
the participating trustee is credited to the trustees
deferral account as of the business day such compensation would
have been paid to the participating trustee. The value of amount
deferred for a participating trustee is determined by reference
to the change in value of Class I shares of one or more
funds of Calamos Investment Trust designated by the participant.
The value of the account increases with contributions to the
account or with increases in the value of the measuring shares,
and the value of the account decreases with withdrawals from the
account or with declines in the value of the measuring shares.
Deferred compensation investments of $25,196 are included in
Other assets
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements SEMIANNUAL
REPORT
|
|
|
|
15
|
Notes to Financial
Statements
on the Statement of Assets and Liabilities at April 30,
2009. The Funds obligation to make payments under the Plan
is a general obligation of the Fund and is included in
Payable for deferred compensation to Trustees on the
Statement of Assets and Liabilities at April 30, 2009.
NOTE 3
INVESTMENTS
Purchases and sales of investments, excluding short-term
investments, for the period ended April 30, 2009 were as
follows:
|
|
|
|
|
|
|
Purchases
|
|
$
|
29,127,738
|
|
|
|
Proceeds from sales
|
|
|
43,361,044
|
|
|
|
The following information is presented on a federal income tax
basis as of April 30, 2009. Differences between the cost
basis under U.S. generally accepted accounting principles and
federal income tax purposes are primarily due to temporary
differences.
The cost basis of investments for federal income tax purposes at
April 30, 2009 was as follows:
|
|
|
|
|
|
|
Cost basis of investments
|
|
$
|
156,018,010
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
|
4,781,321
|
|
|
|
Gross unrealized depreciation
|
|
|
(35,683,614
|
)
|
|
|
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
(30,902,293
|
)
|
|
|
|
|
|
|
|
|
NOTE 4
INCOME TAXES
The Fund intends to make monthly distributions from its income
available for distribution, which consists of the Funds
dividends and interest income after payment of Fund expenses,
and net realized gains on stock investments. At least annually,
the Fund intends to distribute all or substantially all of its
net realized capital gains, if any. Distributions are recorded
on the ex-dividend date. The Fund distinguishes between
distributions on a tax basis and a financial reporting basis.
Accounting principles generally accepted in the United States of
America require that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as
a return of capital. Permanent differences between book and tax
accounting relating to distributions are reclassified to
paid-in-capital.
For tax purposes, distributions from short-term capital gains
are considered to be from ordinary income. Distributions in any
year may include a return of capital component. The tax
character of distributions for the period ended April 30,
2009 will be determined at the end of the Funds current
fiscal year.
Distributions during the fiscal year ended October 31, 2008
were characterized for federal income tax purposes as follows:
|
|
|
|
|
|
|
|
Distributions paid from:
|
|
|
|
|
|
|
Ordinary income
|
|
$
|
9,765,379
|
|
|
|
Long-term capital gains
|
|
|
2,753,397
|
|
|
|
As of October 31, 2008, the components of accumulated
earnings/(loss) on a tax basis were as follows:
|
|
|
|
|
|
|
Undistributed ordinary income
|
|
$
|
1,603,063
|
|
|
|
Undistributed capital gains
|
|
|
698,540
|
|
|
|
|
|
|
|
|
|
Total undistributed earnings
|
|
|
2,301,603
|
|
|
|
Accumulated capital and other losses
|
|
|
|
|
|
|
Net unrealized gains/(losses)
|
|
|
(25,925,880
|
)
|
|
|
|
|
|
|
|
|
Total accumulated earnings/(losses)
|
|
|
(23,624,277
|
)
|
|
|
Other
|
|
|
(30,111
|
)
|
|
|
Paid-in capital
|
|
|
113,410,723
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders
|
|
$
|
89,756,335
|
|
|
|
|
|
|
|
|
|
|
|
|
16
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
NOTE 5
COMMON SHARES
There are unlimited common shares of beneficial interest
authorized and 8,006,981 shares outstanding at
April 30, 2009. Calamos Advisors owned 9,286 of the
outstanding shares at April 30, 2009. Transactions in
common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended
|
|
Year Ended
|
|
|
|
|
April 30, 2009
|
|
October 31, 2008
|
|
|
|
|
Beginning shares
|
|
|
8,006,981
|
|
|
|
8,006,981
|
|
|
|
Shares issued through reinvestment of distribution
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending shares
|
|
|
8,006,981
|
|
|
|
8,006,981
|
|
|
|
|
|
|
|
|
|
Notice is hereby given in accordance with Section 23(c) of
the Investment Company Act of 1940 that the Fund may from time
to time purchase its shares of common stock in the open market.
NOTE 6
DERIVATIVE INSTRUMENTS
Foreign Currency Risk. The Fund may engage in portfolio
hedging with respect to changes in currency exchange rates by
entering into foreign currency contracts to purchase or sell
currencies. A forward foreign currency contract is a commitment
to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts
include, among other things, movement in the value of the
foreign currency relative to the U.S. dollar and the ability of
the counterparty to perform. The net unrealized gain, if any,
represents the credit risk to the Fund on a forward foreign
currency contract. The contracts are valued daily at forward
foreign exchange rates and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is
closed or upon settlement of the contracts. There were no open
forward currency contracts at April 30, 2009.
Equity Risk. The Fund may engage in option transactions
and in doing so achieve the similar objectives to what it would
achieve through the sale or purchase of individual securities. A
call option, upon payment of a premium, gives the purchaser of
the option the right to buy, and the seller of the option the
obligation to sell, the underlying security, index or other
instrument at the exercise price. A put option gives the
purchaser of the option, upon payment of a premium, the right to
sell, and the seller the obligation to buy, the underlying
security, index, or other instrument at the exercise price.
To seek to offset some of the risk of a potential decline in
value of certain long positions, the Fund may also purchase put
options on individual securities, broad-based securities indexes
or certain exchange traded funds (ETFs). The Fund
may also seek to generate income from option premiums by writing
(selling) options on a portion of the equity securities
(including securities that are convertible into equity
securities) in the Funds portfolio, on broad-based
securities indexes, or certain ETFs.
When the Fund purchases an option, it pays a premium and an
amount equal to that premium is recorded as an asset. When the
Fund writes an option, it receives a premium and an amount equal
to that premium is recorded as a liability. The asset or
liability is adjusted daily to reflect the current market value
of the option. If an option expires unexercised, the Fund
realizes a gain or loss to the extent of the premium received or
paid. If an option is exercised, the premium received or paid is
recorded as an adjustment to the proceeds from the sale or the
cost basis of the purchase in determining whether the Fund has
realized a gain or loss. The difference between the premium and
the amount received or paid on a closing purchase or sale
transaction is also treated as a realized gain or loss. Gain or
loss on purchased options is included in net realized gain or
loss on investment transactions. Gain or loss on written options
is presented separately as net realized gain or loss on written
options.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements SEMIANNUAL
REPORT
|
|
|
|
17
|
Notes to Financial
Statements
As of April 30, 2009, the Fund had outstanding purchased
options and written options as listed on the Schedule of
Investments. For the period ended April 30, 2009, the Fund
had the following transactions in options written:
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Contracts
|
|
Premiums Received
|
|
|
|
|
Options outstanding at October 31, 2008
|
|
|
4,910
|
|
|
$
|
1,177,421
|
|
|
|
Options written
|
|
|
22,070
|
|
|
|
5,398,399
|
|
|
|
Options closed
|
|
|
(21,530
|
)
|
|
|
(5,299,118
|
)
|
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
Options exercised
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options outstanding at April 30, 2009
|
|
|
5,450
|
|
|
$
|
1,276,702
|
|
|
|
Interest Rate Risk. The Fund may engage in interest rate
swaps primarily to manage duration and yield curve risk, or as
alternatives to direct investments. An interest rate swap is a
contract that involves the exchange of one type of interest rate
for another type of interest rate. Three main types of interest
rate swaps are coupon swaps (fixed rate to floating rate in the
same currency); basis swaps (one floating rate index to another
floating rate index in the same currency); and cross-currency
interest rate swaps (fixed rate in one currency to floating rate
in another). In the case of a coupon swap, the Fund may agree
with a counterparty that the Fund will pay a fixed rate
(multiplied by a notional amount) while the counterparty will
pay a floating rate multiplied by the same notional amount. If
interest rates rise, resulting in a diminution in the value of
the Funds portfolio, the Fund would receive payments under
the swap that would offset, in whole or in part, such diminution
in value; if interest rates fall, the Fund would likely lose
money on the swap transaction. Unrealized gains are reported as
an asset and unrealized losses are reported as a liability on
the Statement of Assets and Liabilities. The change in value of
swaps, including accruals of periodic amounts of interest to be
paid or received on swaps, is reported as change in unrealized
appreciation/depreciation in the Statement of Operations. A
realized gain or loss is recorded upon payment or receipt of a
periodic payment or termination of the swap agreements. Swap
agreements are stated at fair value. Notional principal amounts
are used to express the extent of involvement in these
transactions, but the amounts potentially subject to credit risk
are much smaller. In connection with these contracts, securities
may be identified as collateral in accordance with the terms of
the respective swap contracts in the event of default or
bankruptcy.
Premiums paid to or by the Fund are accrued daily and included
in realized gain (loss) when paid on swaps in the accompanying
Statement of Operations. The contracts are
marked-to-market
daily based upon third party vendor valuations and changes in
value are recorded as unrealized appreciation (depreciation).
Gains or losses are realized upon early termination of the
contract. Risks may exceed amounts recognized in the Statement
of Assets and Liabilities. These risks include changes in the
returns of the underlying instruments, failure of the
counterparties to perform under the contracts terms,
counterpartys creditworthiness, and the possible lack of
liquidity with respect to the contracts.
As of April 30, 2009, the Fund had outstanding interest
rate swap agreements as listed on the Schedule of Investments.
Below are the types of derivatives in the Fund by location as
presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
Assets
|
|
Liabilities
|
|
|
|
|
|
Statement of Assets and Liabilities Location
|
|
Statement of Assets and Liabilities Location
|
|
|
|
|
Derivative Type
|
|
|
|
|
|
|
Option contracts
|
|
Investments in securities
|
|
Options written
|
|
|
Foreign exchange contracts
|
|
Unrealized appreciation on forward foreign currency contracts
|
|
Unrealized depreciation on forward foreign currency contracts
|
|
|
Below are the types of derivatives in the Fund by gross value as
of April 30, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Liabilities
|
|
|
|
|
|
Statement of Assets & Liabilities Location
|
|
Value
|
|
Statement of Assets & Liabilities Location
|
|
Value
|
|
|
|
|
Derivative Type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options purchased
|
|
Investments in securities
|
|
$
|
109,937
|
|
|
Options written
|
|
$
|
3,163,000
|
|
|
|
Interest Rate contracts
|
|
Unrealized appreciation on swaps
|
|
|
|
|
|
Unrealized depreciation on swaps
|
|
|
109,656
|
|
|
|
Credit Default Contracts
|
|
Unrealized appreciation on swaps
|
|
|
|
|
|
Unrealized depreciation on swaps
|
|
|
|
|
|
|
|
|
|
18
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
VOLUME OF DERIVATIVE ACTIVITY FOR THE SIX MONTHS ENDED APRIL
30, 2009*
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
Purchased options
|
|
|
11,900
|
|
|
|
Written options
|
|
|
22,070
|
|
|
|
Foreign currency contracts
|
|
|
|
|
|
|
Interest rate swaps
|
|
|
20,000,000
|
|
|
|
Credit swaps
|
|
|
|
|
|
|
|
|
|
*
|
|
Activity during the period is
measured by opened number of contracts for options and opened
notional amount for swap contracts.
|
NOTE 7
BORROWINGS
The Fund has entered into a Committed Facility Agreement (the
Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor
to bank of America N.A.) that allows the Fund to borrow up to an
initial limit of $59,000,000 Borrowings under the Agreement are
secured by assets of the Fund. Interest is charged at a
quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on
the amount borrowed and .85% on the undrawn balance. The Fund
also paid a one time Arrangement fee of .25% of the total
borrowing limit. The Arrangement fee for the period ended
April 30, 2009 totaled $73,142 and is included in
Arrangement fee in the Statement of Operations. For the period
ended April 30, 2009, the average borrowings under the
Agreement and the average interest rate were $30,530,387 and
2.44%, respectively. As of April 30,2009, the amount of
such outstanding borrowings is $30,000,000. The interest rate
applicable to the borrowings on April 30, 2009 was 1.97%.
In addition BNP Paribas Prime Brokerage, Inc (BNP)
has the ability to reregister the collateral in its own name or
in another name other than the Fund to pledge, re-pledge, sell,
lend or otherwise transfer or use the collateral
(Hypothecated Securities) with all attendant rights
of ownership. The Fund can recall any Hypothecated Securities
and BNP shall, to the extent commercially possible, return such
security or equivalent security to the fund no later than three
business days after such request. If the Fund recalls a
Hypothecated Security in connection with a sales transaction and
BNP fails to return the Hypothecated Securities or equivalent
securities in a timely fashion, BNP shall remain liable to the
Funds custodian for the ultimate delivery of such
Hypothecated Securities or equivalent securities to the
executing broker for the sales transaction and for any buy-in
costs that the executing broker may impose with respect to the
failure to deliver. The Fund shall also have the right to apply
and set off an amount equal to one hundred percent (100%) of the
then-current fair market value of such hypothecated securities
against any amounts owed to BNP under the Committed Facility
Agreement.
NOTE 8
SYNTHETIC CONVERTIBLE INSTRUMENTS
The Fund may establish a synthetic convertible
instrument by combining separate securities that possess the
economic characteristics similar to a convertible security,
i.e., fixed-income securities (fixed-income
component), which may be a convertible or non-convertible
security and the right to acquire equity securities
(convertible component). The fixed-income component
is achieved by investing in fixed income securities such as
bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or
options to buy common stock at a certain exercise price, or
options on a stock index. In establishing a synthetic
instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or purchased options that
produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and
warrants or options, different companies may issue the
fixed-income and convertible components, which may be purchased
separately and at different times.
The Fund may also purchase synthetic securities created by other
parties, typically investment banks, including convertible
structured notes. Convertible structured notes are fixed-income
debentures linked to equity. Convertible structured notes have
the attributes of a convertible security; however, the
investment bank that issued the convertible note assumes the
credit risk associated with the investment, rather than the
issuer of the underlying common stock into which the note is
convertible. Purchasing synthetic convertible securities may
offer more flexibility than purchasing a convertible security.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements SEMIANNUAL
REPORT
|
|
|
|
19
|
Notes to Financial
Statements
NOTE 9
Valuations
Various inputs are used to determine the value of the
Funds investments. These inputs are categorized into three
broad levels as follows:
|
|
|
|
|
Level 1 holdings use inputs from unadjusted quoted prices
from active markets (including securities actively traded on a
securities exchange).
|
|
|
|
Level 2 holdings reflect inputs other than quoted prices,
but use observable market data (including quoted prices of
similar securities, interest rates, credit risk, etc.).
|
|
|
|
Level 3 holdings are valued using unobservable inputs
(including the Funds own judgments about assumptions
market participants would use in determining fair value).
|
The following is a summary of the inputs used in valuing the
Funds holdings at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value of Investment
|
|
Value of Investment
|
|
Other Financial
|
|
|
Valuation Inputs
|
|
Securities
|
|
Securities Sold Short
|
|
Instruments*
|
|
|
|
|
Level 1 Quoted Prices
|
|
$
|
34,303,898
|
|
|
$
|
|
|
|
$
|
(3,163,000
|
)
|
|
|
Level 2 Other significant observable inputs
|
|
|
90,811,819
|
|
|
|
|
|
|
|
(109,656
|
)
|
|
|
Level 3 Significant unobservable inputs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
125,115,717
|
|
|
$
|
|
|
|
$
|
(3,272,656
|
)
|
|
|
|
|
|
|
|
|
|
|
|
*
|
|
Other Financial Instruments may
include written options, forwards contracts, and swaps contracts.
|
|
|
|
20
|
|
Global Total Return Fund
SEMIANNUAL
REPORT Notes to Financial
Statements
|
Financial Highlights
Selected data for
a share outstanding throughout each period were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
October 27,
|
|
|
|
|
Ended
|
|
|
|
2005*
|
|
|
|
|
April 30,
|
|
|
|
through
|
|
|
|
|
(unaudited)
|
|
Year Ended October 31,
|
|
October 31,
|
|
|
|
|
|
|
|
2009
|
|
2008
|
|
2007
|
|
2006
|
|
2005
|
|
|
|
Net asset value, beginning of period
|
|
|
$11.21
|
|
|
|
$21.05
|
|
|
|
$16.31
|
|
|
|
$14.29
|
|
|
|
$14.32
|
(a)
|
|
|
|
|
Income from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.25
|
**
|
|
|
0.74
|
**
|
|
|
0.96
|
**
|
|
|
0.86
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain (loss) on investments, written
options, foreign currency and swaps
|
|
|
0.80
|
|
|
|
(9.00
|
)
|
|
|
5.38
|
|
|
|
2.40
|
|
|
|
|
|
|
|
|
|
Distributions to preferred shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share equivalent basis)
|
|
|
|
|
|
|
(0.09
|
)
|
|
|
(0.39
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
Capital gains (common share equivalent basis)
|
|
|
|
|
|
|
(0.09
|
)
|
|
|
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
1.05
|
|
|
|
(8.44
|
)
|
|
|
5.95
|
|
|
|
2.97
|
|
|
|
|
|
|
|
|
|
Less distributions to common shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(0.56
|
)
|
|
|
(1.15
|
)
|
|
|
(1.09
|
)
|
|
|
(0.65
|
)
|
|
|
|
|
|
|
|
|
Capital gains
|
|
|
(0.09
|
)
|
|
|
(0.23
|
)
|
|
|
(0.12
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
Capital charge resulting from issuance of common and preferred
shares
|
|
|
|
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
(0.11
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
Net asset value, end of period
|
|
|
$11.61
|
|
|
|
$11.21
|
|
|
|
$21.05
|
|
|
|
$16.31
|
|
|
|
$14.29
|
|
|
|
|
|
Market value, end of period
|
|
|
$9.86
|
|
|
|
$9.54
|
|
|
|
$19.51
|
|
|
|
$15.62
|
|
|
|
$15.00
|
|
|
|
|
|
Total investment return based
on(c):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
11.14
|
%
|
|
|
(41.78
|
)%
|
|
|
38.30
|
%
|
|
|
20.77
|
%
|
|
|
(0.24
|
)%
|
|
|
|
|
Market value
|
|
|
10.91
|
%
|
|
|
(46.54
|
)%
|
|
|
33.84
|
%
|
|
|
10.19
|
%
|
|
|
0.00
|
%
|
|
|
|
|
Ratios and supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders, end of period
(000s omitted)
|
|
|
$92,937
|
|
|
|
$89,756
|
|
|
|
$168,551
|
|
|
|
$130,588
|
|
|
|
$114,439
|
|
|
|
|
|
Preferred shares, at redemptions value ($25,000 per share
liquidation preference) (000s omitted)
|
|
|
$
|
|
|
|
$
|
|
|
|
$59,000
|
|
|
|
$59,000
|
|
|
|
$
|
|
|
|
|
|
Ratios to average net assets applicable to common shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
expenses(d)(e)
|
|
|
2.96
|
%
|
|
|
2.28
|
%
|
|
|
1.72
|
%
|
|
|
1.70
|
%
|
|
|
1.33
|
%
|
|
|
|
|
Gross
expenses(d)(e)
|
|
|
2.98
|
%
|
|
|
2.29
|
%
|
|
|
1.72
|
%
|
|
|
1.70
|
%
|
|
|
3.37
|
%
|
|
|
|
|
Net investment income
(loss)(d)(e)
|
|
|
4.69
|
%
|
|
|
4.08
|
%
|
|
|
5.37
|
%
|
|
|
5.57
|
%
|
|
|
(1.33
|
)%
|
|
|
|
|
Preferred share
distributions(d)
|
|
|
0.00
|
%
|
|
|
0.52
|
%
|
|
|
2.17
|
%
|
|
|
1.89
|
%
|
|
|
0.00
|
%
|
|
|
|
|
Net investment income (loss), net of preferred share
distributions from net investment
income(d)
|
|
|
4.69
|
%
|
|
|
3.56
|
%
|
|
|
3.20
|
%
|
|
|
3.68
|
%
|
|
|
0.00
|
%
|
|
|
|
|
Portfolio turnover rate
|
|
|
23
|
%
|
|
|
82
|
%
|
|
|
85
|
%
|
|
|
32
|
%
|
|
|
0
|
%
|
|
|
|
|
Average commission rate paid
|
|
|
$0.1109
|
|
|
|
$0.0830
|
|
|
|
$0.0377
|
|
|
|
$0.0258
|
|
|
|
$
|
|
|
|
|
|
Asset coverage per preferred share, at end of
period(f)
|
|
|
$
|
|
|
|
$
|
|
|
|
$96,423
|
|
|
|
$80,358
|
|
|
|
$
|
|
|
|
|
|
Asset coverage per $1,000 of loan
outstanding(g)
|
|
|
$4,098
|
|
|
|
$3,493
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
*
|
|
Commencement of operations.
|
|
**
|
|
Net investment income allocated
based on average shares method.
|
|
(a)
|
|
Net of sales load of $0.675 on
initial shares issued and beginning net asset value of $14.325.
|
|
(b)
|
|
Amount equated to less than $0.005
per common share.
|
|
(c)
|
|
Total investment return is
calculated assuming a purchase of common stock on the opening of
the first day and a sale on the closing of the last day of the
period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices
obtained under the Funds dividend reinvestment plan. Total
return is not annualized for periods less than one year.
Brokerage commissions are not reflected. NAV per share is
determined by dividing the value of the Funds portfolio
securities, cash and other assets, less all liabilities, by the
total number of common shares outstanding. The common share
market price is the price the market is willing to pay for
shares of the Fund at a given time. Common share market price is
influenced by a range of factors, including supply and demand
and market conditions.
|
|
(d)
|
|
Annualized for periods less than
one year.
|
|
(e)
|
|
Does not reflect the effect of
dividend payments to Preferred Shareholders.
|
|
(f)
|
|
Calculated by subtracting the
Funds total liabilities (not including Preferred Shares)
from the Funds total assets and dividing this by the
number of Preferred Shares outstanding.
|
|
(g)
|
|
Calculated by subtracting the
Funds total liabilities (not including Note payable) and
preferred shares from the Funds total assets and dividing
this by the Note payable outstanding.
|
|
|
|
|
|
Global Total Return Fund
Financial
Highlights SEMIANNUAL
REPORT
|
|
|
|
21
|
Report of
Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Calamos Global
Total Return Fund
We have reviewed the accompanying statement of assets and
liabilities, including the schedule of investments, for Calamos
Global Total Return Fund (the Fund) as of
April 30, 2009, and the related statements of operations,
changes in net assets, and cash flows and the financial
highlights for the semi-annual period then ended. These interim
financial statements and financial highlights are the
responsibility of the Funds management.
We conducted our review in accordance with standards of the
Public Company Accounting Oversight Board (United States). A
review of interim financial information consists principally of
applying analytical procedures and making inquiries of persons
responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in
accordance with standards of the Public Company Accounting
Oversight Board (United States), the objective of which is the
expression of an opinion regarding the financial statements and
financial highlights taken as a whole. Accordingly, we do not
express such an opinion.
Based on our review, we are not aware of any material
modifications that should be made to such interim financial
statements and financial highlights for them to be in conformity
with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the
Public Company Accounting Oversight Board (United States), the
statement of changes in net assets of the Fund for the year
ended October 31, 2008 and the financial highlights for
each of the three years then ended and for the period from
October 27, 2005 (commencement of operations) through
October 31, 2005; and in our report dated December 18,
2008, we expressed an unqualified opinion on such statement of
changes in net assets and financial highlights.
Chicago, Illinois
June 17, 2009
|
|
|
22
|
|
SEMIANNUAL
REPORT Report of
Independent Registered Public Accounting Firm
|
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