nvq
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.
20549
FORM
N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21547
|
|
|
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:
|
|
Calamos Global Total Return Fund |
|
|
|
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
|
|
2020 Calamos Court, Naperville Illinois 60563 |
|
|
|
NAME AND ADDRESS OF AGENT FOR SERVICE:
|
|
John P. Calamos Sr., President Calamos Advisors LLC, 2020 Calamos Court, Naperville, Illinois 60563 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2009
DATE OF REPORTING PERIOD: July 31, 2009
|
|
ITEM 1.
|
SCHEDULE
OF INVESTMENTS JULY 31, 2009 (UNAUDITED)
|
Calamos
Global Total Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL
|
|
|
|
|
AMOUNT
|
|
|
|
VALUE
|
|
|
CORPORATE BONDS
(25.1%)
|
|
|
|
|
Consumer Discretionary (7.7%)
|
|
2,052,000
|
|
|
DIRECTV Financing Company,
Inc.~
8.375%, 03/15/13
|
|
$
|
2,105,865
|
|
|
996,000
|
|
|
Expedia,
Inc.~
7.460%, 08/15/18
|
|
|
996,000
|
|
|
1,868,000
|
|
|
Goodyear Tire & Rubber Companyµ
7.860%, 08/15/11
|
|
|
1,868,000
|
|
|
1,992,000
|
|
|
Royal Caribbean Cruises, Ltd.µ
7.250%, 06/15/16
|
|
|
1,653,360
|
|
|
1,992,000
|
|
|
Service Corp.
International~
7.500%, 04/01/27
|
|
|
1,618,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,241,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (3.2%)
|
|
1,494,000
|
|
|
Del Monte Foods Companyµ
8.625%, 12/15/12
|
|
|
1,531,350
|
|
|
1,992,000
|
|
|
Pilgrims Pride Corp.**
7.625%, 05/01/15
|
|
|
1,847,580
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,378,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (1.4%)
|
|
618,000
|
|
|
Frontier Oil Corp.
8.500%, 09/15/16
|
|
|
634,995
|
|
|
747,000
|
|
|
Petróleo Brasileiro, SAµ
8.375%, 12/10/18
|
|
|
863,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,498,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.8%)
|
|
916,000
|
|
|
Leucadia National Corp.µ
8.125%, 09/15/15
|
|
|
886,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.8%)
|
|
1,793,000
|
|
|
HCA,
Inc.~
9.250%, 11/15/16
|
|
|
1,873,685
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (1.8%)
|
|
1,793,000
|
|
|
H&E Equipment Service, Inc.µ
8.375%, 07/15/16
|
|
|
1,515,085
|
|
|
408,000
|
|
|
SPX
Corp.~
7.625%, 12/15/14
|
|
|
408,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,923,085
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (2.6%)
|
|
2,690,000
|
|
|
SunGard Data Systems,
Inc.~
9.125%, 08/15/13
|
|
|
2,757,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.9%)
|
|
847,000
|
|
|
Anglo American, PLC*
9.375%, 04/08/14
|
|
|
949,549
|
|
|
1,992,000
|
|
|
Mosaic
Company*~
7.625%, 12/01/16
|
|
|
2,123,522
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,073,071
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (2.2%)
|
|
1,693,000
|
|
|
Frontier Communications
Corp.~
9.000%, 08/15/31
|
|
|
1,566,025
|
|
|
747,000
|
|
|
Windstream Corp.
8.625%, 08/01/16
|
|
|
761,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,327,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.7%)
|
|
996,000
|
|
|
Energy Future Holdings Corp.
10.250%, 11/01/15
|
|
|
786,840
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $27,440,880)
|
|
|
26,747,495
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS
(26.1%)
|
|
|
|
|
Consumer Discretionary (1.3%)
|
|
800,000
|
EUR
|
|
Adidas, AG
2.500%, 10/08/18
|
|
|
1,429,715
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (7.0%)
|
|
1,200,000
|
|
|
Acergy, SA
2.250%, 10/11/13
|
|
|
1,020,408
|
|
|
1,100,000
|
|
|
Cameron International Corp.
2.500%, 06/15/26
|
|
|
1,300,750
|
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
|
|
|
1,380,000
|
|
|
2.500%, 05/15/37
|
|
|
1,060,875
|
|
|
410,000
|
|
|
2.500%, 05/15/37
|
|
|
315,187
|
|
|
10,000,000
|
HKD
|
|
China Petroleum & Chemical Corp.
0.000%, 04/24/14
|
|
|
1,411,283
|
|
|
800,000
|
|
|
Petroplus Holdings, AG
3.375%, 03/26/13
|
|
|
715,249
|
|
|
1,800,000
|
|
|
Transocean, Inc. - Class Cµ
1.500%, 12/15/37
|
|
|
1,653,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,477,502
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.8%)
|
|
700,000
|
|
|
Leucadia National
Corp.~
3.750%, 04/15/14
|
|
|
865,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.2%)
|
|
1,400,000
|
|
|
China Medical Technologies, Inc.
4.000%, 08/15/13
|
|
|
911,750
|
|
|
1,200,000
|
|
|
Teva Pharmaceutical Industries, Ltd.µ
0.250%, 02/01/26
|
|
|
1,411,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,323,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.0%)
|
|
685,000
|
|
|
Quanta Services, Inc.
3.750%, 04/30/26
|
|
|
800,594
|
|
|
600,000
|
EUR
|
|
SGL Carbon, AG
0.750%, 05/16/13
|
|
|
743,026
|
|
|
700,000
|
|
|
Suntech Power Holdings Company, Ltd.
3.000%, 03/15/13
|
|
|
564,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,107,995
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule
of Investments
Calamos
Global Total Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL
|
|
|
|
|
AMOUNT
|
|
|
|
VALUE
|
|
|
|
|
|
|
Information Technology (4.7%)
|
|
4,200,000
|
EUR
|
|
Cap Gemini, SAµ
1.000%, 01/01/12
|
|
$
|
2,633,953
|
|
|
2,700,000
|
|
|
Intel Corp.µ
2.950%, 12/15/35
|
|
|
2,369,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,003,203
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (6.6%)
|
|
1,000,000
|
|
|
Anglo American, PLC
4.000%, 05/07/14
|
|
|
1,413,000
|
|
|
1,300,000
|
|
|
AngloGold Ashanti, Ltd.
3.500%, 05/22/14
|
|
|
1,387,750
|
|
|
|
|
|
Newmont Mining Corp.µ
|
|
|
|
|
|
1,350,000
|
|
|
1.625%, 07/15/17
|
|
|
1,490,063
|
|
|
1,100,000
|
|
|
3.000%, 02/15/12
|
|
|
1,277,375
|
|
|
1,200,000
|
|
|
Xstrata, PLC
4.000%, 08/14/17
|
|
|
1,413,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,981,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.5%)
|
|
1,700,000
|
|
|
NII Holdings, Inc.µ
2.750%, 08/15/25
|
|
|
1,634,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $29,027,428)
|
|
|
27,822,353
|
|
|
|
|
|
|
|
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES
(0.1%)
|
Corporate Bonds
(0.1%)
|
|
|
|
|
Consumer Discretionary (0.1%)
|
|
8,000
|
|
|
DIRECTV Financing Company,
Inc.~
8.375%, 03/15/13
|
|
|
8,210
|
|
|
4,000
|
|
|
Expedia,
Inc.~
7.460%, 08/15/18
|
|
|
4,000
|
|
|
7,000
|
|
|
Goodyear Tire & Rubber Companyµ
7.860%, 08/15/11
|
|
|
7,000
|
|
|
8,000
|
|
|
Royal Caribbean Cruises, Ltd.µ
7.250%, 06/15/16
|
|
|
6,640
|
|
|
8,000
|
|
|
Service Corp.
International~
7.500%, 04/01/27
|
|
|
6,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%)
|
|
6,000
|
|
|
Del Monte Foods Companyµ
8.625%, 12/15/12
|
|
|
6,150
|
|
|
8,000
|
|
|
Pilgrims Pride Corp.**
7.625%, 05/01/15
|
|
|
7,420
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.0%)
|
|
2,000
|
|
|
Frontier Oil Corp.
8.500%, 09/15/16
|
|
|
2,055
|
|
|
3,000
|
|
|
Petróleo Brasileiro, SAµ
8.375%, 12/10/18
|
|
|
3,469
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,524
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.0%)
|
|
4,000
|
|
|
Leucadia National Corp.µ
8.125%, 09/15/15
|
|
|
3,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%)
|
|
7,000
|
|
|
HCA,
Inc.~
9.250%, 11/15/16
|
|
|
7,315
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.0%)
|
|
7,000
|
|
|
H&E Equipment Service, Inc.µ
8.375%, 07/15/16
|
|
|
5,915
|
|
|
2,000
|
|
|
SPX
Corp.~
7.625%, 12/15/14
|
|
|
2,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,915
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.0%)
|
|
10,000
|
|
|
SunGard Data Systems,
Inc.~
9.125%, 08/15/13
|
|
|
10,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.0%)
|
|
3,000
|
|
|
Anglo American, PLC*
9.375%, 04/08/14
|
|
|
3,363
|
|
|
8,000
|
|
|
Mosaic
Company*~
7.625%, 12/01/16
|
|
|
8,528
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,891
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.0%)
|
|
7,000
|
|
|
Frontier Communications
Corp.~
9.000%, 08/15/31
|
|
|
6,475
|
|
|
3,000
|
|
|
Windstream Corp.
8.625%, 08/01/16
|
|
|
3,060
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.0%)
|
|
4,000
|
|
|
Energy Future Holdings Corp.
10.250%, 11/01/15
|
|
|
3,160
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
105,380
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
Purchased Options
(0.0%)#
|
|
|
|
|
Consumer Discretionary (0.0%)
|
|
250
|
|
|
Grupo Televisa, SA
Call, 01/16/10, Strike $25.00
|
|
|
5,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%)
|
|
180
|
|
|
Sysco Corp.
Call, 01/16/10, Strike $30.00
|
|
|
1,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.0%)
|
|
130
|
CHF
|
|
ABB, Ltd.
Call, 06/18/10, Strike $24.00
|
|
|
10,766
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
|
|
|
18,191
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $423,015)
|
|
|
123,571
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule
of Investments
Calamos
Global Total Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
CONVERTIBLE PREFERRED STOCKS
(7.2%)
|
|
|
|
|
Consumer Staples (1.9%)
|
|
22,000
|
|
|
Archer Daniels Midland Companyµ
6.250%
|
|
$
|
867,900
|
|
|
|
|
|
Bunge, Ltd.
|
|
|
|
|
|
7,800
|
|
|
4.875%
|
|
|
717,600
|
|
|
675
|
|
|
5.125%
|
|
|
461,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,047,031
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.3%)
|
|
17,000
|
|
|
American International Group, Inc.µ
8.500%
|
|
|
136,000
|
|
|
2,700
|
|
|
Bank of America Corp.µ
7.250%
|
|
|
2,268,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,404,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.0%)
|
|
4,500
|
|
|
Schering-Plough
Corp.~
6.000%
|
|
|
1,049,580
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.0%)
|
|
115
|
CHF
|
|
Givaudan, SA
5.375%
|
|
|
717,641
|
|
|
34,000
|
|
|
Vale Capital, Ltd. (Companhia Vale do Rio Doce)Δ
5.500%
|
|
|
1,405,560
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,123,201
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $7,796,872)
|
|
|
7,623,812
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
UNITS
|
|
|
|
VALUE
|
|
|
STRUCTURED EQUITY-LINKED
SECURITIES (2.5%)*
|
|
|
|
|
Energy (1.8%)
|
|
|
|
|
|
17,487
|
|
|
Barclays Capital, Inc. (Noble Corp.)
12.000% 01/29/10
|
|
|
633,379
|
|
|
15,800
|
|
|
BNP Paribas (ENSCO International, Inc.)
12.000% 01/29/10
|
|
|
619,992
|
|
|
22,000
|
|
|
Goldman Sachs Group, Inc. (Cameron International Corp.)
12.000% 02/16/10
|
|
|
682,880
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,936,251
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.7%)
|
|
20,000
|
|
|
Deutsche Bank, AG (Medtronic, Inc.)
11.000% 05/27/10
|
|
|
695,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL STRUCTURED EQUITY-LINKED SECURITIES
(Cost $2,608,619)
|
|
|
2,631,251
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
COMMON STOCKS (66.9%)
|
|
|
|
|
Consumer Discretionary (4.0%)
|
|
55,000
|
JPY
|
|
Panasonic Corp.
|
|
$
|
869,352
|
|
|
90,000
|
CHF
|
|
Swatch Group, AGµ
|
|
|
3,344,835
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,214,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (4.4%)
|
|
33,000
|
|
|
Coca-Cola
Companyµ
|
|
|
1,644,720
|
|
|
50,000
|
GBP
|
|
Diageo, PLCµ
|
|
|
779,436
|
|
|
55,000
|
CHF
|
|
Nestlé, SAµ
|
|
|
2,260,195
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,684,351
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (12.3%)
|
|
100,000
|
NOK
|
|
Acergy, SA
|
|
|
1,068,582
|
|
|
90,000
|
GBP
|
|
AMEC, PLC
|
|
|
1,059,831
|
|
|
285,000
|
GBP
|
|
BP, PLC
|
|
|
2,363,416
|
|
|
21,000
|
|
|
Cameron International Corp.#
|
|
|
655,830
|
|
|
17,000
|
|
|
Chevron Corp.µ
|
|
|
1,180,990
|
|
|
750,000
|
HKD
|
|
China Petroleum & Chemical Corp.
|
|
|
668,621
|
|
|
70,000
|
|
|
Halliburton Company
|
|
|
1,546,300
|
|
|
73,000
|
CAD
|
|
Suncor Energy, Inc.
|
|
|
2,360,938
|
|
|
40,000
|
EUR
|
|
TOTAL, SA
|
|
|
2,218,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,122,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (11.8%)
|
|
80,000
|
AUD
|
|
ASX, Ltd.µ
|
|
|
2,511,132
|
|
|
50,000
|
EUR
|
|
Banco Santander, SA#µ
|
|
|
724,052
|
|
|
784,614
|
|
|
Citigroup, Inc.µ
|
|
|
2,487,226
|
|
|
52,000
|
|
|
JPMorgan Chase & Company
|
|
|
2,009,800
|
|
|
70,300
|
GBP
|
|
Schroders, PLC
|
|
|
1,144,980
|
|
|
350,000
|
SGD
|
|
Singapore Exchange, Ltd.µ
|
|
|
2,116,611
|
|
|
65,000
|
GBP
|
|
Standard Chartered, PLC
|
|
|
1,543,149
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,536,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (7.8%)
|
|
29,000
|
|
|
Alcon, Inc.µ
|
|
|
3,700,400
|
|
|
39,000
|
|
|
Johnson & Johnsonµ
|
|
|
2,374,710
|
|
|
23,000
|
DKK
|
|
Novo Nordisk, A/S - Class Bµ
|
|
|
1,345,844
|
|
|
6,000
|
CHF
|
|
Roche Holding, AGµ
|
|
|
945,881
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,366,835
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.6%)
|
|
41,000
|
CHF
|
|
ABB, Ltd.#µ
|
|
|
749,411
|
|
|
52,000
|
|
|
General Electric Companyµ
|
|
|
696,800
|
|
|
16,000
|
EUR
|
|
Siemens, AGµ
|
|
|
1,275,076
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,721,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (21.9%)
|
|
117,000
|
GBP
|
|
Autonomy Corp., PLC#µ
|
|
|
2,297,531
|
|
|
37,000
|
JPY
|
|
Canon, Inc.µ
|
|
|
1,371,431
|
|
|
130,000
|
|
|
Dell, Inc.#µ
|
|
|
1,739,400
|
|
|
74,000
|
|
|
Infosys Technologies, Ltd.µ
|
|
|
3,184,220
|
|
See accompanying Notes to Schedule
of Investments
Calamos
Global Total Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2009 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
|
92,000
|
TWD
|
|
MediaTek, Inc.
|
|
$
|
1,321,899
|
|
|
34,000
|
|
|
Microsoft Corp.µ
|
|
|
799,680
|
|
|
15,000
|
JPY
|
|
Nintendo Company, Ltd.µ
|
|
|
4,030,110
|
|
|
175,000
|
EUR
|
|
Nokia, OYJµ
|
|
|
2,353,134
|
|
|
100,000
|
BRL
|
|
Redecard, SA
|
|
|
1,487,337
|
|
|
65,000
|
EUR
|
|
SAP, AGµ
|
|
|
3,061,315
|
|
|
240,000
|
HKD
|
|
VTech Holdings, Ltd.µ
|
|
|
1,709,465
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,355,522
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.6%)
|
|
3,000
|
CHF
|
|
Syngenta, AG
|
|
|
690,384
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.5%)
|
|
38,000
|
|
|
América Móvil, SAB de CVµ
|
|
|
1,634,380
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $76,782,185)
|
|
|
71,326,831
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
PURCHASED OPTION
(0.0%)#
|
|
|
|
|
Financials (0.0%)
|
|
1,750
|
|
|
SPDR Trust
Put, 09/19/09, Strike $80.00
(Cost $563,523)
|
|
|
50,750
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
SHORT-TERM INVESTMENT
(3.8%)
|
|
4,102,235
|
|
|
Fidelity Prime Money Market Fund - Institutional Class
(Cost $4,102,235)
|
|
|
4,102,235
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (131.7%)
(Cost $148,744,757)
|
|
|
140,428,298
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-31.7%)
|
|
|
(33,837,856
|
)
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%)
|
|
$
|
106,590,442
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
WRITTEN OPTIONS
(-3.3%)#
|
|
|
|
|
Financials (-3.3%)
|
|
|
|
|
iShares MSCI EAFE Index Fund
|
|
|
|
|
|
1,800
|
|
|
Call, 09/19/09, Strike $48.00
|
|
|
(612,000
|
)
|
|
1,300
|
|
|
Call, 09/19/09, Strike $46.00
|
|
|
(650,000
|
)
|
|
900
|
|
|
Call, 12/19/09, Strike $48.00
|
|
|
(427,500
|
)
|
|
500
|
|
|
Call, 12/19/09, Strike $50.00
|
|
|
(175,000
|
)
|
|
|
|
|
SPDR Trust Series 1
|
|
|
|
|
|
650
|
|
|
Call, 12/19/09, Strike $49.00
|
|
|
(266,500
|
)
|
|
600
|
|
|
Call, 12/19/09, Strike $97.00
|
|
|
(409,500
|
)
|
|
500
|
|
|
Call, 09/19/09, Strike $90.00
|
|
|
(480,000
|
)
|
|
500
|
|
|
Call, 09/19/09, Strike $89.00
|
|
|
(523,750
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $1,828,412)
|
|
|
(3,544,250
|
)
|
|
|
|
|
|
|
|
|
|
NOTES TO
SCHEDULE OF INVESTMENTS
|
|
|
~
|
|
Security, or portion of security,
is held in a segregated account as collateral for written
options aggregating a total value of $15,417,080.
|
µ
|
|
Security, or portion of security,
is held in a segregated account as collateral for loans
aggregating a total value of $71,898,268.
|
**
|
|
On December 1, 2008,
Pilgrims Pride Corp. filed for bankruptcy protection.
|
*
|
|
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 July 31, 2009, the value
of 144A securities that could not be exchanged to the registered
form is $3,584,163 or 3.4% of net assets.
|
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.
|
#
|
|
Non-income producing security.
|
FOREIGN CURRENCY
ABBREVIATIONS
|
|
|
AUD
|
|
Australian Dollar
|
BRL
|
|
Brazilian Real
|
CAD
|
|
Canadian Dollar
|
CHF
|
|
Swiss Franc
|
DKK
|
|
Danish Krone
|
EUR
|
|
European Monetary Unit
|
GBP
|
|
British Pound Sterling
|
HKD
|
|
Hong Kong Dollar
|
JPY
|
|
Japanese Yen
|
NOK
|
|
Norwegian Krone
|
SGD
|
|
Singapore Dollar
|
TWD
|
|
New Taiwanese 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.
See accompanying Notes to Schedule
of Investments
Calamos
Global Total Return Fund
INTEREST
RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate
|
|
Floating Rate
|
|
Termination
|
|
Notional
|
|
|
|
|
Counterparty
|
|
(Fund
Pays)
|
|
(Fund
Receives)
|
|
Date
|
|
Amount
|
|
|
Unrealized
|
|
|
|
|
BNP Paribas SA
|
|
2.020% quarterly
|
|
3 month LIBOR
|
|
3/9/2012
|
|
$
|
8,000,000
|
|
|
$
|
(51,145
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas SA
|
|
2.535% quarterly
|
|
3 month LIBOR
|
|
3/9/2014
|
|
|
12,000,000
|
|
|
|
79,419
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
28,274
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Total
Return Fund
|
|
|
|
|
|
|
CURRENCY
EXPOSURE JULY 31, 2009 (UNAUDITED)
|
|
|
Value
|
|
|
%
of Total Investments
|
|
|
|
|
|
|
|
|
US Dollar
|
|
$
|
82,265,289
|
|
|
60.1%
|
|
|
|
|
|
|
|
European Monetary Unit
|
|
|
14,438,698
|
|
|
10.5%
|
|
|
|
|
|
|
|
British Pound Sterling
|
|
|
9,188,343
|
|
|
6.7%
|
|
|
|
|
|
|
|
Swiss Franc
|
|
|
8,719,113
|
|
|
6.4%
|
|
|
|
|
|
|
|
Japanese Yen
|
|
|
6,270,893
|
|
|
4.6%
|
|
|
|
|
|
|
|
Hong Kong Dollar
|
|
|
3,789,369
|
|
|
2.8%
|
|
|
|
|
|
|
|
Australian Dollar
|
|
|
2,511,132
|
|
|
1.8%
|
|
|
|
|
|
|
|
Canadian Dollar
|
|
|
2,360,938
|
|
|
1.7%
|
|
|
|
|
|
|
|
Singapore Dollar
|
|
|
2,116,611
|
|
|
1.5%
|
|
|
|
|
|
|
|
Brazilian Real
|
|
|
1,487,337
|
|
|
1.1%
|
|
|
|
|
|
|
|
Danish Krone
|
|
|
1,345,844
|
|
|
1.0%
|
|
|
|
|
|
|
|
New Taiwanese Dollar
|
|
|
1,321,899
|
|
|
1.0%
|
|
|
|
|
|
|
|
Norwegian Krone
|
|
|
1,068,582
|
|
|
0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Net of Written Options
|
|
$
|
136,884,048
|
|
|
100.0%
|
|
|
|
|
|
|
|
Currency exposure
may vary over time.
|
|
NOTE 1
|
ORGANIZATION AND
SIGNIFICANT ACCOUNTING POLICIES
|
Organization. Calamos Global Total Return (the
Fund) was organized as a Delaware statutory trust on
March 30, 2004 and is registered under the Investment
Company Act of 1940 (the 1940 Act) as a diversified,
closed-end management investment company. The Fund commenced
operations on October 27, 2005.
The Funds investment objective is to provide total return
through a combination of capital appreciation and current income.
Fund 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.
Fund 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.
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 July 31, 2009.
Foreign Currency Translation. Values of investments and
other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars using a rate quoted by a major
bank or dealer in the particular currency market, as reported by
a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes,
the Fund may purchase or write (sell) put and call options. One
of the risks associated with purchasing an option is that the
Fund pays a premium whether or not the option is exercised.
Additionally, the Fund bears the risk of loss of premium and
change in value should the counterparty not perform under the
contract. The Fund as writer of an option bears the market risk
of an unfavorable change in the price of the security underlying
the written option.
Forward Foreign Currency Contracts. 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. There were no open
forward currency contracts at July 31, 2009.
NOTE 2
INVESTMENTS
The following information is presented on a federal income tax
basis as of July 31, 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
July 31, 2009 was as follows:
|
|
|
|
|
Cost basis of investments
|
|
$
|
148,735,971
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
|
10,502,442
|
|
Gross unrealized depreciation
|
|
|
(18,810,115
|
)
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
(8,307,673
|
)
|
|
|
|
|
|
NOTE 3
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. For the period ended July 31, 2009, the
average borrowings under the Agreement and the average interest
rate were $30,351,648 and 2.16% respectively. As of
July 31, 2009, the amount of such outstanding borrowings is
$30,000,000. The interest rate applicable to the borrowings on
July 31, 2009 was 1.43%.
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. In such instance, 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 4
INTEREST RATE SWAPS
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. 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.
NOTE 5
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.
NOTE 6
STRUCTURED
EQUITY-LINKED
SECURITIES
The Fund may also invest in structured equity-linked securities
created by third parties, typically investment banks. Structured
equity linked securities created by such parties may be designed
to simulate the characteristics of traditional convertible
securities or may be designed to alter or emphasize a particular
feature. Traditional convertible securities typically offer
stable cash flows with the ability to participate in capital
appreciation of the underlying common stock. Because traditional
convertible securities are exercisable at the option of the
holder, the holder is protected against downside risk.
Structured equity-linked securities may alter these
characteristics by offering enhanced yields in exchange for
reduced capital appreciation or less downside protection, or any
combination of these features. Structured equity-linked
instruments may include structured notes, equity-linked notes,
mandatory convertibles and combinations of securities and
instruments, such as a debt instrument combined with a forward
contract.
NOTE 7
VALUATIONS
Effective November 1, 2008, the Fund has 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.
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
|
|
Other
|
|
|
Investment
|
|
Financial
|
Valuation Inputs
|
|
Securities
|
|
Instruments
|
Level 1 Quoted Prices
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
27,502,730
|
|
|
$
|
|
|
Convertible Preferred Stocks
|
|
|
5,727,040
|
|
|
|
|
|
Synthetic Convertible Securities (Purchased Options)
|
|
|
18,191
|
|
|
|
|
|
Purchased Options
|
|
|
50,750
|
|
|
|
|
|
Written Options
|
|
|
|
|
|
|
(3,544,250
|
)
|
Short Term Investments
|
|
|
4,102,235
|
|
|
|
|
|
Level 2 Other significant observable inputs
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
43,824,101
|
|
|
|
|
|
Convertible Bonds
|
|
|
27,822,353
|
|
|
|
|
|
Corporate Bonds
|
|
|
26,747,495
|
|
|
|
|
|
Convertible Preferred Stocks
|
|
|
1,896,772
|
|
|
|
|
|
Synthetic Convertible Securities (Corporate Bonds)
|
|
|
105,380
|
|
|
|
|
|
Structured Equity-Linked Securities
|
|
|
2,631,251
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
|
|
|
|
28,274
|
|
Level 3 Significant unobservable inputs
|
|
|
|
|
|
|
|
|
Convertible Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
140,428,298
|
|
|
$
|
(3,515,976
|
)
|
|
|
|
|
|
|
|
|
|
ITEM 2. CONTROLS AND PROCEDURES.
a) The
registrants principal executive officer and principal financial officer have evaluated the
registrants disclosure controls and procedures within 90 days of this filing and have concluded
that the registrants disclosure controls and procedures were effective, as of that date, in
ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrants internal controls over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrants
last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
|
|
|
|
Calamos Global Total Return Fund
|
|
By: |
/s/ John P. Calamos, Sr. |
|
|
|
|
Name: John P. Calamos, Sr.
Title: Principal Executive Officer |
|
Date: September 24, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, this report has been signed by the following persons on behalf of the registrant and
in the capacities and on the dates indicated.
|
|
|
|
Calamos Global Total Return Fund
|
|
By: |
/s/ John P. Calamos, Sr. |
|
|
|
|
Name: John P. Calamos, Sr.
Title: Principal Executive Officer |
|
Date: September 24, 2009 |
|
|
|
|
By: |
/s/ Nimish S. Bhatt |
|
|
|
|
Name: Nimish S. Bhatt
Title: Principal Financial Officer |
|
Date: September 24, 2009 |