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
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: |
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2020 Calamos Court, Naperville |
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Illinois 60563 |
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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 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2008
DATE OF REPORTING PERIOD: July 31, 2008
Global Total
Return Fund
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PRINCIPAL
|
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|
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AMOUNT
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VALUE
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|
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CORPORATE BONDS
(29.1%)
|
|
|
|
|
Consumer Discretionary (10.2%)
|
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1,809,000
|
|
|
DIRECTV Financing Company, Inc. m
8.375%, 03/15/13
|
|
$
|
1,876,838
|
|
|
878,000
|
|
|
Expedia, Inc.-
7.456%, 08/15/18
|
|
|
851,660
|
|
|
878,000
|
|
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General Motors Corp. m
7.200%, 01/15/11
|
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|
579,480
|
|
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1,646,000
|
|
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Goodyear Tire & Rubber Company
m
7.857%, 08/15/11
|
|
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1,641,885
|
|
|
1,756,000
|
|
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Liberty Media Corp.-
8.250%, 02/01/30
|
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1,564,264
|
|
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1,756,000
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|
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Mandalay Resort Group m
7.625%, 07/15/13
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1,448,700
|
|
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2,634,000
|
|
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McDonalds Corp.-
5.350%, 03/01/18
|
|
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2,584,636
|
|
|
1,756,000
|
|
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Royal Caribbean Cruises, Ltd. m
7.500%, 10/15/27
|
|
|
1,360,900
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|
|
1,756,000
|
|
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Service Corp. International m
7.500%, 04/01/27
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1,444,310
|
|
|
|
|
|
|
|
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|
|
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13,352,673
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Consumer Staples (5.8%)
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2,634,000
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|
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Anheuser-Busch Companies, Inc.-
5.000%, 03/01/19
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2,288,561
|
|
|
1,317,000
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|
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Del Monte Foods Company m
8.625%, 12/15/12
|
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1,353,218
|
|
|
2,634,000
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|
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Diageo, PLC-
5.500%, 09/30/16
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2,574,393
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Pilgrims Pride Corp. m
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|
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1,317,000
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8.375%, 05/01/17
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|
1,014,090
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|
|
439,000
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7.625%, 05/01/15
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|
373,150
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7,603,412
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Energy (0.6%)
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658,000
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Petróleo Brasileiro, SA m
8.375%, 12/10/18
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768,215
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Financials (0.6%)
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808,000
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Leucadia National Corp m
8.125%, 09/15/15
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809,010
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Health Care (1.2%)
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1,580,000
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HCA, Inc. m
9.250%, 11/15/16
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1,631,350
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Industrials (3.3%)
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2,634,000
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General Electric Company-
5.250%, 12/06/17
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2,556,487
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1,580,000
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H&E Equipment Service, Inc. m
8.375%, 07/15/16
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1,366,700
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$
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360,000
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SPX Corp.* m
7.625%, 12/15/14
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368,550
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4,291,737
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Information Technology (1.9%)
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2,371,000
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SunGard Data Systems, Inc. m
9.125%, 08/15/13
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2,436,202
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Materials (1.4%)
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1,756,000
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Mosaic Company* m
7.625%, 12/01/16
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1,852,580
|
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Telecommunication Services (3.4%)
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1,493,000
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Citizens Communications Company m
9.000%, 08/15/31
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1,328,770
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2,634,000
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|
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Verizon Communications, Inc.-
5.500%, 04/01/17
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2,531,092
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|
658,000
|
|
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Windstream Corp.-
8.625%, 08/01/16
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669,515
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4,529,377
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Utilities (0.7%)
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878,000
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TXU Corp.* m
10.250%, 11/01/15
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882,390
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TOTAL CORPORATE BONDS
(Cost $40,728,636)
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38,156,946
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CONVERTIBLE BONDS
(19.7%)
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Consumer Discretionary (1.2%)
|
|
650,000
|
EUR
|
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Adidas, AG m
2.500%, 10/08/18
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1,583,392
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Energy (7.3%)
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3,400,000
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Petroleum Geo-Services, ASA m
2.700%, 12/03/12
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2,979,250
|
|
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2,700,000
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SeaDrill, Ltd m
3.625%, 11/08/12
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2,924,228
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1,700,000
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Subsea 7, Inc. m
2.800%, 06/06/11
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1,823,250
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1,700,000
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Transocean, Inc. m
1.625%, 12/15/37
|
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1,825,375
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|
|
|
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9,552,103
|
|
|
|
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|
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Financials (1.6%)
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|
2,000,000
|
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Banco Espirito Santo, SA m
1.250%, 02/26/11
|
|
|
2,055,000
|
|
|
|
|
|
|
|
|
|
|
|
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Health Care (1.5%)
|
|
1,800,000
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|
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Teva Pharmaceutical Industries, Ltd.
m
1.750%, 02/01/26
|
|
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1,991,250
|
|
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|
|
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|
|
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Industrials (1.3%)
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1,175,000
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Quanta Services, Inc.* m
|
|
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3.750%, 04/30/26
|
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1,759,562
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Information Technology (5.2%)
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Cap Gemini, SA m
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2,000,000
|
EUR
|
|
1.000%, 01/01/12
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|
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1,472,499
|
|
|
1,800,000
|
EUR
|
|
2.500%, 01/01/10
|
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|
1,488,850
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4,000,000
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Intel Corp. m
2.950%, 12/15/35
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3,895,000
|
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|
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|
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|
|
|
|
|
|
|
|
6,856,349
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule
of Investments
Global Total
Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL
|
|
|
|
|
AMOUNT
|
|
|
|
VALUE
|
|
|
|
|
|
|
Telecommunication Services (1.6%)
|
|
1,700,000
|
|
|
NII Holdings, Inc. m
2.750%, 08/15/25
|
|
$
|
2,127,125
|
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|
|
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TOTAL CONVERTIBLE BONDS
(Cost $26,096,035)
|
|
|
25,924,781
|
|
|
|
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|
|
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SYNTHETIC CONVERTIBLE SECURITIES
(4.7%)
|
Corporate Bonds
(4.0%)
|
|
|
|
|
Consumer Discretionary (1.4%)
|
|
251,000
|
|
|
DIRECTV Financing Company, Inc. m
8.375%, 03/15/13
|
|
|
260,412
|
|
|
122,000
|
|
|
Expedia, Inc.-
7.456%, 08/15/18
|
|
|
118,340
|
|
|
122,000
|
|
|
General Motors Corp m
7.200%, 01/15/11
|
|
|
80,520
|
|
|
229,000
|
|
|
Goodyear Tire & Rubber Company
m
7.857%, 08/15/11
|
|
|
228,428
|
|
|
244,000
|
|
|
Liberty Media Corp.-
8.250%, 02/01/30
|
|
|
217,358
|
|
|
244,000
|
|
|
Mandalay Resort Group m
7.625%, 07/15/13
|
|
|
201,300
|
|
|
366,000
|
|
|
McDonalds Corp.-
5.350%, 03/01/18
|
|
|
359,141
|
|
|
244,000
|
|
|
Royal Caribbean Cruises, Ltd. m
7.500%, 10/15/27
|
|
|
189,100
|
|
|
244,000
|
|
|
Service Corp. International m
7.500%, 04/01/27
|
|
|
200,690
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,855,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.8%)
|
|
366,000
|
|
|
Anheuser-Busch Companies, Inc.-
5.000%, 03/01/19
|
|
|
318,001
|
|
|
183,000
|
|
|
Del Monte Foods Company m
8.625%, 12/15/12
|
|
|
188,032
|
|
|
366,000
|
|
|
Diageo, PLC-
5.500%, 09/30/16
|
|
|
|
|
|
|
|
|
|
|
|
357,717
|
|
|
|
|
|
Pilgrims Pride Corp. m
|
|
|
|
|
|
183,000
|
|
|
8.375%, 05/01/17
|
|
|
140,910
|
|
|
61,000
|
|
|
7.625%, 05/01/15
|
|
|
51,850
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,056,510
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.1%)
|
|
92,000
|
|
|
Petróleo Brasileiro, SA m
8.375%, 12/10/18
|
|
|
107,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%)
|
|
112,000
|
|
|
Leucadia National Corp. m
8.125%, 09/15/15
|
|
|
112,140
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.2%)
|
|
220,000
|
|
|
HCA, Inc. m
9.250%, 11/15/16
|
|
|
227,150
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.4%)
|
|
366,000
|
|
|
General Electric Company-
5.250%, 12/06/17
|
|
|
355,229
|
|
|
220,000
|
|
|
H&E Equipment Service, Inc. m
8.375%, 07/15/16
|
|
|
190,300
|
|
|
50,000
|
|
|
SPX Corp.* m
7.625%, 12/15/14
|
|
|
51,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
596,717
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%)
|
|
329,000
|
|
|
SunGard Data Systems, Inc. m
9.125%, 08/15/13
|
|
|
338,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.2%)
|
|
244,000
|
|
|
Mosaic Company* m
7.625%, 12/01/16
|
|
|
257,420
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.5%)
|
|
207,000
|
|
|
Citizens Communications Company m
9.000%, 08/15/31
|
|
|
184,230
|
|
|
366,000
|
|
|
Verizon Communications, Inc.-
5.500%, 04/01/17
|
|
|
351,701
|
|
|
92,000
|
|
|
Windstream Corp.-
8.625%, 08/01/16
|
|
|
93,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
629,541
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.1%)
|
|
122,000
|
|
|
TXU Corp.* m
|
|
|
|
|
|
|
|
|
10.250%, 11/01/15
|
|
|
122,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
5,302,834
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
Options (0.7%)
|
|
|
|
|
Industrials (0.2%)
|
|
130
|
CHF
|
|
ABB, Ltd.#
|
|
|
|
|
|
|
|
|
Call, 06/18/10, Strike $24.00
|
|
|
96,625
|
|
|
90
|
|
|
Alliant Techsystems, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/17/09, Strike $110.00
|
|
|
31,950
|
|
|
165
|
|
|
Honeywell International, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/17/09, Strike $55.00
|
|
|
43,312
|
|
|
30
|
EUR
|
|
MAN, AG#
|
|
|
|
|
|
|
|
|
Call, 12/18/09, Strike $84.00
|
|
|
25,597
|
|
|
35
|
EUR
|
|
Siemens, AG#
|
|
|
|
|
|
|
|
|
Call, 12/18/09, Strike $76.00
|
|
|
76,160
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
273,644
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.4%)
|
|
110
|
|
|
Apple, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/17/09, Strike $190.00
|
|
|
100,925
|
|
|
235
|
|
|
Cisco Systems, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/17/09, Strike $30.00
|
|
|
4,700
|
|
|
415
|
|
|
eBay, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/16/10, Strike $25.00
|
|
|
218,913
|
|
See accompanying Notes to Schedule
of Investments
Global Total
Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
|
40
|
|
|
Google, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/17/09, Strike $710.00
|
|
$
|
11,000
|
|
|
130
|
|
|
QUALCOMM, Inc.#
|
|
|
|
|
|
|
|
|
Call, 01/16/10, Strike $45.00
|
|
|
200,525
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
536,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.1%)
|
|
130
|
CAD
|
|
Teck Cominco, Ltd.#
|
|
|
|
|
|
|
|
|
Call, 01/16/10, Strike $46.00
|
|
|
126,007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS
|
|
|
935,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $7,952,851)
|
|
|
6,238,548
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
CONVERTIBLE PREFERRED STOCKS
(13.3%)
|
|
|
|
|
Consumer Staples (0.6%)
|
|
20,000
|
|
|
Archer Daniels Midland Company m
6.250%
|
|
|
780,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (5.2%)
|
|
14,000
|
|
|
American International Group, Inc.
m
8.500%
|
|
|
805,280
|
|
|
2,700
|
|
|
Bank of America Corp. m
7.250%
|
|
|
2,519,100
|
|
|
60,000
|
|
|
Citigroup, Inc. m
6.500%
|
|
|
2,647,500
|
|
|
1,000
|
|
|
SLM Corp. m
7.250%
|
|
|
887,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,859,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.7%)
|
|
30
|
EUR
|
|
Bayer, AG@
|
|
|
|
|
|
|
|
|
6.625%
|
|
|
3,494,456
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (4.8%)
|
|
47,000
|
|
|
Cia Vale do Rio Doce m
5.500%
|
|
|
2,720,125
|
|
|
450
|
CHF
|
|
Givaudan, SA m
5.375%
|
|
|
3,562,498
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,282,623
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $19,920,558)
|
|
|
17,416,334
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
UNITS
|
|
|
|
VALUE
|
|
|
STRUCTURED EQUITY-LINKED
SECURITIES (1.4%)
|
|
|
|
|
Energy (0.6%)
|
|
15,300
|
|
|
Bank of America Corp. (Noble Corp.)*
m
12.000% 12/26/08
|
|
|
833,391
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.8%)
|
|
20,500
|
|
|
Credit Suisse Group (QUALCOMM, Inc.)*
m
12.000% 12/24/08
|
|
|
1,068,665
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL STRUCTURED EQUITY-LINKED SECURITIES
(Cost $1,963,509)
|
|
|
1,902,056
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
COMMON STOCKS (65.9%)
|
|
|
|
|
Consumer Discretionary (0.9%)
|
|
20,000
|
|
|
Nike, Inc. m
|
|
|
1,173,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (6.9%)
|
|
100,000
|
GBP
|
|
British American Tobacco, PLC m
|
|
|
3,608,745
|
|
|
24,000
|
|
|
Coca-Cola
Company m
|
|
|
1,236,000
|
|
|
18,000
|
EUR
|
|
InBev, NV m
|
|
|
1,206,420
|
|
|
70,000
|
CHF
|
|
Nestle Holdings, Inc. m
|
|
|
3,070,547
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,121,712
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (4.8%)
|
|
250,000
|
GBP
|
|
BP, PLC m
|
|
|
2,565,857
|
|
|
16,000
|
CAD
|
|
Canadian Natural Resources, Ltd. m
|
|
|
1,250,217
|
|
|
30,000
|
|
|
Chevron Corp. m
|
|
|
2,536,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,352,874
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (13.7%)
|
|
105,000
|
AUD
|
|
Australian Stock Exchange, Ltd. m
|
|
|
3,386,415
|
|
|
96,000
|
EUR
|
|
EFG Eurobank Ergasias m
|
|
|
2,381,653
|
|
|
40,000
|
|
|
JPMorgan Chase & Company m
|
|
|
1,625,200
|
|
|
135,000
|
AUD
|
|
QBE Insurance Group, Ltd. m
|
|
|
2,849,835
|
|
|
140,000
|
GBP
|
|
Schroders, PLC m
|
|
|
2,653,835
|
|
|
625,000
|
SGD
|
|
Singapore Exchange, Ltd. m
|
|
|
3,071,967
|
|
|
65,000
|
GBP
|
|
Standard Chartered, PLC m
|
|
|
1,978,996
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,947,901
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (12.5%)
|
|
29,000
|
|
|
Alcon, Inc. m
|
|
|
5,000,470
|
|
|
63,000
|
AUD
|
|
CSL, Ltd. m
|
|
|
2,037,012
|
|
|
37,000
|
|
|
Johnson & Johnson m
|
|
|
2,533,390
|
|
|
60,000
|
|
|
Merck & Company, Inc. m
|
|
|
1,974,000
|
|
|
38,000
|
DKK
|
|
Novo Nordisk, AS - B Shares m
|
|
|
2,409,416
|
|
|
72,000
|
|
|
Pfizer, Inc. m
|
|
|
1,344,240
|
|
|
6,000
|
CHF
|
|
Roche Holding, AG m
|
|
|
1,108,571
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,407,099
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (5.3%)
|
|
41,000
|
CHF
|
|
ABB, Ltd.# m
|
|
|
1,074,879
|
|
|
215,000
|
GBP
|
|
BAE Systems, PLC m
|
|
|
1,907,817
|
|
|
80,000
|
JPY
|
|
Komatsu, Ltd. m
|
|
|
1,986,739
|
|
|
16,000
|
EUR
|
|
Siemens, AG m
|
|
|
1,955,094
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,924,529
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule
of Investments
Global Total
Return Fund
SCHEDULE OF
INVESTMENTS JULY 31, 2008 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
|
|
|
|
Information Technology (20.3%)
|
|
80,000
|
GBP
|
|
Autonomy Corp. PLC m#
|
|
$
|
1,685,492
|
|
|
37,000
|
JPY
|
|
Canon, Inc. m
|
|
|
1,691,094
|
|
|
130,000
|
|
|
Dell, Inc.# m
|
|
|
3,194,100
|
|
|
90,000
|
|
|
Infosys Technologies, Ltd. m
|
|
|
3,545,100
|
|
|
34,000
|
|
|
Microsoft Corp. m
|
|
|
874,480
|
|
|
15,000
|
JPY
|
|
Nintendo Company, Ltd. m
|
|
|
7,277,789
|
|
|
175,000
|
EUR
|
|
Nokia Corp. m
|
|
|
4,776,180
|
|
|
37,000
|
EUR
|
|
SAP, AG m
|
|
|
2,142,418
|
|
|
240,000
|
HKD
|
|
Vtech Holdings m
|
|
|
1,457,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,644,028
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.5%)
|
|
38,000
|
|
|
America Movil, SA de CV m
|
|
|
1,918,620
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $77,279,086)
|
|
|
86,490,363
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
PUT OPTIONS (3.8%)
|
|
|
|
|
Financials (3.8%)
|
|
|
|
|
SPDR Trust Series 1#
|
|
|
|
|
|
3,750
|
|
|
Put, 08/16/08, Strike $133.00
|
|
|
2,409,375
|
|
|
2,615
|
|
|
Put, 08/16/08, Strike $132.00
|
|
|
1,444,787
|
|
|
1,600
|
|
|
Put, 12/20/08, Strike $128.50
|
|
|
1,200,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PUT OPTIONS
(Cost $2,763,187)
|
|
|
5,054,162
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
INVESTMENT IN AFFILIATED FUND
(6.8%)
|
|
8,879,822
|
|
|
Calamos Government Money Market Fund -
Class I Shares! W
(Cost $8,879,822)
|
|
|
8,879,822
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (144.7%)
(Cost $185,583,684)
|
|
|
190,063,012
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-44.7%)
|
|
|
(58,722,915
|
)
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%)
|
|
$
|
131,340,097
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
WRITTEN OPTIONS
(-0.5%)
|
|
|
|
|
Financials (-0.5%)
|
|
|
|
|
iShares MSCI EAFE Index Fund#
|
|
|
|
|
|
2,560
|
|
|
Call, 12/20/08, Strike $74.00
|
|
|
(217,600
|
)
|
|
1,850
|
|
|
Call, 09/20/08, Strike $72.00
|
|
|
(37,000
|
)
|
|
1,050
|
|
|
Call, 12/20/08, Strike $69.00
|
|
|
(259,875
|
)
|
|
490
|
|
|
Call, 12/20/08, Strike $73.00
|
|
|
(52,675
|
)
|
|
|
|
|
SPDR Trust Series 1#
|
|
|
|
|
|
575
|
|
|
Call, 09/20/08, Strike $142.00
|
|
|
(6,900
|
)
|
|
235
|
|
|
Call, 09/20/08, Strike $135.00
|
|
|
(21,855
|
)
|
|
180
|
|
|
Call, 12/20/08, Strike $140.00
|
|
|
(30,600
|
)
|
|
180
|
|
|
Call, 12/20/08, Strike $136.00
|
|
|
(51,120
|
)
|
|
125
|
|
|
Call, 09/20/08, Strike $140.00
|
|
|
(2,750
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(680,375
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $1,836,933)
|
|
|
(680,375
|
)
|
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE
OF INVESTMENTS
|
|
|
*
|
|
Securities issued and sold pursuant
to a Rule 144A transaction are excepted from the
registration requirement of the Securities Act of 1933, as
amended. These securities may only be sold to qualified
institutional buyers (QIBs), such as the fund. Any
resale of these securities must generally be effected through a
sale that is registered under the Act or otherwise exempted or
excepted from such registration requirements. At July 31,
2008, the value of 144A securities that could not be exchanged
to the registered form is $5,436,794 or 4.1% of net assets
applicable to common shareholders.
|
#
|
|
Non-income producing security.
|
~
|
|
Security, or portion of security,
is held in a segregated account as collateral for written
options aggregating a total value of $17,791,705.
|
m
|
|
Security, or portion of security,
is held in a segregated account as collateral for a margin loan
aggregating a total value of $154,652,699.
|
W
|
|
Investment in an affiliated fund.
During the period from November 1, 2007, through
July 31, 2008, the fund had net purchases of $6,927,363 and
received $87,591 in dividend payments from the affiliated fund.
As of October 31, 2007, the fund had holdings of $1,952,459
of the affiliated fund.
|
FOREIGN CURRENCY
ABBREVIATIONS
|
|
|
AUD
|
|
Australian Dollar
|
CAD
|
|
Canadian Dollar
|
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 of the option
contract. The option contract may be exercised at any date on or
before the date shown.
See accompanying Notes to Schedule
of Investments
Global Total
Return Fund
|
|
|
COUNTRY
ALLOCATION AS OF JULY 31, 2008
|
Country
|
|
%
of Portfolio
|
|
|
|
|
United States
|
|
42.0%
|
|
|
|
United Kingdom
|
|
9.6%
|
|
|
|
Switzerland
|
|
8.3%
|
|
|
|
Japan
|
|
6.1%
|
|
|
|
Germany
|
|
5.1%
|
|
|
|
Australia
|
|
4.6%
|
|
|
|
Finland
|
|
2.6%
|
|
|
|
Bermuda
|
|
2.4%
|
|
|
|
Cayman Islands
|
|
2.0%
|
|
|
|
Brazil
|
|
2.0%
|
|
|
|
India
|
|
2.0%
|
|
|
|
Singapore
|
|
1.7%
|
|
|
|
Norway
|
|
1.7%
|
|
|
|
France
|
|
1.6%
|
|
|
|
Denmark
|
|
1.3%
|
|
|
|
Greece
|
|
1.3%
|
|
|
|
Portugal
|
|
1.1%
|
|
|
|
Israel
|
|
1.1%
|
|
|
|
Mexico
|
|
1.1%
|
|
|
|
Liberia
|
|
0.9%
|
|
|
|
Canada
|
|
0.8%
|
|
|
|
Belgium
|
|
0.7%
|
|
|
|
|
|
|
Total:
|
|
100.0%
|
|
|
|
|
|
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 the Fund
determines its NAV.
When a most recent last sale or closing price is not available,
portfolio 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.
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, in accordance with guidelines
adopted by the board of trustees. 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.
Each 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 markets or
exchanges 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 on July 31, 2008.
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. Put and call options purchased are accounted for in
the same manner as portfolio securities. The cost of securities
acquired through the exercise of call options is increased by
premiums paid. The proceeds from securities sold through the
exercise of put options are decreased by the premiums paid.
When a Fund writes an option, an amount equal to the premium
received by the Fund is recorded as a liability and is
subsequently adjusted to the current value of the option
written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as
realized gains from written options. The difference between the
premium and the amount paid on effecting a closing purchase
transaction, including brokerage commissions, is also treated as
a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a
written call option is exercised, the premium is added to the
proceeds from the sale of the underlying security or currency in
determining whether the Fund has realized a gain or loss. If a
written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as
writer of an option bears the market risk of an unfavorable
change in the price of the security underlying the written
option.
NOTE 2
INVESTMENTS
The following information is presented on a federal income tax
basis as of July 31, 2008. Differences between the cost
basis under U.S. generally accepted accounting principles
and federal income tax purposes are primarily due to timing
differences.
The cost basis of investments for federal income tax purposes at
July 31, 2008 was as follows:
|
|
|
|
|
Cost basis of investments
|
|
$
|
185,864,469
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
|
17,110,590
|
|
Gross unrealized depreciation
|
|
|
(12,912,047
|
)
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
4,198,543
|
|
|
|
|
|
|
NOTE 3
FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at July 31,
2008.
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|
NOTE 4
|
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 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 5
SECURITIES LENDING
The Fund may loan one or more of its securities to
broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on
a current basis in an amount at least equal to the market value
of the securities loaned by the Fund. The Fund continues to
receive the equivalent of the interest or dividends paid by the
issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of
the collateral. The Fund may pay reasonable fees to persons
unaffiliated with the Fund for services in arranging these
loans. The Fund has the right to call a loan and obtain the
securities loaned at any time on notice of not less than five
business days. The Fund does not have the right to vote the
securities loaned during the existence of the loan but could
call the loan in an attempt to permit voting of the securities
in certain circumstances. Upon return of the securities loaned,
the cash or cash equivalent collateral will be returned to the
borrower. In the event of bankruptcy or other default of the
borrower, the Fund could experience both delays in liquidating
the loan collateral or recovering the loaned securities and
losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the
period while the Fund seeks to enforce its rights thereto,
(b) possible subnormal levels of income and lack of access
to income during this period, and (c) the expenses of
enforcing their rights. In an effort to reduce these risks, the
Funds securities lending agent monitors and reports to
Calamos Advisors on the creditworthiness of the firms to which a
Fund lends securities. At July 31, 2008, the Fund had
securities valued at $0 that were on loan to broker-dealers and
banks and held $0 in cash or cash equivalent collateral.
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.
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, 2008 |
|
|
|
|
|
|
|
By:
|
|
/s/ Nimish S. Bhatt |
|
|
Name:
|
|
Nimish S. Bhatt
|
|
|
Title:
|
|
Principal Financial Officer |
|
|
Date:
|
|
September 24, 2008 |
|
|
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, 2008 |
|
|
|
|
|
|
|
By:
|
|
/s/ Nimish S. Bhatt |
|
|
Name:
|
|
Nimish S. Bhatt
|
|
|
Title:
|
|
Principal Financial Officer |
|
|
Date:
|
|
September 24, 2008 |
|
|