N-Q

 

 

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

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2012

DATE OF REPORTING PERIOD: January 31, 2012

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  CORPORATE BONDS (16.3%)   
    Consumer Discretionary (4.5%)  
  1,200,000       

Jaguar Land Rover, PLC*µ

7.750%, 05/15/18

  $ 1,197,000   
  2,000,000       

Royal Caribbean Cruises, Ltd.µ

7.250%, 06/15/16

    2,175,000   
  2,000,000       

Service Corp. Internationalµ

7.500%, 04/01/27

    1,972,500   
     

 

 

 
        5,344,500   
     

 

 

 
    Consumer Staples (1.7%)  
  395,000       

Darling International, Inc.µ

8.500%, 12/15/18

    444,375   
  8,700,000     

NOK

  Nestlé Holdings, Inc.µ
3.375%, 02/08/16
    1,531,948   
     

 

 

 
        1,976,323   
     

 

 

 
    Energy (2.4%)  
  6,500,000     

NOK

 

Aker Solutions, ASAµ

8.700%, 06/26/14

    1,201,343   
    Frontier Oil Corp.  
  620,000        8.500%, 09/15/16     666,500   
  611,000        6.875%, 11/15/18µ     629,330   
  383,000       

Trinidad Drilling, Ltd.*µ

7.875%, 01/15/19

    407,895   
     

 

 

 
        2,905,068   
     

 

 

 
    Financials (2.1%)  
  10,000,000     

CNY

 

Caterpillar, Inc.

1.350%, 07/12/13

    1,559,036   
  920,000       

Leucadia National Corp.µ

8.125%, 09/15/15

    993,600   
     

 

 

 
        2,552,636   
     

 

 

 
    Health Care (0.7%)  
  750,000       

Grifols SA

8.250%, 02/01/18

    826,875   
     

 

 

 
    Industrials (2.9%)  
  1,172,000        Boart Longyear Management Pty., Ltd.*µ 7.000%, 04/01/21     1,230,600   
  1,800,000       

H&E Equipment Services, Inc.µ

8.375%, 07/15/16

    1,863,000   
  336,000       

Polypore International, Inc.

7.500%, 11/15/17

    354,480   
     

 

 

 
        3,448,080   
     

 

 

 
    Information Technology (0.6%)  
  750,000       

Audatex North America, Inc.*µ

6.750%, 06/15/18

    766,875   
     

 

 

 
    Materials (1.4%)  
  1,550,000       

FMG Resources*µ

8.250%, 11/01/19

    1,670,125   
     

 

 

 
   

TOTAL CORPORATE BONDS

(Cost $18,794,586)

    19,490,482   
     

 

 

 
     
     
  CONVERTIBLE BONDS (32.8%)   
    Consumer Discretionary (1.1%)  
  4,000,000     

HKD

 

Hengdeli Holdings, Ltd.

2.500%, 10/20/15

  $ 508,040   
  915,000       

Liberty Media Corp. (Viacom, CBS
Corp. - Class B)µ§

3.250%, 03/15/31

    780,037   
     

 

 

 
        1,288,077   
     

 

 

 
    Consumer Staples (1.7%)  
  725,000       

Archer-Daniels-Midland Companyµ

0.875%, 02/15/14

    735,875   
  1,275,000       

Molson Coors Brewing Companyµ

2.500%, 07/30/13

    1,353,094   
     

 

 

 
        2,088,969   
     

 

 

 
    Energy (5.4%)  
    Chesapeake Energy Corp.  
  725,000        2.750%, 11/15/35     690,562   
  690,000        2.500%, 05/15/37µ     606,338   
  1,800,000       

Subsea 7, SAµ

2.250%, 10/11/13

    2,029,500   
    Technip, SA  
  1,950,000     

EUR

  0.500%, 01/01/16     2,341,994   
  659,100     

EUR

  0.250%, 01/01/17     853,514   
     

 

 

 
        6,521,908   
     

 

 

 
    Financials (2.7%)  
  700,000       

Affiliated Managers Group, Inc.µ

3.950%, 08/15/38

    769,125   
  700,000       

Leucadia National Corp.

3.750%, 04/15/14

    925,750   
  1,750,000     

SGD

 

Temasek (Standard Chartered)§

0.000%, 10/24/14

    1,480,999   
     

 

 

 
        3,175,874   
     

 

 

 
    Health Care (7.6%)  
  2,000,000       

Gilead Sciences, Inc.µ

1.625%, 05/01/16

    2,530,000   
  1,750,000       

Medtronic, Inc.µ

1.625%, 04/15/13

    1,782,812   
  2,700,000       

Shire, PLC

2.750%, 05/09/14

    3,123,900   
  1,100,000     

EUR

 

UCB, SAµ

4.500%, 10/22/15

    1,620,510   
     

 

 

 
        9,057,222   
     

 

 

 
    Information Technology (6.4%)  
  1,175,000       

Intel Corp.µ

3.250%, 08/01/39

    1,577,437   
  715,000       

Linear Technology Corp.~

3.000%, 05/01/27

    765,050   
  700,000       

Microsoft Corp.*µ

0.000%, 06/15/13

    729,750   
     

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  780,000       

Nuance Communications, Inc.*~

2.750%, 11/01/31

  $ 916,500   
  1,950,000       

SanDisk Corp.

1.500%, 08/15/17

    2,262,000   
  1,305,000       

Symantec Corp.µ

1.000%, 06/15/13

    1,464,863   
     

 

 

 
        7,715,600   
     

 

 

 
    Materials (7.9%)  
  600,000       

Anglo American, PLCµ

4.000%, 05/07/14

    939,300   
  1,300,000       

AngloGold Ashanti, Ltd.

3.500%, 05/22/14

    1,511,250   
  2,800,000       

Goldcorp, Inc.µ

2.000%, 08/01/14

    3,605,000   
  2,300,000       

Newmont Mining Corp.

1.625%, 07/15/17

    3,447,125   
   

 

 

 
        9,502,675   
   

 

 

 
    TOTAL CONVERTIBLE BONDS
(Cost $39,061,379)
    39,350,325   
     

 

 

 
 
 
U.S. GOVERNMENT AND AGENCY
SECURITY (1.0%)
  
  
  1,200,000       

United States Treasury Note~

0.375%, 09/30/12

(Cost $1,202,185)

    1,202,250   
     

 

 

 
  SOVEREIGN BONDS (10.4%)   
  275,000     

BRL

 

Federative Republic of Brazil

10.000%, 01/01/14

    1,585,523   
  3,880,000     

CAD

 

Government of Canada

2.000%, 06/01/16

    3,997,286   
  930,000     

NZD

 

Government of New Zealand

6.000%, 04/15/15

    843,499   
  15,850,000     

NOK

 

Kingdom of Norway

4.250%, 05/19/17

    3,030,732   
  19,200,000     

SEK

 

Kingdom of Sweden

3.000%, 07/12/16

    3,049,287   
   

 

 

 
    TOTAL SOVEREIGN BONDS
(Cost $12,006,972)
    12,506,327   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
  CONVERTIBLE PREFERRED STOCKS (4.1%)   
    Consumer Staples (0.6%)  
  7,500       

Bunge, Ltd.µ

4.875%

    713,438   
   

 

 

 
    Energy (2.2%)  
  2,750       

Chesapeake Energy Corp.*µ

5.750%

    2,669,150   
   

 

 

 
NUMBER OF
SHARES
                VALUE  
     
    Financials (0.6%)  
  9,300       

MetLife, Inc.µ

5.000%

  $ 637,143   
   

 

 

 
    Utilities (0.7%)  
  16,000       

NextEra Energy, Inc.µ

7.000%

    846,000   
   

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $5,884,446)
    4,865,731   
     

 

 

 
  COMMON STOCKS (68.2%)   
    Consumer Discretionary (6.7%)  
  14,500     

EUR

  Adidas, AG     1,044,687   
  64,000     

JPY

  Nikon Corp.µ     1,566,833   
  37,250     

CHF

  Swatch Group, AG     2,731,532   
  6,600     

CHF

  Swatch Group, AG     2,780,532   
   

 

 

 
        8,123,584   
   

 

 

 
    Consumer Staples (10.5%)  
  49,000        Coca-Cola Company     3,308,970   
  31,000     

EUR

  Danone, SAµ     1,913,330   
  75,000     

GBP

  Diageo, PLCµ     1,656,954   
  55,000     

CHF

  Nestlé, SAµ     3,151,820   
  41,500        Wal-Mart Stores, Inc.µ     2,546,440   
   

 

 

 
        12,577,514   
   

 

 

 
    Energy (4.2%)  
  490,000     

HKD

  CNOOC, Ltd.µ     1,003,340   
  1,100,000     

HKD

  PetroChina Company, Ltd. - Class H     1,605,611   
  32,000        Schlumberger, Ltd.µ     2,405,440   
   

 

 

 
        5,014,391   
   

 

 

 
    Health Care (11.2%)  
  30,000        Covidien, PLCµ     1,545,000   
  48,500        Johnson & Johnsonµ     3,196,635   
  16,500        Medtronic, Inc.µ     636,405   
  27,000     

CHF

  Novartis, AG     1,460,728   
  55,600     

DKK

  Novo Nordisk, A/S - Class Bµ     6,574,151   
   

 

 

 
        13,412,919   
   

 

 

 
    Industrials (4.0%)  
  80,500     

CHF

  ABB, Ltd.µ#     1,680,837   
  52,000        General Electric Companyµ     972,920   
  22,400     

EUR

  Siemens, AGµ     2,113,724   
   

 

 

 
        4,767,481   
   

 

 

 
    Information Technology (18.9%)  
  48,500        Applied Materials, Inc.µ     595,580   
  32,200     

EUR

  ASML Holding, NVµ     1,382,984   
  37,000     

JPY

  Canon, Inc.µ     1,597,087   
  30,500        Check Point Software Technologies, Ltd.µ#     1,716,845   
  63,000        Cisco Systems, Inc.µ~     1,236,690   
  130,000        Dell, Inc.µ#     2,239,900   
  54,000        Microsoft Corp.µ     1,594,620   
  2,600     

JPY

  Nintendo Company, Ltd.     352,716   

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)

 

NUMBER OF
SHARES
                VALUE  
     
  60,000        QUALCOMM, Inc.µ   $ 3,529,200   
  95,100     

EUR

  SAP, AGµ     5,745,829   
  310,000     

TWD

  Taiwan Semiconductor Manufacturing Company, Ltd.     822,476   
  120,000        Yahoo!, Inc.#     1,856,400   
   

 

 

 
        22,670,327   
   

 

 

 
    Materials (11.5%)  
  33,000     

GBP

  Anglo American, PLCµ     1,364,517   
  64,200        Barrick Gold Corp.µ     3,162,492   
  68,000        Freeport-McMoRan Copper & Gold, Inc.µ     3,142,280   
  97,263     

AUD

  Newcrest Mining, Ltd.     3,481,902   
  43,700     

GBP

  Rio Tinto, PLCµ     2,620,218   
   

 

 

 
        13,771,409   
   

 

 

 
    Telecommunication Services (1.2%)  
  225     

JPY

  KDDI Corp.     1,425,807   
     

 

 

 
    TOTAL COMMON STOCKS
(Cost $81,731,781)
    81,763,432   
     

 

 

 
  SHORT TERM INVESTMENT (1.3%)  
  1,609,119        Fidelity Prime Money Market Fund - Institutional Class
(Cost $1,609,119)
    1,609,119   
     

 

 

 

 
 

    TOTAL INVESTMENTS (134.1%)
(Cost $160,290,468)

    160,787,666   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-34.1%)     (40,891,457
     

 

 

 
 
 
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS (100.0%)
  $ 119,896,209   
     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. At January 31, 2012, the value of 144A securities that could not be exchanged to the registered form is $9,587,895 or 8.0% of net assets applicable to common shareholders.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $93,315,534. $36,299,706 of the collateral has been re-registered by the counterparty.
§   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 segregated as collateral (or potential collateral for future transactions) is for written options and swaps. The aggregate value of such securities is $2,948,634.
#   Non-income producing security.

 

FOREIGN CURRENCY ABBREVIATIONS

AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CHF    Swiss Franc
CNY    Chinese Yuan Renminbi
DKK    Danish Krone
EUR    European Monetary Unit
GBP    British Pound Sterling
HKD    Hong Kong Dollar
JPY    Japanese Yen
NOK    Norwegian Krone
NZD    New Zealand Dollar
SEK    Swedish Krona
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.

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

INTEREST RATE SWAPS

 

Counterparty    Fixed Rate
(Fund Pays)
     Floating Rate
(Fund  Receives)
     Termination
Date
     Notional
Amount
       Unrealized
Appreciation/
(Depreciation)
 
BNP Paribas, SA    2.5350% quarterly      3 month LIBOR      03/09/14      $ 12,000,000         $ (553,085
BNP Paribas, SA    2.0200% quarterly      3 month LIBOR      03/09/12        8,000,000           (30,238
BNP Paribas, SA    1.8525% quarterly      3 month LIBOR      09/14/12        7,000,000           (73,086
                      

 

 

 
                       $ (656,409
                      

 

 

 

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

 

 

CURRENCY EXPOSURE JANUARY 31, 2012

     VALUE      % OF TOTAL INVESTMENTS  
US Dollar    $ 89,106,340         55.4%   
European Monetary Unit      17,016,572         10.6%   
Swiss Franc      11,805,449         7.3%   
Danish Krone      6,574,151         4.1%   
Norwegian Krone      5,764,023         3.6%   
British Pound Sterling      5,641,689         3.5%   
Japanese Yen      4,942,443         3.1%   
Canadian Dollar      3,997,286         2.5%   
Australian Dollar      3,481,902         2.2%   
Hong Kong Dollar      3,116,991         1.9%   
Swedish Krona      3,049,287         1.9%   
Brazilian Real      1,585,523         1.0%   
Chinese Yuan Renminbi      1,559,036         1.0%   
Singapore Dollar      1,480,999         0.9%   
New Zealand Dollar      843,499         0.5%   
New Taiwanese Dollar      822,476         0.5%   
  

 

 

    

 

 

 
Total Investments    $ 160,787,666         100.0%   
  

 

 

    

 

 

 

Currency exposure may vary over time.

 

See accompanying Notes to Schedule of Investments


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 Fund’s investment objective is to provide total return through a combination of capital appreciation and current income.

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV.

When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations 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, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

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

 


When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. 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 January 31, 2012.

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 a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at January 31, 2012.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2012. 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 January 31, 2012 was as follows:

 

Cost basis of investments

   $ 160,170,632   
  

 

 

 

Gross unrealized appreciation

     6,990,415   

Gross unrealized depreciation

     (6,373,381
  

 

 

 

Net unrealized appreciation (depreciation)

   $ 617,034   
  

 

 

 

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to $59,000,000, and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. For the period ended January 31, 2012, the average borrowings under the Agreement and the average interest rate were $41,000,000 and 1.20%, respectively. As of January 31, 2012, the amount of such outstanding borrowings was $41,000,000. The interest rate applicable to the borrowings on January 31, 2012 was 1.20%.

The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows


Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction 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 value of such Lent Securities against the Current Borrowings.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s 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. 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 of the Fund.

NOTE 5 — FAIR VALUE MEASUREMENTS

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

   

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

   

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

   

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.


The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

     Level 1      Level 2      Level 3      Total  

Assets:

           

Corporate Bonds

   $       $ 19,490,482       $       $ 19,490,482   

Convertible Bonds

        39,350,325            39,350,325   

U.S. Government and Agency Security

        1,202,250            1,202,250   

Sovereign Bonds

        12,506,327            12,506,327   

Convertible Preferred Stocks

     637,143         4,228,588            4,865,731   

Common Stocks

     81,763,432               81,763,432   

Short Term Investment

     1,609,119               1,609,119   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 84,009,694       $ 76,777,972       $       $ 160,787,666   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities:

           

Interest Rate Swaps

   $       $ 656,409       $       $ 656,409   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $       $ 656,409       $       $ 656,409   
  

 

 

    

 

 

    

 

 

    

 

 

 
     Transfers in to
Level 1*
     Transfers out of
Level 1
     Transfers in to
Level 2
     Transfers out of
Level 2*
 

Investments, at Value:

           

Common Stocks

   $ 37,875,023       $       $                 —       $ 37,875,023   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 37,875,023       $       $       $ 37,875,023   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Transfers to Level 1 from Level 2 were due to the absence of an applied factor utilizing a systematic fair valuation model on securities that trade on European and Far Eastern exchanges.


ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s 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 registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s 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:  

March 22, 2012

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:  

March 22, 2012

 

By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:  

March 22, 2012