N-CSRS
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-22047

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

  Calamos Global Dynamic Income Fund

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:

    2020 Calamos Court, Naperville,

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:

    John P. Calamos, Sr., President

Calamos Advisors LLC

2020 Calamos Court

Naperville, Illinois

60563-2787

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

DATE OF FISCAL YEAR END: October 31, 2015

DATE OF REPORTING PERIOD: November 1, 2014 through April 30, 2015

 

 

 


Table of Contents

Item 1. Report to Shareholders

LOGO


Table of Contents

LOGO

Experience and Foresight

About Calamos Investments

For over 35 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage six closed-end funds. These include total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential, and enhanced fixed income offerings, which pursue high current income from income and capital gains. Calamos Global Dynamic Income Fund (CHW) falls into this latter category. Please see page 5 for a more detailed overview of our closed-end offerings.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

We believe an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered strategies that seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

We have a global perspective. We believe globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

 

TABLE OF CONTENTS

  

Letter to Shareholders

     1   

The Calamos Closed-End Funds: An Overview

     5   

Investment Team Discussion

     6   

Schedule of Investments

     10   

Statement of Assets and Liabilities

     18   

Statement of Operations

     19   

Statements of Changes In Net Assets

     20   

Statement of Cash Flows

     21   

Notes to Financial Statements

     22   

Financial Highlights

     31   

Report of Independent Registered Public Accounting Firm

     32   

About Closed-End Funds

     33   

Level Rate Distribution Policy

     34   

Automatic Dividend Reinvestment Plan

     34   
  
 


Table of Contents

 

Letter to Shareholders

 

 

LOGO

 

JOHN P. CALAMOS, SR.

CEO and Global Co-CIO

Dear Fellow Shareholder:

Welcome to your semiannual report for the six-month period ended April 30, 2015. In this report, you will find commentary from the management team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the Fund’s performance and positioning. I invite you to review not only the commentary for this Fund, but also to discuss with your financial advisor if there are other Calamos funds that could be suitable for your asset allocation.

Calamos Global Dynamic Income Fund (CHW) is an enhanced fixed income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains.

Distribution

During the period, the Fund provided a steady monthly distribution of $0.0700 per share. We believe the Fund’s current annualized distribution rate, which was 9.31%* on a market price basis as of April 30, 2015, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional information on our level rate distribution policy, please see “The Calamos Closed-End Funds: An Overview” on page 5 and “Level Rate Distribution Policy” on page 34.)

 

* Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 4/15/15 distribution was $0.0700 per share. Based on our current estimates, we anticipate that approximately $0.0700 is paid from ordinary income and that approximately $0.0000 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.
 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     1   


Table of Contents

 

Letter to Shareholders

 

 

Market Environment

The MSCI World Index, a measure of stocks from developed markets, returned 5.38% for the six-month period. Growth stocks outperformed, with the MSCI World Growth Index gaining 7.49%. In the U.S., stocks extended their bull market run, with the S&P 500 Index advancing 4.40%. Investors also demonstrated a preference for growth stocks, with the Russell 3000 Growth Index returning 6.59%, versus the Russell 3000 Value Index, up 2.82%. Emerging market equities gained 4.04%, as measured by the MSCI Emerging Market Index.

Convertible securities, which combine attributes of stocks and fixed income securities, captured a substantial measure of the stock market’s gains. U.S. convertibles advanced 3.64%, as measured by the BofA Merrill Lynch All U.S. Convertibles ex-Mandatory Index, and global convertibles gained 4.11%, as measured by the BofA Merrill Lynch Global 300 Convertible Index. In the high yield bond market, the Credit Suisse High Yield Index advanced 1.33%.

These gains were earned despite headwinds related to energy prices, unrest in Ukraine, political wrangling in the euro zone, global growth rates and the potential impact of a strengthening dollar. In the U.S., unemployment continued to fall, the Federal Reserve maintained accommodative monetary policy, and corporate profits remained healthy. Outside the U.S., positive economic surprises in Europe and Japan boosted investor sentiment. Markets responded favorably to the European Central Bank’s decision to move forward with quantitative easing as well as to Japan’s concerted and coordinated efforts to promote economic recovery.

Our Use of Leverage**

We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Fund’s distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage would be advantageous given the economic environment, specifically the low borrowing costs we were able to secure. Overall, use of leverage contributed favorably to the returns of the Fund, as the performance of the Fund’s holdings exceeded the cost of borrowing.

Consistent with our focus on risk management, we have employed techniques to hedge against a rise in interest rates. We have used interest rate swaps to manage the borrowing costs associated with the Fund’s use of leverage. Interest rate swaps allow us to “lock down” an interest rate we believe to be attractive.

 

 

** Leverage creates risks that may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares, and fluctuations in the variable rates of the leverage financing.

 

  The Fund has a non-fundamental policy that it will not issue preferred shares, borrow money, or issue debt securities with an aggregate liquidation preference and aggregate principal amount exceeding 38% of the Fund’s managed assets as measured immediately after the issuance of any preferred shares or debt. Prior to May 22, 2015, this leverage limitation was measured according to the Fund’s total assets.

 

2   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


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Letter to Shareholders

 

 

Although rates are at historically low levels across much of the fixed income market, experience has taught us that rates can rise quickly, in some cases, in a matter of months. We believe the Fund’s use of interest rate swaps is beneficial because it provides a degree of protection should a rise in rates occur. However, we will continue to assess the costs versus benefits of employing swaps as part of our leverage strategy.

Outlook

Our team is optimistic about the global markets. Although the U.S. economy grew slowly during the first quarter of the year—due in large measure to unseasonably cold weather and turmoil in the energy sector—we believe the U.S. can resume its steady expansion for the remainder of 2015, as energy prices stabilize, inflation remains contained, and the Federal Reserve maintains its accommodative stance. We also expect the global economy to expand in 2015, benefiting from ranging factors including central bank policy in the euro zone, Japan, and select emerging markets.

While we see opportunities among equities, convertibles and high yield securities, we are concerned about the potential risks associated with oversized allocations to traditional fixed-income securities, as history has shown that interest rates can rise quickly. We believe investors should work proactively with their financial advisors to ensure appropriate diversification, which may include convertibles strategies and liquid alternative strategies.

While we see a good deal of opportunity, this is an environment where active management, rigorous research and keen awareness of risk will be important drivers of success. We anticipate market volatility will persist as investors respond to the activities of central banks (particularly those of the Federal Reserve), as well as geopolitical uncertainties. We are confident that our disciplined, tested, and fundamentally driven approach will serve the Fund well.

In closing, I invite you to visit us at www.calamos.com. We’re continually updating our site with thought leadership, blogs and commentary designed to help you and your financial advisor decide which opportunities are most appropriate for you.

On behalf of all of us at Calamos Investments, I thank you for your trust. We are honored you have chosen us to help you pursue your investment goals.

Sincerely,

LOGO

John P. Calamos, Sr.

CEO and Global Co-CIO

 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     3   


Table of Contents

 

Letter to Shareholders

 

 

 

 

 

Before investing, carefully consider a Fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

The MSCI World Index is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. The MSCI World Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 23 developed markets countries. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. The Russell 3000 Growth Index measures the performance of the broad growth segment of the U.S. equity universe. It includes those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 3000 Value Index measures the performance of the broad value segment of the U.S. equity universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide. The BofA Merrill Lynch All U.S. Convertibles Ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The BofA ML Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. The Credit Suisse High Yield Index is considered generally representative of the high-yield bond market. The MSCI EAFE Index measures developed market equity performance excluding the U.S. and Canada. Sources: Lipper, Inc.; Morningstar.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Fund is actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to the accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, that should be carefully considered prior to investing. This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio.

 

 

4   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


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The Calamos Closed-End Funds: An Overview

 

 

In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. We launched our first closed-end fund in 2002.

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories that seek to produce income while offering exposure to various asset classes and sectors.

 

Portfolios Positioned to Pursue High Current Income from Income and Capital Gains

  

Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential

OBJECTIVE: U.S. ENHANCED FIXED INCOME    OBJECTIVE: GLOBAL TOTAL RETURN

Calamos Convertible Opportunities and Income Fund

(Ticker: CHI)

Invests in high yield and convertible securities, primarily in U.S. markets

  

Calamos Global Total Return Fund
(Ticker: CGO)

Invests in equities and higher-yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets

     OBJECTIVE: U.S. TOTAL RETURN

Calamos Convertible and High Income Fund

(Ticker: CHY)

Invests in high yield and convertible securities, primarily in U.S. markets

  

Calamos Strategic Total Return Fund

(Ticker: CSQ)

Invests in equities and higher-yielding convertible securities and corporate bonds, primarily in U.S. markets.

OBJECTIVE: GLOBAL ENHANCED FIXED INCOME     

Calamos Global Dynamic Income Fund
(Ticker: CHW)

Invests in global fixed income securities, alternative investments and equities

  

Calamos Dynamic Convertible and Income Fund

(Ticker: CCD)

Invests in convertibles and other fixed income securities

Our Level Rate Distribution Policy

Closed-end fund investors often look for a steady stream of income. Recognizing this, Calamos closed-end funds have a level rate distribution policy in which we aim to keep monthly income consistent through the disbursement of net investment income, net realized short-term capital gains and, if necessary, return of capital. We set distributions at levels that we believe are sustainable for the long term. Our team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment. The funds’ distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.

For more information about any of these funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

For more information on our level rate distribution policy, please see page 34.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     5   


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Investment Team Discussion

 

 

 

TOTAL RETURN* AS OF 04/30/15  

Common Shares – Inception 6/27/07

  

     6 Months     1 Year     Since
Inception**
 

On Market Price

    5.01%        8.03%        3.07%   

On NAV

    4.68%        5.43%        4.84%   

* Total return measures net investment income and net realized gain or loss from Fund investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.

** Annualized since inception.

      

  

 

SECTOR WEIGHTINGS       

Information Technology

    19.5

Consumer Discretionary

    15.3   

Financials

    14.5   

Health Care

    12.3   

Industrials

    10.7   

Energy

    9.1   

Consumer Staples

    5.7   

Materials

    4.3   

Telecommunication Services

    3.6   

Utilities

    1.4   

Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the Fund may hold.

GLOBAL DYNAMIC INCOME FUND (CHW)

INVESTMENT TEAM DISCUSSION

Please discuss the Fund’s strategy and role within an asset allocation.

Calamos Global Dynamic Income Fund (CHW) is a global enhanced fixed-income offering that seeks to provide an attractive monthly distribution, with a secondary objective of capital appreciation. We believe it offers a diversified way to participate in the long-term potential of global markets.

In this portfolio, we are drawing upon our team’s experience in an array of asset classes. We utilize a highly flexible approach, and can invest in equities, convertible securities and high-yield securities. We also can employ alternative strategies such as covered call writing and convertible arbitrage. Through covered call writing, we seek to generate income by selling (“writing”) options on market indexes. In the convertible arbitrage strategy, we invest in convertible securities and short sell the convertibles’ underlying equities to generate income and hedge against risk.

We believe that this broad mandate enhances our ability to capitalize on market volatility, manage potential downside risks and generate more income versus traditional fixed income funds. The allocation to each asset class and strategy is dynamic, and reflects our view of the economic landscape as well as the potential of individual securities. By combining asset classes and strategies, we believe that we are well positioned to generate income and capital gains. The broader range of security types also provides us with increased opportunities to manage the risk and reward characteristics of the portfolio over full market cycles. We believe our exposure to the equity markets was beneficial to the overall performance of the Fund.

We invest in both U.S. and non-U.S. companies, with at least 40% of assets invested in non-U.S. companies. We emphasize companies with reliable debt servicing, respectable balance sheets, and sustainable prospects for growth. Regardless of a company’s country of domicile, we favor companies with geographically diversified revenue streams and global business strategies.

How did the Fund perform over the reporting period?

The Fund gained 4.68% on a net asset value (NAV) basis for the six-month period ended April 30, 2015. On a market price basis, the Fund returned 5.01%. As a comparison to the broader global fixed income and equity markets, the MSCI EAFE Index gained 7.06% and the MSCI World Index returned 5.38% during the period. The S&P 500 returned 4.40% during the period.

At the end of the reporting period, the Fund’s shares traded at an 8.33% discount to net asset value, improving from an 8.62% discount at the beginning of the period.

 

 

 

6   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


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Investment Team Discussion

 

 

 

 

 

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 04/30/15

 

 

LOGO

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future expectation. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how well a manager capitalized on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a Fund’s performance. However, when managing the Fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market price.

Please discuss the Fund’s distributions during the semi-annual period.

We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. We currently distribute $0.0700 per share per month. The Fund’s annual distribution rate was 9.31% of market price as of April 30, 2015.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2015, the dividend yield of the S&P 500 Index stocks averaged 1.99%. Yields also remained low within the U.S. government bond market, with the 10-year Treasury and the 30-year Treasury yielding 2.03% and 2.74%, respectively.

What factors influenced performance over the reporting period?

The Fund has the ability to invest in a range of strategies including convertible securities, high yield, U.S. equities, international equities, as well as convertible arbitrage. This enables us to participate in a myriad of opportunities on behalf of our shareholders. Given this flexibility, we were able to maintain our exposure to the equity markets through our convertible holdings, which allowed us to participate in the general upward trajectory of equities.

 

ASSET ALLOCATION AS OF 04/30/15

LOGO

Fund asset allocations are based on total investments and may vary over time.

 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     7   


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Investment Team Discussion

 

 

In the U.S. equity sleeve, our selection and overweight within financials, particularly selection in asset managers, custody banks and regional banks were positive relative to the S&P 500 Index. In addition, our selection in technology, specifically in the hardware, storage and peripherals, was beneficial. Our selection in health care, particularly biotech and pharmaceuticals, impeded performance. Our slight overweight and selection in energy, notably oil and gas exploration and production, detracted. Our absolute return in health care was positive, albeit lower than the S&P 500 Index.

In the global equity sleeve, our selection in and overweight within utilities, the multi-utilities and electric utilities, as well as selection in and underweight within financials, specifically specialized financials, all proved helpful. From a geographic perspective, our underweight in Canada and emerging Asia served us well. Our overweight and selection within consumer discretionary, particularly automobile manufacturers, Internet retail, auto parts and equipment and cable and satellite, impeded performance. In addition, our selection and overweight in energy, especially oil and gas exploration, oil and gas equipment and services, also held back returns. Geographically, our overweight in the U.S. and underweight in Japan was not helpful.

In the international sleeve, our selection in and underweight in information technology, particularly home entertainment software, consulting and semiconductors were helpful. In addition, our selection and underweight in financials (diversified banks, asset managers and custody banks) were relatively positive. Geographically, our selection in Europe and South Africa benefitted performance. Conversely, our selections and underweight in health care (pharmaceuticals) and selection within consumer staples (brewers) underperformed relative to the Index. Geographically, our overweight in Latin America and Canada impeded relative performance.

The convertible arbitrage strategy benefited from rising equity prices as more value was gained on the long convertible than was lost on the short equity position over the six-month period. Two detractors for convertible arbitrage during the reporting period included the near-zero fed funds rate (no overnight interest received on cash from short equity positions) and widened credit spreads that exceeded the benefit from declining interest rates. The average high yield credit spread rose 34 basis points, or 0.34%, while the 5-Year Treasury yield fell 19 basis points.

How is the Fund positioned?

We believe large multinational companies with globally diversified revenues and access to capital are poised to capitalize on both secular and cyclical trends. In our estimation, valuations of global equities are selectively attractive, as investors continue to discount the growth of future cash flows. Equity and equity-sensitive securities continue to offer attractive risk-reward characteristics from a long-term perspective. We continue to pursue our strategic objective of participating in a significant portion of equity market upside while aiming to reduce volatility versus global equities over a complete market cycle.

The portfolio’s largest allocations, in absolute terms, are to the information technology, financials and consumer discretionary sectors. We believe that many information technology companies offer compelling fundamentals as well as participation in secular growth trends. We think that financial companies will do well in a rising-interest-rate environment. In regard to consumer discretionary, we believe that companies within the sector will be lifted by improving economic conditions.

 

 

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Investment Team Discussion

 

 

The Fund includes a blend of high-yield and investment-grade credits. We have taken a very selective approach to CCC-rated credits, currently less than 3% of the portfolio. Given our expectation that economic growth may feel stop-and-go, we believe it is particularly important to favor companies that offer the best prospects for reliable debt servicing.

The Fund was leveraged at 28% of total assets as of the end of the period, which we believe is a moderate amount. We currently borrow through floating rate bank debt and, given low borrowing rates, this has been beneficial to the performance of the Fund. In addition, we hedge some of our floating rate debt with interest rate swaps. This is a defensive strategy that mitigates the Fund’s overall exposure to a quick rise in short-term interest rates.

Do you have any closing thoughts for Fund shareholders?

We expect global equities to deliver additional gains in 2015 but we believe investors should anticipate periods of higher volatility as markets confront sluggish global growth, policy uncertainty, and fluctuations in currencies and commodities. We believe merger and acquisition and share buyback activity may provide a floor for market valuations, and support higher prices and investor demand for equities and equity-sensitive securities. Markets will continue to confront uncertainty as commodity prices fluctuate and geopolitical events and global growth fears linger.

Convertible securities have tended to perform well in a slow-growth environment, when stocks are rising and interest rates are increasing slowly. Convertibles can also benefit from market volatility, as their embedded option can become more valuable. Because convertibles combine equity and fixed income characteristics, they offer the opportunity for upside equity participation with potential downside protection when equity markets decline. Against this backdrop, we believe the benefits of convertible securities are especially pronounced.

 

 

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Schedule of Investments    April 30, 2015 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
  CORPORATE BONDS (27.9%)   
    Consumer Discretionary (5.8%)   
  600,000        Altice, SA*
7.750%, 05/15/22
  $ 607,500   
  200,000        Argos Merger Sub, Inc.*µ
7.125%, 03/15/23
    210,500   
  1,046,000        Century Communities, Inc.µ
6.875%, 05/15/22
    1,035,540   
  556,000        Cooper Tire & Rubber Companyµ
8.000%, 12/15/19
    631,755   
  4,180,000        Dana Holding Corp.µ
6.750%, 02/15/21
    4,433,412   
    DISH DBS Corp.µ  
  1,520,000        5.875%, 07/15/22     1,536,150   
  1,480,000        5.125%, 05/01/20     1,498,500   
  900,000        Dufry Finance, SCA*µ
5.500%, 10/15/20
    938,813   
  800,000        FCA US, LLCµ
8.000%, 06/15/19
    837,160   
  500,000        GameStop Corp.*µ^
5.500%, 10/01/19
    517,188   
  959,000        Golden Nugget Escrow, Inc.*µ^
8.500%, 12/01/21
    1,011,745   
    Goodyear Tire & Rubber Companyµ  
  4,714,000        8.250%, 08/15/20     4,990,947   
  1,000,000        7.000%, 05/15/22     1,096,250   
    L Brands, Inc.µ  
  1,730,000        6.950%, 03/01/33     1,882,456   
  165,000        5.625%, 02/15/22     180,675   
  2,000,000        Liberty Interactive, LLCµ
8.500%, 07/15/29
    2,243,750   
    Meritage Homes Corp.µ  
  1,367,000        7.000%, 04/01/22     1,471,234   
  800,000        7.150%, 04/15/20     870,500   
  800,000        Numericable Group, SA*µ
6.000%, 05/15/22
    819,000   
  862,000        Outerwall, Inc.µ
6.000%, 03/15/19
    850,686   
  600,000        Reliance Intermediate Holdings, LP*
6.500%, 04/01/23
    631,125   
  1,710,000        Royal Caribbean Cruises, Ltd.µ^
7.500%, 10/15/27
    2,018,869   
  960,000        Ryland Group, Inc.µ
5.375%, 10/01/22
    982,200   
  1,000,000        Service Corp. Internationalµ
8.000%, 11/15/21
    1,183,125   
  1,000,000        Time, Inc.*µ
5.750%, 04/15/22
    983,125   
     

 

 

 
        33,462,205   
     

 

 

 
    Consumer Staples (0.2%)   
  330,000        Alphabet Holding Company, Inc. 7.750%, 11/01/17     329,588   
PRINCIPAL
AMOUNT
              VALUE  
  836,000        Post Holdings, Inc.µ
7.375%, 02/15/22
  $ 869,962   
     

 

 

 
        1,199,550   
     

 

 

 
    Energy (5.5%)   
  1,776,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20
    1,743,810   
    Berry Petroleum Company, LLCµ  
  1,500,000        6.375%, 09/15/22     1,237,500   
  350,000        6.750%, 11/01/20     295,094   
  400,000        Bill Barrett Corp.µ
7.000%, 10/15/22
    357,000   
  830,000        Bonanza Creek Energy, Inc.µ
6.750%, 04/15/21
    845,563   
  2,500,000        Calfrac Holdings, LP*µ
7.500%, 12/01/20
    2,293,750   
    Calumet Specialty Products Partners, LP  
  1,000,000        7.625%, 01/15/22µ     1,021,250   
  464,000        6.500%, 04/15/21     462,840   
    Carrizo Oil & Gas, Inc.  
  750,000        7.500%, 09/15/20µ     793,125   
  425,000        6.250%, 04/15/23     433,234   
  1,828,000        Cimarex Energy Companyµ
5.875%, 05/01/22
    1,949,105   
  1,200,000        Drill Rigs Holdings, Inc.*
6.500%, 10/01/17
    1,041,750   
  900,000        Energy Transfer Equity, LPµ
5.875%, 01/15/24
    950,062   
  2,503,000        Gulfmark Offshore, Inc.µ
6.375%, 03/15/22
    1,977,370   
  513,000        Gulfport Energy Corp.µ
7.750%, 11/01/20
    542,818   
  3,000,000        Linn Energy, LLCµ
7.750%, 02/01/21
    2,574,375   
    Oasis Petroleum, Inc.µ  
  1,940,000        6.500%, 11/01/21     1,953,337   
  1,250,000        6.875%, 01/15/23     1,275,000   
  1,410,000        Pacific Drilling, SA*
5.375%, 06/01/20
    1,205,550   
  800,000        Petroleum Geo-Services, ASA*µ
7.375%, 12/15/18
    754,500   
    Rice Energy, Inc.  
  263,000        6.250%, 05/01/22µ^     265,630   
  175,000        7.250%, 05/01/23*     182,328   
  4,000,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19
    4,115,000   
  750,000        Trinidad Drilling, Ltd.*µ
7.875%, 01/15/19
    733,594   
  2,967,000        W&T Offshore, Inc.µ
8.500%, 06/15/19
    2,130,677   
  700,000        Western Refining, Inc.µ
6.250%, 04/01/21
    709,188   
     

 

 

 
        31,843,450   
     

 

 

 
 

 

10   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
     
    Financials (1.4%)   
  2,335,000        AON Corp.µ
8.205%, 01/01/27
  $ 3,053,013   
  520,000        DuPont Fabros Technology, LPµ
5.875%, 09/15/21
    540,800   
  360,000        First Cash Financial Services, Inc.
6.750%, 04/01/21
    375,975   
    Jefferies Finance, LLC*µ  
  694,000        6.875%, 04/15/22     664,071   
  600,000        7.375%, 04/01/20     594,000   
  2,600,000        Neuberger Berman Group, LLC*µ
5.875%, 03/15/22
    2,797,587   
     

 

 

 
        8,025,446   
     

 

 

 
    Health Care (3.3%)   
  2,000,000        Alere, Inc.µ
6.500%, 06/15/20
    2,107,500   
  1,810,000        Community Health Systems, Inc.µ
7.125%, 07/15/20
    1,938,962   
  1,055,000        Crimson Merger Sub, Inc.*
6.625%, 05/15/22
    938,291   
  2,000,000        Endo International, PLC*µ
7.000%, 07/15/19
    2,085,000   
  1,500,000        Grifols Worldwide Operations, Ltd.*
5.250%, 04/01/22
    1,544,063   
  2,520,000        Hologic, Inc.µ
6.250%, 08/01/20
    2,620,800   
  4,000,000        Teleflex, Inc.µ
6.875%, 06/01/19
    4,135,000   
    Valeant Pharmaceuticals
International, Inc.*µ
 
  1,400,000        7.250%, 07/15/22     1,495,375   
  1,300,000        7.000%, 10/01/20     1,365,000   
  600,000        VPII Escrow Corp.*µ
6.750%, 08/15/18
    636,750   
     

 

 

 
        18,866,741   
     

 

 

 
    Industrials (4.2%)   
  1,935,000        ACCO Brands Corp.µ
6.750%, 04/30/20
    2,040,216   
  1,400,000        AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust*µ
5.000%, 10/01/21
    1,504,125   
  1,300,000        Deluxe Corp.µ
6.000%, 11/15/20
    1,378,812   
  688,000        Dycom Investments, Inc.µ
7.125%, 01/15/21
    725,410   
  750,000        Garda World Security Corp.*
7.250%, 11/15/21
    750,938   
  1,530,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22
    1,606,500   
    Icahn Enterprises, LPµ  
  1,286,000        5.875%, 02/01/22     1,331,814   
  720,000        6.000%, 08/01/20     760,050   
  175,000        4.875%, 03/15/19     178,281   
PRINCIPAL
AMOUNT
              VALUE  
  980,000        Meritor, Inc.µ
6.750%, 06/15/21
  $ 1,028,387   
    Michael Baker International, LLC*µ  
  975,000        8.250%, 10/15/18     959,766   
  494,000        8.875%, 04/15/19     426,384   
  1,800,000        Navistar International Corp.µ
8.250%, 11/01/21
    1,788,750   
  3,000,000        Rexel, SA*µ
6.125%, 12/15/19
    3,131,250   
  1,020,000        Terex Corp.µ
6.000%, 05/15/21
    1,035,937   
  1,400,000        United Continental Holdings, Inc.µ
6.375%, 06/01/18
    1,497,125   
  4,000,000        United Rentals North America, Inc.µ
7.625%, 04/15/22
    4,425,000   
     

 

 

 
        24,568,745   
     

 

 

 
    Information Technology (2.6%)   
    Amkor Technology, Inc.µ  
  1,900,000        6.375%, 10/01/22     1,949,875   
  707,000        6.625%, 06/01/21     734,838   
  3,300,000        Belden, Inc.*µ
5.500%, 09/01/22
    3,407,250   
  825,000        Cardtronics, Inc.*~
5.125%, 08/01/22
    821,391   
  2,000,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21
    2,237,500   
  1,000,000        Nuance Communications, Inc.*µ
5.375%, 08/15/20
    1,015,000   
  500,000        NXP Semiconductors, NV*
5.750%, 02/15/21
    534,688   
  1,210,000        Sungard Data Systems, Inc.µ
6.625%, 11/01/19
    1,265,962   
  3,000,000        ViaSat, Inc.µ
6.875%, 06/15/20
    3,193,125   
     

 

 

 
        15,159,629   
     

 

 

 
    Materials (2.5%)   
  1,800,000        ArcelorMittal, SA
6.000%, 08/05/20
    1,888,875   
    First Quantum Minerals, Ltd.*  
  517,000        7.000%, 02/15/21     481,133   
  517,000        6.750%, 02/15/20^     481,779   
    FMG Resources*^  
  779,000        8.250%, 11/01/19     681,138   
  270,000        9.750%, 03/01/22     279,281   
  1,950,000        INEOS Group Holdings, SA*µ^
6.125%, 08/15/18
    1,999,969   
    New Gold, Inc.*µ  
  3,000,000        7.000%, 04/15/20     3,133,125   
  750,000        6.250%, 11/15/22     742,031   
  420,000        Sealed Air Corp.*µ
5.250%, 04/01/23
    440,213   
    Trinseo Materials Operating, SCA  
  1,541,000        8.750%, 02/01/19^     1,635,756   
  1,300,000        6.750%, 05/01/22*†     1,321,125   
 

 

See accompanying Notes to Schedule of Investments   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     11   


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
  1,635,000        United States Steel Corp.µ^
6.875%, 04/01/21
  $ 1,647,263   
     

 

 

 
        14,731,688   
     

 

 

 
    Telecommunication Services (2.0%)   
  666,000        CenturyLink, Inc.µ
6.750%, 12/01/23
    725,803   
  1,563,000        Frontier Communications Corp.µ
7.625%, 04/15/24
    1,596,214   
    Intelsat, SA  
  3,260,000        7.750%, 06/01/21µ     2,999,200   
  220,000        8.125%, 06/01/23     200,750   
    Sprint Corp.µ  
  3,635,000        7.875%, 09/15/23     3,646,359   
  420,000        7.125%, 06/15/24     405,563   
  305,000        7.250%, 09/15/21     307,097   
  1,530,000        T-Mobile USA, Inc.µ
6.625%, 04/01/23
    1,596,937   
     

 

 

 
        11,477,923   
     

 

 

 
    Utilities (0.4%)   
  1,050,000        AES Corp.
7.375%, 07/01/21
    1,175,344   
  1,215,000        AmeriGas Finance Corp.µ
7.000%, 05/20/22
    1,307,643   
     

 

 

 
        2,482,987   
     

 

 

 
    TOTAL CORPORATE BONDS
(Cost $160,460,354)
    161,818,364   
     

 

 

 
     
  CONVERTIBLE BONDS (30.6%)   
    Consumer Discretionary (4.0%)   
  200,000,000      JPY   HIS Company, Ltd.
0.000%, 08/30/19
    1,900,055   
    Jarden Corp.µ^  
  2,415,000        1.125%, 03/15/34     2,795,628   
  1,900,000        1.500%, 06/15/19     2,634,170   
  4,000,000        Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)µ§
0.750%, 03/30/43
    5,793,280   
  1,550,000        Liberty Media Corp.^
1.375%, 10/15/23
    1,551,349   
  1,350,000        Priceline Group, Inc.
1.000%, 03/15/18
    1,891,087   
  670,000        Standard Pacific Corp.µ
1.250%, 08/01/32
    782,084   
  1,200,000      EUR   Steinhoff Finance Holding, GmbHµ
4.500%, 03/31/18
    2,361,590   
  3,700,000        Tesla Motors, Inc.µ
1.250%, 03/01/21
    3,424,479   
     

 

 

 
        23,133,722   
     

 

 

 
    Consumer Staples (0.9%)   
  44,000,000      HKD   Biostime International Holdings, Ltd.µ
0.000%, 02/20/19
    5,428,430   
     

 

 

 
PRINCIPAL
AMOUNT
              VALUE  
     
    Energy (1.1%)   
  2,000,000        Chesapeake Energy Corp.~
2.750%, 11/15/35
  $ 2,009,110   
  800,000        Newpark Resources, Inc.µ
4.000%, 10/01/17
    944,804   
  2,715,000        Whiting Petroleum Corp.*
1.250%, 04/01/20
    3,236,348   
     

 

 

 
        6,190,262   
     

 

 

 
    Financials (5.0%)   
    Ares Capital Corp.µ  
  2,300,000        4.750%, 01/15/18     2,421,739   
  1,278,000        5.750%, 02/01/16     1,318,282   
  3,750,000        AYC Finance, Ltd.
0.500%, 05/02/19
    4,279,958   
  6,500,000      EUR   Azimut Holding, S.p.A.µ
2.125%, 11/25/20
    9,214,393   
  1,600,000        HKEx International, Ltd.
0.500%, 10/23/17
    2,995,228   
  1,100,000        IAS Operating Partnership, LP*µ
5.000%, 03/15/18
    1,061,412   
  3,700,000      EUR   Industrivarden, ABµ
1.875%, 02/27/17
    4,768,357   
  1,375,000        MGIC Investment Corp.µ^
2.000%, 04/01/20
    2,162,277   
  1,000,000        Starwood Property Trust, Inc.µ
4.550%, 03/01/18
    1,088,375   
     

 

 

 
        29,310,021   
     

 

 

 
    Health Care (4.9%)   
  3,800,000        Anthem, Inc.µ
2.750%, 10/15/42
    7,675,753   
  1,757,000        BioMarin Pharmaceutical, Inc.µ
1.500%, 10/15/20
    2,469,068   
  1,805,000        Cepheidµ^
1.250%, 02/01/21
    2,008,757   
  966,000        Depomed, Inc.µ
2.500%, 09/01/21
    1,328,849   
  950,000        Emergent Biosolutions, Inc.µ
2.875%, 01/15/21
    1,125,484   
  190,000        Gilead Sciences, Inc.µ~
1.625%, 05/01/16
    838,860   
  1,600,000        Horizon Pharma Investment, Ltd.*
2.500%, 03/15/22
    1,988,472   
    Illumina, Inc.*µ^  
  2,100,000        0.000%, 06/15/19     2,340,188   
  2,000,000        0.500%, 06/15/21     2,321,450   
  455,000        Incyte Corp.
1.250%, 11/15/20
    882,946   
  1,650,000        Isis Pharmaceuticals, Inc.*
1.000%, 11/15/21
    1,792,486   
  1,000,000        Jazz Investments I, Ltd.*^
1.875%, 08/15/21
    1,198,305   
  1,080,000        Medidata Solutions, Inc.^
1.000%, 08/01/18
    1,266,160   
 

 

12   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
    Molina Healthcare, Inc.µ  
  650,000        1.625%, 08/15/44   $ 771,407   
  241,000        1.625%, 08/15/44*     281,459   
     

 

 

 
        28,289,644   
     

 

 

 
    Industrials (1.3%)   
  593,000        Air Lease Corp.µ
3.875%, 12/01/18
    870,492   
  2,300,000      GBP   Carillion Finance Jersey, Ltd.
2.500%, 12/19/19
    3,724,723   
  230,000,000      JPY   Nidec Corp.µ
0.000%, 09/18/15
    3,233,427   
     

 

 

 
        7,828,642   
     

 

 

 
    Information Technology (12.2%)   
  180,000,000      JPY   Alps Electric Company, Ltd.µ
0.000%, 03/25/19
    2,486,871   
  2,000,000        AOL, Inc.*µ
0.750%, 09/01/19
    2,023,030   
  3,000,000        Ciena Corp.*µ^
3.750%, 10/15/18
    3,907,005   
  1,000,000        Citrix Systems, Inc.*µ
0.500%, 04/15/19
    1,068,800   
  4,900,000        Epistar Corp.µ
0.000%, 08/07/18
    5,066,565   
  1,185,000        Euronet Worldwide, Inc.*µ
1.500%, 10/01/44
    1,294,867   
  825,000        Finisar Corp.
0.500%, 12/15/33
    835,044   
  2,000,000        Homeaway, Inc.^
0.125%, 04/01/19
    1,893,250   
  1,900,000        InvenSense, Inc.µ
1.750%, 11/01/18
    1,840,958   
  1,500,000        Mentor Graphics Corp.µ^
4.000%, 04/01/31
    1,876,793   
  2,900,000        Microchip Technology, Inc.*
1.625%, 02/15/25
    2,964,975   
  675,000        Novellus Systems, Inc.µ
2.625%, 05/15/41
    1,484,983   
  2,650,000        NVIDIA Corp.µ
1.000%, 12/01/18
    3,235,146   
  3,800,000        NXP Semiconductors, NV*µ^
1.000%, 12/01/19
    4,447,026   
  2,450,000        ON Semiconductor Corp.µ
2.625%, 12/15/26
    3,056,767   
  1,520,000        Palo Alto Networks, Inc.*^
0.000%, 07/01/19
    2,178,798   
  300,000        Photronics, Inc.
3.250%, 04/01/16
    311,379   
  2,000,000        Rovi Corp.*
0.500%, 03/01/20
    1,943,450   
  3,800,000        Salesforce.com, Inc.µ^
0.250%, 04/01/18
    4,753,610   
  3,200,000        SanDisk Corp.µ^
0.500%, 10/15/20
    3,312,048   
PRINCIPAL
AMOUNT
              VALUE  
  3,074,000        ServiceNow, Inc.µ
0.000%, 11/01/18
  $ 3,695,686   
    SunEdison, Inc.  
  2,618,000        0.250%, 01/15/20*µ     2,939,438   
  469,000        2.000%, 10/01/18     843,482   
  975,000        Synchronoss Technologies, Inc.µ^
0.750%, 08/15/19
    1,129,635   
  800,000        Take-Two Interactive Software, Inc.µ
1.000%, 07/01/18
    1,002,780   
    Twitter, Inc.*µ^  
  3,350,000        1.000%, 09/15/21     3,046,724   
  950,000        0.250%, 09/15/19     879,311   
  1,575,000        Workday, Inc.µ
0.750%, 07/15/18
    1,988,367   
  410,000,000      JPY   Yaskawa Electric Corp.
0.000%, 03/16/17
    5,086,780   
     

 

 

 
        70,593,568   
     

 

 

 
    Materials (1.2%)   
  2,400,000      EUR   Buzzi Unicem, S.p.A.
1.375%, 07/17/19
    3,246,939   
  3,450,000        Cemex, SAB de CVµ^
3.250%, 03/15/16
    4,002,586   
     

 

 

 
        7,249,525   
     

 

 

 
    TOTAL CONVERTIBLE BONDS (Cost $166,133,638)     178,023,814   
     

 

 

 
     
  U.S. GOVERNMENT AND AGENCY SECURITY (0.1%)   
  300,000       

United States Treasury Note~

0.250%, 12/15/15
(Cost $299,926)

    300,217   
     

 

 

 
     
NUMBER OF
SHARES
              VALUE  
  CONVERTIBLE PREFERRED STOCKS (7.3%)   
    Consumer Discretionary (0.3%)  
  14,300        Fiat Chrysler Automobiles, NV
7.875%
    1,838,773   
     

 

 

 
    Consumer Staples (0.7%)   
  16,750        Bunge, Ltd.
4.875%
    1,803,766   
  10,000        Post Holdings, Inc.
5.250%
    955,000   
  22,300        Tyson Foods, Inc.
4.750%
    1,096,937   
     

 

 

 
        3,855,703   
     

 

 

 
    Energy (0.8%)   
  5,006        Chesapeake Energy Corp.
5.750%
    4,385,256   
     

 

 

 
    Financials (2.2%)   
  65,000        Affiliated Managers Group, Inc.µ
5.150%
    4,001,562   
 

 

See accompanying Notes to Schedule of Investments   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     13   


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  19,600        American Tower Corp.
5.250%
  $ 2,032,128   
  29,000        Crown Castle International Corp.
4.500%
    3,036,300   
  39,750        Health Care REIT, Inc.#
6.500%
    2,534,063   
  23,333        Weyerhaeuser Company
6.375%
    1,245,749   
     

 

 

 
        12,849,802   
     

 

 

 
    Health Care (0.8%)   
  4,870        Actavis, PLC
5.500%
    4,873,214   
     

 

 

 
    Industrials (0.7%)   
  10,000        Stanley Black & Decker, Inc.^
6.250%
    1,168,600   
  45,500        United Technologies Corp.µ
7.500%
    2,676,310   
     

 

 

 
        3,844,910   
     

 

 

 
    Telecommunication Services (0.7%)   
  43,000        Intelsat, SA
5.750%
    1,510,590   
  38,350        T-Mobile USA, Inc.
5.500%
    2,391,122   
     

 

 

 
        3,901,712   
     

 

 

 
    Utilities (1.1%)   
  55,000        Dominion Resources, Inc.
6.375%
    2,730,750   
  40,000        Exelon Corp.^
6.500%
    1,970,800   
  35,000        NextEra Energy, Inc.^
5.799%
    1,991,150   
     

 

 

 
        6,692,700   
     

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $43,101,093)     42,242,070   
     

 

 

 
     
  COMMON STOCKS (68.6%)   
    Consumer Discretionary (11.3%)   
  2,600        Amazon.com, Inc.µ^#     1,096,628   
  38,500        Carnival Corp.µ^     1,692,845   
  28,000        Comcast Corp. - Class Aµ     1,617,280   
  27,500      CHF   Compagnie Financière Richemont, SA     2,451,156   
  23,600      EUR   Daimler, AG     2,269,064   
  4,700      JPY   Fast Retailing Co., Ltd.^     1,851,235   
  100,000        Ford Motor Company^     1,580,000   
  400,000      AUD   Harvey Norman Holdings, Ltd.µ     1,387,211   
  14,800        Home Depot, Inc.µ^     1,583,304   
  10,800      KRW   Hyundai Motor Company     1,694,964   
  13,500        Las Vegas Sands Corp.µ     713,880   
  10,800        McDonald’s Corp.µ     1,042,740   
NUMBER OF
SHARES
              VALUE  
  65,000        Melco Crown Entertainment, Ltd.^   $ 1,327,300   
  50,000      ZAR   Naspers, Ltd. - Class N     7,844,291   
  14,600        Nike, Inc. - Class Bµ     1,443,064   
  83,000      JPY   Panasonic Corp.^     1,188,881   
  69,500      DKK   Pandora, A/S     7,183,626   
  9,000      EUR   Porsche Automobil Holding, SE     853,950   
  1,100        Priceline Group, Inc.µ#     1,361,591   
  1,041,100      HKD   Samsonite International, SA     3,797,067   
  29,000        Starbucks Corp.µ^     1,437,820   
  15,000        TJX Companies, Inc.µ     968,100   
  33,700      JPY   Toyota Motor Corp.     2,345,828   
  100,200      EUR   TUI, AG     1,867,819   
  23,300        Twenty-First Century Fox, Inc.^~     794,064   
  46,800        Walt Disney Companyµ^     5,088,096   
  9,000        Whirlpool Corp.µ     1,580,400   
  16,000      GBP   Whitbread, PLC     1,284,790   
  260,000      GBP   WPP, PLC     6,063,587   
     

 

 

 
        65,410,581   
     

 

 

 
    Consumer Staples (6.1%)   
  42,400      EUR   Anheuser-Busch InBev, NV     5,162,130   
  42,500      GBP   British American Tobacco, PLC     2,335,104   
  39,000        Coca-Cola Companyµ^     1,581,840   
  25,000        Costco Wholesale Corp.µ     3,576,250   
  124,300      GBP   Diageo, PLC     3,450,862   
  24,000        Mondelez International, Inc. - Class Aµ     920,880   
  57,350      CHF   Nestlé, SA     4,449,455   
  11,000      EUR   Pernod Ricard, SA     1,367,123   
  11,000        Philip Morris International, Inc.µ^     918,170   
  17,700        Procter & Gamble Companyµ     1,407,327   
  67,000      JPY   Seven & I Holdings Company, Ltd.     2,879,951   
  55,000      EUR   Unilever, NV^     2,399,133   
  32,000        Wal-Mart Stores, Inc.µ     2,497,600   
  31,000        Walgreens Boots Alliance, Inc.µ     2,570,830   
     

 

 

 
        35,516,655   
     

 

 

 
    Energy (5.4%)   
  875,000      GBP   BP, PLC     6,310,848   
  10,300        Cameron International Corp.µ#     564,646   
  19,500        Chevron Corp.µ^     2,165,670   
  40,000        ConocoPhillipsµ^     2,716,800   
  23,500        Devon Energy Corp.µ^     1,602,935   
  95,000      EUR   ENI, S.p.A.     1,822,657   
  7,350        EOG Resources, Inc.µ^     727,282   
  40,500        Exxon Mobil Corp.µ^     3,538,485   
  24,000        Noble Corp., PLC^     415,440   
  20,000        Phillips 66µ^     1,586,200   
  82,300      GBP   Royal Dutch Shell, PLC - Class Aµ     2,594,940   
  9,700        Schlumberger, Ltd.µ     917,717   
 

 

14   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  73,000      CAD   Suncor Energy, Inc.µ   $ 2,377,265   
  74,000      EUR   TOTAL, SA     4,007,097   
     

 

 

 
        31,347,982   
     

 

 

 
    Financials (11.5%)   
  410,000      HKD   AIA Group, Ltd.     2,726,697   
  20,500        Allstate Corp.µ     1,428,030   
  9,900        American Express Company     766,755   
  30,200        American International Group, Inc.µ     1,699,958   
  17,300        Arthur J. Gallagher & Company^     827,459   
  95,000      AUD   ASX, Ltd.^     3,155,571   
  24,500        Axis Bank, Ltd.     1,086,575   
  133,000      EUR   Azimut Holding, S.p.A     3,903,911   
  105,000        Bank of America Corp.µ     1,672,650   
  41,000        Bank of New York Mellon Corp.µ     1,735,940   
  23,200        Blackstone Group, LP     950,272   
  73,500        Citigroup, Inc.µ     3,919,020   
  576,000      JPY   Daiwa Securities Group, Inc.     4,778,390   
  32,760      EUR   Deutsche Annington Immobilien, SE     1,099,594   
  29,000      EUR   Deutsche Böerse, AG     2,403,052   
  15,500        Discover Financial Servicesµ     898,535   
  23,500        First Republic Bank^     1,369,815   
  19,000        Hartford Financial Services
Group, Inc.µ^
    774,630   
  89,000      EUR   ING Groep, NV#     1,365,398   
  397,000      EUR   Intesa Sanpaolo, S.p.A     1,333,723   
  77,500        JPMorgan Chase & Companyµ^     4,902,650   
  80,000      CHF   Julius Baer Group, Ltd.     4,187,261   
  99,000        Manulife Financial Corp.µ^     1,802,790   
  86,477        MetLife, Inc.     4,435,405   
  103,750        Och-Ziff Capital Management Group, LLC - Class Aµ     1,339,412   
  98,000      CAD   Power Financial Corp.^     3,031,380   
  8,500        Prudential Financial, Inc.µ^     693,600   
  17,400        State Street Corp.µ     1,341,888   
  37,500      SEK   Svenska Handelsbanken, AB - Class A     1,730,961   
  9,650        T. Rowe Price Group, Inc.µ^     783,387   
  88,000        Wells Fargo & Companyµ^     4,848,800   
     

 

 

 
        66,993,509   
     

 

 

 
    Health Care (8.3%)   
  17,000        Abbott Laboratoriesµ     789,140   
  17,000        AbbVie, Inc.µ     1,099,220   
  13,000        Amgen, Inc.µ     2,052,830   
  18,000        Anthem, Inc.µ^     2,716,740   
  1,885        Biogen, Inc.#     704,858   
  23,400        Celgene Corp.µ^#     2,528,604   
  80,000      JPY   Chugai Pharmaceutical Co., Ltd.     2,432,942   
  34,250        Eli Lilly and Companyµ^     2,461,548   
NUMBER OF
SHARES
              VALUE  
  11,200        Gilead Sciences, Inc.µ~#   $ 1,125,712   
  47,500      GBP   Hikma Pharmaceuticals, PLC     1,485,428   
  26,700        Johnson & Johnsonµ^     2,648,640   
  42,000        Medtronic, PLCµ^     3,126,900   
  28,525        Merck & Company, Inc.µ^     1,698,949   
  60,500      CHF   Novartis, AG     6,175,368   
  27,000      DKK   Novo Nordisk, A/S - Class B     1,515,798   
  95,800        Pfizer, Inc.µ^     3,250,494   
  36,000      EUR   Sanofi^     3,664,458   
  42,400      GBP   Shire, PLC     3,445,576   
  10,000        Stryker Corp.^~     922,400   
  38,000      EUR   UCB, SA^     2,737,248   
  12,700        Zimmer Holdings, Inc.^~     1,394,968   
     

 

 

 
        47,977,821   
     

 

 

 
    Industrials (8.6%)   
  190,000      CHF   ABB, Ltd.µ#     4,163,364   
  36,500      EUR   Airbus Group, NV     2,529,528   
  54,000      EUR   ALSTOM#     1,696,374   
  610,000      GBP   BAE Systems, PLC     4,725,796   
  9,550        Boeing Companyµ^     1,368,897   
  7,900        Cummins, Inc.µ     1,092,254   
  24,400        Eaton Corp., PLC^     1,677,012   
  27,900      JPY   FANUC Corp.     6,136,959   
  11,000        Fortune Brands Home & Security, Inc.^     490,600   
  242,500        General Electric Companyµ^     6,566,900   
  41,000        Honeywell International, Inc.µ^     4,137,720   
  208,000      HKD   Hutchison Whampoa, Ltd.     3,057,957   
  47,000      EUR   KION Group, AG     2,085,151   
  75,000      JPY   Komatsu, Ltd.^     1,508,935   
  5,400        Northrop Grumman Corp.µ     831,816   
  59,277      EUR   Safran, SA     4,331,213   
  19,000        Union Pacific Corp.µ     2,018,370   
  8,000        United Parcel Service, Inc. - Class B^     804,240   
  8,300        United Technologies Corp.µ     944,125   
     

 

 

 
        50,167,211   
     

 

 

 
    Information Technology (12.5%)   
  55,050        Accenture, PLC - Class Aµ^     5,100,383   
  119,500        Apple, Inc.µ     14,955,425   
  170,000      GBP   ARM Holdings, PLC     2,888,535   
  11,000      EUR   ASML Holding, NV^     1,183,743   
  21,700        Baidu, Inc.#     4,346,076   
  60,000      JPY   Canon, Inc.µ     2,139,283   
  18,000        Facebook, Inc. - Class Aµ#     1,417,860   
  6,250        Google, Inc. - Class Aµ^#     3,429,813   
  6,267        Google, Inc. - Class Cµ^~#     3,367,510   
  85,000      CHF   Logitech International, SAµ     1,276,047   
  20,000        MasterCard, Inc. - Class Aµ^     1,804,200   
 

 

See accompanying Notes to Schedule of Investments   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     15   


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  45,000        Micron Technology, Inc.^#   $ 1,265,850   
  75,000        Microsoft Corp.µ^     3,648,000   
  6,428        Motorola Solutions, Inc.µ^     384,073   
  20,400      JPY   Nintendo Company, Ltd.µ     3,425,162   
  580,000      EUR   Nokia Corp.^     3,936,824   
  19,900        Oracle Corp.µ^     868,038   
  12,500        QUALCOMM, Inc.µ     850,000   
  16,000        Salesforce.com, Inc.^~#     1,165,120   
  1,660      KRW   Samsung Electronics Co., Ltd.     2,177,677   
  34,000      EUR   SAP SE     2,569,210   
  500,000      TWD   Taiwan Semiconductor Manufacturing Company, Ltd.     2,407,136   
  291,200      HKD   Tencent Holdings, Ltd.     6,010,042   
  15,000        Texas Instruments, Inc.^     813,150   
  250,000      JPY   Yahoo! Japan Corp.^     1,021,307   
     

 

 

 
        72,450,464   
     

 

 

 
    Materials (2.2%)   
  64,000      GBP   Anglo American, PLC     1,084,321   
  154,000      CAD   Barrick Gold Corp.     2,001,426   
  13,500        Cliffs Natural Resources, Inc.^     80,190   
  41,000        Dow Chemical Companyµ^     2,091,000   
  135,000      CAD   Goldcorp, Inc.µ     2,541,111   
  160,000      AUD   Newcrest Mining, Ltd.µ#     1,829,602   
  51,000      GBP   Rio Tinto, PLCµ     2,282,306   
  280,000      CAD   Yamana Gold, Inc.µ     1,069,871   
     

 

 

 
        12,979,827   
     

 

 

 
    Telecommunication Services (2.3%)   
  187,000        América Móvil, SAB de CV - Series Lµ^     3,906,430   
  50,000        AT&T, Inc.µ     1,732,000   
  96,000      EUR   Orange, SA     1,581,248   
  36,000      JPY   SoftBank Corp.     2,250,373   
  1,176,545      GBP   Vodafone Group, PLC     4,145,212   
     

 

 

 
        13,615,263   
     

 

 

 
    Utilities (0.4%)   
  10,500        Exelon Corp.µ     357,210   
  45,801      EUR   GDF Suez^     931,885   
  29,000      EUR   RWE, AG     720,634   
     

 

 

 
        2,009,729   
     

 

 

 
    TOTAL COMMON STOCKS
(Cost $443,760,944)
    398,469,042   
     

 

 

 
     
NUMBER OF
CONTRACTS
              VALUE  
  PURCHASED OPTIONS (0.0%)   
    Information Technology (0.0%)   
  280        Twitter, Inc.
Call, 06/19/15, Strike $40.00
(Cost $173,074)
    53,480   
     

 

 

 
     
NUMBER OF
SHARES
              VALUE  
  SHORT TERM INVESTMENT (4.0%)   
  23,363,222        Fidelity Prime Money Market Fund - Institutional Class
(Cost $23,363,222)
  $ 23,363,222   
     

 

 

 

 
 

      TOTAL INVESTMENTS (138.5%)
(Cost $837,292,251)

    804,270,209   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-38.5%)     (223,453,304
     

 

 

 
  NET ASSETS (100.0%)     580,816,905   
     

 

 

 
     
NUMBER OF
SHARES
              VALUE  
  COMMON STOCKS SOLD SHORT (-0.8%)#   
    Consumer Staples (-0.1%)   
  (14,700     Post Holdings, Inc.     (690,018
     

 

 

 
     
    Energy (-0.1%)   
  (37,922     Newpark Resources, Inc.     (389,080
     

 

 

 
     
    Information Technology (-0.6%)   
  (103,100     Ciena Corp.     (2,196,030
  (51,200     Mentor Graphics Corp.     (1,225,216
  (13,255     Photronics, Inc.     (116,246
     

 

 

 
        (3,537,492
     

 

 

 
    TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $3,869,250)
  $ (4,616,590
     

 

 

 

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.

 

µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $435,838,442. $103,452,788 of the collateral has been re-registered by one of the counterparties, BNP (see Note 8—Borrowings).

 

^ Security, or portion of security, is on loan.

 

~ Security, or portion of security, is segregated as collateral for written options, swaps, or securities sold short. The aggregate value of such securities is $4,432,444.

 

Security or a portion of the security purchased on a delayed delivery or when-issued basis.

 

§ 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.
 

 

16   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


Table of Contents

 

Schedule of Investments    April 30, 2015 (Unaudited)

 

 

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
KRW    South Korean Won
SEK    Swedish Krona
TWD    New Taiwan Dollar
ZAR    South African Rand

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 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.

 

CURRENCY EXPOSURE

APRIL 30, 2015

 

     VALUE      % OF TOTAL
INVESTMENTS
 
US Dollar   $ 546,081,032         68.3%   
European Monetary Unit     77,413,446         9.7%   
British Pound Sterling     45,822,028         5.7%   
Japanese Yen     44,666,379         5.6%   
Swiss Franc     22,702,651         2.8%   
Hong Kong Dollar     21,020,193         2.6%   
Canadian Dollar     11,021,053         1.4%   
Danish Krone     8,699,424         1.1%   
South African Rand     7,844,291         1.0%   
Australian Dollar     6,372,384         0.8%   
South Korean Won     3,872,641         0.5%   
New Taiwan Dollar     2,407,136         0.3%   
Swedish Krona     1,730,961         0.2%   
Total Investments Net of Common Stocks Sold Short   $ 799,653,619         100.0%   

Currency exposure may vary over time.

 

INTEREST RATE SWAPS

 

COUNTERPARTY      FIXED RATE
(FUND PAYS)
     FLOATING RATE
(FUND RECEIVES)
     TERMINATION
DATE
     NOTIONAL
AMOUNT
       UNREALIZED
APPRECIATION/
(DEPRECIATION)
 
BNP Paribas, SA      1.140% quarterly      3 month LIBOR      03/14/17      $ 34,000,000         $ (282,346
                        

 

 

 
                         $ (282,346
                        

 

 

 

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     17   


Table of Contents

 

Statement of Assets and Liabilities    April 30, 2015 (Unaudited)

 

 

ASSETS

 

Investments in securities, at value (cost $837,292,251)

  $ 804,270,209   

Restricted cash for short positions (interest bearing)

    5,196,677   

Foreign currency (cost $3,408)

    3,519   

Receivables:

 

Accrued interest and dividends

    4,578,076   

Investments sold

    5,411,565   

Prepaid expenses

    47,626   

Other assets

    134,213   

Total assets

    819,641,885   

LIABILITIES

 

Securities sold short, at value (proceeds $3,869,250)

    4,616,590   

Unrealized depreciation on interest rate swaps

    282,346   

Payables:

 

Notes payable

    230,000,000   

Investments purchased

    2,942,460   

Affiliates:

 

Investment advisory fees

    664,240   

Deferred compensation to trustees

    134,213   

Financial accounting fees

    7,664   

Trustees’ fees and officer compensation

    6,604   

Other accounts payable and accrued liabilities

    170,863   

Total liabilities

    238,824,980   

NET ASSETS

  $ 580,816,905   

COMPOSITION OF NET ASSETS

 

Common stock, no par value, unlimited shares authorized 59,006,992 shares issued and outstanding

  $ 698,644,005   

Undistributed net investment income (loss)

    (18,323,563

Accumulated net realized gain (loss) on investments, foreign currency transactions, written options, short positions and interest rate swaps

    (65,471,242

Unrealized appreciation (depreciation) of investments, foreign currency translations, short positions and interest rate swaps

    (34,032,295

NET ASSETS

  $ 580,816,905   

Net asset value per common shares based upon 59,006,992 shares issued and outstanding

  $ 9.84   

 

18   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


Table of Contents

 

Statement of Operations    Six Months Ended April 30, 2015 (Unaudited)

 

 

INVESTMENT INCOME

 

Interest

  $ 7,412,522   

Dividends

    5,794,339   

Securities lending income

    31,208   

Dividend taxes withheld

    (247,160

Total investment income

    12,990,909   

EXPENSES

 

Investment advisory fees

    3,968,007   

Interest expense and related fees

    950,845   

Printing and mailing fees

    55,640   

Financial accounting fees

    45,724   

Custodian fees

    38,658   

Legal fees

    36,533   

Accounting fees

    32,440   

Audit fees

    22,886   

Trustees’ fees and officer compensation

    22,155   

Transfer agent fees

    11,974   

Registration fees

    6,014   

Dividend or interest expense on short positions

    5,191   

Other

    41,664   

Total expenses

    5,237,731   

NET INVESTMENT INCOME (LOSS)

    7,753,178   

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments, excluding purchased options

    10,709,171   

Purchased options

    348,703   

Foreign currency transactions

    (20,269

Written options

    63,823   

Short positions

    (177,601

Interest rate swaps

    (155,156

Change in net unrealized appreciation/(depreciation) on:

 

Investments, excluding purchased options

    6,090,805   

Purchased options

    (518,238

Foreign currency translations

    16,670   

Short positions

    (132,704

Interest rate swaps

    (2,873

NET GAIN (LOSS)

    16,222,331   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 23,975,509   

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     19   


Table of Contents

 

Statements of Changes in Net Assets

 

 

     (UNAUDITED)
SIX MONTHS ENDED
APRIL 30,
2015
     YEAR ENDED
OCTOBER 31,
2014
 

OPERATIONS

    

Net investment income (loss)

  $ 7,753,178       $ 23,485,085   

Net realized gain (loss)

    10,768,671         18,871,016   

Change in unrealized appreciation/(depreciation)

    5,453,660         (6,445,970

Net increase (decrease) in net assets applicable to shareholders resulting from operations

    23,975,509         35,910,131   

DISTRIBUTIONS FROM

    

Net investment income

    (24,782,937      (41,580,115

Return of capital

            (5,625,479

Net decrease in net assets from distributions

    (24,782,937      (47,205,594

TOTAL INCREASE (DECREASE) IN NET ASSETS

    (807,428      (11,295,463

NET ASSETS

    

Beginning of period

  $ 581,624,333       $ 592,919,796   

End of period

    580,816,905         581,624,333   

Undistributed net investment income (loss)

  $ (18,323,563    $ (1,293,804

 

20   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


Table of Contents

 

Statement of Cash Flows    Six Months Ended April 30, 2015 (Unaudited)

 

 

CASH FLOWS FROM OPERATING ACTIVITIES:

 

Net increase/(decrease) in net assets from operations

  $ 23,975,509   

Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by operating activities:

 

Purchase of investment securities, including purchased options

    (142,904,817

Net purchases of short term investments

    (10,665,250

Purchase of securities to cover securities sold short

    (3,964,588

Proceeds paid on closing written options

    (10,058

Proceeds from disposition of investment securities, including purchased options

    171,632,245   

Proceeds from securities sold short

    2,954,721   

Premiums received from written options

    73,881   

Amortization and accretion of fixed-income securities

    (280,548

Net realized gains/losses from investments, excluding purchased options

    (10,709,171

Net realized gains/losses from purchased options

    (348,703

Net realized gains/losses from short positions

    177,601   

Net realized gains/losses from written options

    (63,823

Change in unrealized appreciation or depreciation on investments, excluding purchased options

    (6,090,805

Change in unrealized appreciation or depreciation on purchased options

    518,238   

Change in unrealized appreciation or depreciation on short positions

    132,704   

Change in unrealized appreciation or depreciation on interest rate swaps

    2,873   

Net change in assets and liabilities:

 

(Increase)/decrease in assets:

 

Accrued interest and dividends receivable

    269,049   

Restricted cash for short positions (interest bearing)

    104,344   

Prepaid expenses

    (38,498

Other assets

    (10,470

Increase/(decrease) in liabilities:

 

Payables to affiliates

    (671

Other accounts payable and accrued liabilities

    439   

Net cash provided by/(used in) operating activities

  $ 24,754,202   

CASH FLOWS FROM FINANCING ACTIVITIES:

 

Distributions to shareholders

    (24,782,937

Net cash provided by/(used in) financing activities

  $ (24,782,937

Net increase/(decrease) in cash and foreign currency*

  $ (28,735

Cash and foreign currency at beginning of period

  $ 32,254   

Cash and foreign currency at end of period

  $ 3,519   

Supplemental disclosure

 

Cash paid for interest and related fees

  $ 955,958   

 

* Includes net change in unrealized appreciation or depreciation on foreign currency of $123.

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     21   


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

Note 1 – Organization and Significant Accounting Policies

Organization.  Calamos Global Dynamic Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 10, 2007 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 June 27, 2007.

The Fund’s investment strategy is to generate a high level of current income with a secondary objective of capital appreciation. The Fund, under normal circumstances, will invest at least 40% of its managed assets in securities of foreign issuers in developed and emerging markets, including debt and equity securities of corporate issuers and debt securities of government issuers. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

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 official closing price, which is the last current reported sales price on its principal exchange at the time each 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 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 on its principal exchange 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 in 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.

 

22   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

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 April 30, 2015. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.

Foreign Currency Translation.  Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds.  Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos ETF Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and Income Fund are allocated proportionately among each Fund to which the expenses relate in relation to the net assets of each Fund or on another reasonable basis.

Use of Estimates.  The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

Income Taxes.  No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of the Fund’s taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.

The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2011 – 2014 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications.  Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     23   


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

Note 2 – Investment Adviser and Transactions With Affiliates Or Certain Other Parties

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed assets.

Pursuant to a financial accounting services agreement, during the period the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Advisors Trust, Calamos Investment Trust, Calamos ETF Trust and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of the “Trustees’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the Fund.

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of their compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $134,213 is included in “Other assets” on the Statement of Assets and Liabilities at April 30, 2015. The Fund obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at April 30, 2015.

Note 3 – Investments

The cost of purchases and proceeds from sale of long-term investments for the period ended April 30, 2015 were as follows:

 

Cost of purchases    $ 146,629,705   
Proceeds from sales      178,454,642   

The following information is presented on a federal income tax basis as of April 30, 2015. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at April 30, 2015 was as follows:

 

Cost basis of investments    $ 843,264,338   
  

 

 

 
Gross unrealized appreciation      85,250,378   
Gross unrealized depreciation      (124,244,507
  

 

 

 
Net unrealized appreciation (depreciation)    $ (38,994,129
  

 

 

 

Note 4 – Income Taxes

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to

 

24   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.

The tax character of distributions for the period ended April 30, 2015 will be determined at the end of the Fund’s current fiscal year.

Distributions for the year ended October 31, 2014 were characterized for federal income tax purposes as follows:

 

      YEAR ENDED
OCTOBER 31, 2014
 
Distributions paid from:   
Ordinary income    $ 41,580,115   
Return of capital      5,625,479   

As of October 31, 2014, the components of accumulated earnings/(loss) on a tax basis were as follows:

 

Undistributed ordinary income    $   
Undistributed capital gains        
  

 

 

 
Total undistributed earnings        
Accumulated capital and other losses      (71,650,427
Net unrealized gains/(losses)      (45,069,347
  

 

 

 
Total accumulated earnings/(losses)      (116,719,774
Other      (299,898
Paid-in capital      698,644,005   
  

 

 

 
Net assets applicable to common shareholders    $ 581,624,333   
  

 

 

 

The Regulated Investment Company Modernization Act of 2010 (the “Act”) modernized various tax rules for regulated investment companies, and was effective for taxable years beginning after the enactment date of December 22, 2010. One significant change is to the treatment of capital loss carryforwards. Now, any capital losses recognized will retain their character as either short-term or long-term capital losses, will be utilized before the pre-Act capital loss carryforwards, and will be carried forward indefinitely, until applied in offsetting future capital gains.

As of October 31, 2014, the Fund had pre-Act capital loss carryforwards which, if not used, will expire as follows:

 

2017    $ (70,982,505
2018      (667,922

Note 5 – Common Shares

There are unlimited common shares of beneficial interest authorized and 59,006,992 shares outstanding at April 30, 2015. Calamos Advisors owned 14,790 of the outstanding shares at April 30, 2015. Transactions in common shares were as follows:

 

      PERIOD ENDED
APRIL 30, 2015
       YEAR ENDED
OCTOBER 31, 2014
 
Beginning shares      59,006,992           59,006,992   
Shares issued through reinvestment of distributions                  
  

 

 

 
Ending shares      59,006,992           59,006,992   
  

 

 

 

Notice is hereby given in accordance with Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares of common stock in the open market.

The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of the Fund’s common shares at the time such common shares are initially sold.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     25   


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

Note 6 – Short Sales

Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on securities sold short are disclosed as an expense on the Statement of Operations. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.

To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.

Note 7 – Derivative Instruments

Foreign Currency Risk.  The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward 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. To mitigate the counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Generally, collateral is exchanged between the Fund and the counterparty and the amount of collateral due from the Fund or to a counterparty has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Fund’s net counterparty exposure is reflected in the counterparty table below. 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. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward foreign currency contracts at April 30, 2015.

Equity Risk.  The Fund may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the

 

26   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. 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. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

Options written by the Fund do not typically give rise to counterparty credit risk since options written obligate the Fund and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to the Fund since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.

As of April 30, 2015, the Fund had outstanding purchased options as listed on the Schedule of Investments.

For the period ended April 30, 2015, the Fund had the following transactions in options written:

 

      NUMBER OF
CONTRACTS
       PREMIUMS
RECEIVED
 
Options outstanding at October 31, 2014              $   
Option written      280           73,881   
Options closed      (280        (73,881
Options exercised                  
Options expired                  
  

 

 

 
Options outstanding at April 30, 2015              $   
  

 

 

 

Interest Rate Risk.  The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 8 – 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. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) on interest rate swaps in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of April 30, 2015, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.

As of April 30, 2015, the Portfolio had outstanding derivative contracts which are reflected on the Statement of Asset and Liabilities as follows:

 

      ASSET
DERIVATIVES
       LIABILITY
DERIVATIVES
 
Gross amounts at fair value:   
Interest Rate Swaps1    $         $ 282,346   
Options purchased2      53,480             
  

 

 

 
   $ 53,480         $ 282,346   
  

 

 

 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     27   


Table of Contents

 

Notes to Financial Statements    (Unaudited)

 

 

The following table presents the outstanding derivative contracts, organized by counterparty, that are subject to enforceable master netting agreements as of April 30, 2015:

 

    

GROSS AMOUNTS NOT OFFSET
IN THE STATEMENT OF ASSETS AND  LIABILITIES

 
    

GROSS AMOUNTS PRESENTED IN THE
STATEMENT OF ASSETS AND  LIABILITIES

       COLLATERAL
PLEDGED
       NET AMOUNT
RECEIVABLE IN
THE EVENT
OF DEFAULT
       NET AMOUNT
PAYABLE IN
THE EVENT
OF DEFAULT
 
Counterparty              ASSETS        LIABILITIES                 
BNP Paribas, SA      ISDA         $         $ 282,346         $ 282,346         $         $   
  

 

 

 
          $—         $ 282,346         $ 282,346         $         $   
  

 

 

 

 

(1) Generally, the Statement of Assets and Liabilities location for “Interest Rate Swaps” is “Unrealized appreciation (depreciation) on interest rate swaps.”

 

(2) Generally, the Statement of Assets and Liabilities location for “Options purchased” is “Investments in securities, at value.”

For the period ended April 30, 2015, the volume of derivative activity for the Fund is reflected below:*

 

      DERIVATIVE TYPE  
Options purchased      1,280   
Options written      280   

 

* Activity during the period is measured by opened number of contracts for options purchased or written.

Note 8 – 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 “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $132.5 million and a lending agreement, “Lending Agreement” as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $132.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended April 30, 2015, the average borrowings under the Agreements were $230.0 million. For the period ended April 30, 2015, the average interest rate was 0.78%. As of April 30, 2015, the amount of total outstanding borrowings was $230.0 million ($115.0 million under the BNP Agreement and $115.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on April 30, 2015 was 0.82%.

The Lending Agreement with BNP 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 BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP 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 with BNP, 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

 

28   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


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Notes to Financial Statements    (Unaudited)

 

 

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 market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of April 30, 2015, the Fund used approximately $56.5 million of its cash collateral to offset the SSB Agreement, representing 7.0% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.46%, which can fluctuate depending on interest rates. As of April 30, 2015, approximately $33.5 million of securities were on loan ($15.2 million of fixed income securities and $18.3 million of equity securities) which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities.

On May 22, 2015, the Fund’s board of trustees amended the Fund’s non-fundamental policy with respect to borrowings to be measured based on managed assets rather than total assets. The policy, as amended, is as follows:

As a non-fundamental policy, the Fund may not issue debt securities, borrow money or issue preferred shares in an aggregate amount exceeding 38% of the Fund’s managed assets measured at the time of issuance of the new securities.

For purposed of this non-fundamental policy, “managed assets” shall mean the total assets of the Fund (including any assets attributable to any leverage that may be outstanding) minus the sum of liabilities (other than debt representing financial leverage). The policy is measured at each incurrence of the debt, and is not a maintenance test.

Note 9 – Fair Value Measurement

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

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     29   


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Notes to Financial Statements    (Unaudited)

 

 

categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s 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

   $       $ 161,818,364       $                     —       $ 161,818,364   

Convertible Bonds

             178,023,814                 178,023,814   

U.S. Government and Agency Security

             300,217                 300,217   

Convertible Preferred Stocks

     29,257,713         12,984,357                 42,242,070   

Common Stocks U.S.

     186,348,020                         186,348,020   

Common Stocks Foreign

     16,787,479         195,333,543            212,121,022   

Purchased Options

     53,480                         53,480   

Short Term Investment

     23,363,222                         23,363,222   
  

 

 

 
Total    $ 255,809,914       $ 548,460,295       $       $ 804,270,209   
  

 

 

 
Liabilities:            

Common Stocks Sold Short

   $ 4,616,590       $       $       $ 4,616,590   

Interest Rate Swap

             282,346                 282,346   
  

 

 

 
Total    $ 4,616,590       $ 282,346       $       $ 4,898,936   
  

 

 

 
      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 Foreign

   $ 3,936,824       $       $       $ 3,936,824   
  

 

 

 
Total    $ 3,936,824       $       $       $ 3,936,824   
  

 

 

 

 

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

 

30   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


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Financial Highlights

 

 

Selected data for a share outstanding throughout each period were as follows:

 

    (Unaudited)
Six Months
Ended
April 30,
    Years Ended October 31,  
     2015     2014     2013     2012     2011     2010  

Net asset value, beginning of period

    $9.86        $10.05        $9.32        $9.06        $9.22        $8.48   

Income from investment operations:

           

Net investment income (loss)*

    0.13        0.40        0.34        0.35        0.30        0.31   

Net realized and unrealized gain (loss)

    0.27        0.21        1.13        0.62        0.14        1.03   

Total from investment operations

    0.40        0.61        1.47        0.97        0.44        1.34   

Less distributions to common shareholders from:

           

Net investment income

    (0.42     (0.70     (0.61     (0.50     (0.39     (0.27

Return of capital

           (0.10     (0.13     (0.21     (0.21     (0.33

Total distributions

    (0.42     (0.80     (0.74     (0.71     (0.60     (0.60

Net asset value, end of period

    $9.84        $9.86        $10.05        $9.32        $9.06        $9.22   

Market value, end of period

    $9.02        $9.01        $8.86        $8.51        $7.72        $8.24   

Total investment return based on:(a)

           

Net asset value

    4.68%        7.02%        17.51%        12.07%        5.64%        17.50%   

Market value

    5.01%        10.93%        13.46%        20.09%        0.72%        21.32%   

Net assets, end of period (000)

    $580,817        $581,624        $592,920        $550,177        $534,735        $543,850   

Ratios to average net assets applicable to common shareholders:

           

Net expenses

    1.85% (b)      1.79%        1.81%        1.98%        1.93%        2.20%   

Gross expenses prior to expense reductions and earnings credits

    1.85% (b)      1.79%        1.81%        1.98%        1.93%        2.20%   

Net expenses, excluding interest expenses and dividend expense on short positions

    1.51% (b)      1.48%        1.48%        1.50%        1.45%        1.52%   

Net investment income (loss)

    2.74% (b)      3.92%        3.54%        3.82%        3.11%        3.55%   

Portfolio turnover rate

    19%        32%        41%        42%        43%        37%   

Average commission rate paid

    $0.0264        $0.0269        $0.0196        $0.0122        $0.0136        $0.0121   

Asset coverage per $1,000 of loan outstanding(c)

    $3,525        $3,529        $3,578        $3,737        $3,660        $3,847   

 

* Net investment income allocated based on average shares method.

 

(a) Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.

 

(b) Annualized.

 

(c) Calculated by subtracting the Fund’s total liabilities (not including Notes payable) from the Fund’s total assets and dividing this by the amount of notes payable outstanding, and by multiplying the result by 1,000.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     31   


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Report of Independent Registered Public Accounting Firm

 

 

To the Board of Trustees and Shareholders of Calamos Global Dynamic Income Fund

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, for Calamos Global Dynamic Income Fund (the “Fund”) as of April 30, 2015, and the related statements of operations, changes in net assets, and cash flows and the financial highlights for the six month period then ended. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

We conducted our review in accordance with standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements and financial highlights taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to such interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets of the Fund for the year ended October 31, 2014 and the financial highlights for each of the five years in the period then ended; and in our report dated December 17, 2014, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

Chicago, Illinois

June 17, 2015

 

32   CALAMOS GLOBAL DYNAMIC INCOME FUND ANNUAL REPORT  


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About Closed-End Funds

 

 

What is a Closed-End Fund?

A closed-end fund is a publicly traded investment company that raises its initial investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the fund’s Board of Directors.

Potential Advantages of Closed-End Fund Investing

 

Defined Asset Pool Allows Efficient Portfolio Management—Although closed-end fund shares trade actively on a securities exchange, this doesn’t affect the closed-end fund manager because there are no new investors buying into or selling out of the fund’s portfolio.

 

 

More Flexibility in the Timing and Price of Trades—Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities.

 

 

Lower Expense Ratios—The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could enhance investment performance.

 

 

Closed-End Structure Makes Sense for Less-Liquid Asset Classes—A closed-end structure makes sense for investors considering less-liquid asset classes, such as high-yield bonds or micro-cap stocks.

 

 

Ability to Put Leverage to Work—Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to “leverage” their investment positions.

 

 

No Minimum Investment Requirements

OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS

 

OPEN-END FUND    CLOSED-END FUND
Issues new shares on an ongoing basis    Generally issues a fixed number of shares
Issues common equity shares    Can issue common equity shares and senior securities such as preferred shares and bonds
Sold at NAV plus any sales charge    Price determined by the marketplace
Sold through the fund’s distributor    Traded in the secondary market
Fund redeems shares at NAV calculated at the close of business day    Fund does not redeem shares
      

You can purchase or sell common shares of closed-end funds daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a discount, which is a market price that is below their net asset value.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares and fluctuations in the variable rates of the leverage financing.

Each open-end or closed-end fund should be evaluated individually. Before investing carefully consider the fund’s investment objectives, risks, charges and expenses.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     33   


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Level Rate Distribution Policy

 

 

Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return

The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, may contribute significantly to long-term total return.

We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.

Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.

 

 

Automatic Dividend Reinvestment Plan

 

Maximizing Investment with an Automatic Dividend Reinvestment Plan

The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund.

Potential Benefits

 

Compounded Growth: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.

 

 

Potential for Lower Commission Costs: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan.

 

 

Convenience: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time.

Pursuant to the Plan, unless a shareholder is ineligible or elects otherwise, all dividend and capital gains on common shares distributions are automatically reinvested by Computershare, as agent for shareholders in administering the Plan (“Plan Agent”), in additional common shares of the Fund. Shareholders who elect not to participate in the Plan will receive all dividends and distributions payable in cash paid by check mailed directly to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee) by Plan Agent, as dividend paying agent. Shareholders may elect not to participate in the Plan and to receive all dividends and distributions in cash by sending written instructions to the Plan Agent, as dividend paying agent, at: Dividend Reinvestment Department, P.O. Box 358016, Pittsburgh, PA 15252. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by giving notice in writing to the Plan Agent; such termination will be effective with respect to a particular dividend or distribution if notice is received prior to the record date for the applicable distribution.

The shares are acquired by the Plan Agent for the participant’s account either (i) through receipt of additional common shares from the Fund (“newly issued shares”) or (ii) by purchase of outstanding common shares on the

 

34   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


Table of Contents

 

Automatic Dividend Reinvestment Plan

 

 

open market (“open-market purchases”) on the NASDAQ or elsewhere. If, on the payment date, the net asset value per share of the common shares is equal to or less than the market price per common share plus estimated brokerage commissions (a “market premium”), the Plan Agent will receive newly issued shares from the Fund for each participant’s account. The number of newly issued common shares to be credited to the participant’s account will be determined by dividing the dollar amount of the dividend or distribution by the greater of (i) the net asset value per common share on the payment date, or (ii) 95% of the market price per common share on the payment date.

If, on the payment date, the net asset value per common share exceeds the market price plus estimated brokerage commissions (a “market discount”), the Plan Agent has a limited period of time to invest the dividend or distribution amount in shares acquired in open-market purchases. The weighted average price (including brokerage commissions) of all common shares purchased by the Plan Agent as Plan Agent will be the price per common share allocable to each participant. If the Plan Agent is unable to invest the full dividend amount in open-market purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Agent will cease making open-market purchases and will invest the uninvested portion of the dividend or distribution amount in newly issued shares at the close of business on the last purchase date.

The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends even though no cash is received by participants.

There are no brokerage charges with respect to shares issued directly by the Fund as a result of dividends or distributions payable either in shares or in cash. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open-market purchases in connection with the reinvestment of dividends or distributions. If a participant elects to have the Plan Agent sell part or all of his or her common shares and remit the proceeds, such participant will be charged his or her pro rata share of brokerage commissions on the shares sold, plus a $15 transaction fee. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants.

A participant may request the sale of all of the common shares held by the Plan Agent in his or her Plan account in order to terminate participation in the Plan. If such participant elects in advance of such termination to have the Plan Agent sell part or all of his shares, the Plan Agent is authorized to deduct from the proceeds a $15.00 fee plus the brokerage commissions incurred for the transaction. A participant may re-enroll in the Plan in limited circumstances.

The terms and conditions of the Plan may be amended by the Plan Agent or the Fund at any time upon notice as required by the Plan.

This discussion of the Plan is only summary, and is qualified in its entirety by the Terms and Conditions of the Dividend Reinvestment Plan filed as part of the Fund’s registration statement.

For additional information about the Plan, please contact the Plan Agent, Computershare, at 866.226.8016. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name.

We’re pleased to provide our shareholders with the additional benefit of the Fund’s Dividend Reinvestment Plan and hope that it may serve your financial plan.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     35   


Table of Contents

MANAGING YOUR CALAMOS FUNDS INVESTMENTS

Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.

 

PERSONAL ASSISTANCE: 800.582.6959

Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues concerning your Calamos Fund.

 

YOUR FINANCIAL ADVISOR

We encourage you to talk to your financial advisor to determine how the Calamos Funds can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs.

 

LOGO

 

STAY CONNECTED

www.calamos.com

Visit our Web site for timely fund performance, detailed fund profiles, fund news and insightful market commentary.

 


Table of Contents

 

A description of the Calamos Proxy Voting Policies and Procedures and the Fund’s proxy voting record for the 12-month period ended June 30, 2014, are available free of charge upon request by calling 800.582.6959, by visiting the Calamos Web site at www.calamos.com, by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Fund’s proxy voting record is also available free of charge by visiting the SEC Web site at www.sec.gov.

The Fund files its complete list of portfolio holdings with the SEC for the first and third quarters each fiscal year on Form N-Q . The Forms N-Q are available free of charge, upon request, by calling or writing Calamos Investments at the phone number or address provided above or by visiting the SEC Web site at www.sec.gov. You may also review or, for a fee, copy the forms at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.732.0330.

The Fund’s report to the SEC on Form N-CSR contains certifications by the fund’s principal executive officer and principal financial officer as required by Rule 30a-2(a) under the 1940 Act, relating to, among other things, the quality of the Fund’s disclosure controls and procedures and internal control over financial reporting.

FOR 24-HOUR AUTOMATED SHAREHOLDER ASSISTANCE: 866.226.8016

TO OBTAIN INFORMATION ABOUT YOUR INVESTMENTS: 800.582.6959

VISIT OUR WEB SITE: www.calamos.com

INVESTMENT ADVISER:

Calamos Advisors LLC

2020 Calamos Court

Naperville, IL 60563-2787

CUSTODIAN AND FUND ACCOUNTING AGENT:

State Street Bank and Trust Company

Boston, MA

TRANSFER AGENT:

Computershare

P.O. Box 30170

College Station, TX 77842-3170

866.226.8016

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:

Deloitte & Touche LLP

Chicago, IL

LEGAL COUNSEL:

Ropes & Gray LLP

Chicago, IL

 

 

 

 

 

 

LOGO

2020 Calamos Court

Naperville, IL 60563-2787

800.582.6959

www.calamos.com

© 2015 Calamos Investments LLC. All Rights Reserved.

Calamos® and Calamos Investments® are registered

trademarks of Calamos Investments LLC.

CHWSAN 3083 2015

 


Table of Contents

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.


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ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS

Included in the Report to Shareholders in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(a) Not applicable.

(b) Effective May 15, 2015, Steve Klouda was no longer a member of the investment team managing the Fund.


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ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

ITEM 11. 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-CSR was recorded, processed, summarized, and timely reported.

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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of Ethics – Not applicable.

(a)(2)(i) Certification of Principal Executive Officer.

(a)(2)(ii) Certification of Principal Financial Officer.


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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 Dynamic Income Fund

 

By: /s/  John P. Calamos, Sr.                            
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 19, 2015
By: /s/  Nimish S. Bhatt                                
Name: Nimish S. Bhatt
Title: Principal Financial Officer
Date: June 19, 2015

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.

By: /s/  John P. Calamos, Sr.                            
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 19, 2015
By: /s/  Nimish S. Bhatt                                
Name: Nimish S. Bhatt
Title: Principal Financial Officer
Date: June 19, 2015