N-Q 1 c34522_nq.htm c34522_nq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number           811-21511

LAZARD GLOBAL TOTAL RETURN AND INCOME FUND, INC.
(Exact name of Registrant as specified in charter)

30 Rockefeller Plaza
New York, New York 10112
(Address of principal executive offices)         (Zip code)

Nathan A. Paul, Esq.
Lazard Asset Management LLC
30 Rockefeller Plaza
New York, New York 10112
(Name and address of agent for service)

Registrant's telephone number, including area code:            (212) 632-6000

Date of fiscal year end:            12/31

Date of reporting period:         9/30/2004

FORM N-Q

Item 1. Schedule of Investments.
Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments
September 30, 2004 (unaudited)

Description
Shares
Value
Common Stocks—95.5%        
Finland—2.9%        
   Nokia Oyj Sponsored ADR (d) 392,000  
$
 5,378,240
     
         
France—5.4%        
   Societe Generale Sponsored ADR (d) 217,900     3,856,525
   Total SA Sponsored ADR 58,100     5,936,077
     
   Total France       9,792,602
     
         
Germany—4.2%        
   Schering AG ADR (d) 64,000     4,016,000
   Siemens AG Sponsored ADR (d) 50,600     3,729,220
     
   Total Germany       7,745,220
     
         
Italy—2.2%        
   Eni SpA Sponsored ADR (d) 35,700     4,009,110
     
         
Japan—6.0%        
   Canon, Inc. Sponsored ADR (d) 69,000     3,254,040
   Kao Corp. Sponsored ADR (d) 15,400     3,402,350
   Nomura Holdings, Inc. ADR (d) 332,600     4,293,866
     
   Total Japan       10,950,256
     
         
Netherlands—2.7%        
   Heineken NV ADR (c), (d) 163,750     4,929,890
     
         
Switzerland—10.3%        
   Credit Suisse Group        
      Sponsored ADR (a), (c), (d) 156,300     4,992,222
   Nestle SA Sponsored ADR (c), (d) 57,400     3,286,695
   Novartis AG ADR 82,800     3,864,276
   Swiss Re Sponsored ADR (c) 55,200     3,176,197
   UBS AG (c), (d) 51,000     3,586,830
     
   Total Switzerland       18,906,220
     
United Kingdom—22.2%        
   Barclays PLC Sponsored ADR (d) 151,500     5,861,535
   BP PLC Sponsored ADR (d) 69,600     4,004,088
   Cadbury Schweppes PLC        
      Sponsored ADR (d) 112,700     3,483,557
   Diageo PLC Sponsored ADR (c), (d) 101,100     5,098,473
   GlaxoSmithKline PLC ADR (c), (d) 172,200     7,530,306
   HSBC Holdings PLC        
      Sponsored ADR (c), (d) 76,300     6,088,740
   Unilever PLC Sponsored ADR (d) 95,500     3,153,410
   Vodafone Group PLC        
      Sponsored ADR 219,100     5,282,501
     
   Total United Kingdom       40,502,610
     
         
United States—39.6%        
   Bank of America Corp. (c) 138,200     5,988,206
   Citigroup, Inc. (c) 116,000     5,117,920
   Exxon Mobil Corp. (c) 128,200     6,195,906
   First Data Corp 84,300     3,667,050
   General Electric Co. (c) 185,000     6,212,300
   International Business        
      Machines Corp 42,600     3,652,524
   J.P. Morgan Chase & Co. (c) 148,896     5,915,638
   Johnson & Johnson 104,300     5,875,219
   Microsoft Corp. (c) 214,600     5,933,690
   Oracle Corp. (a) 477,000     5,380,560
   Pfizer, Inc. (c) 103,500     3,167,100
   The Coca-Cola Co. (c) 74,200     2,971,710
   The Home Depot, Inc 107,600     4,217,920
   United Technologies Corp 44,000     4,108,720
   Wells Fargo & Co 67,000     3,995,210
     
   Total United States       72,399,673
     
         
Total Common Stocks        
   (Identified cost $176,432,283)       174,613,821
     

1

Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments (continued)
September 30, 2004 (unaudited)

  Principal      
  Amount      
Description
(000) (e)
 
Value
 
Foreign Government            
   Obligations—6.0%            
Poland—2.1%            
   Poland Government Bond,            
      0.00%, 04/12/06 (f)   15,000  
$
 3,833,068  
       
 
             
Turkey—3.9%            
   Turkey Government Bonds:            
      0.00%, 08/24/05 (f)   100,000,000     5,439,190  
      0.00%, 10/05/05 (f)   30,994,512     1,640,228  
       
 
   Total Turkey         7,079,418  
       
 
             
Total Foreign Government            
   Obligations            
   (Identified cost $10,073,737)         10,912,486  
       
 
             
Structured Note—0.3%            
Ghana—0.3%            
   Smith Barney GHC            
      Credit Linked Deposit,            
      16.98%, 11/22/04            
      (Identified cost $453,148)   4,186,000     451,586  
       
 
  Principal        
  Amount        
 
(000)
       
 
       
Short-Term            
   Investments—24.6%            
Repurchase            
   Agreement—0.2%            
   State Street Bank and Trust Co.,            
      1.55%, 10/01/04            
      (Dated 09/30/04, collateralized            
      by $210,000 United States            
      Treasury Bond, 11.25%, 02/15/15,            
      with a value of $337,838) $ 327  
327,000  
       
 
             
Collateral for Securities            
   on Loan—24.4%            
   State Street Navigator Securities            
      Lending Prime Portfolio,            
      1.64% (g), (h)   44,711     44,710,625  
       
 
             
Total Short-Term Investments            
   (Identified cost $45,037,625)         45,037,625  
       
 
             
Total Investments            
   (Identified cost $231,996,793) (b)   126.4 % $ 231,015,518  
Liabilities in Excess of Cash and            
   Other Assets   (26.4 ) (48,195,047 )
 
 
 
Net Assets   100.0 % $
182,820,471
  
 
 
 

2

Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments (continued)
September 30, 2004 (unaudited)

Forward Currency Contracts open at September 30, 2004:

   
U.S. $ Cost
U.S. $
Forward Currency
 
Expiration
Foreign
on Origination
Current
Unrealized
Unrealized
Purchase Contracts
 
Date
Currency
Date
Value
Appreciation
Depreciation
 
 
 
 
 
 
ARS
  10/12/04   2,753,954   $ 916,000   $ 923,502   $ 7,502   $ —
ARS
  10/25/04   2,712,000     900,997     909,408     8,411     —
ARS
  11/29/04   2,677,698     883,000     897,835     14,835     —
BRL
  10/05/04   6,358,284     2,034,000     2,219,884     185,884     —
BRL
  10/28/04   1,560,290     513,000     540,200     27,200     —
BRL
  11/10/04   8,182,564     2,756,000     2,819,791     63,791     —
BRL
  11/12/04   2,938,780     890,000     1,012,012     122,012     —
BRL
  03/28/05   2,526,615     819,000     824,618     5,618     —
COP
  10/25/04   2,347,520,000     896,000     896,435     435     —
CZK
  10/07/04   23,775,000     899,665     934,654     34,989     —
CZK
  10/27/04   23,798,374     928,000     935,194     7,194     —
HRK
  11/04/04   5,873,280     950,000     959,890     9,890     —
HRK
  11/30/04   14,208,890     2,286,961     2,313,334     26,373     —
HRK
  02/28/05   7,735,000     1,231,100     1,247,504     16,404     —
IDR
  10/07/04   204,160,000     22,000     22,288     288     —
IDR
  10/12/04   28,786,560,000     3,102,000     3,142,638     40,638     —
IDR
  11/08/04   204,600,000     22,000     22,336     336     —
IDR
  11/09/04   28,879,620,000     3,102,000     3,152,797     50,797     —
ILS
  10/05/04   574,000     126,076     128,083     2,007     —
ILS
  11/05/04   708,993     158,000     157,879     —     121
ILS
  05/05/05   9,476,000     2,000,000     2,085,794     85,794     —
INR
  10/07/04   172,374,900     3,723,000     3,745,304     22,304     —
INR
  12/03/04   32,093,620     689,000     694,551     5,551     —
KRW
  10/07/04   1,553,175,000     1,350,000     1,348,299     —     1,701
KRW
  12/20/04   2,638,558,800     2,294,000     2,282,646     —     11,354
MAD
  10/13/04   20,395,159     2,258,000     2,294,239     36,239     —
MUR
  11/10/04   27,870,000     979,958     973,172     —     6,786
MXN
  10/27/04   26,163,070     2,282,791     2,283,862     1,071     —
PHP
  10/12/04   147,496,800     2,640,000     2,615,947     —     24,053
PHP
  12/08/04   4,701,950     83,000     82,705     —     295
PHP
  12/20/04   53,248,250     935,000     934,846     —     154
PLN
  10/07/04   9,646,607     2,623,000     2,742,164     119,164     —
ROL
  10/04/04   101,379,000,000     3,000,000     3,052,948     52,948     —
ROL
  10/12/04   49,741,351,953     1,454,808     1,492,637     37,829     —
ROL
  11/04/04   99,420,480,000     2,960,000     2,953,524     —     6,476
ROL
  11/08/04   29,833,736,000     872,000     884,758     12,758     —

3

Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments (continued)
September 30, 2004 (unaudited)

Forward Currency Contracts open at September 30, 2004 (concluded):

            U.S. $ Cost   U.S. $        
Forward Currency
  Expiration   Foreign   on Origination   Current   Unrealized   Unrealized
Purchase Contracts
  Date   Currency   Date   Value   Appreciation   Depreciation
 
 
 
 
 
 
ROL   11/26/04  
32,662,900,000
$
950,000
$
961,221
$
11,221
$
—
RUB   11/23/04  
61,756,760
2,102,000
2,104,835
2,835
—
RUB   12/09/04  
99,543,500
3,346,000
3,387,604
41,604
—
SIT   10/06/04  
259,971,250
1,295,000
1,344,867
49,867
—
SIT   10/13/04  
267,348,900
1,354,914
1,382,480
27,566
—
SIT   11/08/04  
667,854,920
3,364,000
3,448,438
84,438
—
SKK   10/06/04  
117,075,000
3,489,048
3,627,470
138,422
—
SKK   10/18/04  
76,189,883
2,335,000
2,358,741
23,741
—
SKK   10/29/04  
8,385,000
257,177
259,394
2,217
—
SKK   11/08/04  
6,704,986
202,000
207,323
5,323
—
THB   10/13/04  
114,400,000
2,750,661
2,761,617
10,956
—
THB   10/14/04  
48,287,760
1,163,000
1,165,667
2,667
—
THB   11/22/04  
105,896,025
2,565,000
2,556,331
—
8,669
THB   12/20/04  
4,988,830
121,059
120,444
—
615
TWD   12/16/04  
61,325,720
1,823,000
1,808,795
—
14,205
ZAR   10/07/04  
6,107,900
908,968
942,276
33,308
—
ZAR   10/07/04  
6,049,096
908,000
933,205
25,205
—
           
 
 
 
Total Forward Currency Purchase Contracts  
$
82,515,183
$
83,898,386
$
1,457,632
$
74,429
           
 
 
 
           
U.S. $ Cost
 
U.S. $
           
Forward Currency
Expiration
Foreign
on Origination
Current
Unrealized
Unrealized
Sale Contracts
Date
Currency
Date
Value
Appreciation
Depreciation
 
 
 
 
 
 
BRL
  10/05/04   2,932,160   $ 980,000   $ 1,023,712   $ —   $ 43,712
ILS
  10/05/04   574,000     128,168     128,083     85     —
MXN
  10/07/04   15,712,680     1,380,000     1,376,340     3,660     —
ROL
  10/04/04   101,379,000,000   3,040,762   3,052,948   —   12,186
           
 
 
 
Total Forward Currency Sale Contracts   $ 5,528,930   $ 5,581,083     3,745   55,898
           
 
 
 
Gross unrealized appreciation/depreciation on Forward Currency Contracts   $ 1,461,377  
$
 130,327
                       
 

4

 

Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments (continued)
September 30, 2004 (unaudited)
(a) Non-income producing security.
   
(b) For federal income tax purposes, the aggregate cost was $231,996,793, aggregate gross unrealized appreciation was $6,895,933, aggregate gross unrealized depreciation was $7,877,208 and the net unrealized depreciation was $981,275.
   
(c) Segregated security for forward currency contracts.
   
(d) Security or portion thereof is out on loan.
   
(e) Principal amount denominated in respective country’s currency.
   
(f) Zero coupon security.
   
(g) Rate shown reflects 7 day yield as of September 30, 2004.
   
(h) Represents security purchased with cash collateral received for securities on loan.

Security Abbreviation:
ADR — American Depositary Receipt

Currency Abbreviations:

ARS — Argentine Peso MUR — Mauritian Rupee
BRL — Brazilian Real MXN — Mexican Peso
COP — Colombian Peso PHP — Philippines Peso
CZK — Czech Koruna PLN — Polish Zloty
GHC — Ghanaian Cedi ROL — Romanian Leu
HRK — Croatian Kuna RUB — Russian Ruble
IDR — Indonesian Rupiah SIT — Slovenian Tolar
ILS — Israeli Shekel SKK — Slovenska Koruna
INR — Indian Rupee THB — Thai Baht
KRW — South Korean Won TWD — New Taiwan Dollar
MAD — Moroccan Dirham ZAR — South African Rand

5

Lazard Global Total Return & Income Fund, Inc.
Portfolio of Investments (concluded)
September 30, 2004 (unaudited)

Portfolio holdings by industry:

Industry    
Aerospace & Defense 2.2 %
Banking 16.7  
Brewery 2.7  
Business Services & Supplies 2.0  
Computer Software 6.2  
Computers & Business Equipment 2.0  
Cosmetics & Toiletries 1.9  
Diversified 7.2  
Drugs & Health Care 10.2  
Electronics 1.8  
Financial Services 10.5  
Food & Beverages 8.1  
Insurance 1.7  
Medical Products & Services 3.2  
Oil & Gas 11.0  
Retail 2.3  
Telecommunications 2.9  
Telecommunications Equipment 2.9  
 
   Subtotal 95.5  
Foreign Government Obligations 6.0  
Structured Note 0.3  
Repurchase Agreement 0.2  
Collateral for Securities on Loan 24.4  
 
   Total Investments 126.4 %
 

Valuation of Investments—Market values for securities listed on the New York Stock Exchange (“NYSE”), NASDAQ national market or other U.S. exchanges or markets are based on the closing market price on the principal exchange or market on which the security is traded, generally as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern time) on each valuation date; securities not traded on the valuation date are valued at the closing bid price. Any securities not listed, for which current over-the-counter market quotations or bids are readily available, are valued at the last quoted bid price or, if available, the mean of two such prices. Forward currency contracts are valued at the current cost of offsetting the contract. Securities listed on foreign exchanges are valued at the last reported sales price, except as described below.

If events materially affecting the value of securities occur between the close of the exchange or market on which the security is principally traded and the time when the Fund’s net asset value is calculated, such securities will be valued at their fair values as determined in good faith by or under the supervision of the Board of Directors. The effect of using fair value pricing is that the net asset value of the Fund will be subject to the judgment of the Board of Directors or its designee instead of being determined by the market. Using a fair value pricing methodology to price securities may result in a value that is different from the most recent closing price of a security and from the prices used by other investment companies to calculate their portfolios’ net asset values. Securities not traded on the valuation date are valued at the last quoted bid price, except as described below.

Securities and other assets for which current market quotations are not readily available are valued at fair value as determined in good faith in accordance with procedures approved by the Board of Directors.

Bonds and other fixed-income securities that are not exchange-traded are valued on the basis of prices provided by pricing services which are based primarily on institutional trading in similar groups of securities, or by using brokers’ quotations.

Under these procedures, in the event that Lazard Asset Management LLC, the Fund’s investment manager (the “Investment Manager”), determines that a significant event has occurred after the close of a market on which a foreign security is traded but before the close of regular trading on the NYSE, such that current market quotations for a security or securities are not readily available, a Valuation Committee of the Investment Manager will evaluate a variety of factors to determine the fair value of the affected securities. These factors include, but are not limited to, the type of security, the value of comparable securities, observations from financial institutions and relevant news events. Input from the Investment Manager’s analysts will also be considered.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.LazardNet.com as well as on the Securities and Exchange Commission’s website at www.sec.gov.

6

Item 2.          Controls and Procedures.

(a)        The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b)        There were no changes to the Registrant's internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3.          Exhibits.

(a)       Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

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.

LAZARD GLOBAL TOTAL RETURN AND INCOME FUND, INC.

 

By: /s/ Charles Carroll  
 
 
  Charles Carroll  
  Chief Executive Officer  
     
Date:

November 23, 2004

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Charles Carroll  
 
 
  Charles Carroll  
  Chief Executive Officer  
     
Date:

November 23, 2004

 

 

By:   /s/ Stephen St. Clair   
 
 
  Stephen St. Clair  
  Chief Financial Officer  
     
Date:

November 23, 2004