N-Q 1 d160230dnq.htm N-Q N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21547

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

   Calamos Global Total Return Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Chairman,

CEO and Co-CIO

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, 2016

DATE OF REPORTING PERIOD: January 31, 2016

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  CORPORATE BONDS (6.0%)   
    Consumer Discretionary (2.9%)   
  815,000       

L Brands, Inc.µ

5.625%, 02/15/22

  $ 875,616   
  900,000       

Service Corp. Internationalµ

7.500%, 04/01/27

    1,024,875   
  914,000       

Toll Brothers Finance Corp.

4.000%, 12/31/18

    932,851   
     

 

 

 
        2,833,342   
     

 

 

 
    Consumer Staples (1.0%)   
  8,700,000     

NOK

 

Nestlé Holdings, Inc.µ

3.375%, 02/08/16

    1,002,505   
     

 

 

 
    Industrials (1.5%)   
    Icahn Enterprises, LPµ  
  860,000        4.875%, 03/15/19     795,500   
  825,000        5.875%, 02/01/22     740,437   
     

 

 

 
        1,535,937   
     

 

 

 
    Materials (0.6%)   
  800,000       

New Gold, Inc.µ*

6.250%, 11/15/22

    608,000   
     

 

 

 
    TOTAL CORPORATE BONDS
(Cost $6,758,445)
    5,979,784   
     

 

 

 
  CONVERTIBLE BONDS (53.7%)   
    Consumer Discretionary (12.4%)   
  2,360,000       

Ctrip.com International, Ltd.µ*^

1.000%, 07/01/20

    2,506,804   
  90,000,000     

JPY

 

HIS Company, Ltd.

0.000%, 08/30/19

    806,013   
    Priceline Group, Inc.  
  1,790,000        0.350%, 06/15/20     1,973,260   
  1,225,000        0.900%, 09/15/21     1,178,095   
  210,000,000     

JPY

 

Sony Corp.

0.000%, 09/30/22

    1,743,964   
  3,315,000       

Tesla Motors, Inc.µ

1.250%, 03/01/21

    2,663,205   
  1,550,000       

Toll Brothers Finance Corp.µ

0.500%, 09/15/32

    1,492,045   
     

 

 

 
        12,363,386   
     

 

 

 
    Energy (0.7%)   
  800,000       

SEACOR Holdings, Inc.µ

2.500%, 12/15/27

    690,544   
     

 

 

 
    Financials (9.2%)   
    Ares Capital Corp.µ  
  896,000        4.750%, 01/15/18     905,789   
  675,000        5.750%, 02/01/16^     675,449   
  1,100,000     

EUR

 

AURELIUS, SE & Co. KGaA

1.000%, 12/01/20

    1,237,779   
  1,650,000       

AYC Finance, Ltd.

0.500%, 05/02/19

    1,699,156   
  2,800,000     

EUR

 

Azimut Holding, S.p.A.

2.125%, 11/25/20

    3,453,325   
  1,100,000     

EUR

 

Industrivarden, ABµ

1.875%, 02/27/17

    1,252,804   
     

 

 

 
        9,224,302   
     

 

 

 
PRINCIPAL
AMOUNT
                VALUE  
     
    Health Care (0.6%)   
  600,000       

Medidata Solutions, Inc.µ^

1.000%, 08/01/18

  $ 613,644   
     

 

 

 
    Industrials (9.6%)   
  1,000,000     

GBP

 

Carillion Finance Jersey, Ltd.

2.500%, 12/19/19

    1,372,938   
  750,000       

Haitian International Holdings, Ltd.

2.000%, 02/13/19

    726,424   
  210,000,000     

JPY

 

Japan Airport Terminal Company, Ltd.

0.000%, 03/04/22

    1,857,381   
  1,200,000       

Larsen & Toubro, Ltd.µ

0.675%, 10/22/19

    1,124,574   
  180,000,000     

JPY

 

Lixil Group Corp.

0.000%, 03/04/20

    1,507,045   
  1,600,000       

MISUMI Group, Inc.

0.000%, 10/22/18

    1,819,402   
  1,100,000     

EUR

 

Safran, SA

0.000%, 12/31/20

    1,120,415   
     

 

 

 
        9,528,179   
     

 

 

 
    Information Technology (16.9%)   
  1,400,000       

Advanced Semiconductor Engineering, Inc.

0.000%, 03/27/18

    1,296,887   
    FireEye, Inc.µ*  
  538,000        1.625%, 06/01/35     411,874   
  499,000        1.000%, 06/01/35     409,971   
  1,050,000       

Lam Research Corp.µ

0.500%, 05/15/16

    1,242,901   
  3,870,000       

LinkedIn Corp.µ^

0.500%, 11/01/19

    3,924,780   
  731,000       

NVIDIA Corp.µ

1.000%, 12/01/18

    1,101,255   
  1,020,000       

NXP Semiconductors, NVµ

1.000%, 12/01/19

    1,075,432   
  1,040,000       

ON Semiconductor Corp.µ

2.625%, 12/15/26

    1,108,520   
  820,000       

Red Hat, Inc.

0.250%, 10/01/19

    974,344   
  700,000     

EUR

 

Rocket Internet, SE

3.000%, 07/22/22

    575,502   
  1,160,000       

Salesforce.com, Inc.µ^

0.250%, 04/01/18

    1,374,722   
  850,000       

Twitter, Inc.µ

0.250%, 09/15/19

    728,811   
  715,000       

Workday, Inc.µ

0.750%, 07/15/18

    745,030   
  2,010,000       

Yahoo!, Inc.µ

0.000%, 12/01/18

    1,934,575   
     

 

 

 
        16,904,604   
     

 

 

 
    Materials (2.6%)   
  1,000,000     

EUR

 

Buzzi Unicem, S.p.A.

1.375%, 07/17/19

    1,244,934   
  364,000       

Cemex, SAB de CVµ

3.720%, 03/15/20

    259,577   
  1,085,000       

Newmont Mining Corp.

1.625%, 07/15/17

    1,077,861   
     

 

 

 
        2,582,372   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
    Telecommunication Services (1.7%)   
  1,500,000     

EUR

 

America Movil, SAB de CV

0.000%, 05/28/20

  $ 1,648,216   
     

 

 

 
    TOTAL CONVERTIBLE BONDS
(Cost $58,449,865)
    53,555,247   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
  CONVERTIBLE PREFERRED STOCKS (4.4%)   
    Financials (0.8%)   
  8,500       

American Tower Corp.µ

5.250%

    842,860   
     

 

 

 
    Health Care (2.0%)   
  1,280       

Allergan, PLCµ

5.500%

    1,213,811   
  17,100       

Anthem, Inc.µ

5.250%

    753,939   
     

 

 

 
        1,967,750   
     

 

 

 
    Utilities (1.6%)   
  28,000       

NextEra Energy, Inc.µ

5.799%

    1,593,200   
     

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $4,643,876)
    4,403,810   
     

 

 

 
  COMMON STOCKS (71.1%)   
    Consumer Discretionary (10.2%)   
  14,700        Comcast Corp. - Class Aµ     818,937   
  11,500        Home Depot, Inc.µ^     1,446,240   
  14,700     

ZAR

  Naspers, Ltd. - Class Nµ     1,857,685   
  13,415     

DKK

  Pandora, A/S     1,794,733   
  22,000        Starbucks Corp.µ^     1,336,940   
  12,400     

JPY

  Toyota Motor Corp.µ     746,847   
  9,600        Walt Disney Company     919,872   
  56,500     

GBP

  WPP, PLCµ     1,228,733   
     

 

 

 
        10,149,987   
     

 

 

 
    Consumer Staples (12.3%)   
  23,200     

EUR

  Anheuser-Busch InBev, SAµ     2,917,784   
  19,900     

GBP

  British American Tobacco, PLCµ     1,108,897   
  33,454        Coca-Cola Companyµ^     1,435,846   
  85,000     

GBP

  Diageo, PLCµ     2,288,330   
  15,300     

CHF

  Nestlé, SAµ     1,127,188   
  17,100        Philip Morris International, Inc.µ     1,539,171   
  24,300     

JPY

  Seven & I Holdings Company, Ltd.µ     1,083,840   
  17,250     

EUR

  Unilever, NV     764,108   
     

 

 

 
        12,265,164   
     

 

 

 
    Energy (5.1%)   
  15,250        Anadarko Petroleum Corp.     596,122   
  10,300     

CAD

  Canadian Natural Resources, Ltd.µ     220,499   
  13,800        EOG Resources, Inc.µ     980,076   
  14,715        Exxon Mobil Corp.µ     1,145,563   
  13,100        Schlumberger, Ltd.µ     946,737   
  16,340     

EUR

  TOTAL, SAµ     725,838   
NUMBER OF
SHARES
                VALUE  
     
  25,700     

CAD

  Tourmaline Oil Corp.µ#   $ 512,386   
     

 

 

 
        5,127,221   
     

 

 

 
    Financials (7.5%)  
  311,608     

HKD

  AIA Group, Ltd.µ     1,732,374   
  15,200        Citigroup, Inc.µ^     647,216   
  202,000     

JPY

  Daiwa Securities Group, Inc.µ     1,262,281   
  23,000        JPMorgan Chase & Companyµ^     1,368,500   
  30,247     

EUR

  Vonovia, SEµ     921,891   
  30,000        Wells Fargo & Companyµ^     1,506,900   
     

 

 

 
        7,439,162   
     

 

 

 
    Health Care (11.3%)  
  27,100     

JPY

  Chugai Pharmaceutical Co., Ltd.µ     830,204   
  9,800        Gilead Sciences, Inc.µ^     813,400   
  33,900        Johnson & Johnsonµ^     3,540,516   
  21,050        Merck & Company, Inc.µ^     1,066,604   
  12,880     

CHF

  Novartis, AGµ     997,858   
  19,650     

DKK

  Novo Nordisk, A/S - Class B     1,097,814   
  10,000        Stryker Corp.µ     991,500   
  13,500     

EUR

  UCB, SA     1,154,263   
  7,400        Zimmer Biomet Holdings, Inc.µ     734,524   
     

 

 

 
        11,226,683   
     

 

 

 
    Industrials (3.7%)  
  50,000     

GBP

  Ashtead Group, PLC     645,014   
  111,500     

HKD

  CK Hutchison Holdings, Ltd.µ     1,393,159   
  6,900     

JPY

  FANUC Corp.µ     901,078   
  8,200        United Parcel Service, Inc. - Class Bµ^     764,240   
     

 

 

 
        3,703,491   
     

 

 

 
    Information Technology (20.5%)  
  11,000        Accenture, PLC - Class Aµ^     1,160,940   
  9,590        Alibaba Group Holding, Ltd.#     642,818   
  8,440        Alphabet, Inc. - Class Aµ^#     6,425,794   
  25,900        Apple, Inc.µ^     2,521,106   
  5,800        Baidu, Inc.µ^#     946,966   
  10,700        Facebook, Inc. - Class Aµ^#     1,200,647   
  9,700        MasterCard, Inc. - Class Aµ^     863,591   
  29,000        Microsoft Corp.µ     1,597,610   
  549     

KRW

  Samsung Electronics Co., Ltd.µ     531,132   
  20,500     

EUR

  SAP SE     1,633,542   
  406,000     

TWD

  Taiwan Semiconductor Manufacturing Company, Ltd.µ     1,748,207   
  63,400     

HKD

  Tencent Holdings, Ltd.µ     1,191,077   
     

 

 

 
        20,463,430   
     

 

 

 
    Telecommunication Services (0.5%)  
  11,500     

JPY

  SoftBank Group Corp.µ     506,408   
     

 

 

 
    TOTAL COMMON STOCKS
(Cost $76,436,435)
    70,881,546   
     

 

 

 
NUMBER OF
CONTRACTS
                VALUE  
  PURCHASED OPTION (0.1%)#   
    Consumer Discretionary (0.1%)  
  370     

EUR

 

Daimler, AG Call,

06/17/16, Strike 68.00

(Cost $245,082)

    99,203   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

NUMBER OF
SHARES
                VALUE  
     
  SHORT TERM INVESTMENT (9.7%)   
  9,712,330       

Fidelity Prime Money Market Fund

- Institutional Class

(Cost $9,712,330)

  $ 9,712,330   
     

 

 

 

 
 

TOTAL INVESTMENTS (145.0%)
(Cost $156,246,033)

    144,631,920   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-45.0%)     (44,855,006
     

 

 

 
  NET ASSETS (100.0%)   $ 99,776,914   
     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $87,468,825. $19,484,905 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 — Borrowings).
*   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.
^   Security, or portion of security, is on loan.
#   Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS

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
NOK    Norwegian Krone
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.

 

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

INTEREST RATE SWAP

 

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      $ 12,000,000         $ (72,306
                      

 

 

 
                       $ (72,306
                      

 

 

 

 

See accompanying Notes to Schedule of Investments


Calamos Global Total Return Fund

 

CURRENCY EXPOSURE JANUARY 31, 2016

  

     Value      % of Total Investments  
US Dollar    $ 92,786,726         64.1%   
European Monetary Unit      18,749,604         12.9%   
Japanese Yen      11,245,061         7.8%   
British Pound Sterling      6,643,912         4.6%   
Hong Kong Dollar      4,316,610         3.0%   
Danish Krone      2,892,547         2.0%   
Swiss Franc      2,125,046         1.5%   
South African Rand      1,857,685         1.3%   
New Taiwan Dollar      1,748,207         1.2%   
Norwegian Krone      1,002,505         0.7%   
Canadian Dollar      732,885         0.5%   
South Korean Won      531,132         0.4%   
  

 

 

    

 

 

 
Total Investments    $ 144,631,920         100.0%   
  

 

 

    

 

 

 

Currency exposure may vary over time.

 

See accompanying Notes to Schedule of Investments


NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization. Calamos Global Total Return (the “Fund”) was organized as a Delaware statutory trust on March 30, 2004 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on October 27, 2005.

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 100% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers, in developed and emerging markets. Under normal circumstances, the Fund will invest at least 30% of its managed assets in securities of foreign 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).

Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). The following summarizes the significant accounting policies of the Fund:

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.


When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2016.

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

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

As of January 31, 2016, the Fund had outstanding purchased and/or written options as listed on the Schedule of Investments.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2016. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at January 31, 2016 was as follows:

 

Cost basis of investments

   $ 155,749,977   
  

 

 

 

Gross unrealized appreciation

     2,493,986   

Gross unrealized depreciation

     (13,612,043
  

 

 

 

Net unrealized appreciation (depreciation)

   $ (11,118,057
  

 

 

 

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $27.5 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 $27.5 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 January 31, 2016, the average borrowings under the Agreements were $44.0 million. For the period ended January 31, 2016, the average interest rate was 1.02%. As of January 31, 2016, the amount of total outstanding borrowings was $44.0 million ($22.0 million under the BNP Agreement and $22.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on January 31, 2016 was 1.22%.

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 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 for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, 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 January 31, 2016, the Fund did not use any of its cash collateral to offset the SSB Agreement, and was required to pay a “net income” payment equal to an annualized interest rate of 0.29%, which can fluctuate depending on interest rates. As of January 31, 2016, there were no securities on loan.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — FAIR VALUE 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 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

   $       $ 5,979,784       $       $ 5,979,784   

Convertible Bonds

             53,555,247                 53,555,247   

Convertible Preferred Stocks

     4,403,810                         4,403,810   

Common Stocks U.S.

     37,958,376                         37,958,376   

Common Stocks Foreign

     2,398,071         30,525,099                 32,923,170   

Purchased Options

     99,203                         99,203   

Short Term Investment

     9,712,330                         9,712,330   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 54,571,790       $ 90,060,130       $       $ 144,631,920   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities:

           

Interest Rate Swap

   $       $ 72,306       $       $ 72,306   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $       $ 72,306       $       $ 72,306   
  

 

 

    

 

 

    

 

 

    

 

 

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

Investments at Value:

           

Common Stock Foreign

   $ 901,078       $       $       $ 901,078   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 901,078       $       $       $ 901,078   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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


ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Calamos Global Total Return Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   March 21, 2016

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

 

Calamos Global Total Return Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   March 21, 2016
By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:   March 21, 2016