nvq
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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INVESTMENT COMPANY ACT FILE NUMBER: |
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811-21547 |
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EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: |
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Calamos Global Total Return Fund |
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
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2020 Calamos Court, Naperville |
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Illinois 60563 |
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NAME AND ADDRESS OF AGENT FOR SERVICE:
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John P. Calamos, Sr., President |
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Calamos Advisors LLC |
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2020 Calamos Court, |
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Naperville, Illinois |
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60563 |
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REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: |
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(630) 245-7200 |
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DATE OF FISCAL YEAR END: |
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October 31, 2007 |
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DATE OF REPORTING PERIOD: |
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July 31, 2007 |
ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2007 (UNAUDITED)
CALAMOS GLOBAL TOTAL RETURN FUND
Schedule of Investments July 31, 2007 (unaudited)
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Principal |
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Amount |
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Value |
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Corporate Bonds (33.8%) |
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Consumer Discretionary (17.1%) |
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$ |
1,500,000 |
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Asbury Automotive Group, Inc.* |
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7.625%, 03/15/17 |
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$ |
1,387,500 |
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2,250,000 |
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Beazer Homes USA, Inc.~ |
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8.375%, 04/15/12 |
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1,890,000 |
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2,060,000 |
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DIRECTV
Financing Company, Inc.~ |
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8.375%, 03/15/13 |
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2,096,050 |
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1,000,000 |
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Expedia, Inc. |
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7.456%, 08/15/18 |
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978,487 |
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1,600,000 |
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Ford Motor Company~ |
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9.875%, 08/10/11 |
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1,621,535 |
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1,000,000 |
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General Motors Corp.^ |
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7.200%, 01/15/11 |
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902,500 |
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1,875,000 |
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Goodyear
Tire & Rubber Company~ |
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7.857%, 08/15/11 |
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1,865,625 |
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2,000,000 |
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Hanes Brands, Inc.^ |
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8.784%, 12/15/14 |
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1,970,000 |
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2,000,000 |
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Idearc, Inc.~ |
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8.000%, 11/15/16 |
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1,905,000 |
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440,000 |
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Jarden Corp. |
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7.500%, 05/01/17 |
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398,200 |
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2,000,000 |
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Liberty Media Corp.^ |
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8.250%, 02/01/30 |
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1,916,856 |
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2,000,000 |
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Mandalay Resort Group |
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7.625%, 07/15/13 |
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1,805,000 |
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2,325,000 |
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NCL Holding, ASA~ |
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10.625%, 07/15/14 |
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2,139,000 |
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2,000,000 |
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Royal Caribbean Cruises, Ltd. |
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7.500%, 10/15/27 |
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1,778,668 |
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2,000,000 |
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Service Corporation International* |
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7.500%, 04/01/27 |
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1,790,000 |
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24,444,421 |
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Consumer Staples (2.4%) |
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1,500,000 |
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Del Monte Foods Company~ |
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8.625%, 12/15/12 |
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1,515,000 |
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Pilgrims Pride Corp. |
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1,500,000 |
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8.375%, 05/01/17^ |
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1,432,500 |
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500,000 |
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7.625%, 05/01/15~ |
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485,000 |
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3,432,500 |
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Energy (1.6%) |
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1,300,000 |
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Hanover Compressor Company |
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9.000%, 06/01/14 |
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1,439,750 |
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750,000 |
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Petróleo Brasileiro, SA |
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8.375%, 12/10/18 |
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841,875 |
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2,281,625 |
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Financials (0.4%) |
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500,000 |
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E*TRADE Financial Corp. |
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7.875%, 12/01/15 |
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517,500 |
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Health Care (1.9%) |
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1,800,000 |
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HCA, Inc.* |
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9.250%, 11/15/16 |
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1,791,000 |
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1,000,000 |
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Tenet Healthcare Corp. |
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9.250%, 02/01/15 |
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860,000 |
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2,651,000 |
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Principal |
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Amount |
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Value |
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Industrials (1.3%) |
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$ |
1,800,000 |
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H&E Equipment Service, Inc.~
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8.375%, 07/15/16 |
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$ |
1,845,000 |
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Information Technology (3.2%) |
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900,000 |
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Avago Technologies^
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11.875%, 12/01/15 |
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990,000 |
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1,000,000 |
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iPayment, Inc.
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9.750%, 05/15/14 |
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960,000 |
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2,700,000 |
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SunGard Data Systems, Inc.~
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9.125%, 08/15/13 |
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2,693,250 |
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4,643,250 |
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Materials (2.9%) |
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900,000 |
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Ineos Group Holdings, PLC* |
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7.875%, 02/15/16 |
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1,078,957 |
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2,000,000 |
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Mosaic Company*^ |
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7.625%, 12/01/16 |
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2,020,000 |
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1,000,000 |
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Polyone Corp.^ |
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8.875%, 05/01/12 |
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1,005,000 |
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4,103,957 |
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Telecommunication Services (3.0%) |
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1,700,000 |
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Citizens
Communications Company~ |
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9.000%, 08/15/31 |
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1,589,500 |
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2,000,000 |
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Leap Wireless International, Inc.~ |
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9.375%, 11/01/14 |
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1,982,500 |
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|
750,000 |
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Windstream Corp. |
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8.625%, 08/01/16 |
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763,125 |
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4,335,125 |
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TOTAL CORPORATE
BONDS |
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(Cost $50,556,891) |
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48,254,378 |
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Convertible Bonds (18.9%) |
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Consumer
Discretionary
(7.4%) |
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1,000,000 |
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Amazon.com, Inc. |
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4.750%, 02/01/09 |
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1,077,500 |
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|
1,500,000 |
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Ford Motor Company~ |
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4.250%, 12/15/36 |
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|
1,743,750 |
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|
1,500,000 |
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General Motors Corp.~ |
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6.250%, 07/15/33 |
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1,332,600 |
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1,500,000 |
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Intralot SA |
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2.250%, 12/20/13 |
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2,331,328 |
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|
1,700,000 |
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Punch Taverns Redwood Jersey |
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Company Ltd. |
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5.000%, 12/14/10 |
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4,121,933 |
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10,607,111 |
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Health Care (1.3%) |
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1,700,000 |
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Wyeth~ |
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4.886%, 01/15/24 |
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1,813,560 |
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Industrials (3.1%) |
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|
1,700,000 |
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MTU Aero Engines Holdings, AG |
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2.750%, 02/01/12 |
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|
2,811,377 |
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|
1,175,000 |
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Quanta Services, Inc.*~ |
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3.750%, 04/30/26 |
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1,655,281 |
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|
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4,466,658 |
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See accompanying Notes to Schedule of Investments
1
CALAMOS GLOBAL TOTAL RETURN FUND
Schedule of Investments July 31, 2007 (unaudited)
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Principal |
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|
|
|
Amount |
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Value |
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|
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Information Technology (3.1%) |
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|
$ |
3,300,000 |
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Business Objects, SA |
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|
2.250%, 01/01/27 |
|
$ |
2,011,386 |
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|
2,500,000 |
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Intel Corp.^~ |
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2.950%, 12/15/35 |
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2,440,625 |
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4,452,011 |
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Telecommunication Services (2.1%) |
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|
3,000,000 |
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NII Holdings, Inc.* |
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3.125%, 06/15/12 |
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|
3,022,500 |
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Utilities (1.9%) |
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|
1,550,000 |
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International Power, PLC |
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3.250%, 07/20/13 |
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|
2,681,584 |
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TOTAL CONVERTIBLE
BONDS |
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|
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(Cost $26,201,398) |
|
|
27,043,424 |
|
|
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Number of |
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Shares |
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Value |
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Convertible Preferred Stocks (4.8%) |
|
|
|
|
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Financials (2.1%) |
|
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|
|
|
32,000 |
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MetLife, Inc. |
|
|
|
|
|
|
|
|
6.375% |
|
|
956,160 |
|
|
2,300 |
|
|
Swiss Re |
|
|
|
|
|
|
|
|
6.000% |
|
|
1,969,870 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,926,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.7%) |
|
|
|
|
|
450 |
|
|
Givaudan SA |
|
|
|
|
|
|
|
|
5.375% |
|
|
3,877,197 |
|
|
|
|
|
|
|
|
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TOTAL
CONVERTIBLE PREFERRED STOCKS |
|
|
|
|
|
|
|
|
(Cost $6,862,566) |
|
|
6,803,227 |
|
|
|
|
|
|
|
|
|
Common Stocks (78.3%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (6.9%) |
|
|
|
|
|
20,000 |
|
|
Carnival Corp.~ |
|
|
886,200 |
|
|
135,000 |
|
|
Esprit Holdings, Ltd. |
|
|
1,804,109 |
|
|
53,000 |
|
|
Hennes & Mauritz AB |
|
|
3,045,499 |
|
|
50,000 |
|
|
Honda Motor Company, Ltd. |
|
|
1,815,474 |
|
|
20,000 |
|
|
Industria de Diseno Textil, SA |
|
|
1,196,342 |
|
|
20,000 |
|
|
Nike, Inc.~ |
|
|
1,129,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,876,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (13.7%) |
|
|
|
|
|
100,000 |
|
|
British American Tobacco, PLC |
|
|
3,231,569 |
|
|
40,000 |
|
|
Coca-Cola Company~ |
|
|
2,084,400 |
|
|
225,000 |
|
|
Grupo Modelo, S.A. de C.V. |
|
|
1,218,310 |
|
|
44,000 |
|
|
Heineken, NV |
|
|
2,788,451 |
|
|
32,000 |
|
|
InBev, NV |
|
|
2,576,887 |
|
|
7,000 |
|
|
Nestle Holdings, Inc. |
|
|
2,689,244 |
|
|
40,000 |
|
|
Reynolds American, Inc.~ |
|
|
2,446,800 |
|
|
375,000 |
|
|
Wal-Mart de Mexico SA de CV |
|
|
1,363,581 |
|
|
50,000 |
|
|
Woolworths, Ltd. |
|
|
1,152,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,551,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (7.6%) |
|
|
|
|
|
16,000 |
|
|
Canadian Natural Resources, Ltd. |
|
|
1,098,013 |
|
|
30,000 |
|
|
Chevron Corp.~ |
|
|
2,557,800 |
|
|
30,000 |
|
|
ENI S.p.A. |
|
|
1,049,894 |
|
|
170,000 |
|
|
Nippon Oil Corp. |
|
|
1,513,559 |
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
Shares |
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
31,000 |
|
|
PetroChina Company, Ltd.^~ |
|
$ |
4,565,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,784,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (18.4%) |
|
|
|
|
|
105,000 |
|
|
Australian Stock Exchange, Ltd. |
|
|
4,336,130 |
|
|
33,120 |
|
|
EFG Eurobank Ergasias |
|
|
1,176,449 |
|
|
7,000 |
|
|
Goldman Sachs Group, Inc.~ |
|
|
1,318,380 |
|
|
475,000 |
|
|
Henderson Group, PLC |
|
|
1,493,110 |
|
|
40,000 |
|
|
JPMorgan Chase & Company~ |
|
|
1,760,400 |
|
|
43,000 |
|
|
Macquarie Bank, Ltd. |
|
|
2,968,129 |
|
|
48,000 |
|
|
Piraeus Bank, SA |
|
|
1,701,939 |
|
|
170,000 |
|
|
QBE Insurance Group, Ltd. |
|
|
4,292,982 |
|
|
27,500 |
|
|
Royal Canadian Bank |
|
|
1,394,334 |
|
|
924,000 |
|
|
Singapore Exchange, Ltd. |
|
|
5,834,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,276,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (8.2%) |
|
|
|
|
|
10,000 |
|
|
Alcon, Inc.^ |
|
|
1,365,000 |
|
|
43,000 |
|
|
Astellas Pharma, Inc. |
|
|
1,766,574 |
|
|
21,000 |
|
|
CSL, Ltd. |
|
|
1,573,479 |
|
|
21,000 |
|
|
Johnson & Johnson~ |
|
|
1,270,500 |
|
|
60,000 |
|
|
Merck & Company, Inc.~ |
|
|
2,979,000 |
|
|
72,000 |
|
|
Pfizer, Inc.~ |
|
|
1,692,720 |
|
|
6,000 |
|
|
Roche Holding, AG |
|
|
1,062,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,709,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.9%) |
|
|
|
|
|
40,000 |
|
|
Leighton Holdings, Ltd. |
|
|
1,316,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (19.2%) |
|
|
|
|
|
37,000 |
|
|
Canon, Inc. |
|
|
1,955,610 |
|
|
90,000 |
|
|
Infosys Technologies, Ltd.~ |
|
|
4,464,000 |
|
|
68,000 |
|
|
Microsoft Corp.~ |
|
|
1,971,320 |
|
|
13,000 |
|
|
Nintendo Company, Ltd. |
|
|
6,267,678 |
|
|
225,000 |
|
|
Nokia Corp. |
|
|
6,427,464 |
|
|
20,000 |
|
|
SAP, AG |
|
|
1,082,864 |
|
|
17,000 |
|
|
TDK Corp. |
|
|
1,449,171 |
|
|
185,000 |
|
|
Toshiba Corp. |
|
|
1,735,070 |
|
|
240,000 |
|
|
Vtech Holdings, Ltd. |
|
|
2,126,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,479,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (3.4%) |
|
|
|
|
|
38,000 |
|
|
America Movil, S.A. de C.V.~ |
|
|
2,275,440 |
|
|
400,000 |
|
|
BT Group, PLC# |
|
|
2,535,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,810,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS |
|
|
|
|
|
|
|
|
(Cost $83,899,079) |
|
|
111,805,350 |
|
|
|
|
|
|
|
|
|
Warrants (0.1%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
36,362 |
|
|
Expedia, Inc.# |
|
|
|
|
|
|
|
|
(Cost $72,179) |
|
|
152,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
Contracts |
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
Put Options (0.5%) |
|
|
|
|
|
|
|
|
Financials (0.5%) |
|
|
|
|
|
|
|
|
SPDR Trust Series 1# |
|
|
|
|
|
1,000 |
|
|
Put, 12/22/07, Strike $137.00 |
|
|
395,000 |
|
See accompanying Notes to Schedule of Investments
2
CALAMOS GLOBAL TOTAL RETURN FUND
Schedule of Investments July 31, 2007 (unaudited)
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
Contracts |
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
700 |
|
|
Put, 09/22/07, Strike $143.00 |
|
$ |
252,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PUT OPTIONS |
|
|
|
|
|
|
|
|
(Cost $462,350) |
|
|
647,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
Shares |
|
|
|
|
Value |
|
|
Investment in Affiliated Fund (5.5%) |
|
|
|
|
|
7,875,941 |
|
|
Calamos Government Money
Market Fund Class I Shares |
|
|
|
|
|
|
|
|
5.111% |
|
|
|
|
|
|
|
|
(Cost $7,875,941) |
|
|
7,875,941 |
|
|
|
|
|
|
|
|
|
Investments of Cash Collateral for Securities on Loan (8.8%) |
|
|
|
|
|
12,575,861 |
|
|
Bank of New York Institutional
Cash Reserve Fund
current rate 5.401% |
|
|
|
|
|
|
|
|
(Cost $12,575,861) |
|
|
12,575,861 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (150.7%) |
|
|
|
|
(Cost $188,506,265) |
|
|
215,157,447 |
|
|
|
|
|
|
|
|
|
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-8.8%) |
|
|
(12,575,861 |
) |
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-0.5%) |
|
|
(715,364 |
) |
|
|
|
|
|
|
|
|
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-41.4%) |
|
|
(59,058,504 |
) |
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) |
|
$ |
142,807,718 |
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
3
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
Contracts |
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
Written Options (-1.7%) |
|
|
|
|
Financials (-1.7%) |
|
|
|
|
|
|
|
|
iShares MSCI EAFE Index Fund# |
|
|
|
|
|
3,275 |
|
|
Call, 09/22/07, Strike $76.00 |
|
|
(1,539,250 |
) |
|
1,350 |
|
|
Call, 12/22/07, Strike $84.00 |
|
|
(286,875 |
) |
|
825 |
|
|
Call, 12/22/07, Strike $83.00 |
|
|
(210,375 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,036,500 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR Trust Series 1# |
|
|
|
|
|
400 |
|
|
Call, 12/22/2007, Strike $158.00 |
|
|
(96,000 |
) |
|
250 |
|
|
Call, 10/20/2007, Strike $152.00 |
|
|
(68,750 |
) |
|
185 |
|
|
Call, 09/22/2007, Strike $143.00 |
|
|
(128,575 |
) |
|
115 |
|
|
Call, 09/22/2007, Strike $144.00 |
|
|
(71,300 |
) |
|
100 |
|
|
Call, 12/22/2007, Strike $157.00 |
|
|
(27,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(391,625 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS |
|
|
|
|
|
|
|
|
(Premium $2,286,496) |
|
$ |
(2,428,125 |
) |
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign
currencies are shown in U.S. dollars. The principal
amount for such securities are shown in the respective
foreign currency. The date shown on options represents
the expiration date of the option contract. The option
contract may be exercised at any date on or before the
date shown.
|
|
|
* |
|
Securities issued and sold pursuant to a Rule
144A transaction are excepted from the
registration requirement of the Securities Act
of 1933, as amended. These securities may only
be sold to qualified institutional buyers
(QIBs), such as the Fund. Any resale of these
securities must generally be effected through a
sale that is registered under the Act or
otherwise exempted or excepted from such
registration requirements. At July 31, 2007 the
value of 144A securities that could not be
exchanged to the registered form is $11,089,957
or 7.8% of net assets. |
|
^ |
|
Security, or portion of security, is on loan. |
|
|
|
Variable rate or step bond security. The
rate shown is the rate in effect at July 31,
2007. |
|
# |
|
Non-income producing security. |
|
~ |
|
Security, or portion of security, is held in a
segregated account as collateral for written
options aggregating a total market value of
$59,059,246. |
CALAMOS GLOBAL TOTAL RETURN FUND
Country Allocation as of July 31, 2007
|
|
|
|
|
Country |
|
% of Portfolio |
|
United States |
|
|
39.5 |
% |
Japan |
|
|
8.6 |
|
Australia |
|
|
8.1 |
|
United Kingdom |
|
|
7.3 |
|
Switzerland |
|
|
5.7 |
|
Finland |
|
|
3.3 |
|
Bermuda |
|
|
3.2 |
|
Singapore |
|
|
3.0 |
|
Greece |
|
|
2.7 |
|
Mexico |
|
|
2.5 |
|
China |
|
|
2.4 |
|
India |
|
|
2.3 |
|
Germany |
|
|
2.0 |
|
Sweden |
|
|
1.6 |
|
Netherlands |
|
|
1.6 |
|
Belgium |
|
|
1.3 |
|
Canada |
|
|
1.3 |
|
France |
|
|
1.1 |
|
Liberia |
|
|
0.9 |
|
Spain |
|
|
0.6 |
|
Italy |
|
|
0.6 |
|
Brazil |
|
|
0.4 |
|
Totals: |
|
|
100.0 |
% |
Country allocations vary over time.
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization.
CALAMOS Global Total Return Fund (the Fund) was organized as a Delaware
statutory trust on March 30, 2004 and is registered under the Investment Company Act of 1940
(the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced
operations on October 27, 2005.
The Funds investment objective is to provide total return through a combination of
capital appreciation and current income.
Portfolio Valuation. The valuation of the Funds portfolio securities is in accordance with
policies and procedures adopted by and under the ultimate supervision of the Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as of which a Fund
determines its net asset value (NAV). Securities traded
in the over-the-counter (OTC) market
and quoted on The NASDAQ Stock Market are valued at the NASDAQ
Official Closing Price (NOCP),
as determined by NASDAQ, or lacking a NOCP, the last current reported sale price on NASDAQ at the
time as of which a Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than
option securities, that are traded on a U.S. securities exchange and other securities traded in
the OTC market are valued at the mean between the most recent bid and asked quotations in
accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option
security, also in accordance with guidelines adopted by the Board of Trustees. Each OTC option
that is not traded through the Options Clearing Corporation is valued by the counterparty to such
option.
Trading in securities on European and Far Eastern securities exchanges and OTC 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 OTC markets is evaluated
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 current sale price at the time as of
which the Fund determines its NAV, or when reliable market prices or quotations are not readily
available, at the mean between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines adopted by the Board
of Trustees. Trading of foreign securities may not take place on every NYSE business day. In
addition, trading may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the
methods described above is not reflective of a fair value for such security, the security,
including any thinly-traded security, junk bond or synthetic convertible instrument, 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, under the ultimate supervision of the Board of Trustees,
following the guidelines and/or procedures adopted by the Board of Trustees, if the value of a
foreign security it holds is materially affected by events occurring before their valuation time
but after the
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
close of the primary market or exchange on which the security is traded. 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.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade
date basis on July 31, 2007.
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 market value should the counterparty not perform under the contract. Put and
call options purchased are accounted for in the same manner as portfolio securities. The cost of
securities acquired through the exercise of call options is increased by premiums paid. The
proceeds from securities sold through the exercise of put options are decreased by the premiums
paid.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a
liability and is subsequently adjusted to the current value of the option written. Premiums
received from writing options that expire unexercised are treated by the Fund on the expiration
date as realized gains from written options. The difference between the premium and the amount paid
on effecting a closing purchase transaction, including brokerage commissions, is also treated as a
realized gain, or, if the premium is less than the amount paid for the closing purchase
transaction, as a realized loss. If a written call option is exercised, the premium is added to the
proceeds from the sale of the underlying security or currency in determining whether the Fund has
realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis
of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of
an unfavorable change in the price of the security underlying the written option.
NOTE 2 INVESTMENTS
The following information is presented on a Federal income tax basis as of July
31, 2007. Differences between the cost basis under U.S. generally accepted accounting principles
and Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal Income tax purposes at July 31, 2007 was as follows:
|
|
|
|
|
Cost basis of investments |
|
$ |
188,651,788 |
|
|
|
|
|
Gross unrealized appreciation |
|
|
31,122,239 |
|
Gross unrealized depreciation |
|
|
(4,616,580 |
) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
$ |
26,505,659 |
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Investments in Affiliated Fund. The Fund held the following investment in an affiliated
fund as of July 31, 2007. Purchases, sales, dividend income and capital gains are shown during
the period from November 1, 2006, through July 31, 2007.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributed |
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital |
|
Value |
|
|
October 31, |
|
|
|
|
|
Sales |
|
Dividend |
|
Gains |
|
July 31, |
Affiliated Fund |
|
2006 |
|
Purchases |
|
Proceeds |
|
Income |
|
Distributed |
|
2007 |
Calamos
Government
Money Market
Fund |
|
$ |
|
|
|
$ |
26,596,785 |
|
|
$ |
18,720,844 |
|
|
$ |
36,304 |
|
|
$ |
|
|
|
$ |
7,875,941 |
|
NOTE 3 FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at July 31, 2007.
NOTE 4 PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares (Preferred Shares)
authorized. The Preferred Shares have rights as determined by the Board of Trustees. The 2,360
shares of Preferred Shares outstanding consist of one series, 2,360 shares of T. The Preferred
Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends,
whether or not declared.
NOTE 5 SYNTHETIC CONVERTIBLE SECURITIES
The Fund
may establish a synthetic convertible instrument by combining separate
securities that possess the economic characteristics similar to a convertible security, i.e.,
fixed-income securities (fixed-income component, which may be a convertible or non-convertible
security) and the right to acquire equity securities
(convertible component). The fixed-income
component is achieved by investing in fixed income securities such as bonds, preferred stocks, and
money market instruments. The convertible component is achieved by investing in warrants or options
to buy common stock at a certain exercise price, or options on a stock index. In establishing a
synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of
warrants or options that produce the economic characteristics similar to a convertible security.
Within each basket of fixed-income securities and warrants or options, different companies may
issue the fixed-income and convertible components, which may be purchased separately and at
different times.
The Fund may also purchase synthetic securities created by other parties, typically investment
banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have
the attributes of a convertible security; however, the investment bank that issued the
convertible note assumes the credit risk associated with the investment, rather than the issuer
of the underlying common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible security.
NOTE 6 SECURITIES LENDING
For the period ended July 31, 2007, the Fund loaned one or more of their securities to
broker-dealers and banks. Any such loan must be continuously secured by collateral in cash or
cash equivalents maintained on a current basis in an amount at least equal to the market value of
the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest
or dividends paid by the
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
issuer on the securities loaned and also receive an additional return that may be in the
form of a fixed fee or a percentage of the income earned on the collateral. The Fund may pay
reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The
Fund has the right to call the loan and obtain the securities loaned at any time on notice of not
less than five business days. The Fund does not have the right to vote the securities during the
existence of the loan but could call the loan in an attempt to permit voting of the securities in
certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral
will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the
Fund could experience both delays in liquidating the loan collateral or recovering the loaned
securities and losses, including (a) possible decline in the value of the collateral or in the
value of the securities loaned during the period while the Fund seeks to enforce its rights
thereto, (b) possible subnormal levels of income and lack of access to income during this period,
and (c) the expenses of enforcing their rights. In an effort to reduce these risks, the Funds
securities lending agent monitors and reports to Calamos Advisors on the creditworthiness of the
firms to which a Fund lends securities. At July 31, 2007, the Fund had securities valued at
$12,190,672 that were on loan to broker-dealers and banks and $12,575,861 in cash or cash
equivalent collateral.
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the
registrants disclosure controls and procedures within 90 days of this filing and have concluded
that the registrants disclosure controls and procedures were effective, as of that date, in
ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrants internal controls over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrants
last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
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Calamos Global Total Return Fund |
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By:
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/s/ John P. Calamos, Sr.
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Name:
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John P. Calamos, Sr. |
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Title:
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Principal Executive Officer |
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Date:
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September 25, 2007 |
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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.
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Calamos Global Total Return Fund |
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By:
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/s/ John P. Calamos, Sr.
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Name:
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John P. Calamos, Sr. |
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Title:
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Principal Executive Officer |
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Date:
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September 25, 2007 |
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By:
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/s/ Patrick H. Dudasik
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Name:
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Patrick H. Dudasik |
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Title:
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Principal Financial Officer |
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Date:
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September 25, 2007 |
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