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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER:   811-21547
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:   Calamos Global Total Return Fund
     
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
  2020 Calamos Court, Naperville
 
  Illinois 60563
 
   
NAME AND ADDRESS OF AGENT FOR SERVICE:
  John P. Calamos, Sr., President
 
  Calamos Advisors LLC
 
  2020 Calamos Court,
 
  Naperville, Illinois
 
  60563
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE:   (630) 245-7200
DATE OF FISCAL YEAR END:   October 31, 2007
DATE OF REPORTING PERIOD:   July 31, 2007
 
 

 


 

ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2007 (UNAUDITED)
CALAMOS GLOBAL TOTAL RETURN FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
       
Corporate Bonds (33.8%)        
       
Consumer Discretionary (17.1%)
       
$ 1,500,000    
Asbury Automotive Group, Inc.*
       
       
7.625%, 03/15/17
  $ 1,387,500  
  2,250,000    
Beazer Homes USA, Inc.~
       
       
8.375%, 04/15/12
    1,890,000  
  2,060,000    
DIRECTV Financing Company, Inc.~
       
       
8.375%, 03/15/13
    2,096,050  
  1,000,000    
Expedia, Inc.
       
       
7.456%, 08/15/18
    978,487  
  1,600,000    
Ford Motor Company~
       
       
9.875%, 08/10/11
    1,621,535  
  1,000,000    
General Motors Corp.^
       
       
7.200%, 01/15/11
    902,500  
  1,875,000    
Goodyear Tire & Rubber Company~
       
       
7.857%, 08/15/11
    1,865,625  
  2,000,000    
Hanes Brands, Inc.^‡
       
       
8.784%, 12/15/14
    1,970,000  
  2,000,000    
Idearc, Inc.~
       
       
8.000%, 11/15/16
    1,905,000  
  440,000    
Jarden Corp.
       
       
7.500%, 05/01/17
    398,200  
  2,000,000    
Liberty Media Corp.^
       
       
8.250%, 02/01/30
    1,916,856  
  2,000,000    
Mandalay Resort Group
       
       
7.625%, 07/15/13
    1,805,000  
  2,325,000    
NCL Holding, ASA~
       
       
10.625%, 07/15/14
    2,139,000  
  2,000,000    
Royal Caribbean Cruises, Ltd.
       
       
7.500%, 10/15/27
    1,778,668  
  2,000,000    
Service Corporation International*
       
       
7.500%, 04/01/27
    1,790,000  
       
 
     
       
 
    24,444,421  
       
 
     
       
Consumer Staples (2.4%)
       
  1,500,000    
Del Monte Foods Company~
       
       
8.625%, 12/15/12
    1,515,000  
       
Pilgrim’s Pride Corp.
       
  1,500,000    
8.375%, 05/01/17^
    1,432,500  
  500,000    
7.625%, 05/01/15~
    485,000  
       
 
     
       
 
    3,432,500  
       
 
     
       
Energy (1.6%)
       
  1,300,000    
Hanover Compressor Company
       
       
9.000%, 06/01/14
    1,439,750  
  750,000    
Petróleo Brasileiro, SA
       
       
8.375%, 12/10/18
    841,875  
       
 
     
       
 
    2,281,625  
       
 
     
       
Financials (0.4%)
       
  500,000    
E*TRADE Financial Corp.
       
       
7.875%, 12/01/15
    517,500  
       
 
     
       
Health Care (1.9%)
       
  1,800,000    
HCA, Inc.*
       
       
9.250%, 11/15/16
    1,791,000  
  1,000,000    
Tenet Healthcare Corp.
       
       
9.250%, 02/01/15
    860,000  
       
 
     
       
 
    2,651,000  
       
 
     
                 
Principal            
Amount         Value  
 
       
 
       
       
Industrials (1.3%)
       
$ 1,800,000    
H&E Equipment Service, Inc.~
       
       
8.375%, 07/15/16
  $ 1,845,000  
       
 
     
       
Information Technology (3.2%)
       
  900,000    
Avago Technologies^
       
       
11.875%, 12/01/15
    990,000  
  1,000,000    
iPayment, Inc.
       
       
9.750%, 05/15/14
    960,000  
  2,700,000    
SunGard Data Systems, Inc.~
       
       
9.125%, 08/15/13
    2,693,250  
       
 
     
       
 
    4,643,250  
       
 
     
       
Materials (2.9%)
       
  900,000    
Ineos Group Holdings, PLC*
       
       
7.875%, 02/15/16
    1,078,957  
  2,000,000    
Mosaic Company*^
       
       
7.625%, 12/01/16
    2,020,000  
  1,000,000    
Polyone Corp.^
       
       
8.875%, 05/01/12
    1,005,000  
       
 
     
       
 
    4,103,957  
       
 
     
       
Telecommunication Services (3.0%)
       
  1,700,000    
Citizens Communications Company~
       
       
9.000%, 08/15/31
    1,589,500  
  2,000,000    
Leap Wireless International, Inc.~
       
       
9.375%, 11/01/14
    1,982,500  
  750,000    
Windstream Corp.
       
       
8.625%, 08/01/16
    763,125  
       
 
     
       
 
    4,335,125  
       
 
     
       
TOTAL CORPORATE BONDS
       
       
(Cost $50,556,891)
    48,254,378  
       
 
     
Convertible Bonds (18.9%)        
       
Consumer Discretionary (7.4%)
       
  1,000,000    
Amazon.com, Inc.
       
       
4.750%, 02/01/09
    1,077,500  
  1,500,000    
Ford Motor Company~
       
       
4.250%, 12/15/36
    1,743,750  
  1,500,000    
General Motors Corp.~
       
       
6.250%, 07/15/33
    1,332,600  
  1,500,000    
Intralot SA
       
       
2.250%, 12/20/13
    2,331,328  
  1,700,000    
Punch Taverns Redwood Jersey
       
       
Company Ltd.
       
       
5.000%, 12/14/10
    4,121,933  
       
 
     
       
 
    10,607,111  
       
 
     
       
Health Care (1.3%)
       
  1,700,000    
Wyeth‡~
       
       
4.886%, 01/15/24
    1,813,560  
       
 
     
       
Industrials (3.1%)
       
  1,700,000    
MTU Aero Engines Holdings, AG
       
       
2.750%, 02/01/12
    2,811,377  
  1,175,000    
Quanta Services, Inc.*~
       
       
3.750%, 04/30/26
    1,655,281  
       
 
     
       
 
    4,466,658  
       
 
     
See accompanying Notes to Schedule of Investments

1


 

CALAMOS GLOBAL TOTAL RETURN FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
       
       
Information Technology (3.1%)
       
$ 3,300,000    
Business Objects, SA
       
       
2.250%, 01/01/27
  $ 2,011,386  
  2,500,000    
Intel Corp.^~
       
       
2.950%, 12/15/35
    2,440,625  
       
 
     
       
 
    4,452,011  
       
 
     
       
Telecommunication Services (2.1%)
       
  3,000,000    
NII Holdings, Inc.*
       
       
3.125%, 06/15/12
    3,022,500  
       
 
     
       
Utilities (1.9%)
       
  1,550,000    
International Power, PLC
       
       
3.250%, 07/20/13
    2,681,584  
       
 
     
       
TOTAL CONVERTIBLE BONDS
       
       
(Cost $26,201,398)
    27,043,424  
       
 
     
                 
Number of            
Shares         Value  
 
       
 
       
Convertible Preferred Stocks (4.8%)        
 
       
Financials (2.1%)
       
  32,000    
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  
       
 
     
       
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 Fund’s investment objective is to provide total return through a combination of capital appreciation and current income.
Portfolio Valuation. The valuation of the Fund’s 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 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, 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 Fund’s 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 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:
  September 25, 2007    
     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:
  September 25, 2007    
 
       
By:
  /s/ Patrick H. Dudasik    
 
       
Name:
  Patrick H. Dudasik    
Title:
  Principal Financial Officer    
Date:
  September 25, 2007