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: James S. Hamman, Jr., Secretary,
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, 2006
DATE OF REPORTING PERIOD: January 31, 2006
CALAMOS GLOBAL TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
CORPORATE BONDS (45.2%)
CONSUMER DISCRETIONARY (13.3%)
$2,500,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,550,000
2,250,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,362,500
1,875,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 1,837,500
1,800,000 GSC Holdings Corp. (Gamestop,
Inc.)*@
8.000%, 10/01/12 1,757,250
350,000 Jarden Corp.
9.750%, 05/01/12 351,750
2,325,000 NCL Holding, ASA
10.625%, 07/15/14 2,444,156
2,500,000 Russell Corp.@
9.250%, 05/01/10 2,565,625
825,000 Warner Music Group
7.375%, 04/15/14 827,063
1,750,000 William Lyon Homes, Inc.
10.750%, 04/01/13 1,820,000
-----------
16,515,844
-----------
CONSUMER STAPLES (6.7%)
1,500,000 Del Monte Foods Company@
8.625%, 12/15/12 1,597,500
2,250,000 Gold Kist, Inc.
10.250%, 03/15/14 2,508,750
2,250,000 Herbalife, Ltd.
9.500%, 04/01/11 2,435,625
1,900,000 Revlon, Inc.
9.500%, 04/01/11 1,757,500
-----------
8,299,375
-----------
ENERGY (2.1%)
1,700,000 Paramount Resources Ltd.
8.500%, 01/31/13 1,772,250
750,000 Petroleo Brasileiro, SA@
8.375%, 12/10/18 858,750
-----------
2,631,000
-----------
FINANCIALS (0.4%)
500,000 E*TRADE Financial Corporation
7.875%, 12/01/15 525,000
-----------
INDUSTRIALS (11.6%)
2,225,000 Accuride Corp.
8.500%, 02/01/15 2,225,000
1,730,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 1,829,475
1,750,000 Commercial Vehicle Group, Inc.
8.000%, 07/01/13 1,776,250
1,700,000 General Cable Corp.
9.500%, 11/15/10 1,819,000
2,200,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 2,304,500
2,000,000 Navistar International Corp.@
7.500%, 06/15/11 1,990,000
1,750,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,885,625
$ 500,000 Sequa Corp.
8.875%, 04/01/08 $ 532,500
-----------
14,362,350
-----------
INFORMATION TECHNOLOGY (2.1%)
900,000 Avago Technologies*@
11.875%, 12/01/15 911,250
1,700,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 1,776,500
-----------
2,687,750
-----------
MATERIALS (4.1%)
2,000,000 Aleris International, Inc.
9.000%, 11/15/14 2,100,000
900,000 EUR Ineos Group Holdings, PLC*
7.875%, 02/07/16 1,093,634
1,815,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 1,860,375
-----------
5,054,009
-----------
TELECOMMUNICATION SERVICES (2.8%)
2,250,000 Alamosa Holdings, Inc.
11.000%, 07/31/10 2,531,250
900,000 Citizens Communications Company
9.000%, 08/15/31 931,500
-----------
3,462,750
-----------
UTILITIES (2.1%)
750,000 Edison International
7.730%, 06/15/09 774,375
1,600,000 PSEG Energy Holdings, Inc.
10.000%, 10/01/09 1,792,000
-----------
2,566,375
-----------
TOTAL CORPORATE BONDS
(Cost $55,474,395) 56,104,453
-----------
CONVERTIBLE BONDS (9.2%)
ENERGY (2.0%)
2,000,000 Repsol Ypf, SA
4.500%, 01/26/11 2,544,527
-----------
FINANCIALS (1.6%)
1,000,000 Deutsche Bank, LUX (USA
Interactive)*++
4.450%, 05/01/12 1,302,500
500,000 GATX Corp.
7.500%, 02/01/07 626,250
-----------
1,928,750
-----------
HEALTH CARE (1.4%)
1,700,000 Wyeth++
4.239%, 01/15/24 1,770,550
-----------
INDUSTRIALS (0.8%)
750,000 Quanta Services, Inc.
4.500%, 10/01/23 1,029,375
-----------
INFORMATION TECHNOLOGY (3.4%)
1,100,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 1,973,125
See accompanying notes to Schedule of Investments
1
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
$ 1,000,000 DST Systems, Inc.
4.125%, 08/15/23 $ 1,276,250
900,000 LSI Logic Corp.
4.000%, 05/15/10 914,625
-----------
4,164,000
-----------
TOTAL CONVERTIBLE BONDS
(Cost $10,668,877) 11,437,202
-----------
NUMBER OF
SHARES VALUE
----------- -----------
CONVERTIBLE PREFERRED STOCKS (12.4%)
CONSUMER DISCRETIONARY (2.3%)
90,000 Ford Motor Company Capital
Trust II[ ]
6.500% 2,893,500
-----------
CONSUMER STAPLES (1.4%)
72,000 Albertson's, Inc.[ ]
7.250% 1,767,600
-----------
FINANCIALS (6.5%)
550,000 Fortis, NV (Assurant)*
7.750% 682,688
32,000 Genworth Financial, Inc.
6.000% 1,147,200
101,000 Lehman Brothers Holdings, Inc.[ ]
6.250% 2,619,940
22,000 Morgan Stanley Group, Inc.
5.875% 958,012
44,000 National Australia Bank, Ltd.
7.875% 1,878,360
1,000,000 CHF Swiss Re
6.000% 776,884
-----------
8,063,084
-----------
INDUSTRIALS (2.2%)
750,000 GBP BAE Systems, PLC
7.750% 2,689,787
-----------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $14,673,978) 15,413,971
-----------
COMMON STOCKS (71.9%)
CONSUMER DISCRETIONARY (5.1%)
100,000 SEK Electrolux AB 2,672,420
44,000 Grupo Televisa, S.A.[ ] 3,676,200
-----------
6,348,620
-----------
CONSUMER STAPLES (6.1%)
118,000 GBP British American Tobacco p.l.c. 2,659,585
410,000 ZAR Pick'n Pay Stores Ltd. 2,092,715
27,000 Reynolds American, Inc.[ ] 2,730,510
-----------
7,482,810
-----------
ENERGY (10.9%)
30,000 Chevron Corp.[ ] 1,781,400
88,000 EUR Eni S.p.A. 2,666,392
125,000 EUR Motor Oil (Hellas) Corinth
Refineries S.A. 3,439,092
20,000 EUR OMV, AG $ 1,416,645
42,000 PetroChina Company, Ltd.@ 4,200,840
-----------
13,504,369
-----------
FINANCIALS (19.3%)
140,000 AUD Australian Stock Exchange, Ltd. 3,701,557
60,000 Bancolombia, SA[ ] 1,954,200
58,000 Bank of America Corp.[ ] 2,565,340
7,000 Goldman Sachs Group, Inc.[ ] 988,750
73,000 GBP Investec, PLC 3,663,833
24,000 AUD Macquarie Bank Limited 1,240,012
240,000 AUD QBE Insurance Group Limited 3,511,342
1,950,000 SGD Singapore Exchange, Ltd. 3,804,688
59,000 Washington Mutual, Inc.[ ] 2,496,880
-----------
23,926,602
-----------
HEALTH CARE (9.4%)
10,000 Alcon, Inc.[ ] 1,279,200
240,000 ZAR Aspen Pharmacare Holdings, Ltd. # 1,621,229
80,000 Bristol-Myers Squibb Company[ ] 1,823,200
80,000 Merck & Company, Inc.[ ] 2,760,000
4,000 CHF Nobel Biocare Holding AG 906,802
72,000 Pfizer, Inc.[ ] 1,848,960
9,000 CHF Roche Holding AG 1,421,784
-----------
11,661,175
-----------
INDUSTRIALS (9.7%)
170,000 SEK Alfa Laval AB 3,671,407
9,000 Boeing Company[ ] 614,790
7,000 JPY FANUC, Ltd. 614,791
70,000 JPY Komatsu Ltd. 1,288,728
190,000 AUD Leighton Holdings Limited 2,915,268
260,000 GBP Rolls-Royce Group plc# 2,007,886
20,000 EUR YIT-Yhtyma Oyj 954,532
-----------
12,067,402
-----------
INFORMATION TECHNOLOGY (7.5%)
47,000 JPY HOYA Corp. 1,880,046
17,000 Infosys Technologies, Ltd.[ ] 1,296,590
36,000 LSI Logic Corp.#[ ] 329,400
22,000 Microsoft Corp.[ ] 619,300
190,000 EUR Nokia Corp. 3,485,364
270,000 JPY Toshiba Corp. 1,723,705
-----------
9,334,405
-----------
MATERIALS (1.7%)
33,000 CAD Teck Cominco Ltd. 2,128,537
-----------
UTILITIES (2.2%)
145,000 GBP Scottish & Southern Energy 2,756,929
-----------
TOTAL COMMON STOCKS
(Cost $81,070,055) 89,210,849
-----------
PRINCIPAL
AMOUNT VALUE
----------- -----------
SHORT-TERM INVESTMENT (14.1%)
$17,464,000 Citigroup, Inc.
4.420%, 02/01/06
(Cost $17,464,000) 17,464,000
-----------
See accompanying notes to Schedule of Investments
2
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
---------- -------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (12.5%)
15,511,924 Bank of New York Institutional
Cash Reserve Fund
current rate 4.528%
(Cost $15,511,924) $ 15,511,924
-------------
TOTAL INVESTMENTS (165.3%)
(Cost $194,863,229) 205,142,399
-------------
NUMBER OF
CONTRACTS VALUE
---------- -------------
WRITTEN OPTIONS (-0.6%)
iShares MSCI EAFE Index Fund
1,400 Call, 06/17/06 Strike 64.00 (255,500)
300 Call, 06/17/06 Strike 63.00 (74,250)
300 Call, 06/17/06 Strike 62.00 (96,000)
S & P 500 Index
75 Call, 03/18/06 Strike 1,300.00 (91,500)
50 Call, 04/22/06 Strike 1,300.00 (115,000)
50 Call, 02/18/06, Strike 1,275.00 (72,000)
-------------
TOTAL WRITTEN OPTIONS
(Cost $662,453) (704,250)
-------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN
(-12.5%) (15,511,924)
LIABILITIES, LESS OTHER ASSETS
(-4.7%) (5,799,198)
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-47.5%) (59,047,035)
-------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $124,079,992
-------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars. The principal amount for such securities is 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.
* 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that
is exempt from registration (e.g. a sale to another QIB), or the security
must be registered for public sale. At January 31, 2006, the market value
of 144A securities that could not be exchanged to the registered form is
$9,353,297 or 7.5% of net assets.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
January 31, 2006.
[ ] Security position is held in a segregated account as collateral for
securities sold short aggregating a total market value of $33,469,970.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
JPY Japanese Yen
SEK Swedish Krona
SGD Singapore Dollar
ZAR South African Rand
See accompanying notes to Schedule of Investments
3
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is valued at the NASDAQ Official Closing
Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP, the last current
reported sale price as of the time of valuation by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, 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 traded. These 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 is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at
various times before the close of business on each day on which the New York
Stock Exchange ("NYSE") is open. Trading of these 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 net asset value is not calculated. As stated above, if the
market prices are not readily available or are not reflective of the fair value
of the security, the security will be priced at a fair value following
procedures approved by the Board of Trustees. In light of the judgment involved
in fair value decisions, there can be no assurance that a fair value assigned to
a particular security is accurate.
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade date
plus one basis, except for fiscal quarter ends, which are recorded on trade
date.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any 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 among others, 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
purchased call options is increased by premiums paid. The proceeds from
securities sold through the exercise of purchased put options are decreased by
the premiums paid.
When the 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 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 again or loss.
If a 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 an income tax basis as of
January 31, 2006. Differences between amounts for financial statements and
Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at January 31,
2006 was as follows:
Cost basis of investments $194,985,034
------------
Gross unrealized appreciation 10,237,359
Gross unrealized depreciation (79,994)
------------
Net unrealized appreciation (depreciation) $ 10,157,365
============
NOTE 3
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 Preferred Shares
outstanding consist of one series, series T. The Preferred Shares have a
liquidation value of $25,000 per share plus any accumulated but unpaid
dividends, whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven days based on the results of an auction. Dividend rates ranged from 4.10%
to 4.15% for the period ended January 31, 2006. Under the Investment Company Act
of 1940, the Fund may not declare dividends or make other distributions on
shares of common stock or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the
outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 4
SECURITIES LENDING. During the period ended January 31, 2006, the Fund lent
certain of its 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
issuer on the securities loaned and also receives an additional return that may
be in the form of a fixed fee or a percentage of 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 more 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 its
rights. In an effort to reduce these risks, Calamos Advisors LLC and the
security lending agent will monitor the creditworthiness of the firms to which
the Fund lends securities. At January 31, 2006, the Fund had securities valued
at $15,164,102 that were on loan to broker-dealers and banks and $15,511,924 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.
(a) 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 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006
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 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006