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: July 31, 2006
CALAMOS GLOBAL TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2006 (UNAUDITED)
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- --------------
CORPORATE BONDS (44.2%)
CONSUMER DISCRETIONARY (12.9%)
$ 2,500,000 Asbury Automotive Group, Inc.()
9.000%, 06/15/12 $ 2,531,250
2,250,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,216,250
1,800,000 GameStop Corp.@
8.000%, 10/01/12 1,836,000
1,875,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 1,743,750
350,000 Jarden Corp.@
9.750%, 05/01/12 365,750
2,325,000 NCL Holding, ASA
10.625%, 07/15/14 2,278,500
2,500,000 Russell Corp.@
9.250%, 05/01/10 2,625,000
825,000 Warner Music Group
7.375%, 04/15/14 800,250
1,750,000 William Lyon Homes, Inc.
10.750%, 04/01/13 1,618,750
--------------
16,015,500
--------------
CONSUMER STAPLES (5.1%)
1,500,000 Del Monte Foods Company@
8.625%, 12/15/12 1,563,750
2,250,000 Gold Kist, Inc.
10.250%, 03/15/14 2,373,750
2,250,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,472,188
--------------
6,409,688
--------------
ENERGY (2.9%)
1,000,000 Giant Industries, Inc.
8.000%, 05/15/14 1,000,000
1,700,000 Paramount Resources, Ltd.
8.500%, 01/31/13 1,761,625
750,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 850,313
--------------
3,611,938
--------------
FINANCIALS (0.4%)
500,000 E*TRADE Financial Corporation
7.875%, 12/01/15 518,750
--------------
INDUSTRIALS (9.6%)
2,225,000 Accuride Corp.
8.500%, 02/01/15 2,080,375
1,730,000 Columbus McKinnon Corp.
8.875%, 11/01/13 1,773,250
1,750,000 Commercial Vehicle Group, Inc.
8.000%, 07/01/13 1,669,062
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 2,246,750
1,750,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,855,000
PRINCIPAL
AMOUNT VALUE
----------- --------------
$ 500,000 Sequa Corp.
8.875%, 04/01/08 $ 523,125
--------------
11,966,562
--------------
INFORMATION TECHNOLOGY (3.0%)
900,000 Avago Technologies*@
11.875%, 12/01/15 976,500
1,000,000 Ipayment, Inc.*
9.750%, 05/15/14 1,005,000
1,700,000 SunGuard Data Systems, Inc.
9.125%, 08/15/13 1,744,625
--------------
3,726,125
--------------
MATERIALS (4.9%)
2,000,000 Aleris International, Inc.
9.000%, 11/15/14 2,260,000
900,000 EUR Ineos Group Holdings, PLC*
7.875%, 02/15/16 1,077,806
1,000,000 Polyone Corporation@
8.875%, 05/01/12 1,003,750
1,815,000 U.S. Concrete, Inc.
8.375%, 04/01/14 1,805,925
--------------
6,147,481
--------------
TELECOMMUNICATION SERVICES (3.4%)
2,250,000 Alamosa Holdings, Inc.
11.000%, 07/31/10 2,469,375
900,000 Citizens Communications Company
9.000%, 08/15/31 927,000
750,000 Windstream Corp.*
8.625%, 08/01/16 783,750
--------------
4,180,125
--------------
UTILITIES (2.0%)
750,000 Edison International
7.730%, 06/15/09 765,000
1,600,000 PSEG Energy Holdings, Inc.
10.000%, 10/01/09 1,736,000
--------------
2,501,000
--------------
TOTAL CORPORATE BONDS
(Cost $55,400,038) 55,077,169
--------------
CONVERTIBLE BONDS (11.0%)
CONSUMER DISCRETIONARY (2.4%)
1,500,000 GBP Punch Taverns Redwood Jersey Co. Ltd.
5.000%, 12/14/10 2,991,942
--------------
FINANCIALS (0.9%)
1,000,000 Deutsche Bank Luxembourg S.A.
(USA Interactive)* ++ []
5.349%, 05/01/12 1,107,600
--------------
HEALTH CARE (1.7%)
340,000 Advanced Medical Optics, Inc.*
3.250%, 08/01/26 361,675
1,700,000 Wyeth++
5.109%, 01/15/24 1,815,600
--------------
2,177,275
--------------
See accompanying notes to Schedule of Investments
1
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- --------------
INDUSTRIALS (2.0%)
$ 1,500,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 $ 1,348,125
1,175,000 Quanta Services, Inc.*
3.750%, 04/30/26 1,191,156
--------------
2,539,281
--------------
INFORMATION TECHNOLOGY (2.8%)
1,000,000 DST Systems, Inc.
4.125%, 08/15/23 1,275,000
2,200,000 Electronic Data Systems Corp.()
3.875%, 07/15/23 2,213,750
--------------
3,488,750
--------------
MATERIALS (1.2%)
10,000,000 ZAR Harmony Gold Mining Company, Ltd.
4.875%, 05/21/09 1,490,681
--------------
TOTAL CONVERTIBLE BONDS
(Cost $14,125,069) 13,795,529
--------------
NUMBER OF
SHARES VALUE
----------- --------------
CONVERTIBLE PREFERRED STOCKS (11.9%)
CONSUMER DISCRETIONARY (2.0%)
90,000 Ford Motor Company Capital
Trust II()
6.500% 2,574,000
--------------
FINANCIALS (7.6%)
550 Fortis Insurance, N.V.
(Assurant, Inc.)*[]
7.750% 702,350
101,000 Lehman Brothers Holdings, Inc.
(General Mills, Inc.) ()[]
6.250% 2,633,070
22,000 Morgan Stanley & Co.
Incorporated (Nuveen
Investments, Inc.) ()[]
5.875% 935,000
44,000 National Australia Bank, Ltd.()
7.875% 1,936,000
4,200,000 CHF Swiss Re
6.000% 3,238,029
--------------
9,444,449
--------------
INDUSTRIALS (2.3%)
900,000 GBP BAE Systems, PLC
7.750% 2,852,288
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $14,799,470) 14,870,737
--------------
COMMON STOCKS (79.9%)
CONSUMER DISCRETIONARY (4.7%)
60,000 SEK Electrolux AB 870,846
96,000 Grupo Televisa, S.A.() 1,777,920
80,000 SEK Husqvarna AB 860,269
3,500 EUR PUMA AG Rudolf Dassler Sport 1,268,777
NUMBER OF
SHARES VALUE
----------- --------------
340,000 ZAR Truworths International, Ltd. $ 1,101,970
--------------
5,879,782
--------------
CONSUMER STAPLES (5.8%)
140,000 GBP British American Tobacco p.l.c. 3,772,490
27,000 Reynolds American, Inc.() 3,423,060
--------------
7,195,550
--------------
ENERGY (12.4%)
30,000 Chevron Corp.() 1,973,400
121,000 EUR ENI S.p.A. 3,712,190
132,000 EUR Motor Oil (Hellas) Corinth
Refineries S.A. 3,674,256
20,000 EUR OMV, AG 1,230,272
42,000 PetroChina Company, Ltd.() 4,804,800
--------------
15,394,918
--------------
FINANCIALS (22.5%)
140,000 AUD Australian Stock Exchange, Ltd. 3,510,755
60,000 Bancolombia, S.A.() 1,618,800
135,000 JPY Daiwa Securities Group Inc. 1,509,916
27,600 EUR EFG Eurobank Ergasias 780,376
7,000 Goldman Sachs Group, Inc.() 1,069,250
73,000 GBP Investec, PLC 3,820,070
40,000 J.P. Morgan Chase & Company() 1,824,800
1,200 CHF Liechtensteinische Landesbank, AG 964,625
43,000 AUD Macquarie Bank Limited 2,037,491
60,000 JPY Nikko Cordial Corp. 716,020
240,000 AUD QBE Insurance Group Limited 4,053,674
1,500,000 SGD Singapore Exchange, Ltd. 3,511,349
59,000 Washington Mutual, Inc.() 2,637,300
--------------
28,054,426
--------------
HEALTH CARE (8.1%)
240,000 ZAR Aspen Pharmacare Holdings, Ltd. 1,217,569
80,000 Bristol-Myers Squibb Company() 1,917,600
21,000 AUD CSL Limited 850,454
80,000 Merck & Company, Inc.() 3,221,600
72,000 Pfizer, Inc.() 1,871,280
6,000 CHF Roche Holding AG 1,067,773
--------------
10,146,276
--------------
INDUSTRIALS (11.9%)
170,000 SEK Alfa Laval AB 5,576,662
9,000 Boeing Company() 696,780
11,000 JPY FANUC, Ltd. 917,227
70,000 JPY Komatsu, Ltd. 1,410,125
190,000 AUD Leighton Holdings Limited 2,808,105
225,000 GBP Rolls-Royce Group plc 1,854,104
23,000 NOK Veidekke ASA 752,037
40,000 EUR YIT-Yhtyma Oyj 880,169
--------------
14,895,209
--------------
INFORMATION TECHNOLOGY (11.9%)
65,000 GBP CSR, PLC 1,379,710
47,000 JPY HOYA Corp. 1,643,945
54,000 Infosys Technologies, Ltd.@() 2,218,860
60,000 Microsoft Corp. 1,441,800
190,000 EUR Nokia Corp. 3,772,020
175,000 ZAR Reunert, Ltd. 1,674,092
270,000 JPY Toshiba Corp.# 1,746,560
See accompanying notes to Schedule of Investments
2
GLOBAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- --------------
170,000 HKD Vtech Holdings $ 951,230
--------------
14,828,217
--------------
MATERIALS (1.8%)
33,000 CAD Teck Cominco, Ltd.# 2,184,059
--------------
UTILITIES (0.8%)
45,000 GBP Scottish & Southern Energy 1,017,402
--------------
TOTAL COMMON STOCKS
(Cost $89,163,938) 99,595,839
--------------
PRINCIPAL
AMOUNT VALUE
----------- --------------
SHORT-TERM INVESTMENT (0.5%)
COMMERCIAL PAPER (0.5%)
$ 584,000 Citigroup, Inc
5.230%, 08/01/06
(Cost $584,000) 584,000
--------------
NUMBER OF
SHARES VALUE
----------- --------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (10.4%)
12,948,353 Bank of New York Cash Reserve Fund
current rate 5.400%
(Cost $12,948,353) 12,948,353
--------------
TOTAL INVESTMENTS (157.9%)
(Cost $187,020,868) 196,871,627
--------------
NUMBER OF
CONTRACTS VALUE
----------- --------------
WRITTEN OPTIONS (-1.1%)
FINANCIALS (-1.1%)
IShares MSCI EAFE Index Fund#
1,500 Call, 09/16/06 Strike 64.00 (435,000)
1,300 Call, 12/16/09 Strike 64.00 (585,000)
300 Call, 09/16/06 Strike 62.00 (138,000)
1,200 SPDR Trust, Series 1#
Call, 09/16/06 Strike 129.00 (249,000)
TOTAL WRITTEN OPTIONS
(Premium $900,072) (1,407,000)
--------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-10.4) (12,948,353)
--------------
OTHER ASSETS, LESS LIABILITIES (1.0%) 1,200,294
--------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-47.4%) (59,049,176)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 124,667,392
--------------
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 is shown in the respective
foreign currency. The date shown on options represents the expiration date of
the option contracts. The option contracts 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 July 31, 2006, the market value of
144A securities that were not subject to mandatory issuer registration
obligations is $7,205,837 or 5.8 % 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
July 31, 2006.
() Security position, or portion of security is held in a segregated account
as collateral for written options aggregating a total market value of
$40,345,863.
[] Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollar
ZAR South African Rand
See accompanying notes to Schedule of Investments
3
NOTES TO SCHEDULES 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. Calamos Advisors LLC values the Fund's portfolio securities
in accordance with policies and procedures on the valuation of securities
adopted by the Board of Trustees 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 the Fund determines its 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 the 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. 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, which may include
utilizing a systematic fair valuation model provided by an independent pricing
service.
Securities that are principally traded in a foreign market 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 in securities on European and Far
Eastern securities exchanges and OTC markets is normally completed at various
times before the close of business on each day on which the NYSE is open.
Trading of these securities may not take place on every NYSE business day. In
addition,
4
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
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. As
stated above, if the market prices are not readily available or are not
reflective of a security's fair value, the security is valued at a fair value by
the pricing committee, under the ultimate supervision of the Board of Trustees,
following the guidelines and/or procedures adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the 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 the Fund to calculate its NAV may differ from market quotations or official
closing prices.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. 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. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
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.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, the difference in the foreign exchange rates between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
ex-date or accrual date and the U.S. dollar equivalent of the amounts actually
received or paid. Net unrealized foreign exchange gains and losses arise from
changes (due to the changes in the exchange rate) in
5
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
the value of foreign currency and other assets and liabilities denominated in
foreign currencies held at period end.
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 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 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 an income tax basis as of July 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 July 31, 2006
was as follows:
Cost basis of investments $187,360,122
------------
Gross unrealized appreciation 14,285,955
Gross unrealized depreciation (4,774,450)
------------
Net unrealized appreciation (depreciation) $ 9,511,505
------------
6
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at July 31, 2006.
NOTE 4 - 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 purchase synthetic convertible instruments 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. Different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
NOTE 5 - 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.
7
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 4.10% to 5.21% for the nine-month period ended July 31, 2006. Under
the 1940 Act, 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 only the holders of common stock, when the respective
classes vote alone.
NOTE 6 - SECURITIES LENDING
During the nine-month period ended July 31, 2006, the Fund loaned 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 July 31, 2006, the Fund had securities
valued at $12,631,449 that were on loan to broker-dealers and banks and
$12,948,353 in cash or cash equivalent collateral.
8
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 22, 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: September 22, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 22, 2006