UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21547

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:      Calamos Global Total Return Fund

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:

  

 

2020 Calamos Court
Naperville, Illinois

60563-2787

     

NAME AND ADDRESS OF AGENT FOR SERVICE:

    

John P. Calamos, Sr., Founder, Chairman and

Global Chief Investment Officer 

Calamos Advisors LLC

2020 Calamos Court

Naperville, Illinois

60563-2787 

 

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2017

DATE OF REPORTING PERIOD: November 1, 2016 through October 31, 2017

 

 

 

Item 1. Report to Shareholders

 



(COVER PAGE); text-align: center
TIMELY INFORMATION INSIDE
GLOBAL TOTAL RETURN FUND (CGO)
ANNUAL REPORT OCTOBER 31, 2017
 
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(CALAMOS INVESTMENTS LOGO) 

Experience and Foresight

Our Managed Distribution Policy 

Closed-end fund investors often seek a steady stream of income. Recognizing this important need, Calamos closed-end funds adhere to a managed distribution policy in which we aim to provide consistent monthly distributions through the disbursement of the following:

 

●     Net investment income

 

●     Net realized short-term capital gains

 

●     Net realized long-term capital gains

 

●     And, if necessary, return of capital

 

We set distributions at levels that we believe are sustainable for the long term. Our team focuses on delivering an attractive monthly distribution, while maintaining a long-term emphasis on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment, the individual performance of securities held by the funds, our view of retaining leverage, fund tax considerations, and regulatory requirements.

 

You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Fund’s plan. The Fund’s Board of Trustees may amend or terminate the managed distribution policy at any time without prior notice to the Fund’s shareholders.

 

For more information about any Calamos closed-end funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

 

Note: The Fund will adopt the managed distribution policy on January 1, 2018.

TABLE OF CONTENTS    
     
Letter to Shareholders 1  
     
The Calamos Closed-End Funds:
An Overview
5  
     
Investment Team Discussion 6  
     
Schedule of Investments 10  
     
Statement of Assets and Liabilities 18  
     
Statement of Operations 19  
     
Statements of Changes in Net Assets 20  
     
Statement of Cash Flows 21  
     
Notes to Financial Statements 22  
     
Financial Highlights 31  
     
Report of Independent Registered Public Accounting Firm 32  
     
Trustee Approval of Management Agreement 33  
     
Tax Information 35  
     
Trustees and Officers 36  
     
About Closed-End Funds 38  
     
Managed Distribution Policy 39  
     
Automatic Dividend Reinvestment Plan 39  
     

 

   

 

 

Letter to Shareholders

 

-s- JOHN P. CALAMOS
JOHN  P. CALAMOS, SR.
Founder, Chairman
and Global Chief
Investment Officer

 

Dear Fellow Shareholder:

 

Welcome to your annual report for the one-year period ended October 31, 2017. In this report, you will find commentary from the Calamos portfolio management team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of the Calamos Funds. I encourage you to review this information carefully.

  

Calamos Global Total Return Fund (CGO) is an income-oriented total-return fund. This means we are focused not only on delivering a competitive stream of distributions, but also on total return. We utilize dynamic asset allocation to pursue high current income with a less rate-sensitive approach, while also maintaining a focus on capital gains.

  

Distribution

  

During the period, the Fund provided a compelling monthly distribution of $0.1000 per share. We believe the Fund's current annualized distribution rate, which was 8.58%* on a market price basis as of October 31, 2017, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund's distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

  

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. We aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund's distribution rate, the investment management team and the Fund's Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes.

 

*       

Current Annualized Distribution Rate is the Fund's most recent distribution, expressed as an annualized percentage of the Fund's current market price per share. The Fund's 10/16/17 distribution was $0.1000 per share. Based on our current estimates, we anticipate that approximately $0.1000 is paid from ordinary income or capital gains and that approximately $0.0000 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund's level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. The distribution rate may vary.



CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT          1

 

   

 

 

Letter to Shareholders

 

Market Review

 

During the reporting period, confidence in the synchronized global growth narrative grew against a backdrop of improving economic data and healthy corporate earnings. Stocks posted strong returns and a number of bellwether market gauges reached new heights. From a geographic perspective, gains were broad based, with U.S., developed markets and emerging markets stocks advancing briskly.1 Convertible securities, which blend attributes of both stocks and bonds, participated in a large measure of the stock market’s upside, both in the U.S. and globally.2 Within the fixed income markets, more economically sensitive high-yield securities continued to perform well3 as investors maintained an appetite for risk and yield. However, as the Federal Reserve maintained a gradual course of raising short-term interest rates and investors gravitated toward stocks, traditional fixed-income securities, such as investment grade bonds, encountered headwinds.4

 

Our Use of Leverage**

 

We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Fund’s distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage would be advantageous given the economic environment, specifically the low borrowing costs we were able to secure. Overall, we believe the use of leverage will contribute favorably to the returns of the Fund, as we anticipate that the performance of the Fund’s holdings will exceed the cost of borrowing.

 

Outlook

 

Looking forward, we believe global economic conditions can provide a supportive backdrop for the markets. The U.S. recovery is mature but still has steam, while other major economies are in earlier stages of recovery. As global growth continues, we see additional upside in the global business cycle and, in turn, for stocks, convertible securities and select areas of the high-yield market.

 

While our outlook is constructive, our teams are watchful of potential downside risks. Among them, the policies of global central banks are moving away from the exceedingly accommodative stances of past years. We are also mindful of global political instability, strained trade relationships, heated rhetoric between the U.S. and North Korea, potential deceleration in China, and high levels of corporate debt.

 

**Leverage creates risks that may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares, and fluctuations in the variable rates of the leverage financing. The Fund has a non-fundamental policy that it will not issue preferred shares, borrow money, or issue debt securities with an aggregate liquidation preference and aggregate principal amount exceeding 38% of the Fund’s managed assets as measured immediately after the issuance of any preferred shares or debt.

 

2CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

 

 

 

Letter to Shareholders

 

Further, valuations are stretched in some areas of the market, and we may see consolidation and sector rotation. Given the sustained rally in equities, we would not be surprised to see a pause or even a correction. In an environment of economic expansion, downside volatility could provide buying opportunities for our team’s long-term approach.

 

Calamos at 40 Years: A Look Back … and Ahead

 

Calamos Investments celebrated its 40-year anniversary earlier this year. Much has changed since I founded the firm in 1977. Some changes, such as the rise of passive strategies, are concerning to me—especially given our view that the markets will increasingly require experienced and active management.

 

However, many of these changes are quite positive, such as an increased focus on global asset allocation. I’m also encouraged by the growing role of liquid alternative strategies in investors’ portfolios. For decades, we have offered risk-managed global and alternative strategies as a way to potentially mitigate risk, enhance returns, and generate income in innovative ways. We’ve continued to expand our capabilities in both areas, always guided by the asset allocation needs of investors.

 

When markets are going up as they have been, investors may be more inclined to put financial planning and asset allocation on cruise control. While that’s understandable, I encourage you to take some time to check in with your financial advisor to ensure your portfolio is aligned with your goals and risk tolerance. Throughout the years, I’ve seen the markets change directions quite suddenly in a short period, often catching investors off guard. The allocations of your portfolio will also shift over time as investments appreciate at different rates. Regardless of the direction of the market, a periodic check in with your advisor can be a smart strategy, and as I have noted in the past, the new year presents a good opportunity for these conversations.

 

As always, we thank you for your continued trust. The longevity and success of our firm over these 40 years is a reflection of the trust you have placed in us. We look forward to helping you achieve your goals over the coming decades.

 

Please visit our website www.calamos.com often. You’ll find a wealth of resources and commentary on the markets, asset allocation and our funds.

 

Sincerely, 

 

 

 

John P. Calamos, Sr.
Founder, Chairman and Global Chief Investment Officer

 

CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT3

 

 

 

 

Letter to Shareholders

  

  Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.
     
  1 The MSCI All Country World Index is a measure of global stock market performance, which returned 23.86% for the one-year period ending October 31, 2017. The MSCI World Index is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. For the one-year period ended, the index returned 23.46%. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. For the one-year period, the index returned 23.63%. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide, and it returned 26.91% for the one-year period ended October 31, 2017.
     
  2 The ICE BofAML All U.S. Convertibles ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The index returned 20.69% for the one-year period ending October 31, 2017. The ICE BofAML Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. The index returned 16.13% for the one-year period ended October 31, 2017.
     
  3 The Credit Suisse U.S. High Yield Index is an unmanaged index of high yield debt securities, which returned 9.04% for the one-year period ending October 31, 2017.
     
  4 The Bloomberg Barclays U.S. Aggregate Index is considered generally representative of the investment-grade bond market. For the one- year period ending October 31, 2017, the index returned 0.90%.
     
  Sources: Lipper, Inc.; Morningstar, Inc.
     
  Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed.
     
  The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, that should be carefully considered prior to investing. This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio. Investments in alternative strategies may not be suitable for all investors.
     
  This report is intended for informational purposes only and should not be considered investment advice.

 

 

4 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

 

 

 

 

The Calamos Closed-End Funds: An Overview

 

In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. We launched our first closed-end fund in 2002.

 

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories that seek to produce income while offering exposure to various asset classes and sectors.

 

Portfolios Positioned to Pursue High Current Income from Income and Capital Gains     Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential
       
OBJECTIVE: U.S. ENHANCED FIXED INCOME     OBJECTIVE: GLOBAL TOTAL RETURN
       
Calamos Convertible Opportunities and Income Fund     Calamos Global Total Return Fund
(Ticker: CHI)     (Ticker: CGO)
Invests in high yield and convertible securities,     Invests in equities and higher-yielding convertible
primarily in U.S. markets     securities and corporate bonds, in both U.S. and
    non-U.S. markets
       
Calamos Convertible and High Income Fund     OBJECTIVE: U.S. TOTAL RETURN
(Ticker CHY)      
Invests in high yield and convertible securities,     Calamos Strategic Total Return Fund
primarily in U.S. markets     (Ticker: CSQ)
      Invests in equities and higher-yielding convertible
OBJECTIVE: GLOBAL ENHANCED FIXED     securities and corporate bonds, primarily in U.S.
INCOME     markets
       
Calamos Global Dynamic Income Fund     Calamos Dynamic Convertible and Income Fund
(Ticker: CHW)     (Ticker: CCD)
Invests in global fixed income securities, alternative     Invests in convertibles and other fixed income
investments and equities     Securities

 

 

CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT          5

 

 

 

 

Investment Team Discussion

 

 

TOTAL RETURN* AS OF 10/31/17
Common Shares – Inception 10/27/05
  Since  
  1 Year Inception**  
On Market Price 40.91% 8.53%  
On NAV 21.44% 8.56%  
* Total return measures net investment income and net realized gain or loss from Fund investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.
**Annualized since inception.
   
SECTOR WEIGHTINGS      
Consumer Discretionary 17.6 %  
Information Technology 17.0    
Financials 13.9    
Industrials 11.5    
Health Care 9.0    
Telecommunication Services 7.4    
Consumer Staples

7.4

   
Energy 7.0    
Materials 4.1  
Real Estate 2.4    
Utilities 1.1    
Other 0.9    

 

Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the Fund may hold.

GLOBAL TOTAL RETURN FUND (CGO)

INVESTMENT TEAM DISCUSSION

 

Please discuss the Fund’s strategy and role within an asset allocation.

Calamos Global Total Return Fund (CGO) is a global total return oriented offering that seeks to provide an attractive monthly distribution. We invest in a diversified portfolio of global equities, convertible securities and high yield securities. The allocation to each asset class is dynamic and reflects our view of the economic landscape as well as the potential of individual securities. By combining these asset classes, we believe that we are well positioned to generate capital gains as well as income. This broader range of security types also provides us with increased opportunities to manage the risk/ reward characteristics of the portfolio over full market cycles. Through this approach, we seek to offer investors an attractive monthly distribution and equity participation.

 

We believe having a relatively high level of exposure to convertible and equity assets is optimal for the portfolio and reflects our generally optimistic view of the global stock markets, albeit on a selective basis. We continue to find new opportunities in the convertible market through new issuance over the course of the year. We believe that maintaining a high exposure to the equity markets via stocks and convertibles has been beneficial to the overall performance of the Fund.

 

We invest in both U.S. and non-U.S. companies, favoring companies with geographically diversified revenue streams and global business strategies. We emphasize companies that offer reliable debt servicing, respectable balance sheets and sustainable prospects for growth.

 

How did the Fund perform over the reporting period?

The Fund returned 21.44% on a net asset value (NAV) basis for the 12-month period ended October 31, 2017. On a market price basis, the Fund increased 40.91%. In comparison, the broad global equity market was up 23.46% for the period, as measured by the MSCI World Index.

 

At the end of the reporting period, the Fund’s shares traded at a 4.33% premium to net asset value.

 

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be influenced by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future expectation. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized long term within asset allocations, we think that NAV return is the better measure of a fund’s performance. However, when managing the Fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market value.



 

6 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

 

 

  

Investment Team Discussion

  

 

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/17

 (graphic)

 

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

 

Please discuss the Fund’s distributions during the 12-month period.

We employ a level rate distribution policy* with the goal of providing shareholders with a consistent distribution stream. In each month of the period, the Fund distributed $0.1000 per share, resulting in a current annualized distribution rate of 8.58% of market price as of October 31, 2017.

 

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in the marketplace. For example, as of October 31, 2017, the dividend yield of S&P 500 Index stocks averaged 2.07%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 2.38% and 2.88%, respectively.

 

What factors influenced performance over the reporting period?

The portfolio has a wide set of investment parameters that allow us to take advantage of investment opportunities around the world through many different types of investment vehicles. By optimizing the advantages of such flexibility, the Fund invested opportunistically. The Fund maintained its exposure to the equity markets, and both convertibles and high yield bonds provided income to the portfolio. The strength and performance of global equity and fixed income markets buoyed both price and NAV performance for the period. In addition, price performance was enhanced by good valuations in the stocks relative to the NAV earlier in the period, which served as an enticement to many investors.

 

Our selection in telecom services, notably in wireless, was additive to performance relative to the MSCI World Index. In addition, selection in consumer staples (packaged food and meat) was helpful.

 

Conversely, our underweight and selection in financials, notably in asset management & custody banks, was detrimental on a relative basis. In addition, selection in consumer discretionary, specifically apparel, accessories and luxury goods, impeded the result.

 

*      Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. The distribution rate may vary. The Fund will transition to a managed distribution policy effective January 2018. See inside front cover for details.

 

 

 

(graphic)

 


CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 7

 

 

 

 

Investment Team Discussion

 

How is the Fund positioned?

Our heaviest allocations are found within the information technology, consumer discretionary and financials sectors. Given our optimism regarding the global economy, we favor growth companies with higher-quality balance sheets, strong brands, free cash flows and experienced management. Furthermore, we look for companies that possess global revenue drivers and stand ready to benefit from global synchronization. Specifically, we seek to invest in businesses poised to benefit from increased capital spending in technology, the global infrastructure build-out, and the rise of emerging market consumers.

 

We favor companies with compelling growth opportunities and global revenue drivers. We also believe that businesses and individuals will remain focused on productivity enhancements, stimulating demand for technology and services. Global demographics are also generating opportunities in the information technology field, particularly within emerging market economies. In response, we maintain a heavy overweight position in this area relative to the MSCI World Index.

 

We also favor financials as we expect rising interest rates and a reflationary economic environment will be beneficial to the sector. We believe that freeing available capital will help energize the overall global economy. Conversely, our weight to utilities is notably below the index weighting, as we do not see utilities as an area that will realize optimal growth in a reflationary environment.

 

The average credit quality of rated securities within the portfolio is approximately BB, which is higher than the Credit Suisse High Yield index average of B+. This is typical for the Fund, as our credit process tends to guide us away from the most speculative corporate securities. However, we do selectively invest in lower-credit securities when we believe the risk/reward dynamics are favorable.

 

We believe that this environment is conducive to the prudent use of leverage as a means of enhancing total return and supporting the Fund’s distribution rate. Despite a cost increase due to rising interest rates, our use of leverage enjoyed a favorable reinvestment dynamic. In addition, on September 6, 2017, the Fund announced the issuance of $12 million in mandatory redeemable preferred shares (MRPS). Fitch Ratings assigned long-term ratings of “AA” to each class of MRPS shares. The MRPS shares were privately placed with institutional investors and were issued in three series subject to mandatory redemptions 5, 7 and 10 years from the date of issuance, as shown. The Series A ($4 mm), Series B ($4 mm), and Series C ($4 mm) MRPS shares are to pay monthly cash dividends initially at rates of 3.70%, 4.00% and 4.24%, respectively, subject to adjustment under certain circumstances. In connection with the MRPS share issuance, the Fund terminated an existing credit facility with BNP Paribas and revised the available credit under an existing credit facility with State Street Bank and Trust. As of October 31, 2017, our amount of leveraged assets was approximately 30%.

 

What are your closing thoughts for Fund shareholders?

Given our outlook for a continued period of economic growth, we favor quality growth companies over cyclicals. Positive factors within the U.S. include solid job creation, low interest rates, range-bound energy prices, increasing consumer and corporate confidence and limited inflationary pressures. We emphasize investments in companies with solid cash-flow generation and stronger balance sheets. From a thematic and sector perspective, we see opportunities in the technology sector, consumer discretionary companies tied to global consumption, and companies


 

8 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

 

 

 

  

Investment Team Discussion

  

 

positioned to benefit from improving fundamentals and diminished political concerns in Europe. We are also optimistic about financials, as we believe that many of these companies are favorably valued and positioned to grow revenues in a lower-regulatory, rising-interest-rate environment. However, we are cautious about companies in the consumer staples sector and believe they are fully valued as investors seek those stocks for income rather than growth. We are selective regarding the health care sector, favoring those companies that are more product-growth oriented versus price driven. We believe our active, risk-managed investment approach positions us to take advantage of volatility and opportunities in global equities and convertible securities.

 


CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 9

 

 

 

 

 

Schedule of Investments October 31, 2017

  

PRINCIPAL        
AMOUNT      VALUE 
CORPORATE BONDS (14.8%)     
     Consumer Discretionary (4.6%)     
 35,000   AV Homes, Inc.µ     
     6.625%, 05/15/22  $36,402 
 45,000   Beverages & More, Inc.*     
     11.500%, 06/15/22   40,560 
     CCO Holdings, LLC / CCO Holdings Capital Corp.µ*     
 85,000   5.125%, 05/01/27   85,775 
 60,000   5.000%, 02/01/28   59,597 
 103,000   Century Communities, Inc.µ*     
     5.875%, 07/15/25   104,077 
 65,000   CRC Escrow Issuer, LLC*     
     5.250%, 10/15/25   65,480 
 1,000,000   Dana Financing Luxembourg Sarlµ*     
     6.500%, 06/01/26   1,088,860 
 68,000   DISH DBS Corp.^     
     5.875%, 11/15/24   68,094 
 40,000   Eldorado Resorts, Inc.µ     
     6.000%, 04/01/25   42,335 
 65,000   goeasy, Ltd.*     
     7.875%, 11/01/22   66,832 
 10,000   Guitar Center, Inc.µ*     
     6.500%, 04/15/19   9,365 
 260,000   L Brands, Inc.µ     
     6.875%, 11/01/35   258,604 
 40,000   Lions Gate Entertainment Corp.*^     
     5.875%, 11/01/24   42,454 
 60,000   M/I Homes, Inc.µ     
     5.625%, 08/01/25   61,306 
 40,000   Netflix, Inc.µ*     
     4.875%, 04/15/28   39,831 
 60,000   Penske Automotive Group, Inc.µ     
     5.500%, 05/15/26   61,869 
     PetSmart, Inc.*     
 33,000   5.875%, 06/01/25µ   28,770 
 10,000   8.875%, 06/01/25^   7,896 
     Rite Aid Corp.^     
 120,000   7.700%, 02/15/27   101,987 
 75,000   6.125%, 04/01/23*   70,052 
 110,000   Salem Media Group, Inc.µ*     
     6.750%, 06/01/24   115,383 
 75,000   Sally Holdings, LLC / Sally Capital, Inc.^     
     5.625%, 12/01/25   74,583 
 900,000   Service Corp. International     
     7.500%, 04/01/27   1,080,522 
 105,000   Sirius XM Radio, Inc.µ*     
     6.000%, 07/15/24   112,424 
 115,000   Time, Inc.*^     
     7.500%, 10/15/25   115,693 
PRINCIPAL        
AMOUNT      VALUE 
 1,385,000   Toll Brothers Finance Corp.µ     
     4.000%, 12/31/18  $1,414,383 
         5,253,134 
     Consumer Staples (0.4%)     
 65,000   Albertsons Companies, LLC /     
    Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLCµ     
     5.750%, 03/15/25   57,475 
 55,000   Fresh Market, Inc.*^     
     9.750%, 05/01/23   31,074 
 250,000   JBS USA LUX SA / JBS USA Finance, Inc.*     
     7.250%, 06/01/21   255,599 
     New Albertson’s, Inc.µ     
 45,000   7.450%, 08/01/29   37,723 
 30,000   8.000%, 05/01/31   26,135 
     Pilgrim’s Pride Corp.µ*     
 15,000   5.750%, 03/15/25   15,893 
 10,000   5.875%, 09/30/27   10,405 
 60,000   Post Holdings, Inc.µ*     
     5.750%, 03/01/27   62,472 
         496,776 
     Energy (0.9%)     
 100,000   Calfrac Holdings, LP*     
     7.500%, 12/01/20   98,301 
 40,000   Carrizo Oil & Gas, Inc.µ     
     8.250%, 07/15/25   43,173 
 65,000   Chesapeake Energy Corp.*     
     8.000%, 01/15/25   64,265 
 15,000   Consol Mining Corp.*     
     11.000%, 11/15/25   15,393 
 15,000   CrownRock, LP / CrownRock     
     Finance, Inc.µ*     
     5.625%, 10/15/25   15,234 
 80,000   DCP Midstream, LLCµ*‡     
     5.850%, 05/21/43     
     3 mo. USD LIBOR + 3.85%   76,312 
 15,000   Diamond Offshore Drilling, Inc.^     
     7.875%, 08/15/25   16,060 
 115,000   Energy Transfer Equity, LPµ     
     5.500%, 06/01/27   121,867 
 110,000   Energy Transfer Partners, LPµ‡     
     4.394%, 11/01/66     
     3 mo. USD LIBOR + 3.02%   99,825 
 65,000   Genesis Energy, LP / Genesis Energy Finance Corp.µ     
     6.500%, 10/01/25   66,081 
 25,000   Halcon Resources Corp.µ*     
     6.750%, 02/15/25   25,638 
 70,000   Laredo Petroleum, Inc.µ     
     6.250%, 03/15/23   72,796 

 

10 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Schedule of Investments

 

 

 

 

Schedule of Investments October 31, 2017

 

PRINCIPAL        
AMOUNT      VALUE 
 65,000   Plains All American Pipeline, LPµ‡     
     6.125%, 11/15/22     
     3 mo. USD LIBOR + 4.11%  $66,282 
 65,000   SESI, LLC*^     
     7.750%, 09/15/24   67,337 
 25,000   SM Energy Company^     
     6.750%, 09/15/26   25,717 
 45,000   Southwestern Energy Company^     
     7.500%, 04/01/26   46,811 
 25,000   Transocean, Inc.*     
     7.500%, 01/15/26   25,803 
 65,000   Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.µ*     
     8.750%, 04/15/23   63,628 
 40,000   Weatherford International, Ltd.     
     8.250%, 06/15/23   40,260 
 25,000   WildHorse Resource Development     
     Corp.µ*     
     6.875%, 02/01/25   24,995 
         1,075,778 
     Financials (1.3%)     
 120,000   Ally Financial, Inc.µ     
     8.000%, 11/01/31   158,932 
 75,000   AssuredPartners, Inc.µ*     
     7.000%, 08/15/25   78,280 
 170,000   Dell International, LLC / EMC Corp.µ*     
     6.020%, 06/15/26   189,996 
 65,000   Discover Financial Services‡     
     5.500%, 10/30/27     
     3 mo. USD LIBOR + 3.08%   66,376 
 35,000   HUB International, Ltd.µ*     
     7.875%, 10/01/21   36,445 
 200,000   Jefferies Finance, LLCµ*     
     7.250%, 08/15/24   204,278 
 50,000   Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.µ*     
     5.250%, 10/01/25   49,988 
 35,000   Level 3 Financing, Inc.µ     
     5.375%, 05/01/25   36,631 
 60,000   LPL Holdings, Inc.µ*     
     5.750%, 09/15/25   62,473 
 65,000   MetLife, Inc.µ     
     6.400%, 12/15/66   75,012 
 110,000   Navient Corp.^     
     6.750%, 06/25/25   115,140 
 50,000   NexBank Capital, Inc.*‡&     
     6.375%, 09/30/27     
     3 mo. USD LIBOR + 4.56%   50,525 
 110,000   Quicken Loans, Inc.µ*     
     5.750%, 05/01/25   116,724 
 25,000   Radian Group, Inc.µ     
     4.500%, 10/01/24   25,681 
PRINCIPAL        
AMOUNT      VALUE 
 61,000   Springleaf Finance Corp.µ     
     8.250%, 10/01/23  $69,586 
 20,000   Towne Bank‡     
     4.500%, 07/30/27     
     3 mo. USD LIBOR + 2.55%   20,653 
 65,000   Tronox Finance, PLCµ*     
     5.750%, 10/01/25   68,073 
 25,000   VEREIT Operating Partnership, LP^     
     3.950%, 08/15/27   24,971 
         1,449,764 
     Health Care (2.2%)     
 69,000   Acadia Healthcare Company, Inc.µ     
     6.500%, 03/01/24   73,182 
     Community Health Systems, Inc.^     
 150,000   7.125%, 07/15/20   130,272 
 40,000   6.875%, 02/01/22   29,210 
 110,000   DaVita, Inc.µ     
     5.125%, 07/15/24   110,764 
 110,000   Endo International, PLCµ*     
     7.250%, 01/15/22   101,448 
 60,000   Endo, Ltd.µ*     
     6.000%, 07/15/23   48,730 
 115,000   Greatbatch, Ltd.µ*     
     9.125%, 11/01/23   125,012 
     HCA, Inc.µ     
 920,000   5.875%, 05/01/23   986,672 
 55,000   7.500%, 11/06/33   62,214 
 65,000   Magellan Health, Inc.µ     
     4.400%, 09/22/24   65,728 
 75,000   Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^     
     5.625%, 10/15/23   70,294 
     Tenet Healthcare Corp.^     
 95,000   6.750%, 06/15/23   89,346 
 70,000   5.125%, 05/01/25*   68,100 
 40,000   Teva Pharmaceutical Finance     
     Netherlands III, BV^     
     3.150%, 10/01/26   35,433 
     Valeant Pharmaceuticals     
     International, Inc.*^     
 460,000   7.250%, 07/15/22µ   442,306 
 65,000   5.500%, 11/01/25   66,503 
 25,000   West Street Merger Sub, Inc.µ*     
     6.375%, 09/01/25   25,516 
         2,530,730 
     Industrials (1.4%)     
 70,000   Allison Transmission, Inc.*     
     4.750%, 10/01/27   70,772 
 65,000   Beacon Escrow Corp.µ*     
     4.875%, 11/01/25   65,936 
 40,000   Catalent Pharma Solutions, Inc.µ*     
     4.875%, 01/15/26   40,665 

 

See accompanying Notes to Schedule of Investments CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 11

 

 

 

 

Schedule of Investments October 31, 2017

  

PRINCIPAL        
AMOUNT      VALUE 
 30,000   Covanta Holding Corp.µ     
     5.875%, 03/01/24  $30,147 
 60,000   Delphi Jersey Holdings, PLC*     
     5.000%, 10/01/25   60,288 
 15,000   FXI Holdings, Inc.*     
     7.875%, 11/01/24   15,260 
 180,000   Golden Nugget, Inc.µ*     
     6.750%, 10/15/24   183,457 
 35,000   Great Lakes Dredge & Dock Corp.µ     
     8.000%, 05/15/22   36,973 
 70,000   H&E Equipment Services, Inc.µ*     
     5.625%, 09/01/25   73,941 
 10,000   Hertz Corp.µ*     
     7.625%, 06/01/22   10,425 
     Icahn Enterprises, LPµ     
 285,000   4.875%, 03/15/19   286,680 
 25,000   6.750%, 02/01/24   26,567 
 35,000   JPW Industries Holding Corp.*     
     9.000%, 10/01/24   36,877 
 70,000   Meritor, Inc.µ     
     6.250%, 02/15/24   74,874 
 15,000   Multi-Color Corp.µ*     
     4.875%, 11/01/25   15,148 
     Park Aerospace Holdings, Ltd.*     
 65,000   4.500%, 03/15/23µ   65,148 
 40,000   5.500%, 02/15/24^   41,445 
 55,000   Park-Ohio Industries, Inc.^     
     6.625%, 04/15/27   59,791 
 25,000   Scientific Games International, Inc.µ*     
     5.000%, 10/15/25   25,407 
 60,000   Tennant Companyµ*     
     5.625%, 05/01/25   62,669 
 70,000   TransDigm, Inc.µ     
     6.500%, 05/15/25   72,341 
 5,000   Trident Merger Sub, Inc.µ*     
     6.625%, 11/01/25   4,992 
 10,000   TriMas Corp.µ*     
     4.875%, 10/15/25   10,145 
 35,000   United Continental Holdings, Inc.µ     
     4.250%, 10/01/22   35,313 
     United Rentals North America, Inc.     
 50,000   4.875%, 01/15/28^   50,299 
 45,000   4.875%, 01/15/28µ   45,203 
 30,000   4.625%, 10/15/25µ   30,750 
         1,531,513 
     Information Technology (1.3%)     
     Alliance Data Systems Corp.*     
 120,000   5.875%, 11/01/21   124,877 
 50,000   5.375%, 08/01/22   51,029 
PRINCIPAL        
AMOUNT      VALUE 
 50,000   Cardtronics, Inc.µ*     
     5.500%, 05/01/25  $49,903 
 40,000   CBS Radio, Inc.*^     
     7.250%, 11/01/24   42,160 
 55,000   CDK Global, Inc.µ*     
     4.875%, 06/01/27   57,386 
 70,000   Clear Channel Worldwide     
     Holdings, Inc.^     
     7.625%, 03/15/20   69,304 
 70,000   CommScope Technologies, LLCµ*     
     6.000%, 06/15/25   74,160 
 695,000   First Data Corp. - Class Aµ*     
     7.000%, 12/01/23   744,592 
 60,000   Harland Clarke Holdings Corp.*     
     8.375%, 08/15/22   63,236 
 45,000   Nuance Communications, Inc.µ*     
     5.625%, 12/15/26   47,861 
 65,000   TTM Technologies, Inc.µ*     
     5.625%, 10/01/25   66,274 
 40,000   VFH Parent, LLC*^     
     6.750%, 06/15/22   41,604 
         1,432,386 
     Materials (1.1%)     
 72,000   AK Steel Corp.^     
     6.375%, 10/15/25   71,003 
 135,000   ArcelorMittal, SA     
     7.500%, 10/15/39   168,769 
 200,000   Ardagh Packaging Finance, PLC /     
     Ardagh Holdings USA, Inc.µ*     
     6.000%, 02/15/25   212,495 
 35,000   First Quantum Minerals, Ltd.*     
     7.000%, 02/15/21   36,391 
 160,000   Freeport-McMoRan, Inc.µ     
     4.550%, 11/14/24   160,020 
 25,000   Kinross Gold Corp.µ*     
     4.500%, 07/15/27   25,323 
 270,000   New Gold, Inc.µ*     
     6.375%, 05/15/25   287,694 
 110,000   PBF Holding Company, LLC / PBF     
     Finance Corp.µ*     
     7.250%, 06/15/25   114,368 
 20,000   Steel Dynamics, Inc.µ*     
     4.125%, 09/15/25   20,154 
 15,000   Trinseo Materials Operating, SCAµ*     
     5.375%, 09/01/25   15,796 
     United States Steel Corp.     
 70,000   8.375%, 07/01/21µ*   76,922 
 20,000   6.875%, 08/15/25^   20,342 
 5,000   Warrior Met Coal, Inc.*     
     8.000%, 11/01/24   5,129 
         1,214,406 

 

12 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Schedule of Investments

 

 

 

 

Schedule of Investments October 31, 2017

 

PRINCIPAL        
AMOUNT      VALUE 
     Real Estate (0.1%)     
 2,000   Crescent Communities, LLC/Crescent     
     Ventures, Inc.µ*     
     8.875%, 10/15/21  $2,128 
     iStar, Inc.µ     
 35,000   6.000%, 04/01/22   36,675 
 10,000   4.625%, 09/15/20   10,222 
 90,000   MPT Operating Partnership, LP / MPT Finance Corp.µ     
     5.000%, 10/15/27   92,442 
         141,467 
    Telecommunication Services (1.3%)      
 60,000   CB Escrow Corp.µ*     
     8.000%, 10/15/25   62,257 
 200,000   CSC Holdings, LLCµ*     
     5.500%, 04/15/27   206,536 
 180,000   Embarq Corp.µ     
     7.995%, 06/01/36   182,291 
 175,000   Frontier Communications Corp.µ     
     9.000%, 08/15/31   136,635 
 40,000   Hughes Satellite Systems Corp.µ     
     6.625%, 08/01/26   42,410 
     Intelsat Jackson Holdings, SA     
 100,000   9.750%, 07/15/25*   100,799 
 60,000   7.500%, 04/01/21^   57,075 
 35,000   8.000%, 02/15/24*   37,332 
 65,000   Qwest Corp.µ     
     6.875%, 09/15/33   64,210 
 25,000   SBA Communications Corp.µ*     
     4.000%, 10/01/22   25,393 
 265,000   Sprint Corp.µ^     
     7.625%, 02/15/25   291,565 
 100,000   T-Mobile USA, Inc.µ     
     6.625%, 04/01/23   105,103 
 45,000   United States Cellular Corp.µ     
     6.700%, 12/15/33   47,572 
     Windstream Services, LLC     
 55,000   7.750%, 10/01/21   41,911 
 30,000   7.750%, 10/15/20   26,885 
         1,427,974 
     Utilities (0.2%)     
 110,000   Dynegy, Inc.*^     
     8.125%, 01/30/26   122,403 
     NGPL PipeCo, LLCµ*     
 20,000   4.875%, 08/15/27   20,831 
 20,000   4.375%, 08/15/22   20,554 
 70,000   NRG Energy, Inc.^     
     6.625%, 01/15/27   74,865 
PRINCIPAL        
AMOUNT      VALUE 
 35,000   PPL Capital Funding, Inc.µ‡     
     3.998%, 03/30/67     
     3 mo. USD LIBOR + 2.67%  $34,627 
         273,280 
     TOTAL CORPORATE BONDS     
     (Cost $16,427,010)   16,827,208 
           
 CONVERTIBLE BONDS (35.9%)     
     Consumer Discretionary (11.3%)     
 700,000EUR Bayer Capital Corp., BV*     
     5.625%, 11/22/19   973,781 
 800,000   Cie Generale des Etablissements     
     Michelin     
     0.000%, 01/10/22   871,466 
 740,000   DISH Network Corp.µ     
     3.375%, 08/15/26   795,626 
     Liberty Interactive, LLC     
 1,690,000   1.750%, 09/30/46µ*   1,916,181 
 126,000   4.000%, 11/15/29   86,616 
 110,000   3.750%, 02/15/30   76,365 
 660,000   LVMH Moet Hennessy Louis Vuitton, SE     
     0.000%, 02/16/21   2,082,732 
 770,000   Marriott Vacations Worldwide Corp.µ*     
     1.500%, 09/15/22   834,557 
 1,640,000   Priceline Group, Inc.^     
     0.900%, 09/15/21   1,961,547 
 975,000   Tesla, Inc.µ     
     1.250%, 03/01/21   1,084,810 
 600,000   Valeo, SA^     
     0.000%, 06/16/21   657,919 
 845,000   Weatherford International, Ltd.^     
     5.875%, 07/01/21   853,306 
 5,000,000HKD Zhongsheng Group Holdings, Ltd.     
     0.000%, 10/25/18   647,294 
         12,842,200 
     Energy (1.9%)     
 800,000   SEACOR Holdings, Inc.     
     2.500%, 12/15/27   802,964 
 1,200,000   Tullow Oil Jersey, Ltd.     
     6.625%, 07/12/21   1,396,707 
         2,199,671 
     Financials (3.1%)     
 896,000   Ares Capital Corp.µ^~     
     4.750%, 01/15/18   900,534 
 800,000EUR AURELIUS Equity Opportunities SE & Co. KGaA     
     1.000%, 12/01/20   1,075,431 
 1,361,000CAD  Element Fleet Management Corp.µ*     
     4.250%, 06/30/20   1,069,716 

 

See accompanying Notes to Schedule of Investments CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 13

 

 

 

 

Schedule of Investments October 31, 2017

 

PRINCIPAL            
AMOUNT         VALUE  
436,000   IAC FinanceCo, Inc.*^        
    0.875%, 10/01/22   $ 472,079  
          3,517,760  
    Health Care (0.7%)        
720,000   Illumina, Inc.µ^        
    0.000%, 06/15/19     770,080  
    Industrials (5.0%)        
40,000,000 JPY ANA Holdings, Inc.        
    0.000%, 09/19/24     373,788  
750,000   Haitian International Holdings, Ltd.        
    2.000%, 02/13/19     846,405  
1,200,000   Larsen & Toubro, Ltd.        
    0.675%, 10/22/19     1,245,903  
1,100,000 EUR Prysmian S.p.A.        
    1.250%, 03/08/18     1,695,218  
1,280,000 EUR Safran, SA        
    0.000%, 12/31/20     1,525,017  
          5,686,331  
    Information Technology (7.6%)        
    FireEye, Inc.        
538,000   1.625%, 06/01/35     503,049  
499,000   1.000%, 06/01/35^     472,034  
750,000   II-VI, Inc.µ*        
    0.250%, 09/01/22     876,094  
1,345,000   Lumentum Holdings, Inc.µ*^        
    0.250%, 03/15/24     1,720,484  
720,000   Nice Systems, Inc.*        
    1.250%, 01/15/24     820,872  
1,005,000   ON Semiconductor Corp.µ        
    1.000%, 12/01/20     1,300,530  
755,000   RealPage, Inc.µ*        
    1.500%, 11/15/22     925,430  
771,000   Weibo Corp.*        
    1.250%, 11/15/22     806,369  
1,150,000   Workday, Inc.µ*        
    0.250%, 10/01/22     1,166,859  
          8,591,721  
    Materials (2.7%)        
1,235,000   Cemex, SAB de CV        
    3.720%, 03/15/20     1,309,705  
1,010,000   Royal Gold, Inc.µ        
    2.875%, 06/15/19     1,108,611  
709,000   Silver Standard Resources, Inc.^        
    2.875%, 02/01/33     696,834  
          3,115,150  
    Real Estate (2.3%)        
1,650,000   AYC Finance, Ltd.        
    0.500%, 05/02/19     1,795,438  
PRINCIPAL            
AMOUNT         VALUE  
720,000   Starwood Waypoint Homesµ*        
    3.500%, 01/15/22   $ 805,100  
          2,600,538  
    Telecommunication Services (1.3%)  
1,400,000   Telenor East Holding II AS        
    0.250%, 09/20/19     1,512,616  
    TOTAL CONVERTIBLE BONDS        
    (Cost $40,156,800)     40,836,067  
             
NUMBER OF            
SHARES         VALUE  
CONVERTIBLE PREFERRED STOCKS (11.5%)  
    Energy (0.2%)        
9,685   NuStar Energy, LP‡        
    8.500%, 12/15/21        
    3 mo. USD LIBOR + 6.77%     254,231  
    Financials (0.6%)        
550   Wells Fargo & Company        
    7.500%, 12/31/49     720,500  
    Health Care (2.7%)        
3,280   Allergan, PLCµ        
    5.500%, 03/01/18     2,111,303  
17,100   Anthem, Inc.µ        
    5.250%, 05/01/18     911,088  
          3,022,391  
    Industrials (0.7%)        
13,700   Rexnord Corp.µ        
    5.750%, 11/15/19     788,298  
    Real Estate (1.0%)        
3,643   American Tower Corp.µ        
    5.500%, 02/15/18     459,637  
670   Crown Castle International Corp.µ        
    6.875%, 08/01/20     736,940  
          1,196,577  
    Telecommunication Services (5.0%)  
22,000   Alibaba Exchangeable (Softbank)*§        
    5.750%, 06/03/19     4,613,567  
10,675   T-Mobile USA, Inc.µ        
    5.500%, 12/15/17     1,033,340  
          5,646,907  
    Utilities (1.3%)        
2,989   Dominion Resources, Inc.µ        
    6.750%, 08/15/19     156,415  
    NextEra Energy, Inc.µ        
12,100   6.371%, 09/01/18     843,975  
7,500   6.123%, 09/01/19     427,500  
          1,427,890  


 

14 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Schedule of Investments

 

 

 

 

Schedule of Investments October 31, 2017

 

NUMBER OF            
SHARES         VALUE  
    TOTAL CONVERTIBLE        
    PREFERRED STOCKS        
    (Cost $13,276,773)   $ 13,056,794  
   
COMMON STOCKS (77.6%)        
    Consumer Discretionary (9.0%)        
800   Amazon.com, Inc.µ#     884,224  
37,500   D.R. Horton, Inc.µ     1,657,875  
25,700 EUR Daimler, AG     2,145,595  
780   GameStop Corp. - Class A^     14,578  
14,200 ZAR Naspers, Ltd. - Class N     3,459,584  
34,200 JPY Toyota Motor Corp.     2,121,292  
          10,283,148  
    Consumer Staples (10.1%)        
14,300 EUR Anheuser-Busch InBev, SA     1,753,483  
33,454   Coca-Cola Companyµ     1,538,215  
9,500 EUR Danone     776,446  
43,000 GBP Diageo, PLC     1,468,400  
35,390 JPY Japan Tobacco, Inc.     1,171,416  
8,000 EUR Kerry Group, PLC - Class A     805,703  
15,300 CHF Nestlé, SA     1,287,319  
13,650 EUR Unilever, NV     792,928  
10,800   Wal-Mart Stores, Inc.     942,948  
13,600   Walgreens Boots Alliance, Inc.     901,272  
          11,438,130  
    Energy (6.8%)        
15,250   Anadarko Petroleum Corp.µ     752,893  
21,800 CAD Canadian Natural Resources, Ltd.     760,744  
28,700 CAD Enbridge, Inc.     1,102,973  
3,810   Enterprise Products Partners, LP#     93,345  
14,715   Exxon Mobil Corp.µ     1,226,495  
1,300   Magellan Midstream Partners, LP#     89,323  
44,065 EUR Royal Dutch Shell, PLC - Class A     1,384,089  
13,100   Schlumberger, Ltd.     838,400  
2,505   Spectra Energy Partners, LP#     108,016  
960   Targa Resources Corp.     39,840  
16,340 EUR TOTAL, SA     910,761  
25,700 CAD Tourmaline Oil Corp.#     470,333  
          7,777,212  
    Financials (14.8%)        
140,000 HKD AIA Group, Ltd.     1,054,967  
10,250 EUR Amundi, SA*     868,699  
71,400   Bank of America Corp.µ     1,955,646  
11,800 EUR BNP Paribas, SA     920,984  
20,000   Citigroup, Inc.µ     1,470,000  
285,000 JPY Daiwa Securities Group, Inc.     1,786,859  
41,300 INR Indiabulls Housing Finance, Ltd.     794,024  
22,100   JPMorgan Chase & Company^     2,223,481  
NUMBER OF            
SHARES         VALUE  
165,900 JPY Mitsubishi UFJ Financial Group, Inc.   $ 1,125,324  
99,000 HKD Ping An Insurance Group Company of        
    China, Ltd.     870,007  
6,700   PNC Financial Services Group, Inc.     916,493  
47,000 GBP Prudential, PLC     1,153,633  
30,000   Wells Fargo & Company     1,684,200  
          16,824,317  
    Health Care (7.3%)        
12,900   Baxter International, Inc.µ     831,663  
5,200   Celgene Corp.µ#     525,044  
28,500 JPY Chugai Pharmaceutical Company, Ltd.     1,358,788  
17,700   Johnson & Johnson     2,467,557  
12,880 CHF Novartis, AG     1,062,333  
19,650 DKK Novo Nordisk, A/S - Class B     978,351  
4,550 CHF Roche Holding, AG     1,051,647  
          8,275,383  
    Industrials (9.3%)        
111,500 HKD CK Hutchison Holdings, Ltd.     1,416,241  
9,500 JPY FANUC Corp.     2,221,327  
24,400   General Electric Companyµ     491,904  
192,000 GBP International Consolidated Airlines        
    Group, SA     1,621,606  
9,800 EUR KION Group, AG     785,251  
72,000 JPY Komatsu, Ltd.     2,352,655  
4,100   Raytheon Company     738,820  
10,200 EUR Schneider Electric, SE#     896,185  
          10,523,989  
    Information Technology (15.3%)        
4,380   Alphabet, Inc. - Class Aµ#     4,524,715  
19,400   Apple, Inc.µ     3,279,376  
5,000 EUR ASML Holding, NV     902,147  
9,100   Facebook, Inc. - Class Aµ#     1,638,546  
24,700   Microsoft Corp.     2,054,546  
2,000 JPY Nintendo Company, Ltd.     775,924  
26,100   QUALCOMM, Inc.     1,331,361  
300 KRW Samsung Electronics Company, Ltd.     739,532  
272,000 TWD Taiwan Semiconductor Manufacturing Company, Ltd.     2,198,930  
          17,445,077  
    Materials (2.0%)        
272,000 GBP Glencore, PLC#     1,311,911  
26,400   Newmont Mining Corp.     954,624  
          2,266,535  
    Telecommunication Services (3.0%)  
34,200   AT&T, Inc.^     1,150,830  
25,000 JPY Nippon Telegraph & Telephone Corp.     1,208,688  


 

See accompanying Notes to Schedule of Investments CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 15

 

 

 

 

Schedule of Investments October 31, 2017

 

NUMBER OF            
SHARES         VALUE  
11,500 JPY SoftBank Group Corp.   $ 1,019,155  
          3,378,673  
    TOTAL COMMON STOCKS        
    (Cost $87,847,256)     88,212,464  
 
EXCHANGE-TRADED FUNDS (1.3%)        
    Other (1.3%)        
8,425   iShares iBoxx High Yield Corporate        
    Bond ETF^     745,360  
20,025   SPDR Barclays Capital High Yield        
    Bond ETF^     745,731  
    TOTAL EXCHANGE-        
    TRADED FUNDS        
    (Cost $1,480,032)     1,491,091  

 

NUMBER OF            
CONTRACTS/            
 NOTIONAL            
  AMOUNT         VALUE  
PURCHASED OPTIONS (0.0%) #        
    Materials (0.0%)        
    United States Steel Corp.        
4            
400   Call, 11/17/17, Strike $29.00     140  
4            
400   Call, 11/17/17, Strike $27.00     330  
4            
400   Call, 11/17/17, Strike $26.00     466  
4            
400   Put, 11/17/17, Strike $21.00     146  
    TOTAL PURCHASED OPTIONS        
    (Cost $2,373)     1,082  
             
NUMBER OF            
SHARES         VALUE  
SHORT TERM INVESTMENTS (1.7%)        
947,494   Fidelity Prime Money Market Fund -        
    Institutional Class     947,778  
937,777   Morgan Stanley Institutional Liquidity        
    Funds - Government Portfolio     937,777  
    TOTAL SHORT TERM INVESTMENTS
    (Cost $1,885,555)     1,885,555  
  TOTAL INVESTMENTS (142.8%)        
  (Cost $161,075,799)     162,310,261  
MANDATORY REDEEMABLE PREFERRED SHARES, AT        
LIQUIDATION VALUE (-10.6%)     (12,000,000 )
LIABILITIES, LESS OTHER ASSETS (-32.2%)     (36,671,982 )
NET ASSETS (100.0%)   $ 113,638,279  
             
NUMBER OF            
CONTRACTS/            
 NOTIONAL            
  AMOUNT       VALUE  
WRITTEN OPTION (0.0%) #        
    Materials (0.0%)        
4   United States Steel Corp.        
400   Put, 11/17/17, Strike $25.00        
    (Premium $962)   $ (530 )

 

NOTES TO SCHEDULE OF INVESTMENTS

 

µSecurity, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $37,547,564 (see Note 6 – Notes Payable).

*Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.

^Security, or portion of security, is on loan.

Variable rate security. The rate shown is the rate in effect at October 31, 2017.

&Illiquid security.

~Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $5,025.

§Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

#Non-income producing security.

 

FOREIGN CURRENCY ABBREVIATIONS

 

CAD    Canadian Dollar

CHF     Swiss Franc

DKK     Danish Krone

EUR     European Monetary Unit

GBP     British Pound Sterling

HKD     Hong Kong Dollar

INR      Indian Rupee
JPY     Japanese Yen
KRW    South Korean Won
TWD    New Taiwan Dollar
ZAR     South African Rand

 

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.



 

16 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Schedule of Investments

 

 

 

 

Schedule of Investments October 31, 2017

         
CURRENCY EXPOSURE OCTOBER 31, 2017 
       % OF TOTAL 
   VALUE   INVESTMENTS 
US Dollar  $104,063,252    64.1%
European Monetary Unit   18,211,718    11.2%
Japanese Yen   15,515,216    9.6%
British Pound Sterling   5,555,550    3.4%
Hong Kong Dollar   3,988,509    2.5%
South African Rand   3,459,584    2.1%
Canadian Dollar   3,403,766    2.1%
Swiss Franc   3,401,299    2.1%
New Taiwan Dollar   2,198,930    1.3%
Danish Krone   978,351    0.6%
Indian Rupee   794,024    0.5%
South Korean Won   739,532    0.5%
Total Investments Net of Written Option  $162,309,731    100.0%

Currency exposure may vary over time.

 



 

See accompanying Notes to Financial Statements CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 17

 

 

 

 

Statement of Assets and Liabilities October 31, 2017

  

ASSETS    
Investments in securities, at value (cost $161,075,799)  $162,310,261 
Receivables:     
Accrued interest and dividends   799,007 
Prepaid expenses   52,042 
Other assets   96,113 
Total assets   163,257,423 
      
LIABILITIES     
Due to custodian bank   39,800 
Options written, at value (premium $962)   530 
Mandatory Redeemable Preferred Shares ($25 liquidation value per share applicable to 480,000 shares authorized, issued, and outstanding)     
(net of deferred offering costs of $126,857) (Note 7)   11,873,143 
Payables:     
Notes payable   36,000,000 
Investments purchased   1,316,646 
Affiliates:     
Investment advisory fees   136,014 
Deferred compensation to trustees   96,113 
Financial accounting fees   1,578 
Trustees’ fees and officer compensation   3,523 
Other accounts payable and accrued liabilities   151,797 
Total liabilities   49,619,144 
NET ASSETS  $113,638,279 
      
COMPOSITION OF NET ASSETS     
Common stock, no par value, unlimited shares authorized 8,480,060 shares issued and outstanding  $112,271,338 
Undistributed net investment income (loss)   (252,601)
Accumulated net realized gain (loss) on investments, foreign currency transactions, written options and interest rate swaps   387,643 
Unrealized appreciation (depreciation) of investments, foreign currency translations and written options   1,231,899*
NET ASSETS  $113,638,279 
Net asset value per common shares based upon 8,480,060 shares issued and outstanding  $13.40 

  

* Net of deferred foreign capital gains tax of $(434).

 

18 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Financial Statements

 

 

 

 

Statement of Operations Year Ended October 31, 2017

  

     
INVESTMENT INCOME    
Interest  $1,923,753 
Dividends   2,658,964 
Securities lending income   4,145 
Foreign Taxes Withheld   (129,542)
Total investment income   4,457,320 
EXPENSES     
Investment advisory fees   1,489,257 
Interest expense on Notes Payable (Note 6)   685,854 
Interest expense and amortization of offering costs on Manadatory Redeemable Preferred Shares (Notes 1 and 7)   75,915 
Legal fees   55,896 
Transfer agent fees   25,964 
Printing and mailing fees   23,121 
Trustees’ fees and officer compensation   22,846 
Accounting fees   19,742 
Custodian fees   18,249 
Financial accounting fees   17,317 
Audit fees   17,189 
Registration fees   2,145 
Other   22,984 
Total expenses   2,476,479 
NET INVESTMENT INCOME (LOSS)   1,980,841 
REALIZED AND UNREALIZED GAIN (LOSS)     
Net realized gain (loss) from:     
Investments, excluding purchased options   8,792,436 
Purchased options   (517,327)
Foreign currency transactions   (50,018)
Written options   202,591 
Interest rate swaps   (14,060)
Change in net unrealized appreciation/(depreciation) on:     
Investments, excluding purchased options   10,033,273(a)
Purchased options   (1,291)
Foreign currency translations   6,144 
Written options   432 
Interest rate swaps   14,885 
NET GAIN (LOSS)   18,467,065 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $20,447,906 

  

(a) Net of change of $(434) in deferred capital gains tax.

 

See accompanying Notes to Financial Statements CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 19

  

 

 

 

Statements of Changes in Net Assets

 

   YEAR
ENDED
OCTOBER 31,
2017
   YEAR
ENDED
OCTOBER 31,
2016
 
         
OPERATIONS          
Net investment income (loss)  $1,980,841   $1,802,924 
Net realized gain (loss)   8,413,622    7,806,792 
Change in unrealized appreciation/(depreciation)   10,053,443    (8,767,407)
Net increase (decrease) in net assets applicable to common shareholders resulting from operations   20,447,906    842,309 
           
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM          
Net investment income   (9,222,191)   (8,355,496)
Net realized gains   (939,411)   (1,681,959)
Return of capital       (120,546)
Net decrease in net assets from distributions to common shareholders   (10,161,602)   (10,158,001)
           
CAPITAL STOCK TRANSACTIONS          
Reinvestment of distributions resulting in the issuance of stock   193,964     
Net increase (decrease) in net assets from capital stock transactions   193,964     
TOTAL INCREASE (DECREASE) IN NET ASSETS   10,480,268    (9,315,692)
           
NET ASSETS          
Beginning of year  $103,158,011   $112,473,703 
End of year  $113,638,279   $103,158,011 
Undistributed net investment income (loss)  $(252,601)  $(758,236)

  

20 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT See accompanying Notes to Financial Statements

  

 

 

 

Statement of Cash Flows Year Ended October 31, 2017

 

     
CASH FLOWS FROM OPERATING ACTIVITIES:    
Net increase/(decrease) in net assets from operations  $20,447,906 
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by operating activities:     
Purchase of investment securities, including purchased options   (163,588,041)
Net proceeds from disposition of short term investments   1,661,719 
Proceeds paid on closing written options   (13,156)
Proceeds from disposition of investment securities, including purchased options   164,558,846 
Premiums received from written options   216,709 
Amortization and accretion of fixed-income securities   (589,670)
Amortization of offering costs on Mandatory Redeemable Preferred Shares   2,948 
Net realized gains/losses from investments, excluding purchased options   (8,792,219)
Net realized gains/losses from purchased options   517,327 
Net realized gains/losses from written options   (202,591)
Change in unrealized appreciation or depreciation on investments, excluding purchased options   (10,033,273)
Change in unrealized appreciation or depreciation on capital gains tax   (434)
Change in unrealized appreciation or depreciation on purchased options   1,291 
Change in unrealized appreciation or depreciation on written options   (432)
Change in unrealized appreciation or depreciation on interest rate swaps   (14,885)
Net change in assets and liabilities:     
(Increase)/decrease in assets:     
Accrued interest and dividends receivable   (160,133)
Prepaid expenses   (48,590)
Other assets   (4,515)
Increase/(decrease) in liabilities:     
Payables to affiliates   16,532 
Other accounts payable and accrued liabilities   75,440 
Net cash provided by/(used in) operating activities  $4,050,779 
      
CASH FLOWS FROM FINANCING ACTIVITIES:     
Distributions to shareholders   (9,967,638)
Proceeds from preferred shares sold   12,000,000 
Offering costs on Mandatory Redeemable Preferred Shares   (129,805)
Net increase/(decrease) in due to custodian bank   39,800 
Repayment of note payable   (6,000,000)
Net cash provided by/(used in) financing activities  $(4,057,643)
Net increase/(decrease) in cash  $(6,864)
Cash at beginning of year  $6,864 
Cash at end of year  $ 
Supplemental disclosure     
Cash paid for interest on Notes Payable  $601,634 
Cash paid for interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares  $75,915 
Non-cash financing activities not included herein consists of reinvestment of dividends and distributions:  $193,964 

  

See accompanying Notes to Financial Statements CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 21

 

 

 

  

Notes to Financial Statements

 

Note 1 – Organization and Significant Accounting Policies 

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

 

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 100% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers, in developed and emerging markets. Under normal circumstances, the Fund will invest at least 30% of its managed assets in securities of foreign issuers. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

 

Significant Accounting Policies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Under U.S. GAAP, management is required to make certain estimates and assumptions at the date of the financial statements and actual results may differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

 

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

 

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

 

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

 

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

 

22 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

   
 

  

Notes to Financial Statements

 

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

 

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

 

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

 

Investment Transactions. Investment transactions are recorded on a trade date basis as of October 31, 2017. 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 after the ex-dividend date.

 

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 the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

 

Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and Income Fund are allocated proportionately among each Fund to which the expenses relate in relation to the net assets of each Fund or on another reasonable basis.

 

Income Taxes. No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of the Fund’s taxable income and net realized gains.

 

Dividends and distributions paid to common shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.

 

Distributions to holders of mandatory redeemable preferred shares (“MRPS”) as described in Note 7 are accrued on a daily basis and are treated as an operating expense due to the fixed term of the obligation. The distributions are shown on the Statement of Operations as Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares. For tax purposes, the distributions made to the holders of the MRPS are treated as dividends.

 

CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 23

 

   
 

 

Notes to Financial Statements

 

The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2013 - 2016 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

 

Indemnifications. Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

 

Note 2 – Investment Adviser and Transactions With Affiliates Or Certain Other Parties 

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed assets.

 

Pursuant to a financial accounting services agreement, during the year the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Investment Trust and Calamos Advisors Trust and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

 

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of the “Trustees’ fees and officer compensation” expense on the Statement of Operations.

 

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of their compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $96,113 is included in “Other assets” on the Statement of Assets and Liabilities at October 31, 2017. The Fund’s obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at October 31, 2017.

 

Note 3 – Investments 

The cost of purchases and proceeds from sales of long-term investments for the year ended October 31, 2017 were as follows:

 

Cost of purchases$ 196,426,496 
Proceeds from sales  191,974,462 

 

The cost basis of investments for federal income tax purposes at October 31, 2017 was as follows:

    
     
Cost basis of investments$ 161,032,295 
Gross unrealized appreciation  8,946,683 
Gross unrealized depreciation  (7,669,247)
Net unrealized appreciation (depreciation)$ 1,277,436 

 

24 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

   
 

 

Notes to Financial Statements

 

Note 4 – Income Taxes 

For the fiscal year ended October 31, 2017, the Fund recorded the following permanent reclassifications to reflect tax character. The results of operations and net assets were not affected by these reclassifications.

 

Paid-in capital$ 26,136 
Undistributed net investment income/(loss)  8,686,396 
Accumulated net realized gain/(loss) on investments  (8,712,532)

 

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.

 

Distributions were characterized for federal income tax purposes as follows:

  

   YEAR ENDED   YEAR ENDED 
   OCTOBER 31, 2017   OCTOBER 31, 2016 
Distributions paid from:          
Ordinary income  $9,295,158   $8,355,496 
Long-term capital gains   939,411    1,681,959 
Return of capital       120,546 

 

As of October 31, 2017, the components of accumulated earnings/(loss) on a tax basis were as follows:

          
           
Undistributed ordinary income       $164,268 
Undistributed capital gains         
Total undistributed earnings        164,268 
Accumulated capital and other losses         
Net unrealized gains/(losses)        1,274,441 
Total accumulated earnings/(losses)        1,438,709 
Other        (71,768)
Paid-in-capital        112,271,338 
Net assets applicable to common shareholders       $113,638,279 

 

Note 5 – Derivative Instruments 

Foreign Currency Risk. 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.

 

To mitigate the counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Generally, collateral is exchanged between the Fund and the counterparty and the amount of collateral due from the Fund or to a counterparty has to exceed a minimum transfer amount threshold before a transfer has to be

 

CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 25

  

   
 

  

Notes to Financial Statements

 

made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. When a Fund is required to post collateral under the terms of a derivatives transaction and master netting agreement, the Fund’s custodian holds the collateral in a segregated account, subject to the terms of a tri-party agreement among the Fund, the custodian and the counterparty.  The master netting agreement and tri-party agreement provide, in relevant part, that the counterparty may have rights to the amounts in the segregated account in the event that the Fund defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement.  When a counterparty is required to post collateral under the terms of a derivatives transaction and master netting agreement, the counterparty delivers such amount to the Fund’s custodian.  The master netting agreement provides, in relevant part, that the Fund may have rights to such collateral in the event that the counterparty defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement.

 

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. 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 foreign exchange rates. 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 October 31, 2017.

 

Equity Risk. The Fund may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

 

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

 

When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. 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. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

 

Options written by the Fund do not typically give rise to counterparty credit risk since options written obligate the Fund and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to the Fund since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.

 

As of October 31, 2017, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments.

 

Interest Rate Risk. The Fund may engage in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 6 – Notes Payable). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) on interest rate swaps in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller.

 

26 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

   
 

 

Notes to Financial Statements

 

In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund. Please see the disclosure regarding ISDA Master Agreements under Foreign Currency Risk within this note.

 

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

 

As of October 31, 2017, the Fund had no outstanding interest rate swap agreements.

 

As of October 31, 2017, the Fund had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:

 

    ASSET DERIVATIVES    LIABILITY DERIVATIVES 
Gross amounts at fair value:          
Purchased Options(1)  $1,082   $ 
Written Options(2)       530 
   $1,082   $530 

 

(1) Generally, the Statement of Assets and Liabilities location for “Purchased Options” is “Investments in securities, at value”.

(2) Generally, the Statement of Assets and Liabilities location for “Written Options” is “Options written, at value.”

 

For the year ended October 31, 2017, the volume of derivative activity for the Fund is reflected below:*

 

   VOLUME 
Purchased options   877 
Options written   857 

 

*Activity during the period is measured by opened number of contracts for options purchased or written.

 

Note 6 – Notes Payable

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into an Amended and Restated Liquidity Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $55.0 million, and provides for securities lending and securities repurchase transactions. Borrowings under the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80%. A commitment fee of .10% is payable on any undrawn balance. For the year ended October 31, 2017, the average borrowings under the Agreement were $41.1 million. For the year ended October 31, 2017, the average interest rate was 1.86%. As of October 31, 2017, the amount of total outstanding borrowings was $36.0 million, which approximates fair value. The interest rate applicable to the borrowings on October 31, 2017 was 1.59%.

 

Under the terms of the SSB Agreement, all securities lent through SSB must be secured continuously by collateral received in cash. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against borrowings under the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the SSB Agreement, SSB will return the value of the collateral to the borrower at the termination of the selected securities loan(s), which will eliminate the credit against the borrowings under the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the SSB Agreement, the Fund will make a variable “net income” payment related to any collateral credited against borrowings under the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the SSB Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of October 31, 2017, the Fund used approximately $14.3 million of its cash collateral to offset borrowings under the SSB Agreement, representing 8.8% of managed assets, and was required to pay a “net income” payment equal to an annualized

 

CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT 27

 

 

 

 

Notes to Financial Statements

 

interest rate of 0.99%, which can fluctuate depending on interest rates. As of October 31, 2017, approximately $13.8 million of securities were on loan ($9.0 million of fixed income securities and $4.8 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities. The borrowings are categorized as Level 2 within the fair value hierarchy.

 

Note 7 – Mandatory Redeemable Preferred Shares

On September 6, 2017, the Fund issued 480,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $12.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

 

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at October 31, 2017.

 

SERIES  TERM
REDEMPTION DATE
  DIVIDEND
RATE
   SHARES
(000’S)
  LIQUIDATION
PREFERENCE
PER SHARE
   AGGREGATE
LIQUIDATION
PREFERENCE
 
Series A  9/06/22  3.70%  160  $25   $  4,000,000 
Series B  9/06/24  4.00%  160  $25   $  4,000,000 
Series C  9/06/27  4.24%  160  $25   $  4,000,000 
              Total   $12,000,000 

 

The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.

 

Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA” by Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.

 

The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.

 

Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.

 

28 CALAMOS GLOBAL TOTAL RETURN FUND ANNUAL REPORT

 

 

 

 

Notes to Financial Statements

 

Note 8 – Common Shares

There are unlimited common shares of beneficial interest authorized and 8,480,060 shares outstanding at October 31, 2017.

 

Transactions in common shares were as follows:

 

   YEAR ENDED
OCTOBER 31, 2017
   YEAR ENDED
OCTOBER 31, 2016
 
Beginning shares   8,465,001    8,465,001 
Shares sold        
Shares issued through reinvestment of distributions   15,059     
Ending shares   8,480,060    8,465,001 

 

Notice is hereby given in accordance with Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares of common stock in the open market.

 

The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of the Fund’s common shares at the time such common shares are initially sold.

 

Note 9 – Fair Value Measurements

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

 

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

 

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

   LEVEL 1   LEVEL 2   LEVEL 3   TOTAL 
Assets:                
Corporate Bonds  $   $16,827,208   $   $16,827,208 
Convertible Bonds       40,836,067        40,836,067 
Convertible Preferred Stocks   8,443,227    4,613,567        13,056,794 
Common Stocks U.S.   37,326,230            37,326,230 
Common Stocks Foreign   4,523,842    46,362,392        50,886,234