nvcsr
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
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EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: |
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Calamos Global Total Return Fund |
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: |
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2020 Calamos Court, Naperville,
Illinois 60563-2787 |
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NAME AND ADDRESS OF AGENT FOR SERVICE: |
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John P. Calamos, Sr., President
Calamos Advisors LLC
2020 Calamos Court
Naperville, Illinois
60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF
FISCAL YEAR END: October 31, 2009
DATE OF
REPORTING PERIOD: November 1, 2008 through October 31, 2009
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ITEM 1.
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REPORTS TO
SHAREHOLDERS
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Include a copy of the report transmitted to stockholders
pursuant to
Rule 30e-1
under the Act (17 CFR 270.
30e-1).
Calamos Investments:
Expertise and Foresight
Since our founding in 1977, Calamos Investments has been
committed to addressing the investment needs of individual and
institutional investors. For over 30 years, clients have
admired our adherence to a single investment approach: to seek a
proper balance between risks and opportunities. We owe our
success to the consistent application of this mantra: one team,
one process. A single team of investment professionals analyzes
the entire capital structure of a company prior to selecting
individual securities for the portfolios. The versatility of our
approach, our disciplined focus on risk management, and our goal
of consistently achieving superior returns for our clients are
three pillars that support our ongoing prosperity. Leveraging
founder John P. Calamos, Sr.s expertise in the
complex convertible market, the company has evolved from a small
boutique manager into a global, growth-focused investment firm
that offers multiple investment vehicles across equity,
fixed-income and alternative strategies.
We invite you to review our annual report.
TABLE
OF CONTENTS
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Letter to Shareholders
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1
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Investment Team Discussion
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3
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Schedule of Investments
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5
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Statement of Assets and Liabilities
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10
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Statement of Operations
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11
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Statements of Changes In Net Assets
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12
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Statement of Cash Flows
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13
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Notes to Financial Statements
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14
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Financial Highlights
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23
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Report of Independent Registered Public Accounting Firm
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24
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Trustee Approval of Management Agreement
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25
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Tax Information
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27
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Trustees & Officers
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28
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About Closed-End Funds
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33
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Level Rate Distribution Policy and Automatic Dividend
Reinvestment Plan
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34
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The Calamos Investments Advantage
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35
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Calamos Closed-End Funds
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36
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About the Fund
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The Fund is managed to according to a level distribution policy,
with distributions composed of dividend income, interest income,
and realized short-term and long-term gains.
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As part of its total return approach, CGO provides a competitive
stream of income paid out on a monthly basis.
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The Funds dynamic asset allocation approach and broad
investment universeincluding equities, higher-yielding
convertible and corporate bondsprovides enhanced
opportunities for income and total returns.
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Invests in U.S. and
non-U.S. markets.
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Dear Shareholder:
Enclosed is your annual report for the fiscal year ended
October 31, 2009. We appreciate the opportunity to
correspond with you. I encourage you to carefully review this
report, which includes an assessment of market conditions and
Fund commentary from our investment team. The report also
includes a listing of portfolio holdings, financial data and
highlights, as well as detailed information about the
performance and allocations of the Calamos Global Total Return
Fund (CGO).
The year in review was divided into two distinct phases. In the
first one, fallout from the global financial crisis kept the
markets mired in pessimism. Anxiety ran high due to limited
access to credit, the failing financial and auto industries, the
grim housing market, and uncertainty about government stimulus
plans and dire economic data. A depression scenario, rather than
a severe recession was a widespread concern and panic led to the
markets lows in March. In the second phase, these issues
did not go away, but the perception that the world was not
falling off a cliff combined with the fact that valuations had
reached very attractive levels underpinned the strong market
rebound in the remainder of the year. As markets roared back,
the Fund participated with holdings (such as those in quality
growth stocks, convertibles, and high-yield bonds) generating
solid gains.
Certainly, the problems of 2008 are not completely resolved.
Future government involvement in the financial sector and health
care system, the pace of economic recovery, and the long-term
implications of government stimulus programs cast a shadow.
However, the depression scenario has waned and the bad news has
become less bad.
Although global governments have flooded the worlds
financial system with cash, inflation has been kept at bay (so
far). Positive third-quarter gross domestic product growth in
the U.S. provided a counterbalance to continued weakness in
employment data. Consumer activity remains muted, but has been
rekindled. Government intervention has played a role, with
programs like cash for clunkers helping to loosen
purse strings. Low interest rates and government incentives for
first-time homebuyers have also boosted the challenged mortgage
and housing markets.
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Global Total Return Fund
Letter to
Shareholders ANNUAL
REPORT
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1
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Throughout the period we remained confident about our investment
process, and the Fund proved to be well positioned to
participate in general market trends. Convertibles performed in
line with our expectationsparticipating in equity upswings
while offering a degree of downside protection. Valuations
improved steadily throughout the year. The corporate debt we
owned benefited from a strong rebound sparked by renewed
interest in the asset class, narrowing credit spreads and the
realization that credit markets were once again opened for
business. In Funds where we invest in common stocks, the
portfolios also benefited as stock prices recovered amidst the
prospect that another Depression was off the table.
We have also identified many attractive investments that take
advantage of global opportunities, with some
non-U.S. markets
offering some of the most compelling opportunities that we have
encountered over the past 40 years. In addition to U.S. and
European businesses that may participate, the opportunities we
are seeing extend beyond the developed markets to select
companies in emerging markets such as China, India and Brazil.
If you have any questions about your portfolio, please contact
us at 800.582.6959, Monday through Friday from 8:00 a.m. to
6:00 p.m., Central Timeor speak to your financial
advisor. I also encourage you to visit our website at
calamos.com on a regular basis, for updated commentary and more
information about your Fund. We thank you for your continued
confidence and are honored by the opportunity to help you
achieve your long-term investment goals.
Sincerely,
John P. Calamos, Sr.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
This report is for informational purposes and should not be
considered investment advice.
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2
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Global Total Return Fund
ANNUAL
REPORT Letter to
Shareholders
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Investment Team
Discussion
The Calamos Investment Management Team, led by Co-Chief
Investment Officers John P. Calamos, Sr. and Nick P.
Calamos, CFA, discusses the Funds performance, strategy
and positioning during the one-year period ended
October 31, 2009.
TOTAL
RETURN*
Common
Shares Inception 10/27/05
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Since
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1 Year
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Inception**
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On Market Price
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56.98%
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5.46%
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On NAV
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40.32%
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7.99%
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*Total return measures net investment income and net realized
gain or loss from portfolio investments, and change in net
unrealized appreciation or depreciation, assuming reinvestment
of income and net realized gains distributions.
**Annualized since inception.
Performance
Overview
The Calamos Global Total Return Fund (CGO) seeks total return
through a combination of capital appreciation and current income
by investing in a globally diversified portfolio of equities,
convertible securities and below-investment-grade (high-yield)
fixed-income securities. Our goal with CGO has been to prudently
maximize the distribution rate throughout the market cycle,
while keeping an eye toward risk.
The Funds fiscal year end results were very positive with
the net asset value up 40.32%. While results were positive, the
year was characterized by significant volatility. The period
began with a market in the midst of one of the most challenging
credit environments in history and fueled a broad decline across
all asset classes save for U.S. Treasuries. The market
eventually rebounded strongly as investors realized that the
U.S. and global economies were not headed to a
Depressionthis gave investors an opportunity to purchase
securities at extremely discounted prices. From March 9,
2009 to October 31, 2009, the markets rebounded off their
lows with the MSCI World Index climbing 61% while the BofA
Merrill Lynch High Yield Index was up 53% and the BofA Merrill
Lynch All Convertible Index was up 46%.
SECTOR
ALLOCATION
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Information Technology
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19.3
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%
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Energy
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19.0
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Materials
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12.5
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Financials
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11.2
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Health Care
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9.7
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Consumer Discretionary
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7.5
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Consumer Staples
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6.7
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Industrials
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5.1
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Telecommunication Services
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4.1
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Utilities
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0.5
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Sector Allocations are based on managed assets and may vary over
time. Sector Allocations exclude Sovereign Bonds, U.S.
Treasuries and certain index options that have representation
across all sectors.
SINCE
INCEPTION MARKET PRICE AND NAV HISTORY
As noted above, the Fund performed extremely well over the
twelve-month
period. CGOs NAV return of 40.32% strongly outpaced that
of the MSCI World, which was up 19.21% over the comparable
period.
Use of
Leverage
During the reporting period, the Fund reduced leverage for two
reasons. First, the decline in all asset classes outside of
treasuries hampered the Funds ability to utilize leverage.
As the Funds net assets declined, the Fund reduced
leverage to remain in
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Global Total Return Fund
Investment Team
Discussion ANNUAL
REPORT
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3
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Investment Team
Discussion
compliance with both the prospectus and legal requirements.
Second, given the level of volatility in the marketplace,
portfolio management also felt that a reduction in the amount of
leverage used by the Fund was appropriate. We believe that some
use of leverage is still favorable, as such, the amount of
leverage at the end of the fiscal year was 21.12% for CGO.
Despite the market volatility and the reduction of leverage, the
Fund was able to sustain its level rate distribution of $0.10
throughout the reporting period.
Outlook
Looking forward, we will continue to seek firms with strong
balance sheets, business models that may create sustainable
growth in an overall slow-growth global economy, and attractive
valuations. We believe that CGO is well positioned to
participate in what we expect to be a volatile market. We also
view the Funds current distribution rate of 8.59% on NAV
as very attractive in this low interest rate environment.
This report is presented for informational purposes only and
should not be considered investment advice.
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4
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Global Total Return Fund
ANNUAL
REPORT Investment Team
Discussion
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Schedule of
Investments
OCTOBER 31,
2009
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PRINCIPAL
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AMOUNT
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VALUE
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CORPORATE BONDS
(22.5%)
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Consumer Discretionary (5.9%)
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1,000,000
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Expedia,
Inc.~
7.456%, 08/15/18
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$
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1,062,500
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1,875,000
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Goodyear Tire & Rubber Companyµ
7.857%, 08/15/11
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1,917,187
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2,000,000
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Royal Caribbean Cruises, Ltd.µ
7.250%, 06/15/16
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1,870,000
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2,000,000
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Service Corp.
International~
7.500%, 04/01/27
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1,790,000
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6,639,687
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Consumer Staples (2.2%)
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230,000
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Del Monte Foods Company*
7.500%, 10/15/19
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234,600
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2,000,000
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Pilgrims Pride Corp.**
7.625%, 05/01/15
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2,240,000
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2,474,600
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Energy (2.2%)
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620,000
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Frontier Oil
Corp.~
8.500%, 09/15/16
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635,500
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1,000,000
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Petroplus Holdings, AG*
6.750%, 05/01/14
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940,000
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750,000
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Petróleo Brasileiro, SAµ
8.375%, 12/10/18
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883,125
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2,458,625
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Financials (0.9%)
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920,000
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Leucadia National Corp.µ
8.125%, 09/15/15
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936,100
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Health Care (1.7%)
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1,800,000
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HCA,
Inc.~
9.250%, 11/15/16
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1,885,500
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Industrials (1.9%)
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1,800,000
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H&E Equipment Service, Inc.µ
8.375%, 07/15/16
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1,741,500
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410,000
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SPX
Corp.~
7.625%, 12/15/14
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424,350
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2,165,850
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Information Technology (2.0%)
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2,230,000
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SunGard Data Systems,
Inc.~
9.125%, 08/15/13
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2,280,175
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Materials (2.8%)
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850,000
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Anglo American, PLC*
9.375%, 04/08/14
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993,668
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2,000,000
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Mosaic Company*
7.625%, 12/01/16
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2,154,116
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3,147,784
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Telecommunication Services (2.2%)
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1,700,000
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Frontier Communications
Corp.~
9.000%, 08/15/31
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1,687,250
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750,000
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Windstream
Corp.~
8.625%, 08/01/16
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774,375
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2,461,625
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Utilities (0.7%)
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1,000,000
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Energy Future Holdings Corp.
10.250%, 11/01/15
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715,000
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TOTAL CORPORATE BONDS
(Cost $24,534,395)
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25,164,946
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CONVERTIBLE BONDS
(25.5%)
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Energy (6.5%)
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1,200,000
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Acergy, SA
2.250%, 10/11/13
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1,134,600
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1,100,000
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Cameron International
Corp.~
2.500%, 06/15/26
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1,379,125
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1,790,000
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Chesapeake Energy Corp.
2.500%, 05/15/37
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1,544,575
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10,000,000
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HKD
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China Petroleum & Chemical Corp.
0.000%, 04/24/14
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1,406,711
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1,800,000
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Transocean, Ltd. Series Cµ
1.500%, 12/15/37
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1,737,000
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7,202,011
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Financials (0.7%)
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700,000
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Leucadia National
Corp.~
3.750%, 04/15/14
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812,000
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Health Care (2.1%)
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1,400,000
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China Medical Technologies, Inc.
4.000%, 08/15/13
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966,000
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1,200,000
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Teva Pharmaceutical Industries, Ltd.µ
0.250%, 02/01/26
|
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1,366,500
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2,332,500
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Industrials (1.9%)
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685,000
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Quanta Services, Inc.
3.750%, 04/30/26
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762,918
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|
|
600,000
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EUR
|
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SGL Carbon, AG
0.750%, 05/16/13
|
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856,028
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|
|
700,000
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Suntech Power Holdings Company, Ltd.
3.000%, 03/15/13
|
|
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529,375
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|
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2,148,321
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Information Technology (4.6%)
|
|
4,200,000
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EUR
|
|
Cap Gemini, SAµ
1.000%, 01/01/12
|
|
|
2,694,887
|
|
|
2,700,000
|
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Intel Corp.µ
2.950%, 12/15/35
|
|
|
2,484,000
|
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|
|
|
5,178,887
|
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|
|
|
|
|
|
|
Global Total Return Fund
Schedule of
Investments ANNUAL
REPORT
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5
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See accompanying Notes to Schedule
of Investments
Schedule of
Investments
OCTOBER 31,
2009
|
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PRINCIPAL
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AMOUNT
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VALUE
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Materials (8.2%)
|
|
1,000,000
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|
|
Anglo American, PLC
4.000%, 05/07/14
|
|
$
|
1,529,000
|
|
|
1,300,000
|
|
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AngloGold Ashanti, Ltd.
3.500%, 05/22/14
|
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1,449,361
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Newmont Mining Corp.µ
|
|
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1,350,000
|
|
|
1.625%, 07/15/17
|
|
|
1,596,375
|
|
|
1,100,000
|
|
|
3.000%, 02/15/12
|
|
|
1,329,625
|
|
|
700,000
|
|
|
Sino-Forest Corp.*
5.000%, 08/01/13
|
|
|
742,875
|
|
|
1,140,000
|
|
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Sterlite Industries, Ltd.
4.000%, 10/30/14
|
|
|
1,137,150
|
|
|
1,200,000
|
|
|
Xstrata, PLC
4.000%, 08/14/17
|
|
|
1,407,000
|
|
|
|
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|
|
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|
|
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|
|
|
|
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|
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9,191,386
|
|
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|
|
|
|
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|
|
|
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|
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Telecommunication Services (1.5%)
|
|
1,700,000
|
|
|
NII Holdings, Inc.µ
2.750%, 08/15/25
|
|
|
1,689,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $28,056,580)
|
|
|
28,554,480
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN BONDS (4.4%)
|
|
250,000
|
BRL
|
|
Federal Republic of Brazil
10.000%, 01/01/12
|
|
|
1,424,178
|
|
|
1,500,000
|
AUD
|
|
Government of Australia
6.250%, 06/15/14
|
|
|
1,401,863
|
|
|
930,000
|
NZD
|
|
Government of New Zealand
6.000%, 04/15/15
|
|
|
683,327
|
|
|
8,000,000
|
NOK
|
|
Government of Norway
4.250%, 05/19/17
|
|
|
1,427,824
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SOVEREIGN BONDS
(Cost $4,993,019)
|
|
|
4,937,192
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
CONVERTIBLE PREFERRED STOCKS
(8.8%)
|
|
|
|
|
Consumer Staples (1.7%)
|
|
22,000
|
|
|
Archer-Daniels-Midland Companyµ
6.250%
|
|
|
940,500
|
|
|
|
|
|
Bunge,
Ltd.~
|
|
|
|
|
|
7,800
|
|
|
4.875%
|
|
|
635,700
|
|
|
675
|
|
|
5.125%
|
|
|
393,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,969,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (3.5%)
|
|
17,000
|
|
|
American International Group, Inc.µ
8.500%
|
|
|
191,250
|
|
|
2,700
|
|
|
Bank of America Corp.µ
7.250%
|
|
|
2,260,818
|
|
|
1,600
|
|
|
Wells Fargo &
Company~
7.500%
|
|
|
1,432,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,884,068
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (3.6%)
|
|
1,150,000 CHF
|
|
|
Givaudan, SA
5.375%
|
|
|
846,891
|
|
|
34,000
|
|
|
Vale Capital, Ltd. (Companhia
Vale do Rio Doce)§
5.500%
|
|
|
1,667,700
|
|
|
20,000
|
|
|
Vale, SA
6.750%
|
|
|
1,511,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,025,591
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $9,836,514)
|
|
|
9,879,046
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
UNITS
|
|
|
|
VALUE
|
|
|
STRUCTURED EQUITY-LINKED
SECURITIES (3.2%) +*
|
|
|
|
|
Energy (1.9%)
|
|
17,487
|
|
|
Barclays Capital, Inc. (Noble
Corp.)
12.000%, 01/29/10
|
|
|
698,956
|
|
|
15,800
|
|
|
BNP Paribas, SA (ENSCO
International, Inc.)
12.000%, 01/29/10
|
|
|
709,420
|
|
|
22,000
|
|
|
Goldman Sachs Group, Inc.
(Cameron International Corp.)
12.000%, 02/16/10
|
|
|
759,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,167,816
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.6%)
|
|
20,000
|
|
|
Deutsche Bank, AG (Medtronic,
Inc.)
11.000%, 05/27/10
|
|
|
702,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.7%)
|
|
20,000
|
|
|
Credit Suisse Group (Barrick
Gold Corp.)
12.000%, 04/19/10
|
|
|
714,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL STRUCTURED
EQUITY-LINKED SECURITIES
(Cost $3,363,619)
|
|
|
3,584,616
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
COMMON STOCKS (61.3%)
|
|
|
|
|
Consumer Discretionary (3.6%)
|
|
90,000
|
CHF
|
|
Swatch Group, AGµ
|
|
|
4,036,164
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (4.6%)
|
|
33,000
|
|
|
Coca-Cola Companyµ
|
|
|
1,759,230
|
|
|
50,000
|
GBP
|
|
Diageo, PLCµ
|
|
|
814,400
|
|
|
55,000
|
CHF
|
|
Nestlé, SAµ
|
|
|
2,557,587
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,131,217
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
Global Total Return Fund
ANNUAL
REPORT Schedule of
Investments
|
See accompanying Notes to Schedule
of Investments
Schedule of
Investments
OCTOBER 31,
2009
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
|
|
|
|
Energy (13.5%)
|
|
100,000
|
NOK
|
|
Acergy, SA
|
|
$
|
1,249,082
|
|
|
90,000
|
GBP
|
|
AMEC, PLC
|
|
|
1,185,340
|
|
|
285,000
|
GBP
|
|
BP, PLC
|
|
|
2,670,519
|
|
|
21,000
|
|
|
Cameron International Corp.#
|
|
|
776,370
|
|
|
17,000
|
|
|
Chevron Corp.µ
|
|
|
1,301,180
|
|
|
70,000
|
|
|
Halliburton Company
|
|
|
2,044,700
|
|
|
73,000
|
CAD
|
|
Suncor Energy, Inc.
|
|
|
2,423,326
|
|
|
72,000
|
NOK
|
|
TGS Nopec Geophysical Company,
ASA#
|
|
|
1,091,914
|
|
|
40,000
|
EUR
|
|
TOTAL, SA
|
|
|
2,393,614
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,136,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (9.1%)
|
|
80,000
|
AUD
|
|
ASX, Ltd.µ
|
|
|
2,411,738
|
|
|
50,000
|
EUR
|
|
Banco Santander, SAµ
|
|
|
804,614
|
|
|
52,000
|
|
|
JPMorgan Chase &
Company~
|
|
|
2,172,040
|
|
|
70,300
|
GBP
|
|
Schroders, PLC
|
|
|
1,264,041
|
|
|
350,000
|
SGD
|
|
Singapore Exchange, Ltd.µ
|
|
|
1,983,384
|
|
|
65,000
|
GBP
|
|
Standard Chartered, PLC
|
|
|
1,594,578
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,230,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (7.9%)
|
|
29,000
|
|
|
Alcon, Inc.µ
|
|
|
4,140,910
|
|
|
39,000
|
|
|
Johnson & Johnsonµ
|
|
|
2,302,950
|
|
|
23,000
|
DKK
|
|
Novo Nordisk, A/S - Class Bµ
|
|
|
1,428,903
|
|
|
6,000
|
CHF
|
|
Roche Holding, AGµ
|
|
|
960,978
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,833,741
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.6%)
|
|
41,000
|
CHF
|
|
ABB, Ltd.µ#
|
|
|
762,656
|
|
|
52,000
|
|
|
General Electric Companyµ
|
|
|
741,520
|
|
|
16,000
|
EUR
|
|
Siemens, AGµ
|
|
|
1,445,872
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,950,048
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (17.9%)
|
|
117,000
|
GBP
|
|
Autonomy Corp., PLCµ#
|
|
|
2,572,437
|
|
|
37,000
|
JPY
|
|
Canon, Inc.µ
|
|
|
1,395,005
|
|
|
130,000
|
|
|
Dell, Inc.µ#
|
|
|
1,883,700
|
|
|
58,000
|
|
|
Infosys Technologies, Ltd.µ
|
|
|
2,668,000
|
|
|
92,000
|
TWD
|
|
MediaTek, Inc.
|
|
|
1,287,631
|
|
|
34,000
|
|
|
Microsoft Corp.µ
|
|
|
942,820
|
|
|
7,500
|
JPY
|
|
Nintendo Company, Ltd.µ
|
|
|
1,881,185
|
|
|
175,000
|
EUR
|
|
Nokia, OYJµ
|
|
|
2,210,467
|
|
|
100,000
|
BRL
|
|
Redecard, SA
|
|
|
1,484,446
|
|
|
65,000
|
EUR
|
|
SAP, AGµ
|
|
|
2,944,187
|
|
|
85,000
|
HKD
|
|
VTech Holdings, Ltd.µ
|
|
|
708,409
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,978,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.6%)
|
|
3,000
|
CHF
|
|
Syngenta, AG
|
|
|
710,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.5%)
|
|
38,000
|
|
|
América Móvil, SAB de CVµ
|
|
|
1,676,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $71,843,467)
|
|
|
68,683,181
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
PURCHASED OPTIONS
(0.3%)#
|
|
|
|
|
Consumer Discretionary (0.0%)
|
|
250
|
|
|
Grupo Televisa, SA
Call, 01/16/10, Strike $25.00
|
|
|
1,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%)
|
|
180
|
|
|
Sysco Corp.
Call, 01/16/10, Strike $30.00
|
|
|
2,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.0%)
|
|
130
|
CHF
|
|
ABB, Ltd.
Call, 06/18/10, Strike $24.00
|
|
|
7,983
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.3%)
|
|
|
|
|
SPDR Trust Series 1
|
|
|
|
|
|
600
|
|
|
Put, 11/21/09, Strike $95.00
|
|
|
45,000
|
|
|
550
|
|
|
Put, 12/19/09, Strike $101.00
|
|
|
169,125
|
|
|
300
|
|
|
Put, 11/21/09, Strike $98.00
|
|
|
33,450
|
|
|
300
|
|
|
Put, 12/19/09, Strike $97.00
|
|
|
59,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
307,275
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
(Cost $871,327)
|
|
|
319,383
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
SHARES
|
|
|
|
VALUE
|
|
|
SHORT TERM INVESTMENT
(2.0%)
|
|
2,271,885
|
|
|
Fidelity Prime Money Market
Fund - Institutional Class
(Cost $2,271,885)
|
|
|
2,271,885
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS IN SECURITIES (128.0%)
(Cost $145,770,806)
|
|
|
143,394,729
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-28.0%)
|
|
|
(31,380,530
|
)
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%)
|
|
$
|
112,014,199
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
WRITTEN OPTIONS (-1.8%)
#
|
|
|
|
|
Other (-1.8%)
|
|
|
|
|
iShares MSCI EAFE Index Fund
|
|
|
|
|
|
1,300
|
|
|
Call, 12/19/09, Strike $56.00
|
|
|
(139,750
|
)
|
|
900
|
|
|
Call, 12/19/09, Strike $48.00
|
|
|
(549,000
|
)
|
|
900
|
|
|
Call, 01/16/10, Strike $56.00
|
|
|
(126,000
|
)
|
|
650
|
|
|
Call, 12/19/09, Strike $49.00
|
|
|
(344,500
|
)
|
|
500
|
|
|
Call, 12/19/09, Strike $50.00
|
|
|
(225,000
|
)
|
|
400
|
|
|
Call, 01/16/10, Strike $57.00
|
|
|
(42,000
|
)
|
|
|
|
|
|
Global Total Return Fund
Schedule of
Investments ANNUAL
REPORT
|
|
|
|
7
|
See accompanying Notes to Schedule
of Investments
Schedule of
Investments
OCTOBER 31,
2009
|
|
|
|
|
|
|
|
|
NUMBER OF
|
|
|
|
|
CONTRACTS
|
|
|
|
VALUE
|
|
|
|
|
|
|
SPDR Trust Series 1
|
|
|
|
|
|
600
|
|
|
Call, 12/19/09, Strike $97.00
|
|
$
|
(511,500
|
)
|
|
500
|
|
|
Call, 11/21/09, Strike $108.00
|
|
|
(40,500
|
)
|
|
500
|
|
|
Call, 11/21/09, Strike $107.00
|
|
|
(55,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $1,730,397)
|
|
|
(2,033,750
|
)
|
|
|
|
|
|
|
|
|
|
NOTES TO
SCHEDULE OF INVESTMENTS
|
|
|
~
|
|
Security, or portion of security,
is segregated as collateral for written options aggregating a
total value of $16,379,202.
|
µ |
|
Security, or portion of security,
is held in a segregated account as collateral for note payable
aggregating a total value of $67,332,807.
|
* |
|
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. At October 31, 2009, the
value of 144A securities that could not be exchanged to the
registered form is $6,261,159 or 5.6% of net assets applicable
to common shareholders.
|
** |
|
Security is in default.
Pilgrims Pride Corp. filed for bankruptcy protection on
December 1, 2008.
|
+ |
|
Structured equity linked securities
are designed to simulate the characteristics of the security in
the parenthetical.
|
§
|
|
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
|
|
|
AUD
|
|
Australian Dollar
|
BRL
|
|
Brazilian Real
|
CAD
|
|
Canadian Dollar
|
CHF
|
|
Swiss Franc
|
DKK
|
|
Danish Krone
|
EUR
|
|
European Monetary Unit
|
GBP
|
|
British Pound Sterling
|
HKD
|
|
Hong Kong Dollar
|
JPY
|
|
Japanese Yen
|
NOK
|
|
Norwegian Krone
|
NZD
|
|
New Zealand Dollar
|
SGD
|
|
Singapore Dollar
|
TWD
|
|
New Taiwanese Dollar
|
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
shown on options represents the expiration date on the option
contract. The option contract may be exercised at any date on or
before the date shown.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
Fixed Rate
|
|
Floating Rate
|
|
Termination
|
|
Notional
|
|
Appreciation/
|
Counterparty
|
|
(Fund Pays)
|
|
(Fund Receives)
|
|
Date
|
|
Amount
|
|
(Depreciation)
|
|
|
BNP Paribas, SA
|
|
|
2.5350% quarterly
|
|
|
|
3 month LIBOR
|
|
|
|
03/09/14
|
|
|
$
|
12,000,000
|
|
|
$
|
(105,559
|
)
|
BNP Paribas, SA
|
|
|
2.0200% quarterly
|
|
|
|
3 month LIBOR
|
|
|
|
03/09/12
|
|
|
|
8,000,000
|
|
|
|
(128,371
|
)
|
BNP Paribas, SA
|
|
|
1.8525% quarterly
|
|
|
|
3 month LIBOR
|
|
|
|
09/14/12
|
|
|
|
7,000,000
|
|
|
|
(36,630
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(270,560
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
|
Global Total Return Fund
ANNUAL
REPORT Schedule of
Investments
|
See accompanying Notes to Financial
Statements
Schedule of
Investments
OCTOBER 31,
2009
CURRENCY
EXPOSURE OCTOBER 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
% of Total
Investments
|
|
|
|
U.S. Dollar
|
|
|
$84,338,466
|
|
|
|
59.7
|
%
|
|
|
European Monetary Unit
|
|
|
13,349,669
|
|
|
|
9.4
|
|
|
|
British Pound Sterling
|
|
|
10,101,315
|
|
|
|
7.1
|
|
|
|
Swiss Franc
|
|
|
9,882,603
|
|
|
|
7.0
|
|
|
|
Australian Dollar
|
|
|
3,813,601
|
|
|
|
2.7
|
|
|
|
Norwegian Krone
|
|
|
3,768,820
|
|
|
|
2.7
|
|
|
|
Japanese Yen
|
|
|
3,276,190
|
|
|
|
2.3
|
|
|
|
Brazilian Real
|
|
|
2,908,624
|
|
|
|
2.1
|
|
|
|
Canadian Dollar
|
|
|
2,423,326
|
|
|
|
1.7
|
|
|
|
Hong Kong Dollar
|
|
|
2,115,120
|
|
|
|
1.5
|
|
|
|
Singapore Dollar
|
|
|
1,983,384
|
|
|
|
1.4
|
|
|
|
Danish Krone
|
|
|
1,428,903
|
|
|
|
1.0
|
|
|
|
New Taiwanese Dollar
|
|
|
1,287,631
|
|
|
|
0.9
|
|
|
|
New Zealand Dollar
|
|
|
683,327
|
|
|
|
0.5
|
|
|
|
Total Investments Net of Written Options
|
|
|
$141,360,979
|
|
|
|
100.0
|
%
|
|
|
Currency exposure may vary over time.
|
|
|
|
|
Global Total Return Fund
Schedule of
Investments ANNUAL
REPORT
|
|
|
|
9
|
See accompanying Notes to Financial
Statements
Statement of Assets
and Liabilities
|
|
|
|
|
|
|
October 31, 2009
|
|
ASSETS
|
Investments in securities, at value (cost $145,770,806)
|
|
$
|
143,394,729
|
|
|
|
Cash with custodian (interest bearing)
|
|
|
61,782
|
|
|
|
Foreign currency (cost $38,818)
|
|
|
38,707
|
|
|
|
Receivables:
|
|
|
|
|
|
|
Accrued interest and dividends
|
|
|
997,839
|
|
|
|
Prepaid expenses
|
|
|
5,227
|
|
|
|
Other assets
|
|
|
36,775
|
|
|
|
|
|
Total assets
|
|
|
144,535,059
|
|
|
|
|
|
|
LIABILITIES
|
Options written, at value (premium $1,730,397)
|
|
|
2,033,750
|
|
|
|
Unrealized depreciation on interest rate swaps
|
|
|
270,560
|
|
|
|
Payables:
|
|
|
|
|
|
|
Note payable
|
|
|
30,000,000
|
|
|
|
Affiliates:
|
|
|
|
|
|
|
Investment advisory fees
|
|
|
122,476
|
|
|
|
Deferred compensation to trustees
|
|
|
36,775
|
|
|
|
Financial accounting fees
|
|
|
1,409
|
|
|
|
Trustees fees and officer compensation
|
|
|
229
|
|
|
|
Other accounts payable and accrued liabilities
|
|
|
55,661
|
|
|
|
|
|
Total liabilities
|
|
|
32,520,860
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
|
|
$
|
112,014,199
|
|
|
|
|
|
|
COMPOSITION OF NET ASSETS
APPLICABLE TO COMMON SHAREHOLDERS
|
Common stock, no par value, unlimited shares authorized
8,019,138 shares issued and outstanding
|
|
$
|
113,527,720
|
|
|
|
Undistributed net investment income (loss)
|
|
|
(586,291
|
)
|
|
|
Accumulated net realized gain (loss) on investments, foreign
currency transactions, written options and interest rate swaps
|
|
|
2,017,046
|
|
|
|
Unrealized appreciation (depreciation) of investments, foreign
currency translations, written options and interest rate swaps
|
|
|
(2,944,276
|
)
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
|
|
$
|
112,014,199
|
|
|
|
|
|
Net asset value per common shares based upon
8,019,138 shares issued and outstanding
|
|
$
|
13.97
|
|
|
|
|
|
|
|
|
10
|
|
Global Total Return Fund
ANNUAL
REPORT Statement of Assets
and Liabilities
|
See accompanying Notes to Financial
Statements
Statement of
Operations
|
|
|
|
|
|
|
Year Ended October 31, 2009
|
|
|
|
|
|
|
INVESTMENT INCOME
|
Interest
|
|
$
|
3,748,764
|
|
|
|
Dividends
|
|
|
2,850,737
|
|
|
|
Dividends from affiliates
|
|
|
42,156
|
|
|
|
Foreign taxes withheld
|
|
|
(120,160
|
)
|
|
|
|
|
Total investment income
|
|
|
6,521,497
|
|
|
|
|
|
|
EXPENSES
|
Investment advisory fees
|
|
|
1,265,579
|
|
|
|
Interest expense and related fees
|
|
|
845,882
|
|
|
|
Deferred debt structuring fee
|
|
|
77,995
|
|
|
|
Transfer agent fees
|
|
|
29,259
|
|
|
|
Registration fees
|
|
|
26,034
|
|
|
|
Custodian fees
|
|
|
24,261
|
|
|
|
Printing and mailing fees
|
|
|
21,850
|
|
|
|
Trustees fees and officer compensation
|
|
|
18,983
|
|
|
|
Financial accounting fees
|
|
|
14,643
|
|
|
|
Accounting fees
|
|
|
9,192
|
|
|
|
Legal fees
|
|
|
4,710
|
|
|
|
Audit fees
|
|
|
4,366
|
|
|
|
Other
|
|
|
7,411
|
|
|
|
|
|
Total expenses
|
|
|
2,350,165
|
|
|
|
Less expense reductions
|
|
|
(6,839
|
)
|
|
|
|
|
Net expenses
|
|
|
2,343,326
|
|
|
|
|
|
NET INVESTMENT INCOME (LOSS)
|
|
|
4,178,171
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN
(LOSS)
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
Investments, excluding purchased options
|
|
|
(785,458
|
)
|
|
|
Purchased options
|
|
|
9,322,286
|
|
|
|
Foreign currency transactions
|
|
|
63,087
|
|
|
|
Written options
|
|
|
(3,251,345
|
)
|
|
|
Interest rate swaps
|
|
|
(140,134
|
)
|
|
|
Change in net unrealized appreciation/(depreciation) on:
|
|
|
|
|
|
|
Investments, excluding purchased options
|
|
|
33,419,726
|
|
|
|
Purchased options
|
|
|
(9,850,024
|
)
|
|
|
Foreign currency translations
|
|
|
11,755
|
|
|
|
Written options
|
|
|
(496,637
|
)
|
|
|
Interest rate swaps
|
|
|
(270,560
|
)
|
|
|
|
|
NET GAIN (LOSS)
|
|
|
28,022,696
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
|
$
|
32,200,867
|
|
|
|
|
|
|
|
|
|
|
Global Total Return Fund
Statement of
Operations ANNUAL
REPORT
|
|
|
|
11
|
See accompanying Notes to Financial
Statements
Statements of
Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
|
|
|
|
2009
|
|
2008
|
|
|
|
|
OPERATIONS
|
Net investment income (loss)
|
|
$
|
4,178,171
|
|
|
$
|
5,867,286
|
|
|
|
Net realized gain (loss)
|
|
|
5,208,436
|
|
|
|
7,787,601
|
|
|
|
Change in unrealized appreciation/(depreciation)
|
|
|
22,814,260
|
|
|
|
(79,757,537
|
)
|
|
|
Distributions to preferred shareholders from:
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
(742,082
|
)
|
|
|
Net realized gains
|
|
|
|
|
|
|
(758,895
|
)
|
|
|
|
|
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations
|
|
|
32,200,867
|
|
|
|
(67,603,627
|
)
|
|
|
|
|
|
DISTRIBUTIONS TO COMMON
SHAREHOLDERS FROM
|
Net investment income
|
|
|
(9,361,460
|
)
|
|
|
(9,167,996
|
)
|
|
|
Net realized gains
|
|
|
(698,540
|
)
|
|
|
(1,841,607
|
)
|
|
|
|
|
Net decrease in net assets from distributions to common
shareholders
|
|
|
(10,060,000
|
)
|
|
|
(11,009,603
|
)
|
|
|
|
|
|
CAPITAL STOCK
TRANSACTIONS
|
Offering costs on common shares
|
|
|
(46,028
|
)
|
|
|
(181,038
|
)
|
|
|
Reinvestment of distributions resulting in the issuance of
common stock
|
|
|
163,025
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets from capital stock
transactions
|
|
|
116,997
|
|
|
|
(181,038
|
)
|
|
|
|
|
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
|
|
|
22,257,864
|
|
|
|
(78,794,268
|
)
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
|
Beginning of year
|
|
$
|
89,756,335
|
|
|
$
|
168,550,603
|
|
|
|
|
|
End of year
|
|
|
112,014,199
|
|
|
|
89,756,335
|
|
|
|
|
|
Undistributed net investment income (loss)
|
|
$
|
(586,291
|
)
|
|
$
|
(346,634
|
)
|
|
|
|
|
|
12
|
|
Global Total Return Fund
ANNUAL
REPORT Statements of
Changes in Net Assets
|
See accompanying Notes to Financial
Statements
Statement of Cash
Flows
|
|
|
|
|
|
|
Year Ended October 31, 2009
|
|
|
|
|
|
|
|
|
CASH FLOWS FROM OPERATING
ACTIVITIES:
|
Net increase/(decrease) in net assets from operations
|
|
$
|
32,200,867
|
|
|
|
Adjustments to reconcile net increase/(decrease) in net assets
from operations to net cash used in operating activities:
|
|
|
|
|
|
|
Change in unrealized appreciation or depreciation on interest
rate swaps
|
|
|
270,560
|
|
|
|
Change in written options
|
|
|
1,049,613
|
|
|
|
Purchase of investment securities
|
|
|
(89,597,036
|
)
|
|
|
Proceeds from disposition of investment securities
|
|
|
103,709,166
|
|
|
|
Amortization and accretion of fixed-income securities
|
|
|
(812,679
|
)
|
|
|
Purchase of short term investments, net
|
|
|
1,174,845
|
|
|
|
Net realized gains/losses from investments, excluding purchased
options
|
|
|
785,458
|
|
|
|
Net realized gains/losses from purchased options
|
|
|
(9,322,286
|
)
|
|
|
Change in unrealized appreciation or depreciation on
investments, excluding purchased options
|
|
|
(33,419,726
|
)
|
|
|
Change in unrealized appreciation or depreciation on purchased
options
|
|
|
9,850,024
|
|
|
|
Net change in assets and liabilities:
|
|
|
|
|
|
|
(Increase)/decrease in assets:
|
|
|
|
|
|
|
Accrued interest and dividends receivable
|
|
|
200,243
|
|
|
|
Prepaid expenses
|
|
|
80,083
|
|
|
|
Other assets
|
|
|
(18,392
|
)
|
|
|
(Increase)/decrease in liabilities:
|
|
|
|
|
|
|
Payables to affiliates
|
|
|
22,656
|
|
|
|
Other accounts payable and accrued liabilities
|
|
|
(82,475
|
)
|
|
|
|
|
Net cash provided by/(used in) operating activities
|
|
$
|
16,090,921
|
|
|
|
|
|
|
CASH FLOWS FROM FINANCING
ACTIVITIES:
|
Offering costs related to common shares sold
|
|
|
(114,461
|
)
|
|
|
Distributions to common shareholders
|
|
|
(9,896,975
|
)
|
|
|
Proceeds from note payable
|
|
|
(6,000,000
|
)
|
|
|
|
|
Net cash provided by/(used in) financing activities
|
|
$
|
(16,011,436
|
)
|
|
|
|
|
Net increase/(decrease) in cash and foreign currency*
|
|
$
|
79,485
|
|
|
|
|
|
Cash and foreign currency at beginning of year
|
|
$
|
21,004
|
|
|
|
|
|
Cash and foreign currency at end of year
|
|
$
|
100,489
|
|
|
|
|
|
Supplemental disclosure
|
|
|
|
|
|
|
Cash paid for interest and related fees
|
|
$
|
850,570
|
|
|
|
|
|
Non-cash financing activities not
included herein consist of reinvestment of dividends and
distributions of $163,025.
|
|
|
*
|
|
Includes net change in unrealized
appreciation or depreciation on foreign currency of ($111)
|
|
|
|
|
|
Global Total Return Fund
Statement of Cash
Flows ANNUAL
REPORT
|
|
|
|
13
|
See accompanying Notes to Financial
Statements
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 Funds investment
objective is to provide total return through a combination of
capital appreciation and current income.
Fund Valuation. The valuation of the Funds
securities 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 last current
reported sales price at the time a 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 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 are generally traded in the
over-the-counter market and are valued by independent pricing
services or by dealers who make markets in such securities.
Valuations of fixed income securities consider yield or price of
bonds 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 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
Funds NAV is not calculated.
If the pricing committee determines that the valuation of a
security in accordance with the methods described above is not
reflective of a fair value for such security, the security 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 Funds 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.
|
|
|
14
|
|
Global Total Return Fund
ANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
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. 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.
Investment in Affiliates. As of October 31, 2008,
the Fund had holdings of $3,446,730 in the affiliated fund,
Calamos Government Money Market Fund, and as of October 31,
2009, had no holdings in the affiliated fund. During the period
from November 1, 2008 through October 31, 2009, the
Fund had net redemptions of $3,446,730 and earned $42,156 in
dividends from the affiliated fund. The Calamos Government Money
Market Fund was liquidated on May 15, 2009 and no
subsequent investments were made in the affiliated fund
thereafter.
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.
Use of Estimates. The preparation of financial statements
in conformity with U.S. generally accepted accounting principles
requires management to make estimates and assumptions that
affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those
estimates.
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 and Calamos
Global Dynamic 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 Funds 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 its taxable income and net realized gains.
Dividends and distributions paid to 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 on fixed
income securities. The financial statements are not adjusted for
temporary differences.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements ANNUAL
REPORT
|
|
|
|
15
|
Notes to Financial
Statements
The Fund recognized no liability for unrecognized tax benefits.
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
2005-2008
remain subject to examination by the U.S. and the State of
Illinois tax jurisdictions.
Indemnifications. Under the Funds 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 Funds 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 Funds management expects the risk of
material loss in connection to a potential claim to be remote.
New Accounting Pronouncements. Effective November 1,
2008, the Fund adopted the provisions of the Statement of
Financial Accounting Standard No. 157, Fair Value
Measurements (SFAS 157). SFAS 157 defines
fair value, establishes a framework for measuring fair value and
expands disclosures about fair value measurements. SFAS 157
requires disclosure surrounding the various inputs used to
determine a valuation, and these inputs are segregated into
three levels. Tables summarizing the Funds investments
under these levels are shown in the Notes to Financial
Statements, Note 9 Valuations.
Effective November 1, 2008, the Fund adopted the Statement
of Financial Accounting Standards No. 161, Disclosures
about Derivative Instruments and Hedging Activities
(SFAS 161). SFAS 161 requires that objectives for
using derivative instruments be disclosed in terms of underlying
risk and accounting designation. The required disclosures are
reflected in the Schedules of Investments, Statements of
Operations, and in the Notes to Financial Statements,
Note 6 Derivative Instruments.
Subsequent Events. Subsequent events have been evaluated
through December 17, 2009, the date that the financial
statements were available to be issued. All subsequent events
determined to be relevant and material to the financial
statements have been appropriately recorded or disclosed.
NOTE 2
INVESTMENT ADVISOR 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. Managed assets means a
funds total assets (including any assets attributable to
any leverage that may be outstanding) minus total liabilities
(other than debt representing financial leverage). Calamos
Advisors has agreed to waive a portion of its advisory fee
charged to the Fund equal to the advisory fee paid by Calamos
Government Money Market Fund (GMMF, which was an
affiliated fund and a series of Calamos Investments Trust)
attributable to the Funds investment in GMMF, based on
daily net assets. For the year ended October 31, 2009, the
total advisory fee waived pursuant to such agreement was $6,839
and is included in the Statement of Operations under the caption
Less expense reductions.
The Fund reimburses Calamos Advisors for a portion of
compensation paid to the Funds Chief Compliance Officer.
This compensation is reported as part of Trustees
fees and officer compensation expense on the Statement of
Operations.
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,
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 and Calamos
Global Dynamic 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.
|
|
|
16
|
|
Global Total Return Fund
ANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
A trustee and certain officers of the Fund are also officers and
directors of Calamos Advisors. Such trustee and officers serve
without direct compensation from the Fund.
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 his
compensation from the Fund. The deferred compensation payable to
the participating trustee is credited to the trustees
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 investments of
$36,775 are included in Other assets on the
Statement of Assets and Liabilities at October 31, 2009.
The Funds 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, 2009.
NOTE 3
INVESTMENTS
The cost of purchases and proceeds from the sale of long-term
investments, for the year ended October 31, 2009 were as
follows:
|
|
|
|
|
|
|
Cost of purchases
|
|
$
|
78,085,358
|
|
|
|
Proceeds from sales
|
|
|
83,937,037
|
|
|
|
The following information is presented on a federal income tax
basis as of October 31, 2009. Differences between the cost
basis under U.S. generally accepted accounting principles and
federal income tax purposes are primarily due to temporary
differences.
The cost basis of investments for federal income tax purposes at
October 31, 2009 was as follows:
|
|
|
|
|
|
|
Cost basis of Investments
|
|
$
|
145,965,210
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
|
11,674,493
|
|
|
|
|
|
|
|
|
|
Gross unrealized depreciation
|
|
|
(14,244,974
|
)
|
|
|
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
(2,570,481
|
)
|
|
|
|
|
|
|
|
|
NOTE 4
INCOME TAXES
For the year ended October 31, 2009, the Fund recorded the
following permanent reclassifications to reflect tax character.
The results of operations and net assets were not affected by
these reclassifications.
|
|
|
|
|
|
|
Undistributed net investment income/(loss)
|
|
$
|
4,943,632
|
|
|
|
Accumulated net realized gain/(loss) on investments
|
|
|
(4,943,632
|
)
|
|
|
The Fund intends to make monthly distributions from its income
available for distribution, which consists of the Funds
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.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements ANNUAL
REPORT
|
|
|
|
17
|
Notes to Financial
Statements
Distributions were characterized for federal income tax purposes
as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
Year Ended
|
|
|
|
|
October 31, 2009
|
|
October 31, 2008
|
|
|
|
|
Distributions paid from:
|
|
|
|
|
|
|
|
|
|
|
Ordinary income
|
|
|
$9,361,460
|
|
|
$
|
9,765,379
|
|
|
|
Long-term capital gains
|
|
|
698,540
|
|
|
|
2,753,397
|
|
|
|
As of October 31, 2009, the components of accumulated
earnings/(loss) on a tax basis were as follows:
|
|
|
|
|
|
|
Undistributed ordinary income
|
|
$
|
1,664,682
|
|
|
|
Undistributed capital gains
|
|
|
|
|
|
|
|
|
|
|
|
|
Total undistributed earnings
|
|
|
1,664,682
|
|
|
|
Accumulated capital and other losses
|
|
|
|
|
|
|
Net unrealized gains/(losses)
|
|
|
(3,138,680
|
)
|
|
|
|
|
|
|
|
|
Total accumulated earnings/(losses)
|
|
|
(1,473,998
|
)
|
|
|
Other
|
|
|
(39,523
|
)
|
|
|
Paid-in capital
|
|
|
113,527,720
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders
|
|
$
|
112,014,199
|
|
|
|
|
|
|
|
|
|
NOTE 5
COMMON SHARES
There are unlimited common shares of beneficial interest
authorized and 8,019,138 shares outstanding at
October 31, 2009. Calamos Advisors owned 9,751 of the
outstanding shares at October 31, 2009. Transactions in
common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
|
|
October 31, 2009
|
|
|
October 31, 2008
|
|
|
|
|
Beginning shares
|
|
|
8,006,981
|
|
|
|
8,006,981
|
|
|
|
Shares issued through reinvestment of distributions
|
|
|
12,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ending shares
|
|
|
8,019,138
|
|
|
|
8,006,981
|
|
|
|
|
|
|
|
|
|
Notice is hereby given in accordance with Section 23(c) of
the Investment Company Act of 1940 that the Fund may from time
to time purchase its shares of common stock in the open market.
NOTE 6
DERIVATIVE INSTRUMENTS
Foreign Currency Risk. The Fund may engage in portfolio
hedging with respect to changes in currency exchange rates by
entering into foreign currency contracts to purchase or sell
currencies. A forward foreign currency contract is a commitment
to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts
include, among other things, movement in the value of the
foreign currency relative to the U.S. dollar and the ability of
the counterparty to perform. The net unrealized gain, if any,
represents the credit risk to the Fund on a forward foreign
currency contract. The contracts are valued daily at forward
foreign exchange rates and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is
closed or upon settlement of the contracts. There were no open
forward currency contracts at October 31, 2009.
Equity Risk. The Fund may engage in option transactions
and in doing so achieve the 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
|
|
|
18
|
|
Global Total Return Fund
ANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
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
Funds 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 in determining whether the Fund has realized a
gain or loss. 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.
As of October 31, 2009, the Fund had outstanding purchased
options and/or written options as listed on the Schedule of
Investments. For the year ended October 31, 2009, the Fund
had the following transactions in options written:
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Contracts
|
|
|
Premiums Received
|
|
|
|
|
Options outstanding at October 31, 2008
|
|
|
4,910
|
|
|
$
|
1,177,421
|
|
|
|
Options written
|
|
|
33,420
|
|
|
|
8,386,340
|
|
|
|
Options closed
|
|
|
(32,080
|
)
|
|
|
(7,833,364
|
)
|
|
|
Options exercised
|
|
|
|
|
|
|
|
|
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options outstanding at October 31, 2009
|
|
|
6,250
|
|
|
$
|
1,730,397
|
|
|
|
Interest Rate Risk. The Fund may engage in interest rate
swaps primarily to manage duration and yield curve risk, as
alternatives to direct investments, or to hedge the interest
rate risk on the funds borrowings (see
Note 7 Borrowings). An interest rate swap is a
contract that involves the exchange of one type of interest rate
for another type of interest rate. Three main types of interest
rate swaps are coupon swaps (fixed rate to floating rate in the
same currency); basis swaps (one floating rate index to another
floating rate index in the same currency); and cross-currency
interest rate swaps (fixed rate in one currency to floating rate
in another). In the case of a coupon swap, a Fund may agree with
a counterparty that the Fund will pay a fixed rate (multiplied
by a notional amount) while the counterparty will pay a floating
rate multiplied by the same notional amount. If interest rates
rise, resulting in a diminution in the value of the Funds
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) 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. 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.
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,
counterpartys creditworthiness, and the possible lack of
liquidity with respect to the contracts.
As of October 31, 2009, the Fund had outstanding interest
rate swap agreements as listed on the Schedule of Investments.
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements ANNUAL
REPORT
|
|
|
|
19
|
Notes to Financial
Statements
Below are the types of derivatives in the Fund by gross value as
of October 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Liabilities
|
|
|
Statement of Assets &
|
|
|
|
Statement of Assets &
|
|
|
|
|
Liabilities Location
|
|
Value
|
|
Liabilities Location
|
|
Value
|
|
|
Derivative Type:
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchased options
|
|
Investments in securities
|
|
$
|
319,383
|
|
|
Written options
|
|
$
|
2,033,750
|
|
Interest Rate contracts
|
|
Unrealized appreciation on swaps
|
|
|
|
|
|
Unrealized depreciation on swaps
|
|
|
270,560
|
|
VOLUME OF DERIVATIVE ACTIVITY FOR THE TWELVE MONTHS ENDED
OCTOBER 31, 2009*
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
Purchased options
|
|
|
15,400
|
|
|
|
Written options
|
|
|
33,420
|
|
|
|
Foreign currency contracts
|
|
|
|
|
|
|
Interest rate swaps
|
|
$
|
27,000,000
|
|
|
|
Credit swaps
|
|
|
|
|
|
|
|
|
|
* |
|
Activity during the period is
measured by opened number of contracts for options and opened
notional amount for swap contracts.
|
NOTE 7
BORROWINGS
The Fund, with the approval of its Board of Trustees, including
its independent Trustees, has entered into a financing package
that includes a Committed Facility Agreement (the Agreement)
with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of
America N.A.) (BNP) that allows the Fund to
borrow up to an initial limit of $59,000,000 and a Lending
Agreement, as defined below. The Agreement with BNP replaced the
outstanding auction rate preferred securities, and an initial
draw-down of $59,000,000 under the Agreement was utilized to pay
off outstanding indebtedness under the outstanding auction rate
preferred securities in its entirety. Borrowings under the
Agreement are secured by assets of the Fund that are held with
the Funds custodian in a separate account (the
pledged collateral). Interest is charged at the
quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on
the amount borrowed and .85% on the undrawn balance. For the
year ended October 31, 2009, the average borrowings under
the Agreement and the average interest rate were $30,263,014 and
1.98%, respectively. As of October 31, 2009, the amount of
such outstanding borrowings is $30,000,000. The interest rate
applicable to the borrowings on October 31, 2009 was 1.23%.
The Lending Agreement is a separate side-agreement between the
Fund and BNP pursuant to which BNP may borrow a portion of the
pledged collateral (the Lent Securities) in an
amount not to exceed the outstanding borrowings owed by the Fund
to BNP under the Agreement. The Lending Agreement is intended to
permit the Fund to significantly reduce the cost of its
borrowings under the Agreement. BNP may re-register the Lent
Securities in its own name or in another name other than the
Fund, and may pledge, re-pledge, sell, lend or otherwise
transfer or use the Lent Securities with all attendant rights of
ownership. (It is the Funds understanding that BNP will
perform due diligence to determine the creditworthiness of any
party that borrows Lent Securities from BNP.) The Fund may
designate any security within the pledged collateral as
ineligible to be a Lent Security, provided there are eligible
securities within the pledged collateral in an amount equal to
the outstanding borrowing owed by the Fund. During the period in
which the Lent Securities are outstanding, BNP must remit
payment to the Fund equal to the amount of all dividends,
interest or other distributions earned or made by the Lent
Securities.
Under the terms of the Lending Agreement, the Lent Securities
are marked to market daily, and if the value of the Lent
Securities exceeds the value of the then-outstanding borrowings
owed by the Fund to BNP under the Agreement (the Current
Borrowings), BNP must, on that day, either (1) return
Lent Securities to the Funds custodian in an amount
sufficient to cause the value of the outstanding Lent Securities
to equal the Current Borrowings; or (2) post cash
collateral with the Funds custodian equal to the
difference between the value of the Lent Securities and the
value of the Current Borrowings. If BNP fails to perform either
of these actions as required, the Fund will recall securities,
as discussed below, in an amount sufficient to cause the value
of the outstanding Lent Securities to equal the Current
Borrowings. The Fund can recall any of the Lent Securities and
BNP shall, to the extent
|
|
|
20
|
|
Global Total Return Fund
ANNUAL
REPORT Notes to Financial
Statements
|
Notes to Financial
Statements
commercially possible, return such security or equivalent
security to the Funds custodian no later than three
business days after such request. If the Fund recalls a Lent
Security pursuant to the Lending Agreement, and BNP fails to
return the Lent Securities or equivalent securities in a timely
fashion, BNP shall remain liable to the Funds custodian
for the ultimate delivery of such Lent Securities, or equivalent
securities, and for any buy-in costs that the executing broker
for the sales transaction may impose with respect to the failure
to deliver. The Fund shall also have the right to apply and
set-off an amount equal to one hundred percent (100%) of the
then-current fair market value of such Lent Securities against
the Current Borrowings.
NOTE 8
STRUCTURED EQUITY LINKED SECURITIES
The Fund may also invest in structured equity-linked securities
created by third parties, typically investment banks. Structured
equity linked securities created by such parties may be designed
to simulate the characteristics of traditional convertible
securities or may be designed to alter or emphasize a particular
feature. Traditional convertible securities typically offer
stable cash flows with the ability to participate in capital
appreciation of the underlying common stock. Because traditional
convertible securities are exercisable at the option of the
holder, the holder is protected against downside risk.
Structured equity-linked securities may alter these
characteristics by offering enhanced yields in exchange for
reduced capital appreciation or less downside protection, or any
combination of these features. Structured equity-linked
instruments may include structured notes, equity-linked notes,
mandatory convertibles and combinations of securities and
instruments, such as a debt instrument combined with a forward
contract. Income received from these securities are recorded as
dividends on the Statement of Operations.
NOTE 9
VALUATIONS
Various inputs are used to determine the value of the
Funds investments. These inputs are categorized into three
broad levels as follows:
|
|
|
|
|
Level 1 assets and liabilities use inputs from unadjusted
quoted prices from active markets (including securities actively
traded on a securities exchange).
|
|
|
|
Level 2 assets and liabilities reflect inputs other than
quoted prices, but use observable market data (including quoted
prices of similar securities, interest rates, credit risk, etc.).
|
|
|
|
Level 3 assets and liabilities are valued using
unobservable inputs (including the Funds own judgments
about assumptions market participants would use in determining
fair value).
|
|
|
|
|
|
Global Total Return Fund
Notes to Financial
Statements ANNUAL
REPORT
|
|
|
|
21
|
Notes to Financial
Statements
The following is a summary of the inputs used in valuing the
Funds assets and liabilities at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
Value of
|
|
Other
|
|
|
|
|
Investment
|
|
Financial
|
Valuation Inputs
|
|
Securities
|
|
Instruments
|
|
|
Level 1
|
|
Quoted Prices
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
26,318,132
|
|
|
$
|
|
|
|
|
Convertible Preferred Stocks
|
|
|
8,003,268
|
|
|
|
|
|
|
|
Purchased Options
|
|
|
319,383
|
|
|
|
|
|
|
|
Written Options
|
|
|
|
|
|
|
(2,033,750
|
)
|
|
|
Short Term Investments
|
|
|
2,271,885
|
|
|
|
|
|
Level 2
|
|
Other significant observable inputs
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
42,365,049
|
|
|
|
|
|
|
|
Convertible Bonds
|
|
|
28,554,480
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
|
25,164,946
|
|
|
|
|
|
|
|
Sovereign Bonds
|
|
|
4,937,192
|
|
|
|
|
|
|
|
Convertible Preferred Stocks
|
|
|
1,875,778
|
|
|
|
|
|
|
|
Structured Equity-Linked Securities
|
|
|
3,584,616
|
|
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
|
|
|
|
(270,560
|
)
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
$
|
143,394,729
|
|
|
$
|
(2,304,310
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22
|
|
Global Total Return Fund
ANNUAL
REPORT Notes to Financial
Statements
|
Financial Highlights
Selected data for
a share outstanding throughout each period were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October 27,
|
|
|
|
|
|
|
2005*
|
|
|
|
|
|
|
through
|
|
|
|
|
Year Ended October 31,
|
|
October 31,
|
|
|
|
|
|
|
|
2009
|
|
2008
|
|
2007
|
|
2006
|
|
2005
|
|
|
|
Net asset value, beginning of period
|
|
|
$11.21
|
|
|
|
$21.05
|
|
|
|
$16.31
|
|
|
|
$14.29
|
|
|
|
$14.32 (a
|
)
|
|
|
|
|
Income from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.52
|
**
|
|
|
0.74
|
**
|
|
|
0.96
|
**
|
|
|
0.86
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
3.51
|
|
|
|
(9.00
|
)
|
|
|
5.38
|
|
|
|
2.40
|
|
|
|
|
|
|
|
|
|
Distributions to preferred shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share equivalent basis)
|
|
|
|
|
|
|
(0.09
|
)
|
|
|
(0.39
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
Net realized gains (common share equivalent basis)
|
|
|
|
|
|
|
(0.09
|
)
|
|
|
--(b
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
4.03
|
|
|
|
(8.44
|
)
|
|
|
5.95
|
|
|
|
2.97
|
|
|
|
|
|
|
|
|
|
Less distributions to common shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1.17
|
)
|
|
|
(1.15
|
)
|
|
|
(1.09
|
)
|
|
|
(0.65
|
)
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(0.09
|
)
|
|
|
(0.23
|
)
|
|
|
(0.12
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
Capital charge resulting from issuance of common and preferred
shares and related offering costs
|
|
|
(0.01
|
)
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
(0.11
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
Net asset value, end of period
|
|
|
$13.97
|
|
|
|
$11.21
|
|
|
|
$21.05
|
|
|
|
$16.31
|
|
|
|
$14.29
|
|
|
|
|
|
Market value, end of period
|
|
|
$13.30
|
|
|
|
$9.54
|
|
|
|
$19.51
|
|
|
|
$15.62
|
|
|
|
$15.00
|
|
|
|
|
|
Total investment return based
on:(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
40.32
|
%
|
|
|
(41.78
|
)%
|
|
|
38.30
|
%
|
|
|
20.77
|
%
|
|
|
(0.24
|
)%
|
|
|
|
|
Market value
|
|
|
56.98
|
%
|
|
|
(46.54
|
)%
|
|
|
33.84
|
%
|
|
|
10.19
|
%
|
|
|
0.00
|
%
|
|
|
|
|
Net assets, end of period (000)
|
|
|
$112,014
|
|
|
|
$89,756
|
|
|
|
$168,551
|
|
|
|
$130,588
|
|
|
|
$114,439
|
|
|
|
|
|
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000s omitted)
|
|
|
$
|
|
|
|
$
|
|
|
|
$59,000
|
|
|
|
$59,000
|
|
|
|
$
|
|
|
|
|
|
Ratios to average net assets applicable to common shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
expenses(d)
|
|
|
2.43
|
%
|
|
|
2.28
|
%
|
|
|
1.72
|
%
|
|
|
1.70
|
%
|
|
|
1.33
|
%(e)
|
|
|
|
|
Gross expenses prior to expense reductions and earnings
credits(d)
|
|
|
2.44
|
%
|
|
|
2.29
|
%
|
|
|
1.72
|
%
|
|
|
1.70
|
%
|
|
|
3.37
|
%(e)
|
|
|
|
|
Net investment income
(loss)(d)
|
|
|
4.34
|
%
|
|
|
4.08
|
%
|
|
|
5.37
|
%
|
|
|
5.57
|
%
|
|
|
(1.33
|
)%(e)
|
|
|
|
|
Preferred share distributions
|
|
|
|
%
|
|
|
0.52
|
%
|
|
|
2.17
|
%
|
|
|
1.89
|
%
|
|
|
0.00
|
%(e)
|
|
|
|
|
Net investment income (loss), net of preferred share
distributions from net investment income
|
|
|
4.34
|
%
|
|
|
3.56
|
%
|
|
|
3.20
|
%
|
|
|
3.68
|
%
|
|
|
0.00
|
%(e)
|
|
|
|
|
Portfolio turnover rate
|
|
|
65
|
%
|
|
|
82
|
%
|
|
|
85
|
%
|
|
|
32
|
%
|
|
|
0
|
%
|
|
|
|
|
Average commission rate paid
|
|
|
$0.0167
|
|
|
|
$0.0830
|
|
|
|
$0.0377
|
|
|
|
$0.0258
|
|
|
|
$
|
|
|
|
|
|
Asset coverage per preferred share, at end of
period(f)
|
|
|
$
|
|
|
|
$
|
|
|
|
$96,423
|
|
|
|
$80,358
|
|
|
|
$
|
|
|
|
|
|
Asset coverage per $1,000 of loan
outstanding(g)
|
|
|
$4,734
|
|
|
|
$3,493
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
*
|
|
Commencement of operations.
|
|
**
|
|
Net investment income allocated
based on average shares method.
|
|
(a)
|
|
Net of sales load of $0.675 on
initial shares issued and beginning net asset value of $14.325.
|
|
(b)
|
|
Amount equated to less than $0.005
per common share.
|
|
(c)
|
|
Total investment return is
calculated assuming a purchase of common stock on the opening of
the first day and a sale on the closing of the last day of the
period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices
obtained under the Funds dividend reinvestment plan. Total
return is not annualized for periods less than one year.
Brokerage commissions are not reflected. NAV per share is
determined by dividing the value of the Funds portfolio
securities, cash and other assets, less all liabilities, by the
total number of common shares outstanding. The common share
market price is the price the market is willing to pay for
shares of the Fund at a given time. Common share market price is
influenced by a range of factors, including supply and demand
and market conditions.
|
|
(d)
|
|
Does not reflect the effect of
dividend payments to Preferred Shareholders.
|
|
(e)
|
|
Annualized.
|
|
(f)
|
|
Calculated by subtracting the
Funds total liabilities (not including Preferred Shares)
from the Funds total assets and dividing this by the
number of Preferred Shares outstanding.
|
|
(g)
|
|
Calculated by subtracting the
Funds total liabilities (not including Note payable) and
preferred shares from the Funds total assets and dividing
this by the amount of note payable outstanding, and by
multiplying the result by 1,000,
|
|
|
|
|
|
Global Total Return Fund
Financial
Highlights ANNUAL
REPORT
|
|
|
|
23
|
Report of
Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Calamos Global
Total Return Fund
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of Calamos
Global Total Return Fund (the Fund) as of October
31, 2009, and the related statements of operations and cash
flows for the year then ended, the statements of changes in net
assets for each of the two years in the period then ended, and
the financial highlights for each of the four years in the
period then ended and for the period from October 27, 2005
(commencement of operations) through October 31, 2005. These
financial statements and financial highlights are the
responsibility of the Funds management. Our responsibility
is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those
standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an
audit of its internal control over financial reporting. Our
audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds
internal control over financial reporting. Accordingly, we
express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our
procedures included confirmation of securities owned as of
October 31, 2009, by correspondence with the Funds
custodian and brokers. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all material
respects, the financial position of the Fund as of October 31,
2009, the results of its operations and cash flows for the year
then ended, the changes in its net assets for each of the two
years in the period then ended, and the financial highlights for
each of the four years in the period then ended and for the
period from October 27, 2005 (commencement of operations)
through October 31, 2005, in conformity with accounting
principles generally accepted in the United States of America.
Chicago, Illinois
December 17, 2009
|
|
|
24
|
|
Global Total Return Fund
ANNUAL
REPORT Report of
Independent Registered Public Accounting Firm
|
Trustee Approval of
Management Agreement (unaudited)
The Board of Trustees of the Fund oversees the management of the
Fund, and, as required by law, determines annually whether to
continue the Funds management agreement with Calamos
Advisors under which Calamos Advisors serves as the investment
manager and administrator for the Fund. The Independent
Trustees, who comprise more than 80% of the Board, have
never been affiliated with Calamos Advisors.
In connection with their most recent consideration regarding the
continuation of the management agreement, the Trustees received
and reviewed a substantial amount of information provided by
Calamos Advisors in response to detailed requests of the
Independent Trustees and their independent legal counsel. In the
course of their consideration of the agreement, the Independent
Trustees were advised by their counsel and, in addition to
meeting with management of Calamos Advisors, they met separately
in executive session with their counsel.
At a meeting held on June 17, 2009, based on their
evaluation of the information referred to above and other
information, the Trustees determined that the overall
arrangements between the Fund and Calamos Advisors were fair and
reasonable in light of the nature, extent and quality of the
services provided by Calamos Advisors and its affiliates, the
fees charged for those services and other matters that the
Trustees considered relevant in the exercise of their business
judgment. At that meeting, the Trustees, including all of the
Independent Trustees, approved the continuation of the
management agreement through July 31, 2010, subject to
possible earlier termination as provided in the agreement.
In connection with its consideration of the management
agreement, the Board considered, among other things:
(i) the nature, quality and extent of the Advisers
services, (ii) the investment performance of the Fund as
well as performance information for comparable funds,
(iii) the fees and other expenses paid by the Fund as well
as expense information for comparable funds, (iv) the
profitability of the Adviser and its affiliates from their
relationship with the Fund, (v) whether economies of scale
may be realized as the Fund grows and whether fee levels share
with Fund investors economies of scale and (vi) other
benefits to the Adviser from its relationship with the Fund. In
the Boards deliberations, no single factor was responsible
for the Boards decision to approve continuation of the
management agreements.
Nature, Extent and Quality of Services. The
Boards consideration of the nature, extent and quality of
the Advisers services to the Fund took into account the
knowledge gained from the Boards meetings with the Adviser
throughout the prior year. In addition, the Board considered:
the Advisers long-term history of managing the Fund; the
consistency of investment approach; the background and
experience of the Advisers investment personnel
responsible for managing the Fund; the Advisers
performance as administrator of the Fund, including, among other
things, in the areas of brokerage selection, trade execution,
compliance and shareholder communications; and frequent
favorable recognition of the Adviser in the media and in
industry publications. The Board also reviewed the
Advisers resources and key personnel involved in providing
investment management services to the Fund, including the time
that investment personnel devote to the Fund and the investment
results produced by the Advisers in-house research. The
Board also noted the significant personal investments that the
Advisers key investment personnel have made in the Fund,
which further aligns the interests of the Adviser and its
personnel with those of the Funds shareholders. The Board
also considered compliance reports about the Adviser from the
Funds Chief Compliance Officer. The Board concluded that
the nature, extent and quality of the services provided by the
Adviser to the Fund were appropriate and consistent with the
management agreements and that the Fund was likely to continue
to benefit from services provided under its management agreement
with the Adviser.
Investment Performance of the Fund. The Board
considered the Funds investment performance over various
time periods, including how the Fund performed compared to the
median performance of a group of comparable funds (the
Funds Universe Median) selected by Lipper,
Inc., an independent data service provider. The performance
periods considered by the Board ended on March 31, 2009.
Where available, the Board considered one-, three-, five- and
ten-year performance.
The Board considered the Funds net asset value
performance, noting that the Fund outperformed its Universe
Median during the one- and three-year periods. For the reasons
noted above, the Board concluded that continuation of the
management agreement for the Fund was in the best interest of
the Fund and its shareholders.
|
|
|
|
|
Global Total Return Fund
Trustee Approval of Management
Agreement ANNUAL
REPORT
|
|
|
|
25
|
Trustee Approval of
Management Agreement (unaudited)
Costs of Services Provided and Profits Realized by the
Adviser. Using information provided by Lipper,
the Board evaluated the Funds actual management fee rate
compared to the median management fee rate for other mutual
funds similar in size, character and investment strategy (the
Funds Expense Group), and the Funds
total expense ratio compared to the median total expense ratio
of the Funds Expense Group.
The Board considered that the Funds management fee rate
after reimbursement is lower than the median of the Funds
Expense Group, although the Funds total expense ratio is
higher than the median of the Funds Expense Group. The
Board also considered, however, that the Funds contractual
management fee rate at a common asset level is equal to the
median of the Funds Expense Group. The Board, in its
consideration of expenses, also took into account its review of
the Funds performance.
The Board also reviewed the Advisers management fee rates
for its institutional separate accounts and for its
sub-advised
funds (for which the Adviser provides portfolio management
services only). The Board noted that while, generally, the rates
of fees paid by those clients were lower than the rates of fees
paid by the Fund, the differences reflected the Advisers
significantly broader scope of services regarding the Fund, and
the more extensive regulatory obligations and risks associated
with managing the Fund.
The Board also considered the Advisers costs in serving as
the Funds investment adviser and manager, including costs
associated with technology, infrastructure and compliance
necessary to manage the Fund. The Board reviewed the
Advisers methodology for allocating costs among the
Advisers lines of business. The Board also considered
information regarding the structure of the Advisers
compensation program for portfolio managers, analysts and
certain other employees and the relationship of such
compensation to the attraction and retention of quality
personnel. Finally, the Board reviewed information on the
profitability of the Adviser in serving as the Funds
investment manager and of the Adviser and its affiliates in all
of their relationships with the Fund, as well as an explanation
of the methodology utilized in allocating various expenses among
the Fund and the Advisers other business units. Data was
provided to the Board with respect to profitability, both on a
pre- and post-marketing cost basis. The Board also reviewed the
annual report of the Advisers parent company and discussed
its corporate structure.
After its review of all the matters addressed, including those
outlined above, the Board concluded that the rate of management
fee paid by the Fund to the Adviser was reasonable in light of
the nature and quality of the services provided.
Economies of Scale and Fee Levels Reflecting Those
Economies. In reviewing the Funds fees and
expenses, the Trustees examined the potential benefits of
economies of scale and whether any economies of scale should be
reflected in the Funds fee structure. They noted that the
Fund has had a relatively stable asset base since commencement
of operation and that there do not appear to have been any
significant economies of scale realized since that time.
Other Benefits Derived from the Relationship with the
Fund. The Board also considered other benefits
that accrue to the Adviser and its affiliates from their
relationship with the Fund. The Board concluded that, other than
the services to be provided by the Adviser and its affiliates
pursuant to their agreements with the Fund and the fees payable
by the Fund therefore, the Fund and the Adviser may potentially
benefit from their relationship with each other in other ways.
The Board also considered the Advisers use of a portion of
the commissions paid by the Fund on their portfolio brokerage
transactions to obtain research products and services benefiting
the Fund
and/or other
clients of the Adviser and concluded, based on reports from the
Funds Chief Compliance Officer, that the Advisers
use of soft commission dollars to obtain research
products and services was consistent with regulatory
requirements.
After full consideration of the above factors as well as other
factors that were instructive in their consideration, the
Trustees, including all of the Independent Trustees, concluded
that the continuation of the management agreement with the
Adviser was in the best interest of the Fund and its
shareholders.
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26
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Global Total Return Fund
ANNUAL
REPORT Trustee
Approval of Management Agreement
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Tax Information
(unaudited)
We are providing this information as required by the Internal
Revenue Code (Code). The amounts shown may differ from those
elsewhere in this report due to differences between tax and
financial reporting requirements. In January 2010, shareholders
will receive
Form 1099-DIV
which will include their share of qualified dividends and
capital gains distributed during the calendar year 2009.
Shareholders are advised to check with their tax advisors for
information on the treatment of these amounts on their
individual income tax returns.
Under Section 852(b)(3)(C) of the Code, the Fund hereby
designates $698,540 as capital gain dividends for the fiscal
year ended October 31, 2009.
Under Section 854(b)(2) of the Code, the Fund hereby
designates $2,188,414 or the maximum amount allowable under the
Code, as qualified dividends for the fiscal year ended
October 31, 2009.
Under Section 854(b)(2) of the Code, the Fund hereby
designates 8.79% of the ordinary income dividends as income
qualifying for the corporate dividends received deduction for
the fiscal year ended October 31, 2009.
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Global Total Return Fund
Tax
Information ANNUAL
REPORT
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27
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Trustees &
Officers (unaudited)
The management of the Trust, including general supervision of
the duties performed for each Fund under the investment
management agreement between the Trust and Calamos Advisors, is
the responsibility of its board of trustees. Each trustee
elected will hold office for the lifetime of the Trust or until
such trustees earlier resignation, death or removal;
however, each trustee who is not an interested person of the
Trust shall retire as a trustee at the end of the calendar year
in which the trustee attains the age of 72 years.
The following table sets forth each trustees name, age at
October 31, 2009, position(s) with the Trust, number of
portfolios in the Calamos Fund Complex overseen, principal
occupation(s) during the past five years and other directorships
held, and date first elected or appointed. Each trustee oversees
each Fund of the Trust.
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Portfolios in
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Fund
ComplexÙ
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Principal Occupation(s)
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Name and Age
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Position(s) with Trust
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Overseen
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and Other Directorships
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Trustees who are interested persons of the Trust:
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John P. Calamos, Sr., 69*
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Trustee and President (since 2005)
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19
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Chairman, CEO, and Co-Chief Investment Officer Calamos Asset
Management, Inc. (CAM), Calamos Holdings LLC
(CHLLC) and Calamos Advisors LLC and its predecessor
(Calamos Advisors), and President and Co-Chief
Investment Officer, Calamos Financial Services LLC and its
predecessor (CFS); Director, CAM
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Trustees who are not interested persons of the Trust:
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Joe F. Hanauer, 72**
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Trustee (since 2005)
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19
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Private investor; Chairman and Director, Move, Inc., (internet
provider of real estate information and products); Director,
Combined Investments, L.P. (investment management)
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Weston W. Marsh, 59
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Trustee (since 2005)
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19
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Of Counsel and, until December 31, 2006, Partner,
Freeborn & Peters (law firm)
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John E. Neal, 59
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Trustee (since 2005)
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19
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Private investor; formerly Managing Director, Banc One Capital
Markets, Inc. (investment banking)
(2000-2004);
Director, Focused Health Services (private disease management
company), Equity Residential (publicly-owned REIT); Partner,
Private Perfumery LLC (private label perfume company); Linden
LLC (health care private equity) and Greenspire Properties LLC
(private homebuilder and real estate development company)
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William R. Rybak, 58
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Trustee (since 2005)
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19
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Private investor; formerly Executive Vice President and Chief
Financial Officer, Van Kampen Investments, Inc. and subsidiaries
(investment manager); Director, Howe Barnes Hoefer Arnett, Inc.
(investment services firm) and PrivateBancorp, Inc. (bank
holding company); Trustee, JNL Series Trust, JNL Investors
Series Trust and JNL Variable Fund LLC***
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Stephen B. Timbers, 65
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Trustee (since 2005); Lead
Independent Trustee (since 2005)
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19
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Private investor; formerly Vice Chairman, Northern
Trust Corporation (bank holding company); formerly
President and Chief Executive Officer, Northern
Trust Investments, N.A. (investment manager); formerly
President, Northern Trust Global Investments, a division of
Northern Trust Corporation and Executive Vice President,
The Northern Trust Corporation
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David D. Tripple, 65
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Trustee (since 2006)
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19
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Private investor; Trustee, Century Shares Trust and Century
Small Cap Select Fund****
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*
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Mr. Calamos is an interested person of the
Trust as defined in the 1940 Act because he is an affiliate of
Calamos Advisors and CFS. Mr. Calamos is the uncle of Nick P.
Calamos, Vice President of the Trust.
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**
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Mr. Hanauer will retire as of December 31, 2009, in
accordance with the boards retirement policy with respect
to independent trustees. There is no current intention to fill
such vacancy.
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***
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Overseeing 109 portfolios in fund complex
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****
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Overseeing 2 portfolios in fund complex
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Ù
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The Fund Complex consists of
CALAMOS Investment Trust, CALAMOS Advisors Trust, CALAMOS
Convertible Opportunities and Income Fund, CALAMOS Convertible
and High Income Fund, CALAMOS Strategic Total Return Fund,
CALAMOS Global Total Return Fund and CALAMOS Global Dynamic
Income Fund.
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The address of each trustee is 2020 Calamos Court, Naperville,
Illinois 60563.
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28
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Global Total Return Fund
ANNUAL
REPORT Trustees &
Officers
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Trustees &
Officers (unaudited)
Officers. The preceding table gives information about
John P. Calamos, Sr., who is president of the Trust. The
following table sets forth each other officers name, age
at October 31, 2009, position with the Trust and date first
appointed to that position, and principal occupation(s) during
the past five years. Each officer serves until his or her
successor is chosen and qualified or until his or her
resignation or removal by the board of trustees.
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Principal Occupation(s)
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Name and Age
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Position(s) with Trust
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During Past 5 Years
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Nimish S. Bhatt, 46
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Vice President and Chief Financial Officer (since 2007)
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Senior Vice President and Director of Operations, CAM, CHLLC,
Calamos Advisors and CFS (since 2004); prior thereto, Senior
Vice President, Alternative Investments and Tax Services, The
BISYS Group, Inc.
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Nick P. Calamos, 48
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Vice President (since 2004)
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Senior Executive Vice President and Co-Chief Investment Officer,
CAM, CHLLC, Calamos Advisors and CFS
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James J. Boyne, 43
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Vice President (since 2008)
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Senior Vice President, General Counsel and Secretary, Calamos
Advisors (since 2008); prior thereto, Chief Operating Officer,
General Counsel and Executive Managing Director of McDonnell
Investment Management, LLC
(2001-2008)
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Stathy Darcy, 43
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Secretary (since 2007)
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Vice President and Deputy General Counsel Mutual
Funds, Calamos Advisors (since 2006); prior thereto, Partner,
Chapman and Cutler LLP (law firm)
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Mark Mickey, 58
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Chief Compliance Officer (since 2005)
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Chief Compliance Officer, Calamos Funds (since 2005) and
Chief Compliance Officer, Calamos Advisors
(2005-2006);
Director of Risk Assessment and Internal Audit, Calamos Advisors
(2003-2005);
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The address of each officer is 2020 Calamos Court, Naperville,
IL 60563.
Proxy Voting Policies. A description of the CALAMOS Proxy
Voting Policies and Procedures is available by calling
(800)5826959, by visiting its website at
www.calamos.com or by writing CALAMOS at: CALAMOS INVESTMENTS,
Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563,
and on the Securities and Exchange Commissions website at
www.sec.gov.
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Global Total Return Fund
Trustees &
Officers ANNUAL
REPORT
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29
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What is a
Closed-End Fund?
A closed-end fund is a publicly traded investment company that
raises its initial investment capital through the issuance of a
fixed number of shares to investors in a public offering. Shares
of a closed-end fund are listed on a stock exchange or traded in
the over-the-counter market. Like all investment companies, a
closed-end fund is professionally managed and offers investors a
unique investment solution based on its investment objective
approved by the funds Board of Directors.
Potential
Advantages of Closed-End Fund Investing
Defined Asset Pool Allows Efficient Portfolio
ManagementAlthough closed- end fund shares trade
actively on a securities exchange, this doesnt affect the
closed-end fund manager because there are no new investors
buying into or selling out of the funds portfolio.
More Flexibility in the Timing and Price of
TradesInvestors can purchase and sell shares of
closed-end funds throughout the trading day, just like the
shares of other publicly traded securities.
Lower Expense RatiosThe expense ratios
of closed-end funds are oftentimes less than those of mutual
funds. Over time, a lower expense ratio could enhance investment
performance.
Closed-End Structure Makes Sense for Less-Liquid
Asset ClassesA closed-end structure makes sense for
investors considering less-liquid asset classes, such as
high-yield bonds or micro-cap stocks.
Ability to Put Leverage to
WorkClosed-end funds may issue senior securities (such
as preferred shares or debentures) or borrow money to
leverage their investment positions.
No Minimum Investment Requirements
OPEN-END
MUTUAL FUNDS VERSUS CLOSED-END FUNDS
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Open-End Fund
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Closed-End Fund
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Issues new shares on an ongoing basis
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Issues a fixed number of shares
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Issues equity shares
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Can issue senior securities such as preferred shares and bonds
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Sold at NAV plus any sales charge
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Price determined by the marketplace
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Sold through the funds distributor
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Traded in the secondary market
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Fund redeems shares at NAV calculated at the close of business
day
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Fund does not redeem shares
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Global Total Return Fund
About Closed-End
Funds ANNUAL
REPORT
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33
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Calamos Investments offers several convenient means to monitor,
manage and feel confident about your Calamos investment choice.