CALAMOS GLOBAL TOTAL RETURN FUND — Interim / Quarterly Report 2017

Mar 3, 2017

N-Q 1 cvxe-nq_013117.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21547

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

| ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: | 2020 Calamos Court, Naperville Illinois 60563-2787 | | --- | --- | | NAME AND ADDRESS OF AGENT FOR SERVICE: | John P. Calamos, Sr., Chairman, CEO and Co-CIO Calamos Advisors LLC, 2020 Calamos Court, Naperville, Illinois 60563-2787 |

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

DATE OF FISCAL YEAR END: October 31, 2017

DATE OF REPORTING PERIOD: January 31, 2017

ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
Corporate
Bonds (10.2%)
	Consumer
Discretionary (5.8%)
333,000		CCO
Holdings, LLC / CCO Holdings Capital Corp.µ 6.625%, 01/31/22	$ 344,004
1,455,000		Dana
Financing Luxembourg Sarlµ* 6.500%, 06/01/26	1,545,937
815,000		L Brands,
Inc.µ 5.625%, 02/15/22	856,769
900,000		Service
Corp. International 7.500%, 04/01/27	1,057,500
680,000		Sirius
XM Radio, Inc.µ* 6.000%, 07/15/24	724,200
1,385,000		Toll
Brothers Finance Corp.µ^ 4.000%, 12/31/18	1,427,416
			5,955,826
	Health
Care (2.1%)
685,000		Acadia
Healthcare Company, Inc.µ 6.500%, 03/01/24	716,253
1,355,000		HCA
Holdings, Inc.µ 5.875%, 05/01/23	1,448,157
			2,164,410
	Industrials
(0.8%)
860,000		Icahn
Enterprises, LPµ 4.875%, 03/15/19	872,900
	Information
Technology (0.7%)
695,000		First
Data Corp.µ* 7.000%, 12/01/23	738,003
	Materials
(0.8%)
800,000		New
Gold, Inc.µ* 6.250%, 11/15/22	804,500
	TOTAL
CORPORATE BONDS (Cost $10,146,926)		10,535,639
Convertible
Bonds (39.2%)
	Consumer
Discretionary (9.8%)
700,000	EUR	Bayer
Capital Corp., BV* 5.625%, 11/22/19	851,357
2,360,000		Ctrip.com
International, Ltd. 1.000%, 07/01/20	2,486,012
740,000		DISH
Network Corp.µ* 3.375%, 08/15/26	864,731
1,120,000		Liberty
Interactive, LLC*^ 1.750%, 09/30/46	1,261,663
1,790,000		Priceline
Group, Inc.µ 0.350%, 06/15/20	2,404,811
795,000		Tesla
Motors, Inc.µ 1.250%, 03/01/21	748,791
1,550,000		Toll
Brothers Finance Corp.µ 0.500%, 09/15/32	1,529,517
			10,146,882
	Energy
(2.4%)
720,000		Nabors
Industries, Inc.µ* 0.750%, 01/15/24	729,274

| PRINCIPAL AMOUNT — 315,000 | | PDC Energy, Inc.µ 1.125%, 09/15/21 | VALUE — $ 356,326 | | --- | --- | --- | --- | | 800,000 | | SEACOR Holdings, Inc.µ 2.500%, 12/15/27 | 841,520 | | 400,000 | | Tullow Oil Jersey, Ltd. 6.625%, 07/12/21 | 519,907 | | | | | 2,447,027 | | | Financials (6.4%) | | | | 896,000 | | Ares Capital Corp.µ 4.750%, 01/15/18 | 915,031 | | 1,100,000 | EUR | AURELIUS Equity Opportunities SE & Co. KGaA 1.000%, 12/01/20 | 1,460,015 | | 2,800,000 | EUR | Azimut Holding, S.p.A. 2.125%, 11/25/20 | 3,226,622 | | 1,361,000 | CAD | Element Fleet Management Corp.µ* 4.250%, 06/30/20 | 1,072,965 | | | | | 6,674,633 | | | Industrials (5.6%) | | | | 525,000 | | Air Lease Corp.µ 3.875%, 12/01/18 | 734,039 | | 1,400,000 | GBP | Carillion Finance Jersey, Ltd. 2.500%, 12/19/19 | 1,676,873 | | 615,000 | | Dycom Industries, Inc.µ 0.750%, 09/15/21 | 670,236 | | 750,000 | | Haitian International Holdings, Ltd. 2.000%, 02/13/19 | 753,971 | | 1,200,000 | | Larsen & Toubro, Ltd. 0.675%, 10/22/19 | 1,160,720 | | 500,000 | | MISUMI Group, Inc. 0.000%, 10/22/18 | 767,281 | | | | | 5,763,120 | | | Information Technology (6.1%) | | | | 700,000 | EUR | BE Semiconductor Industries, NV 2.500%, 12/02/23 | 778,740 | | 655,000 | | Cypress Semiconductor Corp.µ* 4.500%, 01/15/22 | 752,693 | | 720,000 | | Finisar Corp.µ* 0.500%, 12/15/36 | 726,408 | | | | FireEye, Inc. | | | 538,000 | | 1.625%, 06/01/35 | 481,055 | | 499,000 | | 1.000%, 06/01/35^ | 461,505 | | 720,000 | | Nice Systems, Inc.* 1.250%, 01/15/24 | 768,856 | | 850,000 | | Twitter, Inc. 0.250%, 09/15/19 | 796,922 | | 655,000 | | WebMD Health Corp.µ 2.500%, 01/31/18 | 673,674 | | 715,000 | | Workday, Inc.µ 0.750%, 07/15/18 | 826,465 | | | | | 6,266,318 | | | Materials (2.8%) | | | | | | Cemex, SAB de CV | | | 670,000 | | 3.720%, 03/15/20^ | 771,566 | | 344,000 | | 3.750%, 03/15/18 | 411,902 | | 989,000 | | Newmont Mining Corp.µ 1.625%, 07/15/17 | 1,016,712 |

See accompanying Notes to Schedule of Investments

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Global Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

| PRINCIPAL AMOUNT — 709,000 | | Silver Standard Resources, Inc.µ 2.875%, 02/01/33 | VALUE — $ 691,640 | | --- | --- | --- | --- | | | | | 2,891,820 | | | Real Estate (3.7%) | | | | 1,650,000 | | AYC Finance, Ltd. 0.500%, 05/02/19 | 1,718,976 | | 720,000 | | Colony Starwood Homesµ* 3.500%, 01/15/22 | 729,756 | | 600,000 | EUR | Grand City Properties, SA 0.250%, 03/02/22 | 651,305 | | 685,000 | | Spirit Realty Capital, Inc.µ 3.750%, 05/15/21 | 716,476 | | | | | 3,816,513 | | | Telecommunication Services (2.4%) | | | | 900,000 | EUR | América Móvil, SAB de CV 0.000%, 05/28/20 | 939,924 | | 1,400,000 | | Telenor East Holding II AS 0.250%, 09/20/19 | 1,582,700 | | | | | 2,522,624 | | | Total Convertible Bonds (Cost $42,942,805) | | 40,528,937 |

| NUMBER

OF SHARES		VALUE
Convertible
Preferred Stocks (12.0%)
Financials
(0.6%)
550	Wells
Fargo & Company 7.500%	660,578
Health
Care (2.8%)
2,640	Allergan,
PLCµ 5.500%	2,089,534
17,100	Anthem,
Inc.µ 5.250%	828,324
		2,917,858
Information
Technology (0.8%)
7,325	Belden,
Inc.µ 6.750%	784,214
Real
Estate (0.8%)
8,500	American
Tower Corp.µ 5.250%	867,085
Telecommunication
Services (4.3%)
23,775	Alibaba
Exchangeable (Softbank)*§ 5.750%	2,940,373
14,300	T-Mobile
USA, Inc.µ 5.500%	1,460,888
		4,401,261
Utilities
(2.7%)
2,989	Dominion
Resources, Inc.µ 6.750%	151,692
31,975	Exelon
Corp.µ 6.500%	1,585,000
	NextEra
Energy, Inc.µ
12,100	6.371%	712,932

| NUMBER

OF SHARES — 7,500		6.123%	VALUE — $ 375,525
			2,825,149
	Total Convertible Preferred Stocks (Cost $12,466,151)		12,456,145
Common
Stocks (75.6%)
	Consumer
Discretionary (8.0%)
25,000		D.R.
Horton, Inc.µ	747,750
9,300	EUR	Daimler,
AG	699,424
5,300		Home
Depot, Inc.	729,174
6,200	ZAR	Naspers,
Ltd. - Class Nµ	987,734
21,600		Nike,
Inc. - Class B	1,142,640
9,840	DKK	Pandora,
A/Sµ	1,289,520
13,300		Starbucks
Corp.	734,426
34,200	JPY	Toyota
Motor Corp.µ	1,988,828
			8,319,496
	Consumer
Staples (10.7%)
14,300	EUR	Anheuser-Busch
InBev SA^	1,493,178
17,254		Coca-Cola
Companyµ^	717,249
85,000	GBP	Diageo,
PLC	2,361,117
35,390	JPY	Japan
Tobacco, Inc.~	1,141,524
15,300	CHF	Nestlé,
SA	1,120,948
17,100		Philip
Morris International, Inc.	1,643,823
17,750	EUR	Unilever,
NVµ	719,972
10,800		Wal-Mart
Stores, Inc.µ^	720,792
13,600		Walgreens
Boots Alliance, Inc.	1,114,384
			11,032,987
	Energy
(7.1%)
15,250		Anadarko
Petroleum Corp.µ	1,060,333
21,800	CAD	Canadian
Natural Resources, Ltd.µ	659,068
7,000		EOG
Resources, Inc.µ	711,060
14,715		Exxon
Mobil Corp.	1,234,441
44,065	EUR	Royal
Dutch Shell, PLC - Class Aµ	1,193,698
13,100		Schlumberger,
Ltd.^	1,096,601
16,340	EUR	TOTAL,
SAµ	826,725
25,700	CAD	Tourmaline
Oil Corp.µ#	600,802
			7,382,728
	Financials
(11.4%)
141,608	HKD	AIA
Group, Ltd.	881,525
71,400		Bank
of America Corp.µ	1,616,496
26,700		Citigroup,
Inc.µ^	1,490,661
285,000	JPY	Daiwa
Securities Group, Inc.~	1,817,240
27,700		Fifth
Third Bancorp^	722,970
23,400		JPMorgan
Chase & Companyµ^	1,980,342
18,300		Morgan
Stanley	777,567
6,700		PNC
Financial Services Group, Inc.	807,082
30,000		Wells
Fargo & Company	1,689,900
			11,783,783
	Health
Care (6.5%)
41,000	JPY	Chugai
Pharmaceutical Company, Ltd.µ~	1,204,933
12,575		Johnson
& Johnson	1,424,119
21,050		Merck
& Company, Inc.	1,304,890
18,130	CHF	Novartis,
AG~	1,338,493
19,650	DKK	Novo
Nordisk, A/S - Class Bµ	710,146

See accompanying Notes to Schedule of Investments

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Global Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

| NUMBER OF SHARES — 3,100 | CHF | Roche Holding, AG | VALUE — $ 734,540 | | --- | --- | --- | --- | | | | | 6,717,121 | | | Industrials (6.8%) | | | | 40,000 | GBP | Ashtead Group, PLC~ | 810,975 | | 111,500 | HKD | CK Hutchison Holdings, Ltd. | 1,342,932 | | 10,500 | | Eaton Corp., PLC | 743,190 | | 11,600 | JPY | FANUC Corp.~ | 2,277,391 | | 24,400 | | General Electric Companyµ^ | 724,680 | | 6,500 | | United Technologies Corp. | 712,855 | | 14,500 | GBP | Weir Group, PLC~ | 367,323 | | | | | 6,979,346 | | | Information Technology (19.6%) | | | | 5,440 | | Alphabet, Inc. - Class Aµ# | 4,461,834 | | 25,300 | | Apple, Inc. | 3,070,155 | | 7,300 | | Automatic Data Processing, Inc.µ | 737,227 | | 5,800 | | Baidu, Inc.µ^# | 1,015,406 | | 3,900 | | Broadcom, Ltd. | 778,050 | | 9,100 | | Facebook, Inc. - Class A# | 1,185,912 | | 29,000 | | Microsoft Corp. | 1,874,850 | | 26,100 | | QUALCOMM, Inc.µ^ | 1,394,523 | | 300 | KRW | Samsung Electronics Co., Ltd. | 510,233 | | 16,300 | EUR | SAP SEµ | 1,490,638 | | 318,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,881,867 | | 11,000 | CHF | Temenos Group, AG# | 799,846 | | 40,500 | HKD | Tencent Holdings, Ltd.µ | 1,066,929 | | | | | 20,267,470 | | | Materials (1.6%) | | | | 20,400 | EUR | CRH, PLC~ | 707,588 | | 26,400 | | Newmont Mining Corp.µ^ | 957,792 | | | | | 1,665,380 | | | Real Estate (0.6%) | | | | 19,000 | EUR | Vonovia, SEµ | 622,495 | | | Telecommunication Services (3.3%) | | | | 34,200 | | AT&T, Inc.µ^ | 1,441,872 | | 25,000 | JPY | Nippon Telegraph & Telephone Corp.~ | 1,104,308 | | 11,500 | JPY | SoftBank Group Corp. | 885,957 | | | | | 3,432,137 | | | Total Common Stocks (Cost $81,801,362) | | 78,202,943 |

| NUMBER

OF CONTRACTS
Purchased
Option (0.2%) #
	Other
(0.2%)
650	SPDR S&P 500 ETF Trust Put, 03/17/17, Strike $225.00 (Cost $275,441)	174,200

| NUMBER

OF SHARES
Short
Term Investments (3.4%)
1,767,201	Fidelity
Prime Money Market Fund - Institutional Class	1,767,907

| NUMBER

OF SHARES — 1,763,737	VALUE — $ 1,763,737
Total
Short Term Investments (Cost $3,531,644)	3,531,644
TOTAL
INVESTMENTS (140.6%) (Cost $151,164,329)	145,429,508
LIABILITIES, LESS OTHER ASSETS (-40.6%)	(41,987,593	)
NET ASSETS (100.0%)	$ 103,441,915

| NUMBER

OF CONTRACTS		VALUE
WRITTEN OPTION (-0.1%) #
	Other
(-0.1%)
650	SPDR S&P 500 ETF Trust Put, 03/17/17, Strike $215.00
	(Premium
$118,754)	(60,775	)

| NOTES

TO SCHEDULE OF INVESTMENTS
µ	Security, or portion of security, is held in a
segregated account as collateral for note payable aggregating a total value of $64,422,441. $7,223,718 of the collateral
has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).
*	Securities issued and sold pursuant to a Rule
144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities
may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities
must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
^	Security, or portion of security, is on loan.
§	Securities exchangeable or convertible into securities
of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
~	Security, or portion of security, is segregated
as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such
securities is $8,077,449.
#	Non-income producing security.

| FOREIGN

CURRENCY ABBREVIATIONS
CAD	Canadian Dollar
CHF	Swiss Franc
DKK	Danish Krone
EUR	European Monetary Unit
GBP	British Pound Sterling
HKD	Hong Kong Dollar
JPY	Japanese Yen
KRW	South Korean Won
TWD	New Taiwan Dollar
ZAR	South African Rand

See accompanying Notes to Schedule of Investments

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Global Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

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

See accompanying Notes to Schedule of Investments

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Global Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2017 (UNAUDITED)

| INTEREST

RATE SWAP
					UNREALIZED
	FIXED
RATE	FLOATING
RATE	TERMINATION	NOTIONAL	APPRECIATION/
COUNTERPARTY	(FUND
PAYS)	(FUND
RECEIVES)	DATE	AMOUNT	(DEPRECIATION)
BNP
Paribas, SA	1.140%
quarterly	3
month LIBOR quarterly	03/14/17	$ 12,000,000	$ (5,493	)
					$ (5,493	)

| CURRENCY EXPOSURE JANUARY 31, 2017 | Value | % of Total Investments | | --- | --- | --- | | US Dollar | $ 99,073,035 | 68.2 % | | European Monetary Unit | 15,661,681 | 10.8 % | | Japanese Yen | 10,420,181 | 7.2 % | | British Pound Sterling | 5,216,288 | 3.6 % | | Swiss Franc | 3,993,827 | 2.7 % | | Hong Kong Dollar | 3,291,386 | 2.2 % | | Canadian Dollar | 2,332,835 | 1.6 % | | Danish Krone | 1,999,666 | 1.4 % | | New Taiwan Dollar | 1,881,867 | 1.3 % | | South African Rand | 987,734 | 0.7 % | | South Korean Won | 510,233 | 0.3 % | | Total Investments | $ 145,368,733 | 100.0 % | | Currency exposure may vary over time. | | |

See accompanying Notes to Schedule of Investments

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Note 1 – Organization and Significant Accounting Policies

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

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

Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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

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

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2017.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

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Note 2 – Investments

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

| Cost basis of

investments	$
Gross unrealized appreciation	4,012,208
Gross unrealized depreciation	(9,747,029	)
Net unrealized appreciation
(depreciation)	$ (5,734,821	)

• Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

Note 3 – 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 “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $27.5 million and a lending agreement (“Lending Agreement”), as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $27.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended January 31, 2017, the average borrowings under the Agreements were $42.0 million. For the period ended January 31, 2017, the average interest rate was 1.50%. As of January 31, 2017, the amount of total outstanding borrowings was $42.0 million ($10.5 million under the BNP Agreement and $31.5 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on January 31, 2017 was 1.45%.

The Lending Agreement with BNP 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 BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP 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 Fund’s 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. The dividend and interest payments are recorded as Dividend or Interest payments in the Statement of Operations. Earnings made by the lent securities are disclosed on a net basis as Securities Lending Income in the Statement of Operations.

Under the terms of the Lending Agreement with BNP, 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 Fund’s 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 Fund’s 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 commercially possible, return such security or equivalent security to the Fund’s 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 for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, 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.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of January 31, 2017, the Fund used approximately $5.0 million of its cash collateral to offset the SSB Agreement, representing 3.5% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.75%, which can fluctuate depending on interest rates. As of January 31, 2017, approximately $4.9 million of securities were on loan ($2.4 million of fixed income securities and $2.5 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities.

Note 4 – Interest Rate Swaps

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. 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 of the Fund.

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Note 5 – Fair Value Measurement

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

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

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

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

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

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

| | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | | --- | --- | --- | --- | --- | | Assets: | | | | | | Corporate Bonds | $ — | $ 10,535,639 | $ — | $ 10,535,639 | | Convertible Bonds | — | 40,528,937 | — | 40,528,937 | | Convertible Preferred Stocks | 9,515,772 | 2,940,373 | — | 12,456,145 | | Common Stocks U.S. | 42,565,046 | — | — | 42,565,046 | | Common Stocks Foreign | 6,433,123 | 29,204,774 | — | 35,637,897 | | Purchased Options | 174,200 | — | — | 174,200 | | Short Term Investments | 3,531,644 | — | — | 3,531,644 | | Total | $ 62,219,785 | $ 83,209,723 | $ — | $ 145,429,508 | | Liabilities: | | | | | | Written Options | $ 60,775 | $ — | $ — | $ 60,775 | | Interest Rate Swaps | — | 5,493 | — | 5,493 | | Total | $ 60,775 | $ 5,493 | $ — | $ 66,268 |

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	TRANSFERS	TRANSFERS	TRANSFERS	TRANSFERS
	IN
TO	OUT
OF	IN
TO	OUT
OF
	LEVEL
1*	LEVEL
1**	LEVEL
2**	LEVEL
2*
Investments
at Value:
Common
Stock Foreign	$ 5,173,254	$ 3,770,569	$ 3,770,569	$ 5,173,254
Total	$ 5,173,254	$ 3,770,569	$ 3,770,569	$ 5,173,254

• Transfers from Level 2 to Level 1 were due to the lack of the availability of an applied factor utilizing a systematic fair valuation model on securities that trade on European and Far Eastern exchanges.

** Transfers from Level 1 to Level 2 were due to the lack of the availability of an applied factor utilizing a systematic fair valuation model on securities that trade on European and Far Eastern exchanges.

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ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

| Calamos

Global Total Return Fund
By:	/s/
John P. Calamos, Sr.
Name:	John
P. Calamos, Sr.
Title:	Principal
Executive Officer
Date:	March
3, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

| Calamos

Global Total Return Fund
By:	/s/
John P. Calamos, Sr.
Name:	John
P. Calamos, Sr.
Title:	Principal
Executive Officer
Date:	March
3, 2017
By:	/s/
Thomas Herman
Name:	Thomas
Herman
Title:	Principal
Financial Officer
Date:	March
3, 2017

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