Regulatory Filings • Dec 29, 2008
Preview not available for this file type.
Download Source FileN-CSR 1 c47843nvcsr.htm N-CSR N-CSR PAGEBREAK
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21547
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Global Total Return Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville, Illinois 60563-2787
NAME AND ADDRESS OF AGENT FOR SERVICE: John P. Calamos, Sr., 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, 2008
DATE OF REPORTING PERIOD: November 1, 2007 through October 31, 2008
Folio /Folio
PAGEBREAK
BEGIN PAGE WIDTH
ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270. 30e-1).
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Managing Your Calamos Funds Investments
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Letter to Shareholders
SIDENOTE AREA BEGIN
SIDENOTE AREA END SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Letter to Shareholders
SIDENOTE AREA BEGIN
current difficulties. I began my investment career in the 1970sa period which was also marked by unprecedented market and economic conditions. Yet, there were opportunities for long-term investors. I believe the same is true today. Additionally, its important to remember that the U.S. and global economies have demonstrated incredible resilience in the face of significant past challenges.
All of us at Calamos Investments recognize how difficult this period is for our shareholders. Managing your assets is a responsibility that we take very seriously. We assure you that we are carefully evaluating market and economic events on an ongoing basis; and we are rigorously tracking every security in which the Fund is invested. We are seeking to capitalize on the markets extreme pessimism by selectively investing in securities with good distributions and very attractive price tags.
With a broad investable universe that includes higher-yielding convertible and corporate securities as well as equities, we believe the Fund is well positioned to provide total returns and an attractive income stream. We continue to find long-term opportunities across asset classes. We believe that the market has sold off many assets far more severely than warranted. Due in large part to hedge-fund deleveraging, the convertible market has reached a level of undervaluation that we have not seen in our more than 30 years of investing, presenting what we see as a rare opportunity for long-term investors. We have seen a number of opportunities emerge in the high-yield and equity markets, as emotion has caused investors to overlook longer-term considerations.
Also, in keeping with our dedication to all of the Funds shareholders, we refinanced all of the ARPS financing in the Fund. In our refinancing efforts, we believe we accounted for the best interests of all Fund shareholdersboth those in the preferred share class and the common shareholders who hold the majority of Fund assets.
If you have any questions about your portfolio, please speak to your financial advisor or contact us at 800.582.6959, Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time. I also encourage you to visit our website at calamos.com on a regular basis for updated commentary and more information about the Fund. You will also find a section of our website dedicated to our ARPS-related activities.
As always, and especially during these difficult markets, we thank you for your continued confidence. We are honored by the opportunity to serve you and 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.
2 Global Total Return Fund ANNUAL REPORT Letter to Shareholders
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Economic and Market Review
SIDENOTE AREA BEGIN
SIDENOTE AREA END SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Economic and Market Review
SIDENOTE AREA BEGIN
Lehman Brothers and others. As the cost of borrowing and poor performance dramatically increased, it appears many hedge funds could not maintain their leverage and were forced to liquidate portfolios. At the same time, the market makers and the prime brokers also began deleveraging. In the past, the convertible arbitrage community along with traditional market makers would provide liquidity in the convertible market, reducing the spreads. In this way, the convertible market generally benefited. The recent forced liquidation made convertibles uncharacteristically vulnerable to the panic of the stock market. This past October, in fact, the decline in convertible prices closely matched plunging stock prices. As a result, convertible securities finished the period significantly undervalued. In the past, valuations have reverted back over a period of several quarters to just a few months, so we see an excellent investment opportunity in the convertible market for investors who have an investment horizon beyond the current crisis.
High-yield corporate bonds also struggled. Here again, we believe the beaten-down valuations are largely attributable to forced selling in the financial industry and hedge fund arena. The investment banks and hedge funds are liquidity providers, and during normal times act as efficiency capital to allow markets to function smoothly. Because these liquidity providers are themselves under extreme duress, the entire financial industry is suffering from too much debt and a crisis in capital access and liquidity. There is an abundance of sellers, but buyers are only stepping in at very distressed prices because most have limited capital and, in many cases, are net sellers. We believe this environment offers buyers a long-term opportunity to earn a high return on capital as corporate-bond issuers are forced to pay substantially higher yields. In fact, we have been able to find higher-yielding investments that we believe are well-managed and well-positioned to benefit from long-term secular growth themes.
As the broad market struggled, closed-end funds faced added challenges due to the conditions in the credit markets, specifically the auction rate preferred securities (ARPS) market. Like many other closed-end funds, the Fund had used ARPS as a way to leverage portfolios and potentially increase returns for common shareholders. During the period, the credit crunch which originated in the subprime mortgage sector cascaded across other areas of the credit market, including the ARPS market. However, unlike many other segments of the credit market, the problems in the closed-end fund ARPS market were liquidity-based, and not driven by problematic credit quality or fundamentals.
The events of the past year understandably bring up comparisons to the Great Depression. However, there are significant differences between conditions today and those of the 1930s. The Great Depression started with tight monetary policy, a 33% decline in industrial production and trade tariffs that ground the economy to a halt all before the banking crisis even hit. Today, the economy is more diversified and benefits from additional safety nets and insurance that did not exist during the 1930s. The Fed and world central bankers seem to be coordinating globally to fend off a deflationary scenario, with liquidity injections occurring on a consistent basis. We would expect additional injections of liquidity in the near future.
While a slow-growth economy may be with us for the near future, we think odds are that the economy eventually will adjust to this financial crisis as in the past. The credit markets need a sign that a bottom has been established in the mortgage-debt market;
4 Global Total Return Fund ANNUAL REPORT Economic and Market Review
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Economic and Market Review
SIDENOTE AREA BEGIN
then, some confidence will be restored. As always, we hold the view that investing is a long-term proposition. Short-term investors view the current environment through a lens of fear. From our long-term perspective, we see bargains cropping up all over the financial markets.
1 The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. Source: Lipper, Inc.
2 The MSCI EAFE ® Index measures developed market equity performance (excluding the U.S. and Canada). Source: Lipper, Inc.
3 The Credit Suisse High Yield Index is an unmanaged index of high yield debt securities. Source: Mellon Analytical Solutions, LLC.
4 The Merrill Lynch All U.S. Convertibles Ex. Mandatory Index represents the U.S. convertibles market excluding mandatory convertibles. The index includes 660 issues with a total value of $227 billion. Source: Mellon Analytical Solutions, LLC.
5 The Barclays Capital (formerly Lehman Brothers) U.S. Aggregate Index is considered generally representative of the investment-grade bond market. Source: Lipper, Inc.
This report is presented for informational purposes only and should not be considered investment advice.
END PAGE WIDTH
BEGIN PAGE WIDTH
Global Total Return Fund Economic and Market Review ANNUAL REPORT 5
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Investment Team Discussion
SIDENOTE AREA BEGIN
SIDENOTE AREA END
SIDENOTE AREA BEGIN
SIDENOTE AREA END
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, 2008.
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Investment Team Discussion
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Investment Team Discussion
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Schedule of Investments
OCTOBER 31, 2008
| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| CORPORATE BONDS | |||
| (24.1%) | |||
| Consumer Discretionary (8.2%) | |||
| 1,859,000 | DIRECTV Financing Company, | ||
| Inc. ~ 8.375%, 03/15/13 | $ 1,752,107 | ||
| 902,000 | Expedia, Inc. 7.456%, 08/15/18 | 681,010 | |
| 1,692,000 | Goodyear Tire & Rubber | ||
| Company ¹ 7.857%, 08/15/11 | 1,455,120 | ||
| 1,805,000 | MGM | ||
| Mirage ¹ 8.375%, 02/01/11 | 1,055,925 | ||
| 1,805,000 | Royal Caribbean Cruises, | ||
| Ltd. ¹ 7.250%, 06/15/16 | 1,164,225 | ||
| 1,805,000 | Service Corp. | ||
| International ¹ 7.500%, 04/01/27 | 1,258,988 | ||
| 7,367,375 | |||
| Consumer Staples (4.7%) | |||
| 1,354,000 | Del Monte Foods | ||
| Company ¹ 8.625%, 12/15/12 | 1,232,140 | ||
| 2,707,000 | Diageo, | ||
| PLC ~ 5.500%, 09/30/16 | 2,330,908 | ||
| 1,805,000 | Pilgrims Pride | ||
| Corp. ¹ ** 7.625%, 05/01/15 | 622,725 | ||
| 4,185,773 | |||
| Energy (1.3%) | |||
| 560,000 | Frontier Oil Corp. 8.500%, 09/15/16 | 490,000 | |
| 677,000 | Petróleo Brasileiro, SA 8.375%, 12/10/18 | 644,098 | |
| 1,134,098 | |||
| Financials (0.8%) | |||
| 830,000 | Leucadia National Corp. 8.125%, 09/15/15 | 738,700 | |
| Health Care (1.5%) | |||
| 1,624,000 | HCA, | ||
| Inc. ¹ 9.250%, 11/15/16 | 1,384,460 | ||
| Industrials (1.3%) | |||
| 1,624,000 | H&E Equipment Service, Inc. 8.375%, 07/15/16 | 868,840 | |
| 370,000 | SPX Corp.* 7.625%, 12/15/14 | 311,263 | |
| 1,180,103 | |||
| Information Technology (2.3%) | |||
| 2,437,000 | SunGard Data Systems, | ||
| Inc. ¹ 9.125%, 08/15/13 | 2,034,895 | ||
| Materials (1.7%) | |||
| 1,805,000 | Mosaic | ||
| Company* ~ 7.625%, 12/01/16 | 1,578,516 | ||
| Telecommunication Services (1.5%) | |||
| 1,534,000 | Frontier Communications | ||
| Corp. ¹ 9.000%, 08/15/31 | 836,030 | ||
| 677,000 | Windstream | ||
| Corp. ¹ 8.625%, 08/01/16 | 514,520 | ||
| 1,350,550 | |||
| Utilities (0.8%) | |||
| 902,000 | Energy Future Holdings | ||
| Corp.* ¹ 10.250%, 11/01/15 | 692,285 | ||
| TOTAL CORPORATE BONDS (Cost $28,461,545) | 21,646,755 | ||
| CONVERTIBLE BONDS | |||
| (22.9%) | |||
| Consumer Discretionary (2.9%) | |||
| 800,000 | EUR | Adidas, | |
| AG ¹ * 2.500%, 10/08/18 | 1,144,545 | ||
| 1,750,000 | CHF | Swatch Group, | |
| AG ¹ * 2.625%, 10/15/10 | 1,429,815 | ||
| 2,574,360 | |||
| Energy (5.9%) | |||
| 3,400,000 | Petroleum Geo-Services | ||
| ASA ¹ * 2.700%, 12/03/12 | 1,496,000 | ||
| 2,700,000 | SeaDrill, | ||
| Ltd. ¹ * 3.625%, 11/08/12 | 1,269,000 | ||
| 1,700,000 | Subsea 7, | ||
| Inc. ¹ * 2.800%, 06/06/11 | 994,500 | ||
| 1,700,000 | Transocean, Inc. - Class | ||
| A ¹ 1.625%, 12/15/37 | 1,504,500 | ||
| 5,264,000 | |||
| Financials (1.8%) | |||
| 2,000,000 | Banco Espirito Santo, | ||
| SA ¹ 1.250%, 02/26/11 | 1,610,000 | ||
| Health Care (4.1%) | |||
| 1,400,000 | China Medical Technologies, | ||
| Inc. ¹ 4.000%, 08/15/13 | 740,250 | ||
| 1,200,000 | Medtronic, | ||
| Inc. ~ 1.625%, 04/15/13 | 1,041,000 | ||
| 1,800,000 | Teva Pharmaceutical Industries, | ||
| Ltd. ¹ 1.750%, 02/01/26 | 1,887,750 | ||
| 3,669,000 | |||
| Industrials (2.4%) | |||
| 1,175,000 | Quanta Services, | ||
| Inc. ~ 3.750%, 04/30/26 | 1,144,156 | ||
| Suntech Power Holdings Company, | |||
| Ltd. ¹ | |||
| 995,000 | 0.250%, 02/15/12 | 628,094 | |
| 700,000 | 3.000%, 03/15/13 | 387,800 | |
| 2,160,050 |
Global Total Return Fund Schedule of Investments ANNUAL REPORT 9
See accompanying Notes to Schedule of Investments
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Schedule of Investments
OCTOBER 31, 2008
| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| Information Technology (4.3%) | |||
| 4,200,000 | EUR | Cap Gemini, | |
| SA ¹ * 1.000%, 01/01/12 | $ 1,932,472 | ||
| 2,700,000 | Intel | ||
| Corp. ¹ 2.950%, 12/15/35 | 1,940,625 | ||
| 3,873,097 | |||
| Telecommunication Services (1.5%) | |||
| 1,700,000 | NII Holdings, | ||
| Inc. ¹ 2.750%, 08/15/25 | 1,381,250 | ||
| TOTAL CONVERTIBLE BONDS (Cost $31,190,785) | 20,531,757 | ||
| SYNTHETIC CONVERTIBLE SECURITIES | |||
| (3.1%) | |||
| Corporate Bonds (2.6%) | |||
| Consumer Discretionary (0.9%) | |||
| 201,000 | DIRECTV Financing Company, | ||
| Inc.. ~ 8.375%, 03/15/13 | 189,442 | ||
| 98,000 | Expedia, Inc. 7.456%, 08/15/18 | 73,990 | |
| 183,000 | Goodyear Tire & Rubber | ||
| Company ¹ 7.857%, 08/15/11 | 157,380 | ||
| 195,000 | MGM | ||
| Mirage ¹ 8.375%, 02/01/11 | 114,075 | ||
| 195,000 | Royal Caribbean Cruises, | ||
| Ltd. ¹ 7.250%, 06/15/16 | 125,775 | ||
| 195,000 | Service Corp. | ||
| International ¹ 7.500%, 04/01/27 | 136,013 | ||
| 796,675 | |||
| Consumer Staples (0.5%) | |||
| 146,000 | Del Monte Foods | ||
| Company ¹ 8.625%, 12/15/12 | 132,860 | ||
| 293,000 | Diageo, | ||
| PLC ~ 5.500%, 09/30/16 | 252,293 | ||
| 195,000 | Pilgrims Pride | ||
| Corp. ¹ ** 7.625%, 05/01/15 | 67,275 | ||
| 452,428 | |||
| Energy (0.1%) | |||
| 60,000 | Frontier Oil Corp. 8.500%, 09/15/16 | 52,500 | |
| 73,000 | Petróleo Brasileiro, SA 8.375%, 12/10/18 | 69,452 | |
| 121,952 | |||
| Financials (0.1%) | |||
| 90,000 | Leucadia National Corp. 8.125%, 09/15/15 | 80,100 | |
| Health Care (0.2%) | |||
| 176,000 | HCA, | ||
| Inc. ¹ 9.250%, 11/15/16 | 150,040 | ||
| Industrials (0.1%) | |||
| 176,000 | H&E Equipment Service, Inc. 8.375%, 07/15/16 | 94,160 | |
| 40,000 | SPX Corp.* 7.625%, 12/15/14 | 33,650 | |
| 127,810 | |||
| Information Technology (0.2%) | |||
| 263,000 | SunGard Data Systems, | ||
| Inc. ¹ 9.125%, 08/15/13 | 219,605 | ||
| Materials (0.2%) | |||
| 195,000 | Mosaic | ||
| Company* ~ 7.625%, 12/01/16 | 170,532 | ||
| Telecommunication Services (0.2%) | |||
| 166,000 | Frontier Communications | ||
| Corp. ¹ 9.000%, 08/15/31 | 90,470 | ||
| 73,000 | Windstream | ||
| Corp. ¹ 8.625%, 08/01/16 | 55,480 | ||
| 145,950 | |||
| Utilities (0.1%) | |||
| 98,000 | Energy Future Holdings | ||
| Corp.* ¹ 10.250%, 11/01/15 | 75,215 | ||
| TOTAL CORPORATE BONDS | 2,340,307 | ||
| NUMBER OF | |||
| CONTRACTS | VALUE | ||
| Options (0.5%) | |||
| Consumer Discretionary (0.1%) | |||
| 250 | Grupo Televisa, SA# Call, 01/16/10, Strike $25.00 | 46,875 | |
| Consumer Staples (0.1%) | |||
| 180 | Sysco Corp.# Call, 01/16/10, Strike $30.00 | 49,500 | |
| Industrials (0.0%) | |||
| 130 | CHF | ABB, Ltd.# Call, 06/18/10, Strike $24.00 | 24,213 |
| 35 | EUR | Siemens, AG# Call, 12/18/09, Strike $76.00 | 18,937 |
| 43,150 | |||
| Information Technology (0.3%) | |||
| 300 | Accenture, Ltd.# Call, 01/16/10, Strike $40.00 | 133,500 | |
| 90 | Adobe Systems, Inc.# Call, 01/16/10, Strike $45.00 | 14,625 | |
| 170 | Oracle Corp.# Call, 01/16/10, Strike $20.00 | 52,275 |
10 Global Total Return Fund ANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Schedule of Investments
OCTOBER 31, 2008
| NUMBER OF — CONTRACTS | VALUE | ||
|---|---|---|---|
| 130 | QUALCOMM, Inc.# Call, 01/16/10, Strike $45.00 | $ 72,800 | |
| 273,200 | |||
| TOTAL OPTIONS | 412,725 | ||
| TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $3,991,437) | 2,753,032 | ||
| NUMBER OF | |||
| SHARES | VALUE | ||
| CONVERTIBLE PREFERRED STOCKS | |||
| (6.5%) | |||
| Financials (4.4%) | |||
| 17,000 | American International Group, | ||
| Inc. ¹ 8.500% | 75,650 | ||
| 2,700 | Bank of America | ||
| Corp. ¹ 7.250% | 1,890,000 | ||
| 60,000 | Citigroup, | ||
| Inc. ¹ 6.500% | 2,013,750 | ||
| 3,979,400 | |||
| Health Care (1.3%) | |||
| 15 | EUR | Bayer, AG* 6.625% | 1,117,461 |
| Materials (0.8%) | |||
| 115 | CHF | Givaudan, | |
| SA ¹ * 5.375% | 734,536 | ||
| TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $9,355,719) | 5,831,397 | ||
| COMMON STOCKS (66.8%) | |||
| Consumer Discretionary (1.3%) | |||
| 20,000 | Nike, Inc. - Class | ||
| B ¹ | 1,152,600 | ||
| Consumer Staples (8.6%) | |||
| 100,000 | GBP | British American Tobacco, | |
| PLC ¹ | 2,742,932 | ||
| 33,000 | Coca-Cola | ||
| Company ¹ | 1,453,980 | ||
| 50,000 | GBP | Diageo, | |
| PLC ¹ | 763,026 | ||
| 70,000 | CHF | Nestlé, | |
| SA ¹ | 2,722,090 | ||
| 7,682,028 | |||
| Energy (3.4%) | |||
| 16,000 | CAD | Canadian Natural Resources, | |
| Ltd. ¹ | 807,368 | ||
| 30,000 | Chevron | ||
| Corp. ¹ | 2,238,000 | ||
| 3,045,368 | |||
| Financials (13.6%) | |||
| 105,000 | AUD | Australian Stock Exchange, | |
| Ltd. ¹ | 2,108,402 | ||
| 50,000 | EUR | Banco Santander, | |
| SA ¹ | 540,758 | ||
| 52,000 | JPMorgan Chase & | ||
| Company ¹ | 2,145,000 | ||
| 135,000 | AUD | QBE Insurance Group, | |
| Ltd. ¹ | 2,303,236 | ||
| 140,000 | GBP | Schroders, | |
| PLC ¹ | 1,794,754 | ||
| 625,000 | SGD | Singapore Exchange, | |
| Ltd. ¹ | 2,237,156 | ||
| 65,000 | GBP | Standard Chartered, | |
| PLC ¹ | 1,074,257 | ||
| 12,203,563 | |||
| Health Care (13.5%) | |||
| 29,000 | Alcon, | ||
| Inc. ¹ | 2,555,480 | ||
| 63,000 | AUD | CSL, | |
| Ltd. ¹ | 1,532,147 | ||
| 53,000 | Johnson & | ||
| Johnson ¹ | 3,251,020 | ||
| 60,000 | Merck & Company, | ||
| Inc. ¹ | 1,857,000 | ||
| 38,000 | DKK | Novo Nordisk, A/S - Class | |
| B ¹ | 2,036,921 | ||
| 6,000 | CHF | Roche Holding, | |
| AG ¹ | 917,561 | ||
| 12,150,129 | |||
| Industrials (4.1%) | |||
| 41,000 | CHF | ABB, | |
| Ltd.# ¹ | 537,965 | ||
| 215,000 | GBP | BAE Systems, | |
| PLC ¹ | 1,208,508 | ||
| 52,000 | General Electric | ||
| Company ¹ | 1,014,520 | ||
| 16,000 | EUR | Siemens, | |
| AG ¹ | 940,889 | ||
| 3,701,882 | |||
| Information Technology (21.0%) | |||
| 80,000 | GBP | Autonomy Corp. | |
| PLC# ¹ | 1,268,454 | ||
| 37,000 | JPY | Canon, | |
| Inc. ¹ | 1,294,691 | ||
| 130,000 | Dell, | ||
| Inc.# ¹ | 1,579,500 | ||
| 74,000 | Infosys Technologies, | ||
| Ltd. ¹ | 2,169,680 | ||
| 34,000 | Microsoft | ||
| Corp. ¹ | 759,220 | ||
| 15,000 | JPY | Nintendo Company, | |
| Ltd. ¹ | 4,819,624 | ||
| 175,000 | EUR | Nokia | |
| OYJ ¹ | 2,680,682 | ||
| 100,000 | BRL | Redecard, SA | 1,107,777 |
| 65,000 | EUR | SAP, | |
| AG ¹ | 2,275,726 | ||
| 240,000 | HKD | VTech Holdings, | |
| Ltd. ¹ | 893,930 | ||
| 18,849,284 | |||
| Telecommunication Services (1.3%) | |||
| 38,000 | América Móvil, SAB de | ||
| CV ¹ | 1,175,720 | ||
| TOTAL COMMON STOCKS (Cost $73,469,374) | 59,960,574 | ||
| NUMBER OF | |||
| CONTRACTS | VALUE | ||
| PUT OPTIONS (12.9%) | |||
| Financials (12.9%) | |||
| SPDR Trust Series 1# | |||
| 2,500 | Put, 11/22/08, Strike $123.00 | 6,556,250 | |
| 1,600 | Put, 12/20/08, Strike $128.00 | 5,036,000 | |
| TOTAL PUT OPTIONS (Cost $1,792,684) | 11,592,250 |
Global Total Return Fund Schedule of Investments ANNUAL REPORT 11
See accompanying Notes to Schedule of Investments
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Schedule of Investments
OCTOBER 31, 2008
Head In Body
| NUMBER OF — SHARES | VALUE | ||
|---|---|---|---|
| INVESTMENT IN AFFILIATED FUND | |||
| (3.8%) | |||
| 3,446,730 | Calamos Government Money Market Fund - Class I SharesΩ (Cost $3,446,730) | $ 3,446,730 | |
| TOTAL INVESTMENTS (140.1%) (Cost $151,708,274) | 125,762,495 | ||
| LIABILITIES, LESS OTHER ASSETS (-40.1%) | (36,006,160 | ) | |
| NET ASSETS APPLICABLE TO COMMON | |||
| SHAREHOLDERS (100.0%) | $ 89,756,335 | ||
| NUMBER OF | |||
| CONTRACTS | VALUE | ||
| WRITTEN OPTIONS | |||
| (-1.1%) | |||
| Financials (-1.1%) | |||
| iShares MSCI EAFE Index Fund# | |||
| 1,425 | Call, 12/20/08, Strike $53.00 | (74,813 | ) |
| 1,235 | Call, 01/17/09, Strike $42.00 | (673,075 | ) |
| 1,125 | Call, 12/20/08, Strike $51.00 | (104,062 | ) |
| 1,125 | Call, 12/20/08, Strike $50.00 | (132,187 | ) |
| TOTAL WRITTEN OPTIONS (Premium $1,177,421) | (984,137 | ) |
callerid=999 iwidth=456 length=0
NOTES TO SCHEDULE OF INVESTMENTS
| ¹ | Security, or portion of security,
is held in a segregated account as collateral for loans
aggregating a total value of $94,178,596. |
| --- | --- |
| * | 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 affected through a
sale that is registered under the Act or otherwise exempted or
excepted from such registration requirements. At
October 31, 2008, there were no 144A securities that could
not be exchanged to the registered form. |
| # | Non-income producing security. |
| ** | On December 1, 2008,
Pilgrims Pride Corp. filed for bankruptcy protection. |
| ~ | Security, or portion of security,
is held in a segregated account as collateral for written
options aggregating a total value of $8,458,954. |
| Ω | Investment in an affiliated fund.
During the period from November 1, 2007, through
October 31, 2008, the fund had net purchases of $1,494,271
and received $113,805 in dividend payments from the affiliated
fund. As of October 31, 2007, the fund had holdings of
$1,952,459 in the affiliated fund. |
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 |
| SGD | Singapore Dollar |
Note: Value for Securities denominated in foreign currencies are shown in U.S. dollars. The principle amount for such securities is shown in the respective foreign currency. The date shown on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
12 Global Total Return Fund ANNUAL REPORT Schedule of Investments
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Schedule of Investments
OCTOBER 31, 2008
Begin box 44
COUNTRY ALLOCATION AS OF OCTOBER 31, 2008
| Country | % of Portfol |
|---|---|
| United States | 45.4 % |
| United Kingdom | 9.4 |
| Switzerland | 7.4 |
| Japan | 5.0 |
| Australia | 4.9 |
| Germany | 4.5 |
| Cayman Islands | 3.5 |
| Finland | 2.2 |
| Bermuda | 1.9 |
| Singapore | 1.8 |
| India | 1.8 |
| Denmark | 1.7 |
| France | 1.6 |
| Israel | 1.6 |
| Brazil | 1.5 |
| Portugal | 1.3 |
| Norway | 1.2 |
| Liberia | 1.1 |
| Mexico | 1.0 |
| Canada | 0.7 |
| Spain | 0.5 |
| Total: | 100.0 % |
End box 44
Country allocations are based on country of domicile and vary overtime.
Global Total Return Fund Schedule of Investments ANNUAL REPORT 13
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Statement of Assets and Liabilities
| October 31, 2008 | ||
|---|---|---|
| ASSETS | ||
| Investments in securities, at value (cost $148,261,544) | $ 122,315,765 | |
| Investments in affiliated fund (cost $3,446,730) | 3,446,730 | |
| Cash with custodian (interest bearing) | 21,004 | |
| Accrued interest and dividends receivables | 1,198,082 | |
| Prepaid expenses | 85,310 | |
| Other assets | 18,383 | |
| Total assets | 127,085,274 | |
| LIABILITIES | ||
| Options written, at value (premium $1,177,421) | 984,137 | |
| Payables: | ||
| Note payable | 36,000,000 | |
| Affiliates: | ||
| Investment advisory fees | 118,306 | |
| Deferred compensation to Trustees | 18,383 | |
| Financial accounting fees | 1,338 | |
| Trustees fees and officer compensation | 206 | |
| Accounts payable and accrued liabilities | 206,569 | |
| Total liabilities | 37,328,939 | |
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS | $ 89,756,335 | |
| COMPOSITION OF NET ASSETS | ||
| APPLICABLE TO COMMON SHAREHOLDERS | ||
| Common stock, no par value, unlimited shares authorized | ||
| 8,006,981 shares issued and outstanding | $ 113,410,723 | |
| Undistributed net investment income (loss) | (346,634 | ) |
| Accumulated net realized gain (loss) on investments, written | ||
| options and foreign currency transactions | 2,450,782 | |
| Net unrealized appreciation (depreciation) on investments, | ||
| written options and foreign currency transactions | (25,758,536 | ) |
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS | $ 89,756,335 | |
| Net asset value per common share based on 8,006,981 shares | ||
| issued and outstanding | $ 11.21 |
14 Global Total Return Fund ANNUAL REPORT Statement of Assets and Liabilities
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Statement of Operations
| Year Ended October 31, 2008 | ||
|---|---|---|
| INVESTMENT INCOME | ||
| Interest | $ 5,112,788 | |
| Dividends (net of foreign taxes withheld of $97,941) | 3,908,075 | |
| Dividends from affiliates | 113,805 | |
| Securities lending income | 13,727 | |
| Total investment income | 9,148,395 | |
| EXPENSES | ||
| Investment advisory fees | 1,933,689 | |
| Financial accounting fees | 21,870 | |
| Auction agent and rating agency fees | 95,557 | |
| Accounting fees | 11,020 | |
| Interest expense and fees | 847,713 | |
| Printing and mailing fees | 85,364 | |
| Custodian fees | 21,469 | |
| Registration fees | 23,746 | |
| Audit and legal fees | 99,788 | |
| Trustees fees and officer compensation | 25,564 | |
| Transfer agent fees | 32,941 | |
| Investor support services | 8,631 | |
| Other | 81,406 | |
| Total expenses | 3.288,758 | |
| Less expense reduction | (7,649 | ) |
| Net expenses | 3,281,109 | |
| NET INVESTMENT INCOME (LOSS) | 5,867,286 | |
| REALIZED AND UNREALIZED | ||
| GAIN(LOSS) FROM INVESTMENTS, WRITTEN OPTIONS AND FOREIGN CURRENCY | ||
| Net realized gain (loss) from: | ||
| Investments | (3,207,191 | ) |
| Written options | 10,942,750 | |
| Foreign currency transactions | 52,042 | |
| Change in net unrealized appreciation/depreciation on: | ||
| Investments | (80,707,815 | ) |
| Written options | 978,915 | |
| Foreign currency translations | (28,637 | ) |
| NET REALIZED AND UNREALIZED GAIN(LOSS) FROM INVESTMENTS, WRITTEN | ||
| OPTIONS AND FOREIGN CURRENCY | (71,969,936 | ) |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (66,102,650 | ) |
| DISTRIBUTIONS TO PREFERRED | ||
| SHAREHOLDERS FROM | ||
| Net investment income | (742,082 | ) |
| Capital gains | (758,895 | ) |
| NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON | ||
| SHAREHOLDERS RESULTING FROM OPERATIONS | $ (67,603,627 | ) |
Global Total Return Fund Statement of Operations ANNUAL REPORT 15
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Statements of Changes in Net Assets
| Year Ended October 31, — 2008 | 2007 | |||
|---|---|---|---|---|
| OPERATIONS | ||||
| Net investment income (loss) | $ 5,867,286 | $ 7,665,700 | ||
| Net realized gain (loss) from investments in securities, written | ||||
| options and foreign currency transactions | 7,787,601 | 5,648,317 | ||
| Change in net unrealized appreciation/depreciation on | ||||
| investments, written options and foreign currency translations | (79,757,537 | ) | 37,413,735 | |
| Distributions to preferred shareholders from: | ||||
| Net investment income | (742,082 | ) | (3,095,387 | ) |
| Capital gains | (758,895 | ) | (21,448 | ) |
| Net increase (decrease) in net assets applicable to common | ||||
| shareholders resulting from operations | (67,603,627 | ) | 47,610,917 | |
| DISTRIBUTIONS TO COMMON | ||||
| SHAREHOLDERS FROM | ||||
| Net investment income | (9,167,996 | ) | (8,697,994 | ) |
| Capital gains | (1,841,607 | ) | (950,430 | ) |
| Net decrease in net assets from distributions to common | ||||
| shareholders | (11,009,603 | ) | (9,648,424 | ) |
| CAPITAL STOCK | ||||
| TRANSACTIONS | ||||
| Offering costs on common shares | (181,038 | ) | | |
| Net increase (decrease) in net assets from capital stock | ||||
| transactions | (181,038 | ) | | |
| TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON | ||||
| SHAREHOLDERS | (78,794,268 | ) | 37,962,493 | |
| NET ASSETS APPLICABLE TO COMMON | ||||
| SHAREHOLDERS | ||||
| Beginning of period | $ 168,550,603 | $ 130,588,110 | ||
| End of period | 89,756,335 | 168,550,603 | ||
| Undistributed net investment income (loss) | $ (346,634 | ) | $ (206,348 | ) |
16 Global Total Return Fund ANNUAL REPORT Statements of Changes in Net Assets
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Statement of Cash Flows
| Year Ended October 31, 2008 | ||
|---|---|---|
| CASH FLOWS FROM OPERATING | ||
| ACTIVITIES: | ||
| Net increase/(decrease) in net assets from operations | $ (66,102,650 | ) |
| Adjustments to reconcile net increase/(decrease) in net assets | ||
| from operations to net cash used in operating activities: | ||
| Written options | (2,146,338 | ) |
| Purchase of investment securities | (169,671,421 | ) |
| Proceeds from disposition of investment securities | 190,884,370 | |
| Amortization and accretion of fixed-income securities | (466,363 | ) |
| Purchase of short term investments, net | (1,494,271 | ) |
| Net realized gains/(losses) from investments | 3,207,191 | |
| Change in unrealized appreciation or depreciation on investments | 80,707,815 | |
| Net change in assets and liabilities: | ||
| (Increase)/decrease in assets: | ||
| Accrued interest and dividends receivable | 814,075 | |
| Collateral for securities loaned | 13,371,000 | |
| Prepaid expenses | (76,675 | ) |
| Other assets | (714 | ) |
| Increase/(decrease) in liabilities: | ||
| Payables to affiliates | (68,142 | ) |
| Payable upon return of securities loaned | (13,371,000 | ) |
| Accounts payable and accrued liabilities | 16,543 | |
| Net cash provided by/(used in) operating activities | $ 35,603,420 | |
| CASH FLOWS FROM FINANCING | ||
| ACTIVITIES: | ||
| Offering costs on common shares | (64,774 | ) |
| Distributions to common shareholders | (11,009,603 | ) |
| Distributions to preferred shareholders | (1,509,173 | ) |
| Proceeds from note payable | 59,000,000 | |
| Repayments of note payable | (23,000,000 | ) |
| Redemption of preferred shares | (59,000,000 | ) |
| Net cash provided by/(used in) financing activities | $ (35,583,550 | ) |
| Net increase/(decrease) in cash and cash equivalents | $ 19,870 | |
| Cash at beginning of the year | $ 1,134 | |
| Cash at end of the year | $ 21,004 | |
| Supplemental disclosure | ||
| Cash paid for interest | $ 837,887 |
Global Total Return Fund Statement of Cash Flows ANNUAL REPORT 17
See accompanying Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
NOTE 1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. CALAMOS Global Total Return Fund (the Fund) was organized as a Delaware statutory trust on March 30, 2004 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced operations on October 27, 2005.
The Funds investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities. Managed assets means the Funds total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Portfolio Valuation. The valuation of the Funds portfolio securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time 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 most recent last sale or closing price is not available, portfolio securities, other than option securities, that are traded on a U.S. securities exchange and other securities traded in the 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.
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.
18 Global Total Return Fund ANNUAL REPORT Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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 as of October 31, 2008. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.
Option Transactions. For hedging and investment purposes, each 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. Put and call options purchased are accounted for in the same manner as portfolio securities. 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.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the Fund; other 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 in relation to the net assets of each Fund or on another reasonable basis.
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.
Global Total Return Fund Notes to Financial Statements ANNUAL REPORT 19
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
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.
The Fund recognized no liability for unrecognized tax benefits in connection with Financial Accounting Standards Board (FASB) Interpretation No. 48 Accounting for Uncertainty in Income Taxes an interpretation of FASB Statement No. 109 . 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 2007 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. In September 2006, the Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The Fund will adopt SFAS 157 on November 1, 2008 and the Funds disclosure in the Notes to the Financial Statements on fair value measurement will be expanded. Management believes there will be no impact with the adoption of SFAS 157 on the Funds financial statements and their disclosures.
In addition, in March 2008, the Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires that objectives for using derivative instruments be disclosed in terms of underlying risk and accounting designation. Management is in the process of evaluating the impact the adoption of SFAS 161 will have on the Funds financial statement disclosures.
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. Calamos Advisors has contractually agreed to waive a portion of its advisory fee charged to the Fund on the Funds investments in the Calamos Government Money Market Fund (GMMF, an affiliated fund and a series of Calamos Investment Trust), equal to the advisory fee attributable to the Funds investment in GMMF, based on daily net assets. For the year ended October 31, 2008, the total advisory fee waived pursuant to such agreement was $7,649 and is included in the Statement of Operations under the caption Less expense reduction.
Pursuant to a financial accounting services agreement, Calamos Advisors receives 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 Convertible Opportunities and Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, and Calamos Global Dynamic Income Fund). Managed assets means a Funds total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt
20 Global Total Return Fund ANNUAL REPORT Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
representing financial leverage). Financial accounting services include, but are not limited to, the following: managing expenses and expenses payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.
The Fund reimburses Calamos Advisors for a portion of compensation paid to the Funds Chief Compliance Officer. This compensation is reported as part of Trustees fee and officer compensation expenses on the Statement of Operations.
A trustee and certain officers of the Fund are also officers and directors of Calamos Financial Services LLC (CFS) and 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) of the Fund 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 amount 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 $18,383 are included in Other assets on the Statement of Assets and Liabilities at October 31, 2008. 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, 2008.
NOTE 3 INVESTMENTS
Purchases and sales of investments, other than short-term investments, for the year ended October 31, 2008 were as follows:
| Purchases | 150,598,567 |
|---|---|
| Proceeds from sales | 171,888,151 |
The following information is presented on a federal income tax basis as of October 31, 2008. 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, 2008 was as follows:
| Cost basis of investments | $ | |
|---|---|---|
| Gross unrealized appreciation | 13,456,207 | |
| Gross unrealized depreciation | (39,569,330 | ) |
| Net unrealized appreciation (depreciation) | $ (26,113,123 | ) |
NOTE 4 INCOME TAXES
For the year ended October 31, 2008, the Fund recorded the following permanent reclassifications to reflect tax character. The results of operations and net assets were not affected by these reclassifications.
| Paid-in capital | | |
|---|---|---|
| Undistributed net investment income/(loss) | 3,902,506 | |
| Accumulated net realized gain/(loss) on investments, short | ||
| positions, written options, foreign currency transactions and | ||
| swaps | (3,902,506 | ) |
Global Total Return Fund Notes to Financial Statements ANNUAL REPORT 21
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
Distributions during the fiscal year ended October 31, 2007 and October 31, 2008 were characterized for federal income tax purposes as follows:
| 2008 | 2007 | |
|---|---|---|
| Distributions paid from : | ||
| Ordinary income | $ 9,765,379 | $ 11,287,255 |
| Long-term capital gains | 2,753,397 | 1,526,024 |
As of October 31, 2008, the components of accumulated earnings/(loss) on a tax basis were as follows:
| Undistributed ordinary income | $ | |
|---|---|---|
| Undistributed capital gains | 698,540 | |
| Total undistributed earnings | 2,301,603 | |
| Accumulated capital and other losses | | |
| Net unrealized gains/(losses) | (25,925,880 | ) |
| Total accumulated earnings/(losses) | (23,624,277 | ) |
| Other | (30,111 | ) |
| Paid-in capital | 113,410,723 | |
| Net assets applicable to common shareholders | $ 89,756,335 |
NOTE 5 COMMON SHARES
There are unlimited common shares of beneficial interest authorized and 8,006,981 shares outstanding at October 31, 2008. Calamos Advisors owned 8,654 of the outstanding shares at October 31, 2008. Transactions in common shares were as follows:
| October 31, 2008 | October 31, 2007 | |
|---|---|---|
| Beginning shares | 8,006,981 | 8,006,981 |
| Shares issued through reinvestment of distribution | | |
| Ending shares | 8,006,981 | 8,006,981 |
NOTE 6 FORWARD FOREIGN CURRENCY CONTRACTS
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 U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward exchange rates and an unrealized gain or loss is recorded. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward currency contracts at October 31, 2008.
NOTE 7 PREFERRED SHARES
On April 23, 2008, the Funds Board approved the redemption of all preferred shares outstanding. The shares were redeemed at a price of $25,000 per share plus any accrued and unpaid dividends (an aggregate price of $59,044,486).
NOTE 8 BORROWINGS
The Fund has entered into a Committed Facility Agreement (the Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) that allows the Fund to borrow up to an initial limit of $59,000,000. Borrowings under the Agreement are secured by assets of the Fund. Interest is charged at quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the
22 Global Total Return Fund ANNUAL REPORT Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
amount borrowed and .85% on the undrawn balance. The Fund also paid a one time Arrangement fee of .25% of the total borrowing limit. The Arrangement fee for the year ended October 31, 2008 totaled $69,505 and is included in Other expenses in the Statement of Operations. For the year ended October 31, 2008, the average amount borrowed under the agreement and the average interest rate for the amount borrowed were $48,013,158 and 2.96% respectively. As of October 31, 2008, the amount of such outstanding borrowings is $36,000,000. The interest rate applicable to the borrowings on October 31, 2008 was 3.98%.
In addition BNP Paribas Prime Brokerage, Inc (BNP) has the ability to reregister the collateral in its own name or in another name other than the Fund to pledge, re-pledge, sell, lend or otherwise transfer or use the collateral (Hypothecated Securities) with all attendant rights of ownership. The Fund can recall any Hypothecated Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the fund no later than three business days after such request. If the Fund recalls a Hypothecated Security in connection with a sales transaction and BNP fails to return the Hypothecated Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Funds custodian for the ultimate delivery of such Hypothecated Securities or equivalent securities to the executing broker for the sales transaction and for any buy-in costs that the executing broker 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 hypothecated securities against any amounts owed to BNP under the Committed Facility Agreement.
NOTE 9 WRITTEN OPTIONS TRANSACTIONS
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. For the fiscal year ended October 31, 2008, the Fund had the following transactions in options written:
| Options outstanding at October 31, 2007 | 7,000 | $ | 2,344,844 | |
|---|---|---|---|---|
| Options written | 57,270 | 13,990,719 | ||
| Options closed | (59,360 | ) | (15,158,142 | ) |
| Options expired | | | ||
| Options exercised | | | ||
| Options outstanding at October 31, 2008 | 4,910 | $ | 1,177,421 |
NOTE 10 SECURITIES LENDING
The Fund may loan one or more of its securities to broker-dealers and banks. Any such loan must be secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the value of the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receive an additional return that may be in the form of a fixed fee or a percentage of the collateral. Upon receipt of cash or cash equivalent collateral, the Funds securities lending agent invests the collateral into short term investments following investment guidelines approved by Calamos Advisors. The Fund records the investment of collateral as an asset and the value of the collateral as a liability on the Statements of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Fund will record unrealized depreciation equal to the decline in value of the invested collateral. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the right to call a loan and obtain the securities loaned at any time on notice of not less than five business days. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Funds seek to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing their rights. In an effort to reduce these risks, the
Global Total Return Fund Notes to Financial Statements ANNUAL REPORT 23
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Notes to Financial Statements
Funds security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which the Fund lends securities.
NOTE 11 SYNTHETIC CONVERTIBLE INSTRUMENTS
The Fund may establish a synthetic convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (fixed-income component), which may be a convertible or non-convertible security and the right to acquire equity securities (convertible component). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.
The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.
24 Global Total Return Fund ANNUAL REPORT Notes to Financial Statements
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
| 2005* | ||||||||
| through | ||||||||
| For the Year Ended October 31 | October 31 | |||||||
| 2008 | 2007 | 2006 | 2005 | |||||
| Net asset value, beginning of period | $21.05 | $16.31 | $14.29 | $14.32 | (a) | |||
| Income from investment operations: | ||||||||
| Net investment income (loss) | 0.74 | ** | 0.96 | ** | 0.86 | | ||
| Net realized and unrealized gain (loss) from investments, | ||||||||
| written options and foreign currency | (9.00 | ) | 5.38 | 2.40 | | |||
| Distributions to preferred shareholders from: | ||||||||
| Net investment income (common share equivalent basis) | (0.09 | ) | (0.39 | ) | (0.29 | ) | | |
| Capital gains (common share equivalent basis) | (0.09 | ) | | (b) | | | ||
| Total from investment operations | (8.44 | ) | 5.95 | 2.97 | | |||
| Less distributions to common shareholders from: | ||||||||
| Net investment income | (1.15 | ) | (1.09 | ) | (0.65 | ) | | |
| Capital gains | (0.23 | ) | (0.12 | ) | (0.19 | ) | | |
| Capital charge resulting from issuance of common and preferred | ||||||||
| shares | (0.02 | ) | | (0.11 | ) | (0.03 | ) | |
| Net asset value, end of period | $11.21 | $21.05 | $16.31 | $14.29 | ||||
| Market value, end of period | $9.54 | $19.51 | $15.62 | $15.00 | ||||
| Total investment return based | ||||||||
| on (c) : | ||||||||
| Net asset value | (41.78 | )% | 38.30 | % | 20.77 | % | (0.24 | )% |
| Market value | (46.54 | )% | 33.84 | % | 10.19 | % | 0.00 | % |
| Ratios and supplemental data: | ||||||||
| Net assets applicable to common shareholders, end of period | ||||||||
| (000s omitted) | $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)(e) | 2.28 | % | 1.72 | % | 1.70 | % | 1.33 | % |
| Gross | ||||||||
| expenses (d)(e) | 2.29 | % | 1.72 | % | 1.70 | % | 3.37 | % |
| Net investment income | ||||||||
| (loss) (d)(e) | 4.08 | % | 5.37 | % | 5.57 | % | (1.33 | )% |
| Preferred share distributions from net investment income | 0.52 | % | 2.17 | % | 1.89 | % | 0.00 | % |
| Net investment income (loss), net of preferred share | ||||||||
| distributions from net investment income | 3.56 | % | 3.20 | % | 3.68 | % | 0.00 | % |
| Portfolio turnover rate | 82 | % | 85 | % | 32 | % | 0 | % |
| Average commission rate paid | $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) | $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) | Annualized for periods less than |
| one year. | |
| (e) | Does not reflect the effect of |
| dividend payments to Preferred Shareholders. | |
| (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 the Note payable) | |
| and preferred shares from the Funds total assets and | |
| dividing this by the Notes payable outstanding. |
Global Total Return Fund Financial Highlights ANNUAL REPORT 25
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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, 2008, and the related statement of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years then ended, and the financial highlights for each of the three years 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, 2008, by correspondence with the Funds custodian. 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, 2008, 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 then ended, and the financial highlights for each of the three years 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 18, 2008
26 Global Total Return Fund ANNUAL REPORT Report of Independent Registered Public Accounting Firm
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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 4, 2008, 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, 2009, 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 care and conscientiousness in the management of 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 and various Calamos Funds 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 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 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 performance of a group of comparable funds selected by Lipper, Inc., an independent data service provider, and especially the median performance of that group (the Funds Universe Median).
The Board considered the Funds net asset value performance, noting that the Fund outperformed its Universe Median during the one-year period.
The trustees concluded that the investment performance of the Fund over various time periods supported a finding 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 27
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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 management fee rate compared to the management fee rates for other mutual funds similar in size, character and investment strategy (the Funds Expense Group), and the Funds total expense ratio compared to the total expense ratios of the funds in the Funds Expense Group.
The Board considered that the Funds management fee rate is higher than the median of the Funds Expense Group. The Board also noted that the Funds total expense ratio is higher than the median of the Funds Expense Group.
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, although in most instances, 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 greater level of responsibilities and 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, and that the profitability to the Adviser of its relationship with the Fund appeared to be reasonable in relation to the nature and quality of the services performed.
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.
At the June 4 meeting, 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.
28 Global Total Return Fund ANNUAL REPORT Trustee Approval of Management Agreement
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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 2009, shareholders will receive Form 1099-DIV which will include their share of qualified dividends and capital gains distributed during the calendar year 2008. 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 $2,753,397 as capital gain dividends for the fiscal year ended October 31, 2008.
Under Section 854(b)(2) of the Code, the Fund hereby designates $3,339,342 or the maximum amount allowable under the Code, as qualified dividends for the fiscal year ended October 31, 2008.
Under Section 854(b)(2) of the Code, the Fund hereby designates 11.27% of the ordinary income dividends as income qualifying for the corporate dividends received deduction for the fiscal year ended October 31, 2008.
Global Total Return Fund Tax Information ANNUAL REPORT 29
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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, 2008, 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.
| | | Portfolios in — Fund
Complex Ù | Principal Occupation(s) |
| --- | --- | --- | --- |
| Name and Age | Position(s) with Trust | Overseen | and Other Directorships |
| Trustees who are interested persons of the Trust: | | | |
| John P. Calamos, Sr., 68 | Trustee and President (since 2004) | 21 | 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 |
| Trustees who are not interested persons of the Trust: | | | |
| Joe F. Hanauer, 71 | Trustee (since 2004) | 21 | Private investor; Chairman and Director, Move, Inc., (internet
provider of real estate information and products); Director,
Combined Investments, L.P. (investment management) |
| Weston W. Marsh, 58 | Trustee (since 2004) | 21 | Of Counsel and, until December 31, 2006, Partner,
Freeborn & Peters (law firm) |
| John E. Neal, 58 | Trustee (since 2004) | 21 | 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) |
| William R. Rybak, 57 | Trustee (since 2004) | 21 | 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 |
| Stephen B. Timbers, 64 | Trustee (since 2004); Lead Independent Trustee (since 2005) | 21 | 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 |
| David D. Tripple, 64 | Trustee (since 2006) | 21 | Private investor; Trustee, Century Shares Trust and Century
Small Cap Select Fund** |
| * | 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. |
| --- | --- |
| ** | Overseeing 109 portfolios in fund
complex |
| *** | Overseeing 2 portfolios in fund
complex |
| Ù | 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. |
The address of each trustee is 2020 Calamos Court, Naperville, Illinois 60563.
30 Global Total Return Fund ANNUAL REPORT Trustees & Officers
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
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, 2008, 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.
| Name and Age | Position(s) with Trust | Principal Occupation(s) — During Past 5 Years |
|---|---|---|
| Nimish S. Bhatt, 45 | Vice President and Chief Financial Officer (since 2007) | 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. | ||
| Nick P. Calamos, 47 | Vice President (since 2004) | Senior Executive Vice President and Co-Chief Investment Officer, |
| CAM, CHLLC, Calamos Advisors and CFS | ||
| James J. Boyne, 42 | Vice President (since 2008) | 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) | ||
| Cheryl L. Hampton, 39 | Treasurer (since 2007) | Vice President, Calamos Advisors (since March 2007); Tax |
| Director, PricewaterhouseCoopers LLP (1999-2007) | ||
| Stathy Darcy, 42 | Secretary (since 2007) | Vice President and Deputy General Counsel Mutual Funds, |
| Calamos Advisors (since 2006); prior thereto, Partner, Chapman | ||
| and Cutler LLP (law firm) | ||
| Mark Mickey, 57 | Chief Compliance Officer (since 2005) | 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); |
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.
Global Total Return Fund Trustees & Officers ANNUAL REPORT 31
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA END
This page intentionally left blank.
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA END
This page intentionally left blank.
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
About Closed-End Funds
SIDENOTE AREA BEGIN
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 Management Although 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 Trades Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities.
Lower Expense Ratios The 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 Classes A 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 Work Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to leverage their investment positions.
No Minimum Investment Requirements
Begin box 44
OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS
| Open-End Fund | Closed-End Fund |
|---|---|
| Issues new shares on an ongoing basis | Issues a fixed number of shares |
| Issues equity shares | Can issue senior securities such as preferred shares and bonds |
| Sold at NAV plus any sales charge | Price determined by the marketplace |
| Sold through the funds distributor | Traded in the secondary market |
| Fund redeems shares at NAV calculated at the close of business | |
| day | Fund does not redeem shares |
End box 44
34 Global Total Return Fund ANNUAL REPORT About Closed-End Funds
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Level Rate Distribution Policy
SIDENOTE AREA BEGIN
SIDENOTE AREA END
SIDENOTE AREA BEGIN
Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return
The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.
We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.
SIDENOTE AREA END
Automatic Dividend Reinvestment Plan
SIDENOTE AREA BEGIN
Maximizing Investment with an Automatic Dividend Reinvestment Plan
The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund.
Potential Benefits
Compounded Growth: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.
Potential for Lower Commission Costs: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan.
Convenience: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time.
For additional information about the Plan, please contact the Plan Agent, The Bank of New York, at 800.432.8224. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name.
Were pleased to provide our shareholders with the additional benefit of the Funds Dividend Reinvestment Plan and hope that it may serve your financial plan.
END PAGE WIDTH
BEGIN PAGE WIDTH
Global Total Return Fund Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan ANNUAL REPORT 35
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
SIDENOTE AREA BEGIN
SIDENOTE AREA END
The Calamos Investments Advantage
SIDENOTE AREA BEGIN
SIDENOTE AREA END
SIDENOTE AREA BEGIN
SIDENOTE AREA END
Calamos history is one of performing well for our clients through 30 years of advances and declines in the market. We use proprietary risk-management strategies designed to control volatility, and maintain a balance between risk and reward throughout a market cycle.
SIDENOTE AREA BEGIN
Disciplined Investment Philosophy and Process
Calamos Investments has developed a proprietary research and monitoring process that goes far beyond traditional security analysis. This process applies to each of our investment strategies, with emphasis varying by strategy. When combined with the company-specific research and industry insights of our investment team, the goal is nimble, dynamic management of a portfolio that allows us to anticipate and adapt to changing market conditions. In each of our investment strategies, from the most conservative to the most aggressive, our goals include maximizing return while controlling risk, protecting principal during volatile markets, avoiding short-term market timing, and maintaining a vigilant long-term outlook.
Comprehensive Risk Management
Our approach to risk management includes continual monitoring, adherence to our discipline, and a focus on assuring a consistent risk profile during all phases of the market cycle. Incorporating qualitative and quantitative factors as well as a strong sell discipline, this risk-control policy seeks to help preserve investors capital over the long term.
Proven Investment Management Team
The Calamos Family of Funds benefits from our teams decades of experience in the investment industry. We follow a one-team, one-process approach that leverages the expertise of more than 50 investment professionals, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, whose investment industry experience dates back to 1970 and 1983, respectively. Through the collective industry experience and educational achievements of our research and portfolio staff, we can respond to the challenges of the market with innovative and timely ideas.
Sound Proprietary Research
Over the years, we have invested significant time and resources in developing and refining sophisticated analytical models that are the foundation of the firms research capabilities, which we apply in conjunction with our assessment of broad themes. We believe evolving domestic policies, the growing global economy, and new technologies present long-term investment opportunities for those who can detect them.
36 Global Total Return Fund ANNUAL REPORT The Calamos Investments Advantage
SIDENOTE AREA END
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
Calamos Closed-End Funds
Intelligent Asset Allocation in Five Distinct Closed-End Funds
Depending on which Calamos closed-end fund you currently own, you may want to consider one or more of our other closed-end strategies to further diversify your investment portfolio.
Seek the advice of your financial advisor, who can help you determine your financial goals, risk tolerance, time horizon and income needs. To learn more, you can also visit our website at www.calamos.com.
| Fund Asset Allocation as of
10/31/08 | Fund Profile |
| --- | --- |
| Calamos Convertible Opportunities and Income Fund (CHI) | |
| ● | Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities. |
| Calamos Convertible and High Income Fund (CHY) | |
| ● | Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities. |
| Calamos Global Dynamic Income Fund (CHW) | |
| ● | Providing Global Enhanced Fixed Income Potential Objective: The Fund seeks to generate a high level of current income with a secondary objective of capital appreciation. The Fund has maximum flexibility to dynamically allocate among equities, fixed-income securities and alternative investments around the world. |
| Calamos Strategic Total Return Fund (CSQ) | |
| ● | Providing Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equity, convertible and below investment-grade (high-yield) fixed-income securities. |
| Calamos Global Total Return Fund (CGO) | |
| ● | Providing Global Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of global equity, global convertible and below investment-grade (high-yield) fixed-income securities. |
Fund asset allocations are based on total investments (excluding security lending collateral) and may vary over time.
Global Total Return Fund Calamos Closed-End Funds ANNUAL REPORT 37
END PAGE WIDTH PAGEBREAK
BEGIN PAGE WIDTH
END PAGE WIDTH PAGEBREAK
link2 "ITEM 2. CODE OF ETHICS"
ITEM 2. CODE OF ETHICS.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the Code of Ethics) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or person performing similar functions.
(b) No response required.
(c) The registrant has not amended its Code of Ethics as it relates to any element of the code of ethics definition enumerated in paragraph(b) of this Item 2 during the period covered by this report.
(d) The registrant has not granted a waiver or an implicit waiver from its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrants Code of Ethics is attached as an Exhibit hereto.
link2 "ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT"
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrants Board of Trustees has determined that, for the period covered by the shareholder report presented in Item 1 hereto, it has four audit committee financial experts serving on its audit committee, each of whom is an independent Trustee for purpose of this N-CSR item: John E. Neal, William R. Rybak, Stephen B. Timbers and David D. Tripple. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an expert for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert pursuant to this Item. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert pursuant to this Item does not affect the duties, obligations, or liabilities of any other member of the audit committee or board of directors.
link2 "ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES"
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fee $5,085 and $33,192 are the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for the audit of the registrants annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees $15,280 and $21,686 are the aggregate fees billed in each of the last two fiscal years for assurance and related services rendered by the principal accountant to the registrant that are reasonably related to the performance of the audit of the
Folio /Folio
PAGEBREAK
registrants financial statements and are not reported under paragraph (a) of this Item 4.
(c) Tax Fees $4,625 and $1,649 are the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for tax compliance, tax advice and tax planning.
(d) All Other Fees $21,070 and $679 are the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraph (a)-(c) of this Item 4.
(e) (1) Registrants audit committee meets with the principal accountants and management to review and pre-approve all audit services to be provided by the principal accountants.
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the registrant, including the fees and other compensation to be paid to the principal accountants; provided that the pre-approval of non-audit services is waived if (i) the services were not recognized by management at the time of the engagement as non-audit services,(ii) the aggregate fees for all non-audit services provided to the registrant are less than 5% of the total fees paid by the registrant to its principal accountants during the fiscal year in which the non-audit services are provided, and (iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the investment adviser or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant if the engagement relates directly to the operations or financial reporting of the registrant, including the fees and other compensation to be paid to the principal accountants; provided that pre-approval of non-audit services to the adviser or an affiliate of the adviser is not required if (i) the services were not recognized by management at the time of the engagement as non-audit services, (ii) the aggregate fees for all non-audit services provided to the adviser and all entities controlling, controlled by or under common control with the adviser are less than 5% of the total fees for non-audit services requiring pre-approval under paragraph (e)(1)of this Item 4 paid by the registrant, the adviser or its affiliates to the registrants principal accountants during the fiscal year in which the non-audit services are provided, and (iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
(e)(2) No percentage of the principal accountants fees or services described in each of paragraphs (b)-(d) of this Item were approved pursuant to the waiver provision paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
Folio /Folio
PAGEBREAK
(g) $25,695 and $24,015 are the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the registrant. $0 and $0 are the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the investment adviser or any entity controlling, controlled by or under common control with the adviser.
(h) No disclosures are required by this Item 4(h).
link2 "ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS"
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee. The members of the registrants audit committee are Joe F. Hanauer, Weston W. Marsh, John E. Neal, William R. Rybak, Stephen B. Timbers, and David D. Tripple.
link2 "ITEM 6. SCHEDULE OF INVESTMENTS"
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
link2 "ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES"
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated authority to vote all proxies relating to the Funds portfolio securities to the Funds investment advisor, Calamos Advisors LLC (Calamos Advisors). The Calamos Advisors Proxy Voting Policies and Procedures are included as an Exhibit hereto.
link2 "ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES"
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a)(1) As of October 31, 2008, the registrant is lead by a team of investment professionals. The Co-Chief Investment Officers and senior strategy analysts are responsible for the day-to-day management of the registrants portfolio:
During the past five years, John P. Calamos, Sr. has been President and Trustee of the Fund and chairman, CEO and Co-CIO of the Funds investment adviser, Calamos Advisors LLC and its predecessor company (Calamos Advisors). Nick P. Calamos has been Vice President and Trustee of the Fund (through June 2006) and Senior Executive Vice President and Co-CIO of Calamos Advisors and its predecessor company. John P. Calamos, Jr., Executive Vice President of Calamos Advisors, joined the firm in 1985 and has held various senior investment positions since that time. John Hillenbrand joined Calamos Advisors in 2002 and has been a senior strategy analyst since August 2002. Steve Klouda joined Calamos Advisors in 1994 and has been a senior strategy analyst since July 2002. Jeff Scudieri joined Calamos Advisors in 1997 and has been a senior strategy analyst since September 2002. Jon Vacko joined Calamos Advisors in 2000 and has been a senior strategy analyst since July 2002.
(a)(2) The portfolio managers also have responsibility for the day-to-day management of accounts other than the registrant. Information regarding these other accounts is set forth below.
Folio /Folio
PAGEBREAK
NUMBER OF OTHER ACCOUNTS MANAGED AND ASSETS BY ACCOUNT TYPE AS OF OCTOBER 31, 2008
| Investment | Investment | Other | ||||
|---|---|---|---|---|---|---|
| Companies | Vehicles | Accounts | ||||
| Accounts | Assets | Accounts | Assets | Accounts | Assets | |
| John P. Calamos Sr. | 25 | 19,049,910,754 | 14 | 851,395,049 | 20,045 | 6,150,117,410 |
| Nick P. Calamos | 25 | 19,049,910,754 | 14 | 851,395,049 | 20,045 | 6,150,117,410 |
| John P. Calamos, Jr. | 23 | 18,797,563,645 | 14 | 851,395,049 | 20,045 | 6,150,117,410 |
| John Hillenbrand | 22 | 17,471,748,281 | 12 | 806,301,464 | 20,045 | 6,150,117,410 |
| Steve Klouda | 22 | 17,471,748,281 | 12 | 806,301,464 | 20,045 | 6,150,117,410 |
| Jeff Scudieri | 22 | 17,471,748,281 | 12 | 806,301,464 | 20,045 | 6,150,117,410 |
| Jon Vacko | 22 | 17,471,748,281 | 12 | 806,301,464 | 20,045 | 6,150,117,410 |
NUMBER OF ACCOUNTS AND ASSETS FOR WHICH ADVISORY FEE IS PERFORMANCE BASED AS OF OCTOBER 31, 2008
| Investment | Investment | Other | ||||
|---|---|---|---|---|---|---|
| Companies | Vehicles | Accounts | ||||
| Accounts | Assets | Accounts | Assets | Accounts | Assets | |
| John P. Calamos Sr. | 3 | 331,488,147 | 3 | 53,191,852 | 0 | |
| Nick P. Calamos | 3 | 331,488,147 | 3 | 53,191,852 | 0 | |
| John P. Calamos, Jr. | 3 | 331,488,147 | 3 | 53,191,852 | 0 | |
| John Hillenbrand | 3 | 331,488,147 | 1 | 8,098,268 | 0 | |
| Steve Klouda | 3 | 331,488,147 | 1 | 8,098,268 | 0 | |
| Jeff Scudieri | 3 | 331,488,147 | 1 | 8,098,268 | 0 | |
| Jon Vacko | 3 | 331,488,147 | 1 | 8,098,268 | 0 | |
The registrants portfolio managers are responsible for managing the registrant and other accounts, including separate accounts and unregistered funds.
Folio /Folio
PAGEBREAK
Other than potential conflicts between investment strategies, the side-by-side management of both the Fund and other accounts may raise potential conflicts of interest due to the interest held by Calamos Advisors in an account and certain trading practices used by the portfolio managers (e.g., cross trades between a Fund and another account and allocation of aggregated trades). Calamos Advisors has developed policies and procedures reasonably designed to mitigate those conflicts. For example, Calamos Advisors will only place cross-trades in securities held by the Fund in accordance with the rules promulgated under the 1940 Act and has adopted policies designed to ensure the fair allocation of securities purchased on an aggregated basis.
The portfolio managers advise certain accounts under a performance fee arrangement. A performance fee arrangement may create an incentive for a portfolio manager to make investments that are riskier or more speculative than would be the case in the absence of performance fees. A performance fee arrangement may result in increased compensation to the portfolio managers from such accounts due to unrealized appreciation as well as realized gains in the clients account.
(a)(3) Calamos Advisors has developed and implemented a number of incentives that reward the professional staff to ensure that key employees are retained. Calamos Advisors senior management has established salary, short and long term incentive programs and benefit programs that we believe are competitive. Calamos Advisors incentive programs are based on investment performance, professional performance and an individuals overall contribution. These goals and measures are established and reviewed on an annual basis during performance reviews. As of October 31, 2008, each portfolio manager receives compensation in the form of an annual base salary and a discretionary target bonus, each payable in cash. Their discretionary target bonus is set at a percentage of the respective base salary. The amounts paid to the portfolio managers and the criteria utilized to determine the amounts are benchmarked against industry specific data provided by a third party analytical agency. The compensation structure does not differentiate between the Funds and other accounts managed by the portfolio managers, and is determined on an overall basis, taking into consideration the performance of the various strategies managed by the portfolio managers. Portfolio performance, as measured by risk-adjusted portfolio performance, is utilized to determine the discretionary target bonus, as well as overall performance of Calamos Advisors. Portfolio managers are eligible to receive annual non-equity awards under a long term incentive compensation program, set at a percentage of the respective base salary.
(a)(4) As of October 31, 2008, the end of the registrants most recently completed fiscal year, the dollar range of securities beneficially owned by each portfolio manager in the registrant is shown below:
Folio /Folio
PAGEBREAK
| Portfolio Manager | Registrant |
|---|---|
| John P. Calamos Sr. | Over $1,000,000 |
| Nick P. Calamos | None |
| John P. Calamos, Jr. | None |
| John Hillenbrand | None |
| Steve Klouda | None |
| Jeff Scudieri | $ 10,001-$50,000 |
| Matthew Toms | None |
| Jon Vacko | None |
(b) Not applicable.
link2 "ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS"
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable
link2 "ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS"
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No material changes.
link2 "ITEM 11. CONTROLS AND PROCEDURES"
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the registrants disclosure controls and procedures within 90 days of this filing and have concluded that the registrants 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-CSR was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
link2 "ITEM 12. EXHIBITS"
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
(a)(2)(iii) Proxy
Folio /Folio
PAGEBREAK
link1 "SIGNATURES"
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: | December 29, 2008 |
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.
| By: | |
|---|---|
| Name: | John P. Calamos, Sr. |
| Title: | Principal Executive Officer |
| Date: | December 29, 2008 |
| By: | |
|---|---|
| Name: | Nimish S. Bhatt |
| Title: | Principal Financial Officer |
| Date: | December 29, 2008 |
Folio /Folio
Building tools?
Free accounts include 100 API calls/year for testing.
Have a question? We'll get back to you promptly.