CALAMOS GLOBAL TOTAL RETURN FUND

Regulatory Filings • Sep 18, 2013

N-Q 1 d566877dnq.htm N-Q N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21547

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

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

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

DATE OF FISCAL YEAR END: October 31, 2013

DATE OF REPORTING PERIOD: July 31, 2013

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
CORPORATE BONDS (6.4%)
		Consumer Discretionary (2.0%)
815,000		L Brands, Inc.µ 5.625%, 02/15/22	$ 845,562
1,430,000		Service Corp. Internationalµ 7.500%, 04/01/27	1,576,575
			2,422,137
		Consumer Staples (1.3%)
8,700,000	NOK	Nestlé Holdings, Inc.µ 3.375%, 02/08/16	1,525,512
		Energy (1.5%)
5,500,000	NOK	Aker Solutions, ASA‡ 6.010%, 06/06/17	959,009
362,000		Petroleum Geo-Services, ASAµ* 7.375%, 12/15/18	398,653
383,000		Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19	407,416
			1,765,078
		Financials (0.7%)
712,000		Leucadia National Corp.µ 8.125%, 09/15/15	798,330
		Materials (0.6%)
800,000		New Gold, Inc.µ* 6.250%, 11/15/22	761,500
		Telecommunication Services (0.3%)
410,000		MetroPCS Wireless, Inc.µ* 6.250%, 04/01/21	420,250
		TOTAL CORPORATE BONDS (Cost $7,438,526)	7,692,807
CONVERTIBLE BONDS (40.4%)
		Consumer Discretionary (2.2%)
613,000		MGM Resorts Internationalµ^ 4.250%, 04/15/15	718,656
865,000		Priceline.com, Inc.µ^ 1.000%, 03/15/18	1,036,560
600,000	EUR	Volkswagen International Finance, NVµ* 5.500%, 11/09/15	907,747
			2,662,963
		Energy (5.3%)
800,000		SEACOR Holdings, Inc.* 2.500%, 12/15/27	952,636
1,800,000		Subsea 7, SAµ 2.250%, 10/11/13	1,825,129
		Technip, SAµ
1,950,000	EUR	0.500%, 01/01/16	2,555,962
659,100	EUR	0.250%, 01/01/17	960,735
			6,294,462
		Financials (6.7%)
700,000		Affiliated Managers Group, Inc. 3.950%, 08/15/38	1,001,406

PRINCIPAL AMOUNT			VALUE
		Industrivarden, ABµ
1,750,000	EUR	1.875%, 02/27/17	$ 2,527,305
500,000	EUR	2.500%, 02/27/15	841,825
664,000		Jefferies Group, Inc.µ 3.875%, 11/01/29	703,764
545,000		Leucadia National Corp.µ 3.750%, 04/15/14	701,587
2,750,000	SGD	Temasek Financial, Ltd. (Standard Chartered, PLC)§ 0.000%, 10/24/14	2,243,946
			8,019,833
		Health Care (4.2%)
8,380,000	SEK	Elekta, ABµ 2.750%, 04/25/17	1,711,857
734,000		Molina Healthcare, Inc.* 1.125%, 01/15/20	807,657
1,300,000		QIAGEN Euro Finance (Luxembourg), SAµ 3.250%, 05/16/26	1,602,471
700,000		WellPoint, Inc.µ* 2.750%, 10/15/42	916,555
			5,038,540
		Industrials (6.1%)
2,300,000	EUR	Deutsche Post, AG^ 0.600%, 12/06/19	3,696,411
1,200,000	EUR	International Consolidated Airlines Group, SA 1.750%, 05/31/18	1,746,154
1,750,000		Siemens, AGµ 1.050%, 08/16/17	1,858,569
			7,301,134
		Information Technology (8.8%)
425,000		Concur Technologies, Inc.* 0.500%, 06/15/18	445,279
800,000		Electronic Arts, Inc.µ 0.750%, 07/15/16	876,908
715,000		Linear Technology Corp.µ 3.000%, 05/01/27	778,034
875,000		Netsuite, Inc.µ*^ 0.250%, 06/01/18	915,508
825,000		Salesforce.com, Inc.µ* 0.250%, 04/01/18	822,711
1,950,000		SanDisk Corp.µ^ 1.500%, 08/15/17	2,460,227
2,300,000		SK Hynix, Inc. 2.650%, 05/14/15	2,502,532
750,000		TPK Holding Co., Ltd. 0.000%, 10/01/17	801,997
		Workday, Inc.*
550,000		0.750%, 07/15/18	579,593
300,000		1.500%, 07/15/20	316,299
			10,499,088
		Materials (5.1%)
690,000		Cemex SAB de CV 4.875%, 03/15/15	830,708
2,675,000		Goldcorp, Inc.µ 2.000%, 08/01/14	2,712,303

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

| PRINCIPAL AMOUNT — 2,300,000 | | Newmont Mining Corp.µ^ 1.625%,
07/15/17 | VALUE — $ 2,552,379 |
| --- | --- | --- | --- |
| | | | 6,095,390 |
| | | Telecommunication Services (2.0%) | |
| 2,300,000 | | Billion Express Investments, Ltd. 0.750%, 10/18/15 | 2,360,858 |
| | | TOTAL CONVERTIBLE BONDS (Cost $48,946,277) | 48,272,268 |
| U.S. GOVERNMENT AND AGENCY SECURITY (0.6%) | | | |
| 700,000 | | United States Treasury Note~ 0.125%,
08/31/13 (Cost $699,971) | 700,055 |
| SOVEREIGN BONDS (7.0%) | | | |
| 3,030,000 | CAD | Government of Canadaµ 2.000%,
06/01/16 | 3,006,370 |
| 12,050,000 | NOK | Kingdom of Norwayµ 4.250%,
05/19/17 | 2,231,248 |
| 19,200,000 | SEK | Kingdom of Swedenµ 3.000%,
07/12/16 | 3,100,914 |
| | | TOTAL SOVEREIGN BONDS (Cost $8,270,124) | 8,338,532 |
| NUMBER OF SHARES | | | VALUE |
| CONVERTIBLE PREFERRED STOCKS (4.9%) | | | |
| | | Energy (3.7%) | |
| | | Chesapeake Energy Corp.µ* | |
| 2,064 | | 5.750% | 2,274,786 |
| 2,029 | | 5.750%^ | 2,176,103 |
| | | | 4,450,889 |
| | | Utilities (1.2%) | |
| 23,250 | | NextEra Energy, Inc.µ 5.599% | 1,367,100 |
| | | TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $6,126,147) | 5,817,989 |
| COMMON STOCKS (75.3%) | | | |
| | | Consumer Discretionary (6.1%) | |
| 13,500 | CHF | Compagnie Financière Richemont, SA | 1,320,605 |
| 5,850 | CHF | Swatch Group, AGµ | 3,476,375 |
| 27,000 | JPY | Toyota Motor Corp. | 1,642,969 |
| 47,500 | GBP | WPP, PLC | 857,570 |
| | | | 7,297,519 |
| | | Consumer Staples (6.2%) | |
| 125,000 | | Coca-Cola Companyµ | 5,010,000 |
| 17,100 | | Philip Morris International, Inc.µ | 1,524,978 |
| 23,000 | SEK | Swedish Match, AB | 860,231 |
| | | | 7,395,209 |
| | | Energy (5.1%) | |
| 15,250 | | Anadarko Petroleum Corp.µ | 1,349,930 |
| 19,800 | | Murphy Oil Corp.µ | 1,340,856 |

NUMBER OF SHARES — 41,000		Schlumberger, Ltd.µ	VALUE — $ 3,334,530
			6,025,316
		Financials (12.5%)
210,000	HKD	AIA Group, Ltd.	994,001
36,100		Citigroup, Inc.µ^	1,882,254
60,000	SGD	DBS Group Holdings, Ltd.	787,375
22,950		Franklin Resources, Inc.µ	1,121,796
162,500	GBP	HSBC Holdings, PLCµ	1,844,936
46,000		JPMorgan Chase & Companyµ	2,563,580
30,000	GBP	Standard Chartered, PLCµ	695,812
33,250		T. Rowe Price Group, Inc.µ^	2,501,730
58,500		Wells Fargo & Company	2,544,750
			14,936,234
		Health Care (14.0%)
28,500		Amgen, Inc.µ^	3,086,265
30,500		Covidien, PLCµ	1,879,715
48,500		Johnson & Johnsonµ	4,534,750
27,000	CHF	Novartis, AGµ	1,940,945
31,400	DKK	Novo Nordisk, A/S - Class Bµ	5,327,513
			16,769,188
		Industrials (4.8%)
80,500	CHF	ABB, Ltd.µ#	1,774,698
5,300		Dover Corp.	453,892
14,000		Eaton Corp., PLC	965,300
79,000	EUR	Koninklijke Philips Electronics, NV	2,526,335
			5,720,225
		Information Technology (21.7%)
30,900		Accenture, PLC - Class Aµ^	2,280,729
3,950		Apple, Inc.µ	1,787,375
37,000	JPY	Canon, Inc.µ	1,141,234
63,000		Cisco Systems, Inc.µ	1,609,650
130,000		Dell, Inc.µ	1,647,100
59,500		eBay, Inc.µ#	3,075,555
16,000		Infosys, Ltd.µ^	794,880
127,000	SEK	LM Ericsson Telephone Companyµ	1,501,180
29,000		Microsoft Corp.µ	923,070
40,000		QUALCOMM, Inc.µ	2,582,000
1,250	KRW	Samsung Electronics Company, Ltd.µ	1,424,397
46,250	EUR	SAP, AGµ	3,388,806
806,000	TWD	Taiwan Semiconductor Manufacturing Company, Ltd.	2,740,955
24,000	HKD	Tencent Holdings, Ltd.	1,086,432
			25,983,363
		Materials (2.6%)
19,000	GBP	Anglo American, PLCµ	407,562
64,200		Barrick Gold Corp.µ	1,089,474
97,263	AUD	Newcrest Mining, Ltd.µ	1,071,340
54,000	CAD	Yamana Gold, Inc.µ	564,132
			3,132,508
		Telecommunication Services (2.3%)
480,000	HKD	China Unicom Hong Kong, Ltd.µ^	706,337
18,700	JPY	KDDI Corp.µ	1,034,655

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

NUMBER OF SHARES — 5,100	KRW	SK Telecom Company, Ltd.µ	VALUE — $ 999,248
			2,740,240
		TOTAL COMMON STOCKS (Cost $90,391,962)	89,999,802
NUMBER OF CONTRACTS			VALUE
PURCHASED OPTIONS (1.2%)#
		Consumer Discretionary (0.4%)
120	EUR	Adidas, AG Call, 12/19/14, Strike 84.00	155,651
215		Michael Kors Holdings, Ltd. Call, 01/17/15, Strike $65.00	298,850
			454,501
		Health Care (0.4%)
275		Gilead Sciences, Inc. Call, 01/17/15, Strike $57.50	323,812
25		Regeneron Pharmaceuticals, Inc. Call, 01/17/15, Strike $270.00	181,875
			505,687
		Information Technology (0.4%)
25		Google, Inc. Call, 01/17/15, Strike $920.00	221,000
335		Salesforce.com, Inc. Call, 01/17/15, Strike $42.50	278,888
			499,888
		TOTAL PURCHASED OPTIONS (Cost $1,372,704)	1,460,076
NUMBER OF SHARES			VALUE
SHORT TERM INVESTMENT (4.4%)
5,288,420		Fidelity Prime Money Market Fund -Institutional Class (Cost $5,288,420)	5,288,420
TOTAL INVESTMENTS (140.2%) (Cost $168,534,131)			167,569,949
LIABILITIES, LESS OTHER ASSETS (-40.2%)			(48,036,459)
NET ASSETS (100.0%)			$ 119,533,490

NOTES TO SCHEDULE OF INVESTMENTS

| µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $91,438,011. $15,803,093 of the collateral has been
re-registered by the counterparty, BNP (see Note 3 - Borrowings). |
| --- | --- |
| ‡ | Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2013. |
| * | Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be
sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration
requirements. |
| ^ | Security, or portion of security, is on loan. |
| § | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
| ~ | Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps. The aggregate value of such securities is
$640,050. |
| # | Non-income producing security. |

FOREIGN CURRENCY ABBREVIATIONS

AUD	Australian Dollar
CAD	Canadian Dollar
CHF	Swiss Franc
DKK	Danish Krone
EUR	European Monetary Unit
GBP	British Pound Sterling
HKD	Hong Kong Dollar
JPY	Japanese Yen
KRW	South Korean Won
NOK	Norwegian Krone
SEK	Swedish Krona
SGD	Singapore Dollar
TWD	New Taiwanese Dollar

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

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

INTEREST RATE SWAPS

| COUNTERPARTY | FIXED RATE (FUND
PAYS) | FLOATING
RATE (FUND RECEIVES) | TERMINATION DATE | NOTIONAL AMOUNT | UNREALIZED APPRECIATION/ (DEPRECIATION) | |
| --- | --- | --- | --- | --- | --- | --- |
| BNP Paribas, SA | 2.535% quarterly | 3 month LIBOR | 03/09/14 | $ 12,000,000 | $ (204,796 | ) |
| BNP Paribas, SA | 1.140% quarterly | 3 month LIBOR | 03/14/17 | 12,000,000 | (77,078 | ) |
| | | | | | $ (281,874 | ) |

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

| CURRENCY
EXPOSURE JULY 31, 2013 | Value | % of Total Investments |
| --- | --- | --- |
| US Dollar | $ 99,283,660 | 59.3% |
| European Monetary Unit | 19,306,931 | 11.5% |
| Swiss Franc | 8,512,623 | 5.1% |
| Swedish Krona | 7,174,182 | 4.3% |
| Danish Krone | 5,327,513 | 3.2% |
| Norwegian Krone | 4,715,769 | 2.8% |
| Japanese Yen | 3,818,858 | 2.3% |
| British Pound Sterling | 3,805,880 | 2.3% |
| Canadian Dollar | 3,570,502 | 2.1% |
| Singapore Dollar | 3,031,321 | 1.8% |
| Hong Kong Dollar | 2,786,770 | 1.7% |
| New Taiwanese Dollar | 2,740,955 | 1.6% |
| South Korean Won | 2,423,645 | 1.4% |
| Australian Dollar | 1,071,340 | 0.6% |
| Total Investments | $ 167,569,949 | 100.0% |

Currency exposure may vary over time.

See accompanying Notes to Schedule of Investments

NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization. CALAMOS GLOBAL TOTAL RETURN (the “Fund”) was organized as a Delaware statutory trust on March 30, 2004 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on October 27, 2005. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income.

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

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

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

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

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

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

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

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2013.

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

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

The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of July 31, 2013. 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 July 31, 2013 was as follows:

Cost basis of investments	$
Gross unrealized appreciation	10,561,089
Gross unrealized depreciation	(10,992,529	)
Net unrealized appreciation (depreciation)	$ (431,440	)

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $30.0 million and a lending agreement, as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $30.0 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2013, the average borrowings under the Agreements were $34.7 million. For the period ended July 31, 2013, the average interest rate was 0.96%. As of July 31, 2013, the amount of total outstanding borrowings was $35.4 million, which approximates fair value. The interest rate applicable to the borrowings on July 31, 2013 was 0.92%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of July 31, 2013, the Fund used approximately $13.6 million of its cash collateral to offset the SSB Agreement, representing 8.1% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.46%, which can fluctuate depending on interest rates.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — FAIR VALUE MEASUREMENTS

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

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

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

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

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

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

	LEVEL 1	LEVEL 2	LEVEL 3	TOTAL
Assets:
Corporate Bonds	$ —	$ 7,692,807	$ —	$ 7,692,807
Convertible Bonds		48,272,268		48,272,268
U.S. Government and Agency Security		700,055		700,055
Sovereign Bonds		8,338,532		8,338,532
Convertible Preferred Stocks		5,817,989		5,817,989
Common Stocks	50,448,291	39,551,511		89,999,802
Purchased Options	1,460,076			1,460,076
Short Term Investment	5,288,420			5,288,420
Total	$ 57,196,787	$ 110,373,162	$ —	$ 167,569,949
Liabilities:
Interest Rate Swaps	$ —	$ 281,874	$ —	$ 281,874
Total	$ —	$ 281,874	$ —	$ 281,874

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

SIGNATURES

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

Calamos Global Total Return Fund
By:	/s/ John P. Calamos, Sr.
Name:	John P. Calamos, Sr.
Title:	Principal Executive Officer
Date:	September 18, 2013

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

Calamos Global Total Return Fund
By:	/s/ John P. Calamos, Sr.
Name:	John P. Calamos, Sr.
Title:	Principal Executive Officer
Date:	September 18, 2013
By:	/s/ Nimish S. Bhatt
Name:	Nimish S. Bhatt
Title:	Principal Financial Officer
Date:	September 18, 2013