CALAMOS GLOBAL TOTAL RETURN FUND

Regulatory Filings • Sep 18, 2014

N-Q 1 d759296dnq.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, 2014

DATE OF REPORTING PERIOD: July 31, 2014

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
CORPORATE BONDS (10.0%)
		Consumer Discretionary (4.9%)
1,175,000		Chrysler Group, LLC 8.250%,
06/15/21	$ 1,291,031
383,000		Dana Holding Corp. 6.500%,
02/15/19	398,320
		Icahn Enterprises, LP
860,000		4.875%, 03/15/19µ	862,150
373,000		5.875%, 02/01/22	382,092
1,160,000		Jaguar Land Rover Automotive, PLC* 8.125%, 05/15/21	1,282,525
815,000		L Brands, Inc.µ 5.625%,
02/15/22	856,769
900,000		Service Corp. Internationalµ 7.500%, 04/01/27	995,625
			6,068,512
		Consumer Staples (1.2%)
8,700,000	NOK	Nestlé Holdings, Inc.µ 3.375%, 02/08/16	1,421,511
		Energy (1.7%)
1,290,000		Cimarex Energy Company 4.375%,
06/01/24	1,323,862
362,000		Petroleum Geo-Services, ASAµ* 7.375%, 12/15/18	383,268
383,000		Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19	402,868
			2,109,998
		Financials (0.6%)
712,000		Leucadia National Corp.µ 8.125%, 09/15/15	764,510
		Materials (1.6%)
1,014,000		FMG Resources*^ 8.250%,
11/01/19	1,095,120
800,000		New Gold, Inc.µ* 6.250%,
11/15/22	847,500
			1,942,620
		TOTAL CORPORATE BONDS (Cost $12,291,464)	12,307,151
CONVERTIBLE BONDS (50.1%)
		Consumer Discretionary (5.6%)
600,000	EUR	FF Group Finance Luxembourg 1.750%,
07/03/19	816,134
725,000		MGM Resorts Internationalµ^ 4.250%, 04/15/15	1,079,235
865,000		Priceline Group, Inc.µ 1.000%,
03/15/18	1,250,595
550,000	EUR	Steinhoff Finance Holding, GmbHµ 4.500%, 03/31/18	972,023

PRINCIPAL AMOUNT — 1,550,000		Toll Brothers Finance Corp.µ^ 0.500%, 09/15/32	VALUE — $ 1,581,512
600,000	GBP	TUI Travel, PLCµ 4.900%,
04/27/17	1,155,304
			6,854,803
		Consumer Staples (1.4%)
14,000,000	HKD	Biostime International Holdings, Ltd.µ 0.000%, 02/20/19	1,738,717
		Energy (2.7%)
800,000	AUD	Beach Energy, Ltd.µ 3.950%,
04/03/17	817,103
800,000		SEACOR Holdings, Inc.µ^ 2.500%, 12/15/27	881,816
1,400,000	EUR	Technip, SA 0.500%,
01/01/16	1,663,789
			3,362,708
		Financials (7.2%)
		Ares Capital Corp.
896,000		4.750%, 01/15/18	946,476
675,000		5.750%, 02/01/16µ^	717,873
1,650,000		AYC Finance, Ltd.µ 0.500%,
05/02/19	1,799,367
2,200,000	EUR	Azimut Holding, S.p.A.µ 2.125%, 11/25/20	3,340,221
1,100,000	EUR	Industrivarden, ABµ 1.875%,
02/27/17	1,585,825
439,000		Portfolio Recovery Associates, Inc.µ*^ 3.000%, 08/01/20	517,767
			8,907,529
		Health Care (4.7%)
715,000		Cepheid* 1.250%,
02/01/21	676,168
		Cubist Pharmaceuticals, Inc.µ^
830,000		1.875%, 09/01/20*	893,300
750,000		1.125%, 09/01/18	808,950
850,000		Illumina, Inc.* 0.500%,
06/15/21	849,303
600,000		Medidata Solutions, Inc.µ*^ 1.000%, 08/01/18	656,067
734,000		Molina Healthcare, Inc.µ^ 1.125%, 01/15/20	863,426
700,000		WellPoint, Inc.µ 2.750%,
10/15/42	1,102,518
			5,849,732
		Industrials (7.2%)
1,400,000	EUR	International Consolidated Airlines Group, SAµ 1.750%, 05/31/18	2,294,808

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

| PRINCIPAL AMOUNT — 1,300,000 | | MISUMI Group, Inc. 0.000%,
10/22/18 | VALUE — $ 1,383,420 |
| --- | --- | --- | --- |
| 220,000,000 | JPY | Nidec Corp.µ 0.000%,
09/18/15 | 2,726,377 |
| 2,250,000 | | Siemens, AGµ 1.050%,
08/16/17 | 2,449,244 |
| | | | 8,853,849 |
| | | Information Technology (17.6%) | |
| 1,600,000 | | Advanced Semiconductor Engineering, Inc.µ 0.000%, 09/05/18 | 1,895,454 |
| 425,000 | | Concur Technologies, Inc. 0.500%,
06/15/18 | 470,753 |
| 1,400,000 | | Dialog Semiconductor, PLCµ 1.000%, 04/12/17 | 1,708,935 |
| 800,000 | | Electronic Arts, Inc.µ^ 0.750%, 07/15/16 | 964,412 |
| 2,200,000 | | Epistar Corp.µ 0.000%,
08/07/18 | 2,578,553 |
| 1,250,000 | | InvenSense, Inc.µ^ 1.750%,
11/01/18 | 1,497,275 |
| 875,000 | | NetSuite, Inc. 0.250%,
06/01/18 | 892,929 |
| 1,550,000 | | NVIDIA Corp. 1.000%,
12/01/18 | 1,678,301 |
| 750,000 | | ON Semiconductor Corp. 2.625%,
12/15/26 | 853,642 |
| 885,000 | | Palo Alto Networks, Inc. 0.000%,
07/01/19 | 906,948 |
| 1,600,000 | | Salesforce.com, Inc.µ^ 0.250%,
04/01/18 | 1,773,000 |
| 1,400,000 | | SanDisk Corp.^ 0.500%,
10/15/20 | 1,635,452 |
| 1,553,000 | | ServiceNow, Inc.*^ 0.000%,
11/01/18 | 1,672,565 |
| 500,000 | | SK Hynix, Inc. 2.650%,
05/14/15 | 714,085 |
| | | Workday, Inc.µ^ | |
| 550,000 | | 0.750%, 07/15/18 | 679,168 |
| 300,000 | | 1.500%, 07/15/20 | 381,021 |
| 110,000,000 | JPY | Yaskawa Electric Corp. 0.000%,
03/16/17 | 1,372,151 |
| | | | 21,674,644 |
| | | Materials (3.7%) | |
| 1,510,000 | | Cemex, SAB de CVµ 3.250%,
03/15/16 | 2,091,516 |
| 2,300,000 | | Newmont Mining Corp.µ^ 1.625%,
07/15/17 | 2,466,911 |
| | | | 4,558,427 |
| | | TOTAL CONVERTIBLE BONDS (Cost $61,668,662) | 61,800,409 |

PRINCIPAL AMOUNT			VALUE
U.S. GOVERNMENT AND AGENCY SECURITY (0.1%)
200,000		United States Treasury Note~ 0.375%,
06/30/15 (Cost $200,471)	$ 200,477
NUMBER OF SHARES			VALUE
CONVERTIBLE PREFERRED STOCKS (5.7%)
		Energy (1.9%)
1,943		Chesapeake Energy Corp.µ*^ 5.750%	2,302,037
		Financials (0.7%)
8,500		American Tower Corp. 5.250%	937,975
		Industrials (1.9%)
39,305		United Technologies Corp.^ 7.500%	2,331,573
		Utilities (1.2%)
23,250		NextEra Energy, Inc.µ^ 5.599%	1,443,941
		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $7,106,059)	7,015,526
COMMON STOCKS (63.0%)
		Consumer Discretionary (7.4%)
13,500	CHF	Compagnie Financière Richemont, SA	1,281,045
29,400	ZAR	Naspers, Ltd. - Class Nµ	3,615,528
20,000	DKK	Pandora, A/Sµ	1,368,620
39,000	GBP	Persimmon, PLC#	821,399
20,000	JPY	Toyota Motor Corp.	1,180,801
41,500	GBP	WPP, PLCµ	826,122
			9,093,515
		Consumer Staples (7.9%)
15,750	EUR	Anheuser-Busch InBev, NVµ	1,699,941
134,000	HKD	Biostime International Holdings, Ltd.^	610,283
63,500		Coca-Cola Companyµ^	2,494,915
23,000	CHF	Nestlé, SA	1,702,922
17,100		Philip Morris International, Inc.µ	1,402,371
43,000	JPY	Seven & I Holdings Company, Ltd.µ	1,789,471
			9,699,903
		Energy (5.0%)
15,250		Anadarko Petroleum Corp.µ	1,629,463
22,700		Schlumberger, Ltd.µ	2,460,453
12,500	EUR	TOTAL, SA	806,184

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

NUMBER OF SHARES — 25,700	CAD	Tourmaline Oil Corp.#	VALUE — $ 1,209,869
			6,105,969
		Financials (9.7%)
269,008	HKD	AIA Group, Ltd.µ	1,441,183
19,500		Arthur J. Gallagher & Companyµ	877,500
51,600		Citigroup, Inc.µ^	2,523,756
105,000	JPY	Daiwa Securities Group, Inc.µ	881,579
162,500	GBP	HSBC Holdings, PLCµ	1,742,150
30,500		JPMorgan Chase & Companyµ	1,758,935
12,500		State Street Corp.µ	880,500
37,000		Wells Fargo & Companyµ	1,883,300
			11,988,903
		Health Care (7.0%)
33,900		Johnson & Johnsonµ	3,393,051
96,500	DKK	Novo Nordisk, A/S - Class Bµ	4,442,106
8,000	EUR	Sanofi	839,927
			8,675,084
		Industrials (4.0%)
7,892		Chicago Bridge & Iron Company, NVµ	468,154
14,000		Eaton Corp., PLCµ^	950,880
75,000	HKD	Hutchison Whampoa, Ltd.µ	1,017,408
79,000	EUR	Koninklijke Philips, NVµ	2,434,825
			4,871,267
		Information Technology (18.4%)
22,000		Accenture, PLC - Class Aµ^	1,744,160
74,018		Apple, Inc.µ	7,073,900
37,000	JPY	Canon, Inc.µ	1,210,465
4,600		Google, Inc. - Class Aµ#	2,665,930
93,000	TWD	MediaTek, Inc.µ	1,439,282
29,000		Microsoft Corp.µ	1,251,640
25,000		QUALCOMM, Inc.µ^	1,842,500
11,250	EUR	SAP, SE	884,159
806,000	TWD	Taiwan Semiconductor Manufacturing Company, Ltd.	3,231,481
83,000	HKD	Tencent Holdings, Ltd.	1,347,900
			22,691,417
		Materials (1.9%)
19,000	GBP	Anglo American, PLCµ	510,264
64,200		Barrick Gold Corp.µ^	1,160,736
23,263	AUD	Newcrest Mining, Ltd.µ#	232,394
54,000	CAD	Yamana Gold, Inc.µ	460,586
			2,363,980

NUMBER OF SHARES			VALUE
		Telecommunication Services (1.7%)
5,100	KRW	SK Telecom Company, Ltd.µ	$ 1,309,180
11,500	JPY	SoftBank Corp.µ	826,715
			2,135,895
		TOTAL COMMON STOCKS (Cost $74,757,893)	77,625,933
NUMBER OF CONTRACTS			VALUE
PURCHASED OPTIONS (1.2%)#
		Consumer Discretionary (0.2%)
60		Amazon.com, Inc. Call, 01/17/15,
Strike $350.00	73,050
275		Melco Crown Entertainment, Ltd Call,
01/15/16, Strike $36.66	130,625
			203,675
		Financials (0.1%)
650	CHF	Credit Suisse Group, AG Call,
06/19/15, Strike 28.00	51,857
		Health Care (0.2%)
200		Gilead Sciences, Inc. Call,
01/17/15, Strike $95.00	131,000
25		Regeneron Pharmaceuticals, Inc. Call, 01/17/15, Strike $270.00	150,750
			281,750
		Industrials (0.0%)
		Airbus Group, NV
260	EUR	Call, 06/19/15, Strike 60.00	11,489
215	EUR	Call, 06/19/15, Strike 52.00	34,260
			45,749
		Information Technology (0.7%)
260		Facebook, Inc. Call, 01/17/15,
Strike $67.50	257,400
25		Google, Inc. Call, 01/17/15, Strike
$920.00	606,125
			863,525
		TOTAL PURCHASED OPTIONS (Cost $1,950,290)	1,446,556

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2014 (UNAUDITED)

NUMBER OF SHARES		VALUE
SHORT TERM INVESTMENT (9.7%)
11,949,185	Fidelity Prime Money Market Fund - Institutional Class (Cost $11,949,185)	$ 11,949,185
TOTAL INVESTMENTS (139.8%) (Cost $169,924,024)		172,345,237
LIABILITIES, LESS OTHER ASSETS (-39.8%)		(49,077,171	)
NET ASSETS (100.0%)		$ 123,268,066

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 $94,129,299. $16,782,535 of the collateral has been
re-registered by one of the counterparties, BNP (see Note 3 - Borrowings). |
| --- | --- |
| * | Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be
sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration
requirements. |
| ^ | Security, or portion of security, is on loan. |
| ~ | Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps. The aggregate value of such securities is
$200,477. |
| # | 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
TWD	New Taiwan Dollar
ZAR	South African Rand

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

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

INTEREST RATE SWAP

| Counterparty | Fixed
Rate (Fund Pays) | Floating Rate (Fund Receives) | Termination Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | |
| --- | --- | --- | --- | --- | --- | --- |
| BNP Paribas, SA | 1.140% quarterly | 3 month LIBOR | 03/14/17 | $ 12,000,000 | $ (58,938 | ) |
| | | | | | $ (58,938 | ) |

See accompanying Notes to Schedule of Investments

Calamos Global Total Return Fund

CURRENCY EXPOSURE JULY 31, 2014	VALUE	% OF TOTAL INVESTMENTS
US Dollar	$ 111,179,879	64.5%
European Monetary Unit	17,383,585	10.1%
Japanese Yen	9,987,559	5.8%
Hong Kong Dollar	6,155,491	3.6%
Danish Krone	5,810,726	3.4%
British Pound Sterling	5,055,239	2.9%
New Taiwan Dollar	4,670,763	2.7%
South African Rand	3,615,528	2.1%
Swiss Franc	3,035,824	1.8%
Canadian Dollar	1,670,455	1.0%
Norwegian Krone	1,421,511	0.8%
South Korean Won	1,309,180	0.7%
Australian Dollar	1,049,497	0.6%
Total Investments	$ 172,345,237	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, 2014.

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, 2014. 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, 2014 was as follows:

Cost basis of investments	$
Gross unrealized appreciation	11,873,168
Gross unrealized depreciation	(8,974,335	)
Net unrealized appreciation (depreciation)	$ 2,898,833

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, (Lending Agreement), as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) , together with the BNP Agreement, (“Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to 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, 2014, the average borrowings under the Agreements were $49.0 million. For the period ended July 31, 2014, the average interest rate was 0.62%. As of July 31, 2014, the amount of total outstanding borrowings was $49.0 million, which approximates fair value. The interest rate applicable to the borrowings on July 31, 2014 was 0.89%.

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

ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

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, 2014, the Fund used approximately $9.0 million of its cash collateral to offset the SSB Agreement, representing 5.2% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.66%, 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 Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

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

	Level 1	Level 2	Level 3	Total
Assets:
Corporate Bonds	$ —	$ 12,307,151	$ —	$ 12,307,151
Convertible Bonds	—	61,800,409	—	61,800,409
U.S. Government and Agency Security	—	200,477	—	200,477
Convertible Preferred Stocks	3,269,548	3,745,978	—	7,015,526
Common Stocks Foreign	1,670,455	39,493,334	—	41,163,789
Common Stocks U.S.	36,462,144	—	—	36,462,144
Purchased Options	1,446,556	—	—	1,446,556
Short Term Investment	11,949,185	—	—	11,949,185
Total	$ 54,797,888	$ 117,547,349	$ —	$ 172,345,237
Liabilities:
Interest Rate Swaps	$ —	$ 58,938	$ —	$ 58,938
Total	$ —	$ 58,938	$ —	$ 58,938

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, 2014

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, 2014
By:	/s/ Nimish S. Bhatt
Name:	Nimish S. Bhatt
Title:	Principal Financial Officer
Date:	September 18, 2014