cgo-ncsrs_043018
 

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., Founder, Chairman and

Global Chief Investment Officer

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, 2018

DATE OF REPORTING PERIOD: November 1, 2017 through April 30, 2018

 

 
 

  

Item 1. Report to Shareholders

 

 

TIMELY INFORMATION INSIDE

Global Total Return Fund (CGO)

SEMIANNUAL REPORT APRIL 30, 2018

 

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TABLE OF CONTENTS

Letter to Shareholders1

The Calamos Closed-End Funds:
An Overview
5

Investment Team Discussion6

Schedule of Investments10

Statement of Assets and Liabilities19

Statement of Operations20

Statements of Changes In Net Assets21

Statement of Cash Flows22

Notes to Financial Statements23

Financial Highlights31

Report of Independent Registered
Public Accounting Firm
32

About Closed-End Funds33

Managed Distribution Policy34

Automatic Dividend Reinvestment Plan34

Experience and Foresight

About Calamos Investments

For over 40 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage six closed-end funds. Three are total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed income offerings, which pursue high current income from income and capital gains. Calamos Global Total Return Fund (CGO) falls into the former category. Please see page 5 for a more detailed overview of our closed-end offerings.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

We believe an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered strategies that seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

We have a global perspective. We believe globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

Letter to Shareholders

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   1

Dear Fellow Shareholder:

Welcome to your semiannual report for the six-month period ended April 30, 2018. In this report, you will find commentary from the Calamos portfolio management team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of this Calamos Fund. I encourage you to review this information carefully.

Calamos Global Total Return Fund (CGO) is an income-oriented total-return fund. This means we are focused not only on delivering a competitive stream of distributions, but also on total return. We utilize dynamic asset allocation to pursue high current income with a less rate-sensitive approach, while also maintaining a focus on capital gains.

Distribution

During the period, the Fund provided a compelling monthly distribution of $0.1000 per share. We believe the Fund’s current annualized distribution rate, which was 8.68%* on a market price basis as of April 30, 2018, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a managed distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes.

*Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 4/30/18 distribution was $0.1000 per share. Based on our current estimates, we anticipate that approximately $0.1000 is paid from ordinary income or capital gains and that approximately $0.0000 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s managed distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. The distribution rate may vary.

Letter to Shareholders

2   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

In our October 2017 annual report, I discussed the favorable trends that were supporting continued global growth and investment potential across asset classes. However, I noted our investment teams would not be surprised if the market environment changed, with a pause in the equity markets or even a correction. I also discussed that short-term volatility can create opportunities for long-term managers, such as ourselves. During the semiannual reporting period, these views were borne out.

Market Review

The semiannual period was characterized by two distinct environments, and in particular, the return of volatility to the markets in January. Through the final months of 2017, U.S. and global stock markets advanced briskly as investors focused on positive global economic growth trends, low inflation, deregulation and anticipation of tax reform. However, the climate changed in 2018. Although economic fundamentals remained compelling around the world, market participants became distracted by the potential for more Federal Reserve hikes and rising inflation. After many years of subdued volatility and record-low interest rates, the stock market became increasingly turbulent as the period progressed.1 Fixed income asset classes also encountered headwinds.2,3 Convertible securities, in contrast, demonstrated resilience in the choppy markets, illustrating the potential benefits of their unique structural characteristics.4

Outlook

We believe positive economic conditions and corporate fundamentals can support a continuation of the bull market in stocks, as well as opportunities across asset classes. Global economic data is positive on the whole. GDP growth has continued at a good pace in the U.S., and tax reform and deregulation can provide further catalysts from here. The U.S. consumer has benefitted from job growth, wage gains and rising housing values. Corporate fundamentals—including earnings, sales and revenue growth—are very strong. Inflation has increased but is coming off historically low levels and remains contained. As economic growth continues, we expect the Fed to maintain its course of raising short-term interest rates gradually. This slow pace, combined with conditions in the broader global bond markets, may help keep longer-term U.S. rates from rising unchecked.

Although economic conditions are favorable, managing volatility will be key to succeeding in this environment. Evolving trade policies, uncertainties around North Korea and Russia, and U.S. mid-term elections will likely contribute to short-term market disruptions over coming months. An extended trade war could be an economic headwind, but we do not see this as the probable outcome. We are hopeful that moves by the U.S. over recent months can set the stage for negotiations that lead to freer and fairer trade over the long term.

Letter to Shareholders

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   3

Thoughts for Investors

The stock market’s gyrations, rising interest rates and signs of inflation have unsettled many investors. However, if we look back over longer periods, the environment we are seeing today is actually more normal than those of the past few years, when volatility, interest rates and inflation were exceptionally low.

In this more typical environment, we believe there are many opportunities for active and risk-aware approaches. Our investment professionals remain vigilant to avoiding unintended risks in the Fund. They are also working together to turn short-term volatility into opportunities for the shareholders in the Fund. Our ability to respond to changing market conditions will be especially important given the many crosscurrents we see.

In Closing

More than 40 years of experience supports my belief that investors are best served by maintaining a long-term approach. Fast moving markets can increase the temptation to make short-term moves. But as I’ve noted in the past, there’s no way to predict with certainty the daily twists and turns. Far too often, trying to time the ups and downs leaves investors capturing the downside and missing the upside. Instead, I encourage you to work with your financial advisor to create a well-diversified asset allocation that meets your financial goals. By blending an array of funds—including stocks, convertibles, alternative and fixed income strategies—investors may be better positioned to achieve their long-term goals.

I am confident that the Fund is well equipped to navigate the course ahead. Since our earliest days as an asset manager, we have sought to provide innovative strategies for managing risk and enhancing returns. While others may be discouraged by these more choppy markets, we welcome the return of more normal levels of volatility and the opportunities it will bring for our active approach.

I hope that you find this report informative, and I invite you to visit our website www.calamos.com for additional resources. All of us at Calamos Investments thank you for your continued trust. It is truly an honor to help you achieve your financial goals.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

 

Letter to Shareholders

4   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Opinions are as of the publication date, subject to change and may not come to pass. Information is for informational purposes only and shouldn’t be considered investment advice.

1The MSCI All Country World Index is a measure of global stock market performance, which returned 3.83% for the six-month period ending April 30, 2018. The MSCI World Index is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. For the six-month period ended, the index returned 3.68%. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. For the six-month period, the index returned 3.82%. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide, and it returned 4.93% for the six-month period ended April 30, 2018.

2The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. For the six-month period ending April 30, 2018, the index returned -1.87%.

3The Credit Suisse U.S. High Yield Index is an unmanaged index of high yield debt securities, which returned -0.16% for the six-month period ending April 30, 2018.

4The ICE BofAML All U.S. Convertibles ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The index returned 2.34% for the six-month period ending April 30, 2018. The ICE BofAML Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. The index returned 3.95% for the six-month period ended April 30, 2018.

Sources: Lipper, Inc.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed.

The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, that should be carefully considered prior to investing. This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio. Investments in alternative strategies may not be suitable for all investors.

This report is intended for informational purposes only and should not be considered investment advice.

The Calamos Closed-End Funds: An Overview

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   5

In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. We launched our first closed-end fund in 2002.

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories that seek to produce income while offering exposure to various asset classes and sectors.

Portfolios Positioned to Pursue High Current Income from Income and Capital Gains

Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential

OBJECTIVE: U.S. ENHANCED FIXED INCOME

Calamos Convertible Opportunities and Income Fund

(Ticker: CHI)

Invests in high yield and convertible securities, primarily in U.S. markets

Calamos Convertible and High Income Fund

(Ticker: CHY)

Invests in high yield and convertible securities, primarily in U.S. markets

OBJECTIVE: GLOBAL ENHANCED FIXED INCOME

Calamos Global Dynamic Income Fund

(Ticker: CHW)

Invests in global fixed income securities, alternative investments and equities

OBJECTIVE: GLOBAL TOTAL RETURN

Calamos Global Total Return Fund

(Ticker: CGO)

Invests in equities and higher-yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets

OBJECTIVE: U.S. TOTAL RETURN

Calamos Strategic Total Return Fund

(Ticker: CSQ)

Invests in equities and higher-yielding convertible securities and corporate bonds, primarily in U.S. markets

Calamos Dynamic Convertible and Income Fund

(Ticker: CCD)

Invests in convertibles and other fixed income securities

Our Managed Distribution Policy

Closed-end fund investors often seek a steady stream of income. Recognizing this important need, Calamos closed-end funds adhere to a managed distribution policy in which we aim to provide consistent monthly distributions through the disbursement of the following:

Net investment income

Net realized short-term capital gains

Net realized long-term capital gains

And, if necessary, return of capital

We set distributions at levels that we believe are sustainable for the long term. Our team focuses on delivering an attractive monthly distribution, while maintaining a long-term emphasis on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment, the individual performance of securities held by the funds, our view of retaining leverage, fund tax considerations, and regulatory requirements.

You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Fund’s plan. The Fund’s Board of Trustees may amend or terminate the managed distribution policy at any time without prior notice to the Fund’s shareholders.

For more information about any Calamos closed-end funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

Investment Team Discussion

6   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

TOTAL RETURN* AS OF 4/30/18

Common Shares – Inception 10/27/05

6 Months

1 Year

Since
Inception**

On Market Price

3.34%

24.03%

8.46%

On NAV

1.73%

13.68%

8.36%

* Total return measures net investment income and net realized gain or loss from Fund investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.

**Annualized since inception.

SECTOR WEIGHTINGS

Information Technology

18.4%

Financials

16.9

Consumer Discretionary

13.8

Industrials

9.6

Health Care

9.3

Energy

7.8

Consumer Staples

6.9

Telecommunication Services

3.9

Materials

3.7

Real Estate

2.0

Utilities

1.1

Other

0.9

Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the Fund may hold.

Global Total Return Fund (CGO)

INVESTMENT TEAM DISCUSSION

Please discuss the Fund’s strategy and role within an asset allocation framework.

Calamos Global Total Return Fund (CGO) is a global total-return-oriented offering that seeks to provide an attractive monthly distribution. We invest in a diversified portfolio of global equities, convertible securities and high yield securities. The allocation to each asset class is dynamic and reflects our view of the economic landscape as well as the potential of individual securities. By combining these asset classes, we believe that we are well positioned to generate capital gains and income. This broader range of security types also provides us with increased opportunities to manage the risk/reward characteristics of the portfolio over full market cycles. Through this approach, we seek to offer investors an attractive monthly distribution and equity participation.

We believe having a relatively high level of exposure to convertible and equity assets is optimal for the portfolio and reflects our cautiously optimistic view of the global stock markets, albeit on a selective and risk-managed basis. We continue to find new opportunities in the convertible market as issuance of these securities has expanded globally over the course of the six months. We believe that maintaining a high exposure to the equity markets via stocks and convertibles was beneficial to the overall performance of the Fund as these markets offered positive returns for the period.

We invest in both U.S. and non-U.S. companies, favoring companies with geographically diversified revenue streams and global business strategies. We emphasize companies we believe offer reliable debt servicing, respectable balance sheets and sustainable prospects for growth.

How did the Fund perform over the reporting period?

The Fund returned 1.73% on a net asset value (NAV) basis for the six-month period ended April 30, 2018. On a market price basis, the Fund increased 3.34%. In comparison, the broad global equity market, as measured by the MSCI World Index, was up 3.68% for the same period.

At the end of the reporting period, the Fund’s shares traded at a 5.98% premium to net asset value.

Investment Team Discussion

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/18

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future expectation. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized long term within asset allocations, we believe that NAV return is the better measure of a fund’s performance. However, when managing the fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market value.

Please discuss the Fund’s distributions during the six-month period.

We employ a managed distribution policy* within this Fund with the goal of providing shareholders a consistent distribution stream. In each month of the period, the Fund distributed $0.1000 per share, resulting in a current annualized distribution rate of 8.68% of market price as of April 30, 2018.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2018, the dividend yield of S&P 500 Index stocks averaged approximately 2.11%. Yields also were still relatively low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 2.95% and 3.11%, respectively.

*Under the Fund’s managed distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. The distribution rate may vary.

Source: Calamos Investments

Source: U.S. Department of the Treasury

ASSET ALLOCATION AS OF 4/30/18

Investment Team Discussion

8   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

What factors influenced performance over the reporting period?

The portfolio’s wide investment parameters allow us to take advantage of investment opportunities around the world through many types of investment vehicles. By optimizing the advantages of flexibility, the Fund invested opportunistically. The Fund maintained its exposure to the equity markets, and both convertibles and high yield bonds provided income to the portfolio over the period. The strength and performance of global equity and fixed income markets buoyed both the Fund’s price and NAV performance for the period. The Fund’s attractive share price relative to the NAV earlier in the period also served as an enticement to many investors and enhanced price performance.

Our selection in financials, notably in investment banking and brokerage, was additive to performance relative to the MSCI World Index. In addition, our selection in utilities (electric utilities) was helpful to performance.

Conversely, our selection in information technology, notably our holdings in communications equipment, lagged relative to the index. In addition, selection in consumer discretionary, namely internet and direct marketing retail, impeded results.

How is the Fund positioned?

Our heaviest allocations are within the information technology, consumer discretionary and financials sectors. As we are relatively optimistic regarding the global economy, we favor growth companies with higher-quality balance sheets, strong brands, free cash flows and experienced management that are poised to benefit from global synchronization. We seek to invest in businesses poised to benefit from increased capital spending in technologies, the global infrastructure build-out, and the consumer optimism. We favor financials as we expect rising interest rates, a reflationary economic environment and less onerous regulations will benefit the sector. We believe that freeing available capital will help energize the overall global economy.

We favor companies with compelling growth opportunities and global revenue drivers. Improving global business dynamics are providing opportunities in the information technology field. For example, businesses and individuals continue to focus on productivity enhancements, stimulating demand for technology and services. In response, we maintain a heavy overweight position in this area relative to the MSCI World Index. Conversely, our weight to utilities is notably below the index weighting, as we do not see utilities as an area that will realize attractive growth in a reflationary environment.

The average credit quality of rated securities within the portfolio is approximately BB, which is higher than the Credit Suisse U.S. High Yield Index. This is typical for the Fund, as our credit assessment process tends to guide us away from the most speculative corporate securities. That said, we do selectively invest in lower-credit securities when we believe the risk/reward dynamics are favorable for our investors.

We believe that this is an environment that is conducive to the prudent use of leverage as a means of enhancing total return and supporting the fund’s distribution rate. In spite of a cost increase due to rising interest rates, our use of leverage over the period enjoyed a favorable reinvestment dynamic. As of April 30, 2018, our amount of leveraged assets was approximately 33%.

Investment Team Discussion

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   9

What are your closing thoughts for Fund shareholders?

Given our outlook for a continued period of economic growth, we are favoring quality growth companies over cyclicals. Favorable factors within the U.S. include solid job creation, still low interest rates, range-bound energy prices, increasing consumer and corporate confidence and limited inflationary pressures. We are emphasizing investments in companies with solid cash flow generation and stronger balance sheets. From a thematic and sector perspective, we see opportunities in the technology sector, consumer discretionary companies tied to global consumption, and businesses positioned to benefit from improving fundamentals. We are also optimistic about financials, as we believe that many of these companies are favorably valued and positioned to grow revenues in a lower-regulatory, rising-interest-rate environment. However, we are cautious about companies in the consumer staples sector. We believe they may be fully valued as investors are attracted to those stocks for income rather than growth. We are selective regarding the health care sector, favoring those companies that are more product-growth oriented versus price driven. We believe our active, risk-managed investment approach positions us to take advantage of the volatility and opportunities in global equities and convertible securities.

 

Schedule of Investments April 30, 2018 (Unaudited)

10   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

Corporate Bonds (17.8%)

Consumer Discretionary (3.9%)

35,000

AV Homes, Inc.µ
6.625%, 05/15/22

$

35,986

45,000

Beverages & More, Inc.µ*
11.500%, 06/15/22

41,156

CCO Holdings, LLC / CCO Holdings Capital Corp.

85,000

5.125%, 05/01/27*^

79,753

60,000

5.000%, 02/01/28µ*

55,298

50,000

5.750%, 09/01/23

50,692

108,000

Century Communities, Inc.µ
5.875%, 07/15/25

103,265

65,000

CRC Escrow Issuer, LLC*^
5.250%, 10/15/25

62,156

1,000,000

Dana Financing Luxembourg Sarl*
6.500%, 06/01/26

1,042,015

DISH DBS Corp.^

88,000

5.875%, 11/15/24

75,240

65,000

7.750%, 07/01/26

59,287

105,000

Eldorado Resorts, Inc.µ
6.000%, 04/01/25

104,143

30,000

ESH Hospitality, Inc.*
5.250%, 05/01/25

29,400

45,000

GameStop Corp.*^
6.750%, 03/15/21

45,823

55,000

goeasy, Ltd.µ*
7.875%, 11/01/22

58,621

35,000

Guitar Center Escrow Issuer, Inc.µ*
9.500%, 10/15/21

34,179

185,000

L Brands, Inc.^
6.875%, 11/01/35

175,077

60,000

M/I Homes, Inc.µ
5.625%, 08/01/25

57,829

120,000

Mattel, Inc.*^
6.750%, 12/31/25

117,150

75,000

Meritage Homes Corp.µ*
6.000%, 06/01/25

77,326

60,000

Penske Automotive Group, Inc.µ
5.500%, 05/15/26

58,484

PetSmart, Inc.*

33,000

5.875%, 06/01/25

23,796

10,000

8.875%, 06/01/25^

5,843

Rite Aid Corp.

120,000

7.700%, 02/15/27µ

104,623

40,000

6.125%, 04/01/23*^

40,800

110,000

Salem Media Group, Inc.µ*
6.750%, 06/01/24

104,509

75,000

Sally Holdings, LLC / Sally Capital, Inc.^
5.625%, 12/01/25

73,399

900,000

Service Corp. Internationalµ
7.500%, 04/01/27

1,030,648

PRINCIPAL
AMOUNT

 

 

VALUE

60,000

Sotheby’s*
4.875%, 12/15/25

$

57,825

500,000

Toll Brothers Finance Corp.µ
4.000%, 12/31/18

501,503

45,000

VOC Escrow, Ltd.µ*
5.000%, 02/15/28

43,597

4,349,423

  

Consumer Staples (0.7%)

65,000

Albertsons Companies, LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLCµ
5.750%, 03/15/25

56,810

55,000

Fresh Market, Inc.*^
9.750%, 05/01/23

31,187

JBS USA LUX SA / JBS USA Finance, Inc.*

340,000

7.250%, 06/01/21

344,187

75,000

6.750%, 02/15/28

72,102

New Albertson’s, Inc.

45,000

7.450%, 08/01/29^

36,650

30,000

8.000%, 05/01/31µ

24,990

15,000

7.750%, 06/15/26

13,171

Pilgrim’s Pride Corp.µ*

85,000

5.875%, 09/30/27

81,298

25,000

5.750%, 03/15/25

24,570

Post Holdings, Inc.*

60,000

5.750%, 03/01/27

58,692

14,000

5.625%, 01/15/28^

13,403

757,060

  

Energy (2.1%)

15,000

Berry Petroleum Company, LLCµ*
7.000%, 02/15/26

15,373

55,000

Buckeye Partners, LP^‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%

53,819

100,000

Calfrac Holdings, LPµ*
7.500%, 12/01/20

99,501

85,000

California Resources Corp.*^
8.000%, 12/15/22

73,212

Carrizo Oil & Gas, Inc.

40,000

8.250%, 07/15/25µ

42,955

34,000

6.250%, 04/15/23^

34,931

65,000

Chesapeake Energy Corp.*^
8.000%, 01/15/25

63,180

15,000

CONSOL Energy, Inc.µ*
11.000%, 11/15/25

15,837

15,000

CrownRock, LP / CrownRock
Finance, Inc.µ*
5.625%, 10/15/25

14,900

80,000

DCP Midstream Operating, LPµ*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%

76,310


Schedule of Investments April 30, 2018 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   11

PRINCIPAL
AMOUNT

 

 

VALUE

30,000

DCP Midstream, LP^‡
7.375%, 12/15/22
3 mo. USD LIBOR + 5.15%

$

29,751

40,000

Denbury Resources, Inc.*^
9.250%, 03/31/22

41,759

15,000

Diamond Offshore Drilling, Inc.^
7.875%, 08/15/25

15,430

115,000

Energy Transfer Equity, LPµ
5.500%, 06/01/27

114,850

140,000

Energy Transfer Partners, LPµ‡
5.376%, 11/01/66
3 mo. USD LIBOR + 3.02%

123,731

Enterprise Products Operating, LLCµ‡

85,000

4.875%, 08/16/77
3 mo. USD LIBOR + 2.99%

83,000

25,000

5.375%, 02/15/78
3 mo. USD LIBOR + 2.57%

23,611

Genesis Energy, LP / Genesis Energy Finance Corp.

65,000

6.500%, 10/01/25^

63,823

55,000

6.250%, 05/15/26µ

52,544

100,000

Gulfport Energy Corp.^
6.375%, 05/15/25

96,249

125,000

Halcon Resources Corp.^
6.750%, 02/15/25

125,094

25,000

Lonestar Resources America, Inc.µ*
11.250%, 01/01/23

25,282

25,000

McDermott Escrow 1, Inc. / McDermott Escrow 2, Inc.µ*
10.625%, 05/01/24

25,250

55,000

Moss Creek Resources Holdings, Inc.µ*
7.500%, 01/15/26

55,464

5,000

Nabors Industries, Inc.µ*
5.750%, 02/01/25

4,763

25,000

Oasis Petroleum, Inc.*
6.250%, 05/01/26

25,000

55,000

Par Petroleum, LLC / Petroleum Finance Corp.µ*
7.750%, 12/15/25

56,013

65,000

PDC Energy, Inc.µ*
5.750%, 05/15/26

65,570

65,000

Plains All American Pipeline, LP^‡
6.125%, 11/15/22
3 mo. USD LIBOR + 4.11%

63,282

65,000

QEP Resources, Inc.^
5.625%, 03/01/26

62,713

120,000

SESI, LLCµ*
7.750%, 09/15/24

124,895

25,000

SM Energy Company^
6.750%, 09/15/26

25,534

45,000

Southwestern Energy Company^
7.500%, 04/01/26

46,070

40,000

Sunoco, LP / Sunoco Finance Corp.µ*
5.500%, 02/15/26

38,910

PRINCIPAL
AMOUNT

 

 

VALUE

15,000

Targa Resources Partners, LP / Targa Resources Partners Finance Corp.µ*
5.875%, 04/15/26

$

14,946

15,000

TransMontaigne Partners, LP / TLP Finance Corp.µ
6.125%, 02/15/26

15,040

60,000

Transocean, Inc.*^
7.500%, 01/15/26

61,029

65,000

Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.µ*
8.750%, 04/15/23

61,276

130,000

Weatherford International, Ltd.µ^
8.250%, 06/15/23

122,769

65,000

Whiting Petroleum Corp.*^
6.625%, 01/15/26

66,855

WildHorse Resource Development Corp.

75,000

6.875%, 02/01/25µ

76,697

25,000

6.875%, 02/01/25*

25,555

2,322,773

  

Financials (2.3%)

125,000

Acrisure, LLC / Acrisure Finance, Inc.µ*
7.000%, 11/15/25

118,287

195,000

Ally Financial, Inc.µ
8.000%, 11/01/31

237,348

75,000

AssuredPartners, Inc.µ*
7.000%, 08/15/25

73,918

65,000

Bank of America Corp.µ‡
5.875%, 03/15/28
3 mo. USD LIBOR + 2.93%

64,978

65,000

Bank of Nova Scotia^‡
4.650%, 10/12/22
3 mo. USD LIBOR + 2.65%

61,470

115,000

Charles Schwab Corp.^‡
5.000%, 12/01/27
3 mo. USD LIBOR + 2.58%

112,145

75,000

CyrusOne, LP / CyrusOne Finance Corp.µ
5.375%, 03/15/27

75,178

100,000

Dell International, LLC / EMC Corp.µ*
6.020%, 06/15/26

106,244

65,000

Discover Financial Services^‡
5.500%, 10/30/27
3 mo. USD LIBOR + 3.08%

63,742

40,000

Equinix, Inc.µ
5.375%, 05/15/27

40,706

25,000

Greystar Real Estate Partners, LLCµ*
5.750%, 12/01/25

24,811

HUB International, Ltd.µ*

65,000

7.000%, 05/01/26

65,198

35,000

7.875%, 10/01/21

36,495

100,000

ILFC E-Capital Trust IIµ*‡
4.890%, 12/21/65
3 mo. USD LIBOR + 1.80%

96,616


Schedule of Investments April 30, 2018 (Unaudited)

12   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

75,000

Iron Mountain, Inc.*^
5.250%, 03/15/28

$

70,692

200,000

Jefferies Finance, LLCµ*
7.250%, 08/15/24

198,468

50,000

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.µ*
5.250%, 10/01/25

47,759

35,000

Level 3 Financing, Inc.^
5.375%, 05/01/25

34,479

60,000

LPL Holdings, Inc.µ*
5.750%, 09/15/25

58,322

MetLife, Inc.^

100,000

6.400%, 12/15/36

109,182

7,000

5.875%, 03/15/28‡
3 mo. USD LIBOR + 2.96%

7,142

110,000

Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21

111,754

110,000

Navient Corp.µ^
6.750%, 06/25/25

111,557

50,000

NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%

49,145

100,000

Oil Insurance, Ltd.*‡
5.290%, 05/31/18
3 mo. USD LIBOR + 2.98%

100,144

160,000

Quicken Loans, Inc.µ*
5.750%, 05/01/25

157,808

75,000

Simmons First National Corp.‡
5.000%, 04/01/28
3 mo. USD LIBOR + 2.15%

75,863

Springleaf Finance Corp.

85,000

6.875%, 03/15/25µ

85,953

51,000

8.250%, 10/01/23^

55,993

20,000

Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%

19,939

130,000

Tronox Finance, PLCµ*
5.750%, 10/01/25

126,602

2,597,938

  

Health Care (2.9%)

119,000

Acadia Healthcare Company, Inc.µ
6.500%, 03/01/24

123,324

Community Health Systems, Inc.^

150,000

7.125%, 07/15/20

119,686

40,000

6.875%, 02/01/22

21,913

25,000

8.000%, 11/15/19

22,774

190,000

DaVita, Inc.µ
5.125%, 07/15/24

184,719

110,000

Endo International, PLCµ*
7.250%, 01/15/22

93,796

60,000

Endo, Ltd.µ*
6.000%, 07/15/23

43,937

PRINCIPAL
AMOUNT

 

 

VALUE

115,000

Greatbatch, Ltd.µ*
9.125%, 11/01/23

$

124,738

HCA, Inc.µ

920,000

5.875%, 05/01/23

960,623

55,000

7.500%, 11/06/33

59,990

65,000

Magellan Health, Inc.µ
4.400%, 09/22/24

63,751

75,000

Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23

59,142

45,000

Team Health Holdings, Inc.*^
6.375%, 02/01/25

39,380

Tenet Healthcare Corp.^

200,000

6.750%, 06/15/23

197,284

100,000

5.125%, 05/01/25*

97,434

110,000

Teva Pharmaceutical Finance Company, BVµ
2.950%, 12/18/22

96,938

175,000

Teva Pharmaceutical Finance IV, BVµ
3.650%, 11/10/21

164,325

25,000

Teva Pharmaceutical Finance IV, LLCµ
2.250%, 03/18/20

23,935

Valeant Pharmaceuticals International, Inc.*^

505,000

7.250%, 07/15/22

510,699

120,000

9.000%, 12/15/25µ

121,906

50,000

West Street Merger Sub, Inc.µ*
6.375%, 09/01/25

49,198

3,179,492

  

Industrials (1.6%)

70,000

Allison Transmission, Inc.µ*
4.750%, 10/01/27

65,902

40,000

Apergy Corp.*
6.375%, 05/01/26

40,661

65,000

Beacon Roofing Supply, Inc.µ*
4.875%, 11/01/25

61,550

60,000

Bombardier, Inc.µ*
7.500%, 12/01/24

63,254

30,000

Covanta Holding Corp.µ
5.875%, 03/01/24

29,656

60,000

Delphi Technologies, PLCµ*
5.000%, 10/01/25

57,886

15,000

FXI Holdings, Inc.µ*
7.875%, 11/01/24

14,898

180,000

Golden Nugget, Inc.µ*
6.750%, 10/15/24

182,938

65,000

Gray Television, Inc.*^
5.875%, 07/15/26

63,003

48,000

Great Lakes Dredge & Dock Corp.µ
8.000%, 05/15/22

48,900

95,000

H&E Equipment Services, Inc.µ
5.625%, 09/01/25

95,589


Schedule of Investments April 30, 2018 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   13

PRINCIPAL
AMOUNT

 

 

VALUE

Hertz Corp.µ

65,000

7.375%, 01/15/21

$

64,468

10,000

7.625%, 06/01/22*

10,220

Icahn Enterprises, LPµ

65,000

6.375%, 12/15/25

65,309

43,000

6.750%, 02/01/24

44,124

62,000

Jeld-Wen, Inc.µ*
4.625%, 12/15/25

59,593

35,000

JPW Industries Holding Corp.µ*
9.000%, 10/01/24

37,009

70,000

Meritor, Inc.µ
6.250%, 02/15/24

72,174

25,000

Multi-Color Corp.µ*
4.875%, 11/01/25

23,453

90,000

Navistar International Corp.µ*
6.625%, 11/01/25

93,801

Park Aerospace Holdings, Ltd.*

40,000

5.500%, 02/15/24µ

38,874

35,000

4.500%, 03/15/23^

33,576

115,000

Park-Ohio Industries, Inc.µ^
6.625%, 04/15/27

120,105

125,000

Scientific Games International, Inc.µ*
5.000%, 10/15/25

120,945

35,000

Tennant Companyµ
5.625%, 05/01/25

35,797

15,000

Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^
7.750%, 04/15/26

14,957

55,000

TransDigm, Inc.µ
6.500%, 05/15/25

56,125

5,000

Trident Merger Sub, Inc.*^
6.625%, 11/01/25

4,909

10,000

TriMas Corp.µ*
4.875%, 10/15/25

9,755

95,000

United Rentals North America, Inc.µ
4.875%, 01/15/28

90,118

25,000

Waste Pro USA, Inc.µ*
5.500%, 02/15/26

24,781

1,744,330

  

Information Technology (0.7%)

Alliance Data Systems Corp.*^

60,000

5.875%, 11/01/21

61,275

50,000

5.375%, 08/01/22

50,312

50,000

Cardtronics, Inc.µ*
5.500%, 05/01/25

46,438

40,000

CBS Radio, Inc.*^
7.250%, 11/01/24

40,645

55,000

CDK Global, Inc.µ
4.875%, 06/01/27

53,084

Clear Channel Worldwide Holdings, Inc.

50,000

7.625%, 03/15/20µ

50,202

20,000

7.625%, 03/15/20

20,081

PRINCIPAL
AMOUNT

 

 

VALUE

60,000

CommScope Technologies, LLCµ*
6.000%, 06/15/25

$

61,874

125,000

First Data Corp.µ*
5.000%, 01/15/24

126,076

60,000

Harland Clarke Holdings Corp.µ*
8.375%, 08/15/22

61,483

45,000

Nuance Communications, Inc.µ
5.625%, 12/15/26

44,969

65,000

TTM Technologies, Inc.µ*
5.625%, 10/01/25

63,779

40,000

VFH Parent, LLC*^
6.750%, 06/15/22

41,626

721,844

  

Materials (1.3%)

72,000

AK Steel Corp.^
6.375%, 10/15/25

67,318

200,000

Alcoa Nederland Holding, BVµ*
7.000%, 09/30/26

218,307

200,000

ArcelorMittal, SA^
7.250%, 10/15/39

237,473

200,000

Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.*^
6.000%, 02/15/25

202,902

23,000

Cleveland-Cliffs, Inc.
5.900%, 03/15/20

23,206

15,000

Commercial Metals Company*
5.750%, 04/15/26

15,055

35,000

First Quantum Minerals, Ltd.*
7.000%, 02/15/21

35,284

25,000

Kinross Gold Corp.µ*
4.500%, 07/15/27

23,557

270,000

New Gold, Inc.*^
6.375%, 05/15/25

275,416

170,000

PBF Holding Company, LLC / PBF Finance Corp.µ
7.250%, 06/15/25

176,961

United States Steel Corp.^

120,000

6.875%, 08/15/25µ

122,633

25,000

6.250%, 03/15/26

24,882

1,422,994

  

Real Estate (0.1%)

2,000

Crescent Communities, LLC/Crescent Ventures, Inc.µ*
8.875%, 10/15/21

2,104

100,000

MPT Operating Partnership, LP / MPT Finance Corp.µ
5.000%, 10/15/27

95,165

65,000

Starwood Property Trust, Inc.µ*
4.750%, 03/15/25

62,876

160,145


Schedule of Investments April 30, 2018 (Unaudited)

14   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

  

Telecommunication Services (1.7%)

25,000

Block Communications, Inc.µ*
6.875%, 02/15/25

$

25,271

60,000

CB Escrow Corp.µ*
8.000%, 10/15/25

57,118

60,000

Consolidated Communications, Inc.^
6.500%, 10/01/22

55,324

200,000

CSC Holdings, LLCµ*
5.500%, 04/15/27

192,460

200,000

Embarq Corp.µ
7.995%, 06/01/36

190,814

Frontier Communications Corp.

155,000

7.625%, 04/15/24

102,110

85,000

11.000%, 09/15/25^

65,401

25,000

8.500%, 04/01/26*^

24,267

40,000

Hughes Satellite Systems Corp.µ
6.625%, 08/01/26

40,237

100,000

Inmarsat Finance, PLCµ*
4.875%, 05/15/22

96,734

Intelsat Jackson Holdings, SA

100,000

9.750%, 07/15/25*^

98,089

60,000

7.500%, 04/01/21µ

56,974

35,000

8.000%, 02/15/24µ*

36,978

65,000

Qwest Corp.µ
6.875%, 09/15/33

61,706

25,000

SBA Communications Corp.µ*
4.000%, 10/01/22

23,848

25,000

Sprint Capital Corp.µ
6.875%, 11/15/28

25,534

Sprint Corp.

325,000

7.875%, 09/15/23^

349,026

160,000

7.125%, 06/15/24µ

165,204

65,000

T-Mobile USA, Inc.^
4.750%, 02/01/28

62,727

10,000

Telecom Italia Capital, SA
6.000%, 09/30/34

10,400

105,000

United States Cellular Corp.µ
6.700%, 12/15/33

110,794

Windstream Services, LLC

63,000

8.625%, 10/31/25µ*

57,973

34,000

7.750%, 10/01/21

25,614

6,000

7.750%, 10/15/20µ

5,154

1,939,757

  

Utilities (0.5%)

120,000

AES Corp.µ
4.000%, 03/15/21

120,819

20,000

NGPL PipeCo, LLCµ*
4.875%, 08/15/27

19,502

NRG Energy, Inc.^

70,000

6.625%, 01/15/27

72,219

43,000

5.750%, 01/15/28*

42,662

PRINCIPAL
AMOUNT

 

 

VALUE

35,000

PPL Capital Funding, Inc.µ‡
4.967%, 03/30/67
3 mo. USD LIBOR + 2.67%

$

34,895

40,000

Talen Energy Supply, LLC*^
10.500%, 01/15/26

34,612

65,000

TerraForm Power Operating, LLCµ*
5.000%, 01/31/28

61,040

110,000

Vistra Energy Corp.µ*
8.125%, 01/30/26

120,881

506,630

Total Corporate Bonds

(Cost $19,897,378)

19,702,386

  

Convertible Bonds (33.6%)

Consumer Discretionary (10.4%)

350,000

Chegg, Inc.µ*
0.250%, 05/15/23

380,595

1,400,000

Cie Generale des Etablissements Michelin SCAµ
0.000%, 01/10/22

1,444,226

60,000,000

JPY

CyberAgent, Inc.
0.000%, 02/19/25

659,720

Liberty Interactive, LLC

1,480,000

1.750%, 09/30/46µ*

1,550,537

115,817

4.000%, 11/15/29

77,993

85,000

3.750%, 02/15/30

58,136

460,000

LVMH Moet Hennessy Louis Vuitton, SE
0.000%, 02/16/21

1,635,610

945,000

Marriott Vacations Worldwide Corp.µ*
1.500%, 09/15/22

1,001,634

805,000

RH*
0.000%, 07/15/20

836,568

975,000

Tesla, Inc.µ
1.250%, 03/01/21

1,004,406

1,245,000

Vipshop Holdings, Ltd.µ
1.500%, 03/15/19

1,299,612

11,000,000

HKD

Zhongsheng Group Holdings, Ltd.
0.000%, 10/25/18

1,594,784

11,543,821

  

Financials (4.4%)

800,000

EUR

AURELIUS Equity Opportunities SE & Co. KGaAµ
1.000%, 12/01/20

1,226,520

1,100,000

EUR

Corestate Capital Holding, SA
1.375%, 11/28/22

1,373,159

686,000

IAC FinanceCo, Inc.*^
0.875%, 10/01/22

846,256

150,000,000

JPY

Mitsubishi Chemical Holdings Corp.
0.000%, 03/29/24

1,493,839

4,939,774


Schedule of Investments April 30, 2018 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT   15

PRINCIPAL
AMOUNT

 

 

VALUE

  

Health Care (2.5%)

700,000

EUR

Bayer Capital Corp., BVµ
5.625%, 11/22/19

$

910,549

1,635,000

Illumina, Inc.µ
0.000%, 06/15/19

1,818,537

2,729,086

  

Industrials (4.2%)

110,000,000

JPY

ANA Holdings, Inc.
0.000%, 09/19/24

1,058,016

750,000

Haitian International Holdings, Ltd.
2.000%, 02/13/19

786,900

11,000,000

HKD

Harvest International Company
0.000%, 11/21/22

1,498,058

1,200,000

Larsen & Toubro, Ltd.µ
0.675%, 10/22/19

1,275,246

4,618,220

  

Information Technology (7.1%)

695,000

Atlassian, Inc.µ*
0.625%, 05/01/23

694,291

705,000

Etsy, Inc.µ*
0.000%, 03/01/23

767,019

705,000

Guidewire Software, Inc.µ
1.250%, 03/15/25

716,964

810,000

Nice Systems, Inc.µ^
1.250%, 01/15/24

1,014,468

735,000

RealPage, Inc.µ*
1.500%, 11/15/22

1,032,987

771,000

Weibo Corp.µ*^
1.250%, 11/15/22

882,572

1,875,000

Workday, Inc.µ*
0.250%, 10/01/22

2,032,594

710,000

Zendesk, Inc.µ*
0.250%, 03/15/23

736,820

7,877,715

  

Materials (3.0%)

1,235,000

Cemex, SAB de CV
3.720%, 03/15/20

1,269,036

1,920,000

Royal Gold, Inc.µ^
2.875%, 06/15/19

2,047,757

3,316,793

  

Real Estate (2.0%)

500,000

EUR

Aroundtown, SA
1.500%, 01/18/21

775,644

654,000

AYC Finance, Ltd.
0.500%, 05/02/19

684,823

6,000,000

HKD

Smart Insight International, Ltd.
0.000%, 01/27/19

763,404

2,223,871

Total Convertible Bonds

(Cost $36,741,652)

37,249,280

PRINCIPAL
AMOUNT

 

 

VALUE

U.S. Government and Agency Securities (2.6%)

1,410,000

United States Treasury Note
1.875%, 05/31/22

$

1,363,553

1,545,000

1.875%, 10/31/22

1,487,133

2,850,686

Total U.S. Government and Agency Securities

(Cost $2,919,046)

2,850,686

  

Bank Loans (0.3%)‡

Consumer Discretionary (0.1%)

128,375

Weight Watchers International, Inc.
6.985%, 11/29/24

130,361

  

Financials (0.1%)

55,000

GLP Financing, LLC
3.397%, 04/28/21

54,587

  

Telecommunication Services (0.1%)

60,000

Intelsat Jackson Holdings, SA
6.625%, 01/02/24

61,283

89,850

New Media Holdings II, LLC!
0.000%, 06/04/20

90,748

152,031

Total Bank Loans

(Cost $334,124)

336,979

NUMBER OF
SHARES

 

 

VALUE

Convertible Preferred Stocks (7.8%)

Energy (0.2%)

9,685

NuStar Energy, LP‡
8.500%, 12/15/21
3 mo. USD LIBOR + 6.77%

215,201

  

Health Care (0.9%)

17,100

Anthem, Inc.µ
5.250%, 05/01/18

972,306

  

Industrials (0.7%)

13,700

Rexnord Corp.µ
5.750%, 11/15/19

820,699

  

Real Estate (0.9%)

970

Crown Castle International Corp.µ
6.875%, 08/01/20

975,408

  

Telecommunication Services (3.9%)

21,460

Alibaba Exchangeable (Softbank)*^§
5.750%, 06/03/19

4,334,941


Schedule of Investments April 30, 2018 (Unaudited)

16   CALAMOS GLOBAL TOTAL RETURN FUND SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

NUMBER OF
SHARES