cgo-ncsr_0103118

 

 

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 October 31, 2018

 

 

 

 

Item 1. Report to Shareholders

 

TIMELY INFORMATION INSIDE

Global Total Return Fund (CGO)

Annual REPORT October 31, 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 Highlights32

Report of Independent Registered
Public Accounting Firm
33

Trustee Approval of
Management Agreement
34

Tax Information36

Trustees and Officers37

About Closed-End Funds39

Managed Distribution Policy40

Automatic Dividend Reinvestment Plan40

Experience and Foresight

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 Fund’s distribution 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 its 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.

Note: The Fund adopted a managed distribution policy on January 1, 2018.

Letter to Shareholders

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   1

Dear Fellow Shareholder:

Welcome to your annual report for the 12-month period ended October 31, 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.

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 10.43%* on a market price basis as of October 31, 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 10/31/18 distribution was $0.1000 per share. Based on our current estimates, we anticipate that approximately $0.0117 is paid from ordinary income or capital gains and that approximately $0.0883 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 Annual REPORT

Market Review

The global economy continued to expand during the reporting period, with especially strong fundamentals in the United States. Nonetheless, markets experienced turbulence, with non-U.S. markets facing the greatest pressures. A variety of factors contributed to investor apprehension, including trade policy uncertainty, rising U.S. interest rates, political uncertainties, and fears of softening global growth. In October, anxiety intensified, resulting in a sell-off across global financial markets.

For the 12 months overall, U.S. stocks and convertible securities outperformed global averages.1 Within the fixed income market, high yield securities and shorter-term bonds were more resilient than investment-grade and longer-term issues.2

Outlook

The U.S. economy is likely to maintain its growth trajectory through 2019. Unemployment is low, inflation is contained, consumer and small business confidence are strong, and capital spending is increasing. Deregulation and tax reform have already provided a powerful tailwind for U.S. economic activity and corporate earnings, but we believe the full measure of these policies has yet to be fully reflected in the economy. We expect the Federal Reserve to continue raising interest rates slowly in response to healthy economic conditions, but we do not believe these gradual increases represent an imminent threat to the U.S. economy or markets. Political gridlock is likely, which market participants may welcome if the fiscal policies put in place over recent years remain intact.

Outside the U.S., economic fundamentals are less strong on a relative basis and there is a wide range of political unknowns. However, there are a number of potential tailwinds for growth, such as more stimulative fiscal policy in China and Europe, and supportive policies from global central banks. Additionally, many global investments are trading at what we believe are attractive prices.

As we look forward, we see continued opportunities in stocks, as well as in other economically sensitive areas of the market, such as convertible securities and high yield bonds. Selectivity and risk management will remain essential: political, geopolitical, and interest rate uncertainties are likely to contribute to ongoing market volatility and shifts in market leadership as the economic cycle matures.

We believe the Fund is well positioned for the environment we expect. Our portfolio management team employs rigorous research to take advantage of the volatility in the markets, adding to positions when valuations are attractive and locking in gains when prices rise. They remain highly attentive to the interests of the shareholders in the Fund, including the need for appropriate levels of downside risk management.

Letter to Shareholders

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   3

Conclusion

On behalf of all of us at Calamos Investments, thank you for entrusting us with your assets. I encourage you to visit our website, www.calamos.com, on an ongoing basis for updates about the Fund and the markets, as well as additional information about asset allocation.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

Letter to Shareholders

4   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information which can be obtained by calling 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 should not be considered investment advice.

Diversification and asset allocation do not guarantee a profit or protection against a loss.

1The MSCI All Country World Index is a measure of global stock market performance, which returned 0.00% for the 12-month period ending October 31, 2018. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. For the 12-month period, the index returned 7.35%. The ICE BofAML All U.S. Convertibles ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The index returned 4.05% for the 12-month period. The Thomson Reuters Global Convertible Bond Index is designed to broadly represent the global convertible bond market. The index returned -1.36% for the 12-month period.

2The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. For the 12-month period ended October 31, 2018, the index returned -2.05%. The Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. The index returned 0.98% for the 12-month period ended October 31, 2018. The Bloomberg Barclays U.S. Government/Credit 1-3 Years Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. The index returned 0.34% for the 12-month period. The Bloomberg Barclays U.S. Government/Credit Index comprises long-term government and investment grade corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. The index returned -2.31% for the 12-month period.

Source: 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.

The Calamos Closed-End Funds: An Overview

CALAMOS GLOBAL TOTAL RETURN Fund Annual 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

Investment Team Discussion

6   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

TOTAL RETURN* AS OF 10/31/18

Common Shares – Inception 10/27/05

1 Year

Since
Inception**

On Market Price

-10.17%

6.96%

On NAV

 -5.06%

7.45%

* 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

Financials

16.0%

Information Technology

14.4

Communication Services

11.3

Energy

10.2

Health Care

10.0

Consumer Staples

8.5

Consumer Discretionary

7.8

Industrials

6.3

Materials

3.6

Utilities

2.1

Other

1.7

Real Estate

1.2

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.

Calamos Global Total Return Fund (CGO) is a global total return oriented offering that seeks to provide an attractive monthly distribution. The Fund invests 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 the Fund’s portfolio is 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, the Fund seeks 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 year. 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 reporting period.

The Fund invests 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 -5.06% on a net asset value (NAV) basis for the 12 months ended October 31, 2018. On a market price basis, the Fund decreased -10.17%. In comparison, the broad global equity market was up 1.71% for the same period, as measured by the MSCI World Index.

At the end of the reporting period, the Fund’s shares traded at a -1.29% discount to net asset value.

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.

Investment Team Discussion

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/18

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.

Please discuss the Fund’s distributions during the one-year 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 10.43% of market price as of October 31, 2018.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low-but-rising interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2018, the dividend yield of S&P 500 Index stocks averaged approximately 1.88%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 3.15% and 3.39%, respectively.

What factors influenced performance over the reporting period?

The portfolio has a wide set of investment parameters that allow us to take advantage of investment opportunities around the world through many different 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 for the period. The strength and performance of global equity and fixed income markets buoyed both price and NAV performance for the period.

Our selection in financials, notably in diversified banks, was additive to performance relative to the MSCI World Index. In addition, our selection in utilities (multi-utilities) was helpful to performance.

*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: Standard & Poor’s

Source: U.S. Department of the Treasury

ASSET ALLOCATION AS OF 10/31/18

8   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

Investment Team Discussion

Conversely, our selection in information technology, notably the Fund’s holdings in wireless telecommunication services, proved detrimental relative to the index. In addition, selection in consumer discretionary, namely internet and direct marketing retail, impeded results.

How is the Fund positioned?

The Fund’s heaviest allocations are within the financials, information technology and consumer discretionary sectors. We are relatively optimistic regarding the global economy, with an emphasis on the U.S. and companies that benefit from the wallet of the U.S. consumer. We favor quality growth companies with higher-quality balance sheets, strong brands, free cash flows and experienced management. We seek to invest in businesses poised to benefit from increased capital spending in technologies, the global infrastructure build-out, and U.S. consumer optimism, demographics and spending power. We favor financials as we expect rising interest rates, a reflationary economic environment and less onerous regulations will benefit the sector.

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 given our outlook.

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 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, the Fund’s use of leverage over the period enjoyed a favorable reinvestment dynamic. As of October 31, 2018, the Fund’s amount of leveraged assets was approximately 35%.

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 and 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 U.S. and global consumption, and companies 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. We believe U.S. consumer discretionary companies offer favorable dynamics given the healthy optimism and market of the U.S. consumer. However, we are also cautious about companies in the consumer staples sector. We believe they may be fully valued as

Investment Team Discussion

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   9

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 the Fund to take advantage of the volatility and opportunities in global equities and convertible securities.

This information is not intended to be a recommendation or investment advice, and does not constitute a solicitation to buy or sell securities. Certain statements in this commentary are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrence may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or review any forward-looking statements or views expressed herein.

Schedule of Investments October 31, 2018

10   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

VALUE

Corporate Bonds (22.9%)

Communication Services (2.4%)

390,000

America Movil, SAB de CV
5.000%, 03/30/20

$

397,353

Cincinnati Bell, Inc.*µ

125,000

7.000%, 07/15/24

112,779

60,000

8.000%, 10/15/25

54,640

40,000

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

36,855

200,000

CSC Holdings, LLC*^
5.500%, 04/15/27

192,643

265,000

Embarq Corp.µ
7.995%, 06/01/36

253,123

Frontier Communications Corp.

160,000

11.000%, 09/15/25µ^

117,756

120,000

7.625%, 04/15/24

72,328

25,000

8.500%, 04/01/26*µ

23,277

Hughes Satellite Systems Corp.^

40,000

6.625%, 08/01/26

38,166

15,000

5.250%, 08/01/26

14,329

100,000

Inmarsat Finance, PLC*^
4.875%, 05/15/22

98,162

Intelsat Jackson Holdings, SA

90,000

9.750%, 07/15/25*µ

94,331

47,000

7.500%, 04/01/21^

47,587

35,000

8.000%, 02/15/24*^

36,648

30,000

8.500%, 10/15/24*^

29,656

25,000

MDC Partners, Inc.*^
6.500%, 05/01/24

20,556

65,000

Qwest Corp.µ
6.875%, 09/15/33

63,010

25,000

SBA Communications Corp.^
4.000%, 10/01/22

24,053

Sprint Corp.^

270,000

7.875%, 09/15/23

288,527

175,000

7.125%, 06/15/24

179,009

65,000

T-Mobile USA, Inc.µ
4.750%, 02/01/28

60,374

10,000

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

9,033

80,000

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

81,934

Windstream Services, LLC / Windstream Finance Corp.

63,000

8.625%, 10/31/25*µ

58,943

19,000

7.750%, 10/01/21

12,034

6,000

10.500%, 06/30/24*

4,898

2,422,004

Consumer Discretionary (5.5%)

45,000

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

35,358

65,000

Boyd Gaming Corp.µ
6.000%, 08/15/26

63,183

PRINCIPAL
AMOUNT

VALUE

65,000

Caesars Resort Collection, LLC /
CRC Finco, Inc.*^
5.250%, 10/15/25

$

60,569

CCO Holdings, LLC / CCO Holdings
Capital Corp.

85,000

5.125%, 05/01/27*µ

80,165

60,000

5.000%, 02/01/28*^

56,096

50,000

5.750%, 09/01/23^

50,477

108,000

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

97,876

1,000,000

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

991,290

DISH DBS Corp.^

88,000

5.875%, 11/15/24

74,912

65,000

7.750%, 07/01/26

57,746

105,000

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

104,109

60,000

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

56,880

11,000

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

11,097

65,000

GLP Capital, LP / GLP Financing II, Inc.µ
5.250%, 06/01/25

65,136

55,000

goeasy, Ltd.*µ
7.875%, 11/01/22

57,062

65,000

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

63,744

175,000

L Brands, Inc.µ
6.875%, 11/01/35

148,809

60,000

M/I Homes, Inc.µ
5.625%, 08/01/25

55,430

120,000

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

114,903

75,000

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

73,187

60,000

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

57,113

PetSmart, Inc.*^

83,000

5.875%, 06/01/25

65,251

10,000

8.875%, 06/01/25

7,007

Rite Aid Corp.

120,000

7.700%, 02/15/27µ

84,076

40,000

6.125%, 04/01/23*^

34,075

110,000

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

99,037

60,000

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

55,801

900,000

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

997,560

60,000

Sotheby’s*µ
4.875%, 12/15/25

55,637

35,000

Taylor Morrison Communities Corp.µ
6.625%, 05/15/22

35,451


Schedule of Investments October 31, 2018

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   11

PRINCIPAL
AMOUNT

VALUE

500,000

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

$

500,212

1,175,000

Toyota Motor Corp.^
3.419%, 07/20/23

1,168,784

25,416

US Airways Series 2012-2, Class B Pass Through Trust
6.750%, 06/03/21

26,653

45,000

VOC Escrow, Ltd.*µ
5.000%, 02/15/28

42,340

5,547,026

Consumer Staples (0.9%)

65,000

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

57,783

45,000

Fresh Market, Inc.*µ
9.750%, 05/01/23

33,019

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

400,000

7.250%, 06/01/21

405,494

75,000

6.750%, 02/15/28

73,220

New Albertson’s, Inc.µ

75,000

7.450%, 08/01/29

63,248

40,000

7.750%, 06/15/26

35,255

30,000

8.000%, 05/01/31

25,847

Pilgrim’s Pride Corp.*^

100,000

5.875%, 09/30/27

91,064

25,000

5.750%, 03/15/25

23,364

Post Holdings, Inc.*^

60,000

5.750%, 03/01/27

57,382

14,000

5.625%, 01/15/28

13,189

Simmons Foods, Inc.*µ

42,000

7.750%, 01/15/24

42,613

30,000

5.750%, 11/01/24

21,994

943,472

Energy (2.7%)

15,000

Berry Petroleum Company, LLC*µ
7.000%, 02/15/26

14,937

38,000

Bruin E&P Partners, LLC*
8.875%, 08/01/23

37,503

55,000

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

50,453

125,000

Calfrac Holdings, LP*µ
8.500%, 06/15/26

112,686

95,000

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

84,755

Carrizo Oil & Gas, Inc.µ

40,000

8.250%, 07/15/25

41,860

34,000

6.250%, 04/15/23

33,468

65,000

Chaparral Energy, Inc.*µ
8.750%, 07/15/23

62,692

PRINCIPAL
AMOUNT

VALUE

50,000

Cheniere Energy Partners, LP*^
5.625%, 10/01/26

$

49,266

Chesapeake Energy Corp.

65,000

8.000%, 01/15/25^

65,929

50,000

7.000%, 10/01/24

49,028

45,000

Comstock Escrow Corp.*
9.750%, 08/15/26

43,502

80,000

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

71,624

30,000

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

28,779

Denbury Resources, Inc.

55,000

5.500%, 05/01/22^

47,808

40,000

9.250%, 03/31/22*µ

41,755

25,000

7.500%, 02/15/24*

24,543

15,000

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

14,823

Energy Transfer, LP

140,000

5.559%, 11/01/66µ‡
3 mo. USD LIBOR + 3.02%

120,747

115,000

5.500%, 06/01/27^

117,142

Enterprise Products Operating, LLCµ‡

85,000

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

79,381

25,000

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

22,396

EP Energy, LLC / Everest Acquisition Finance, Inc.*

50,000

7.750%, 05/15/26µ

49,890

45,000

9.375%, 05/01/24^

34,264

Genesis Energy, LP / Genesis Energy Finance Corp.

65,000

6.500%, 10/01/25^

60,393

55,000

6.250%, 05/15/26µ

49,986

100,000

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

94,843

50,000

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

45,616

82,000

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

88,963

60,000

Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26

59,357

50,000

McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.*µ
10.625%, 05/01/24

45,035

25,000

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

24,099

5,000

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

4,615

40,000

Nine Energy Service, Inc.*
8.750%, 11/01/23

40,647


Schedule of Investments October 31, 2018

12   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

VALUE

5,000

Northern Oil and Gas, Inc.*
9.500%, 05/15/23
9.500% PIK rate

$

5,164

45,000

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

44,236

55,000

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

54,502

65,000

PDC Energy, Inc.µ
5.750%, 05/15/26

59,749

65,000

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

60,927

25,000

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

23,571

95,000

SESI, LLC^
7.750%, 09/15/24

93,441

25,000

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

25,073

45,000

Southwestern Energy Companyµ
7.500%, 04/01/26

45,827

40,000

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

38,315

15,000

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

15,124

15,000

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

14,106

13,000

Transocean Pontus, Ltd.*µ
6.125%, 08/01/25

12,941

60,000

Transocean, Inc.*µ
7.500%, 01/15/26

59,001

65,000

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

60,424

100,000

W&T Offshore, Inc.*
9.750%, 11/01/23

96,906

130,000

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

99,619

65,000

Whiting Petroleum Corp.µ
6.625%, 01/15/26

65,022

70,000

WildHorse Resource Development Corp.µ
6.875%, 02/01/25

69,745

2,756,478

Financials (2.5%)

125,000

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

112,027

195,000

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

234,738

65,000

Amwins Group, Inc.*µ
7.750%, 07/01/26

66,869

PRINCIPAL
AMOUNT

VALUE

75,000

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

$

73,860

65,000

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

63,172

65,000

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

60,326

115,000

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

109,448

75,000

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

74,738

55,000

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

57,059

65,000

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

61,539

30,000

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

29,373

65,000

HUB International, Ltd.*^
7.000%, 05/01/26

63,575

100,000

ILFC E-Capital Trust II*µ‡
5.030%, 12/21/65
3 mo. USD LIBOR + 1.80%

89,049

140,000

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

126,205

200,000

Jefferies Finance, LLC*µ
7.250%, 08/15/24

195,603

50,000

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

46,440

35,000

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

34,311

60,000

LPL Holdings, Inc.*µ
5.750%, 09/15/25

58,289

MetLife, Inc.

100,000

6.400%, 12/15/36^

103,999

7,000

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

6,996

110,000

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

110,009

110,000

Navient Corp.^
6.750%, 06/25/25

107,675

50,000

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

50,226

100,000

Oil Insurance, Ltd.*‡
5.378%, 12/03/18
3 mo. USD LIBOR + 2.98%

96,891

125,000

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

120,686


Schedule of Investments October 31, 2018

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   13

PRINCIPAL
AMOUNT

VALUE

75,000

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

$

74,670

Springleaf Finance Corp.

85,000

6.875%, 03/15/25^

81,481

65,000

7.125%, 03/15/26µ

61,669

20,000

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

19,850

130,000

Tronox Finance, PLC*^
5.750%, 10/01/25

114,147

2,504,920

Health Care (2.9%)

119,000

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

121,407

Bausch Health Cos., Inc.*µ

130,000

8.500%, 01/31/27

133,065

120,000

9.000%, 12/15/25

125,366

65,000

9.250%, 04/01/26

68,343

60,000

7.500%, 07/15/21

60,954

Community Health Systems, Inc.

150,000

8.125%, 06/30/24*^

118,107

15,000

6.875%, 02/01/22

7,613

190,000

DaVita, Inc.^
5.125%, 07/15/24

181,737

60,000

Endo DAC / Endo Finance, LLC /
Endo Finco, Inc.*µ
6.000%, 07/15/23

51,826

110,000

Endo Finance, LLC / Endo Finco, Inc.*µ
7.250%, 01/15/22

104,737

HCA, Inc.µ

920,000

5.875%, 05/01/23

955,071

55,000

7.500%, 11/06/33

59,714

65,000

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

62,493

75,000

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

64,611

45,000

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

38,793

Tenet Healthcare Corp.^

200,000

6.750%, 06/15/23

199,650

135,000

4.625%, 07/15/24

130,204

75,000

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

68,194

175,000

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

167,682

25,000

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

24,340

165,000

Teva Pharmaceutical Finance Netherlands III, BV^
2.800%, 07/21/23

145,794

PRINCIPAL
AMOUNT

VALUE

50,000

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

$

47,115

2,936,816

Industrials (1.9%)

80,000

ACCO Brands Corp.*µ
5.250%, 12/15/24

75,106

70,000

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

64,349

40,000

Apergy Corp.*µ
6.375%, 05/01/26

40,636

65,000

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

58,422

100,000

Bombardier, Inc.*^
7.500%, 03/15/25

100,277

85,000

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

85,179

60,000

Delphi Technologies, PLC*µ
5.000%, 10/01/25

54,178

40,000

Energizer Gamma Acquisition, Inc.*^
6.375%, 07/15/26

40,053

15,000

FXI Holdings, Inc.*µ
7.875%, 11/01/24

14,060

120,000

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

119,919

60,000

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

57,751

60,000

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

61,713

95,000

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

90,546

Hertz Corp.^

65,000

7.375%, 01/15/21

63,852

10,000

7.625%, 06/01/22*

9,589

Icahn Enterprises, LP^

65,000

6.375%, 12/15/25

64,659

43,000

6.750%, 02/01/24

43,306

62,000

Jeld-Wen, Inc.*^
4.625%, 12/15/25

55,742

35,000

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

35,681

70,000

Meritor, Inc.^
6.250%, 02/15/24

68,987

65,000

Multi-Color Corp.*µ^
4.875%, 11/01/25

60,218

90,000

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

91,926

Park Aerospace Holdings, Ltd.*µ

35,000

4.500%, 03/15/23

33,423

25,000

5.500%, 02/15/24

24,803

115,000

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

115,672

125,000

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

116,425


Schedule of Investments October 31, 2018

14   CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

VALUE

35,000

Tennant Companyµ
5.625%, 05/01/25

$

34,849

15,000

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

12,507

55,000

TransDigm, Inc.µ
6.500%, 05/15/25

54,847

United Rentals North America, Inc.

50,000

4.875%, 01/15/28µ

45,136

45,000

5.875%, 09/15/26^

44,089

25,000

6.500%, 12/15/26^

25,272

25,000

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

23,942

1,887,114

Information Technology (2.0%)

125,000

Alliance Data Systems Corp.*
5.875%, 11/01/21

127,437

1,400,000

Apple, Inc.µ
2.000%, 11/13/20

1,370,236

25,000

Cardtronics, Inc.*µ
5.500%, 05/01/25

23,404

95,000

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

89,894

Clear Channel Worldwide Holdings, Inc.

50,000

7.625%, 03/15/20^

50,029

20,000

7.625%, 03/15/20µ

20,026

60,000

CommScope Technologies, LLC*µ
6.000%, 06/15/25

58,432

125,000

First Data Corp.*^
5.000%, 01/15/24

123,894

60,000

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

54,278

45,000

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

43,823

40,000

VFH Parent, LLC*µ
6.750%, 06/15/22

40,862

2,002,315

Materials (1.4%)

72,000

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

64,280

200,000

Alcoa Nederland Holding, BV*µ
7.000%, 09/30/26

210,720

200,000

ArcelorMittal, SAµ
7.000%, 10/15/39

221,871

61,000

Arconic, Inc.^
5.125%, 10/01/24

60,070

200,000

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

187,501

25,000

Baffinland Iron Mines Corp. /
Baffinland Iron Mines, LP*µ
8.750%, 07/15/26

25,246

PRINCIPAL
AMOUNT

VALUE

35,000

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

$

34,281

40,000

JW Aluminum Continuous Cast Company*µ
10.250%, 06/01/26

40,036

25,000

Kinross Gold Corp.^
4.500%, 07/15/27

22,414

270,000

New Gold, Inc.*µ
6.375%, 05/15/25

216,571

170,000

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

175,755

United States Steel Corp.^

120,000

6.875%, 08/15/25µ

117,838

25,000

6.250%, 03/15/26

23,589

1,400,172

Real Estate (0.2%)

100,000

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

94,122

65,000

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

62,506

156,628

Utilities (0.5%)

120,000

AES Corp.^
4.000%, 03/15/21

119,160

20,000

NGPL PipeCo, LLC*µ
4.875%, 08/15/27

19,359

NRG Energy, Inc.

70,000

6.625%, 01/15/27^

72,535

43,000

5.750%, 01/15/28

42,813

120,000

PPL Capital Funding, Inc.µ^‡
5.051%, 03/30/67
3 mo. USD LIBOR + 2.67%

116,991

40,000

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

35,269

65,000

TerraForm Power Operating, LLC*µ
5.000%, 01/31/28

58,329

55,000

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

59,784

524,240

Total Corporate Bonds
(Cost $23,830,010)

23,081,185

Convertible Bonds (36.5%)

Communication Services (2.0%)

60,000,000

JPY

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

591,293

1,270,000

GCI Liberty, Inc.*µ
1.750%, 09/30/46

1,377,499

1,968,792


Schedule of Investments October 31, 2018

See accompanying Notes to Schedule of Investments

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   15

PRINCIPAL
AMOUNT

VALUE

Consumer Discretionary (3.2%)

990,000

Ctrip.com International, Ltd.^
1.990%, 07/01/25

$

986,565

Liberty Interactive, LLC

115,646

4.000%, 11/15/29

79,693

85,000

3.750%, 02/15/30

58,196

280,000

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

915,186

1,400,000

RH*µ
0.000%, 06/15/23

1,236,375

3,276,015

Energy (4.9%)

2,800,000

TOTAL, SAµ^
0.500%, 12/02/22

3,047,128

1,600,000

Tullow Oil Jersey, Ltd.µ
6.625%, 07/12/21

1,916,688

4,963,816

Financials (6.9%)

800,000

EUR

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

924,492

1,100,000

EUR

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

1,211,759

3,300,000

JPMorgan Chase Bank, N.A.µ
0.000%, 12/30/20

3,446,470

150,000,000

JPY

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

1,374,128

6,956,849

Health Care (2.0%)

1,200,000

EUR

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

1,135,799

882,000

CAD

Canopy Growth Corp.*
4.250%, 07/15/23

884,379

2,020,178

Industrials (4.0%)

1,540,000

Echo Global Logistics, Inc.µ
2.500%, 05/01/20

1,531,399

11,000,000

HKD

Harvest International Company
0.000%, 11/21/22

1,318,262

1,200,000

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

1,179,372

4,029,033

Information Technology (8.6%)

555,000

Atlassian, Inc.*µ
0.625%, 05/01/23

636,213

680,000

DocuSign, Inc.*µ
0.500%, 09/15/23

637,490

640,000

Envestnet, Inc.µ
1.750%, 12/15/19

662,502

PRINCIPAL
AMOUNT

VALUE

40,000,000

JPY

GMO Payment Gateway, Inc.
0.000%, 06/19/23

$

381,545

1,995,000

Palo Alto Networks, Inc.*µ
0.750%, 07/01/23

1,939,968

1,330,000

Splunk, Inc.*µ
0.500%, 09/15/23

1,272,823

520,000

Twilio, Inc.*µ
0.250%, 06/01/23

649,813

1,160,000

Workday, Inc.µ
0.250%, 10/01/22

1,289,497

1,360,000

Xero Investments, Ltd.
2.375%, 10/04/23

1,240,714

8,710,565

Materials (4.2%)

1,030,000

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

1,015,147