N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-22047

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

   Calamos Global Dynamic Income Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Chairman,

CEO and Co-CIO

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

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

DATE OF FISCAL YEAR END: October 31, 2016

DATE OF REPORTING PERIOD: July 31, 2016

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  CORPORATE BONDS (24.7%)   
    Consumer Discretionary (5.3%)   
  600,000       

Altice Luxembourg, SA*~

7.750%, 05/15/22

  $ 609,750   
  200,000       

Argos Merger Sub, Inc.*µ

7.125%, 03/15/23

    209,375   
  960,000       

CalAtlantic Group, Inc.µ

5.375%, 10/01/22

    999,000   
  611,000       

Century Communities, Inc.µ

6.875%, 05/15/22

    607,181   
  750,000       

Charter Communications Operating, LLC / Charter Communications Operating Capital*µ

4.908%, 07/23/25

    827,344   
  556,000       

Cooper Tire & Rubber Companyµ

8.000%, 12/15/19

    633,145   
  950,000       

Dana Financing Luxembourg Sarl*~

6.500%, 06/01/26

    976,719   
    DISH DBS Corp.µ  
  1,520,000        5.875%, 07/15/22     1,522,850   
  800,000        6.750%, 06/01/21     854,000   
  680,000        5.125%, 05/01/20     697,425   
  900,000       

Dufry Finance, SCA*µ

5.500%, 10/15/20

    931,500   
    GameStop Corp.*µ  
  500,000        5.500%, 10/01/19     510,625   
  175,000        6.750%, 03/15/21     177,953   
  759,000       

Golden Nugget Escrow, Inc.*

8.500%, 12/01/21

    787,462   
    Goodyear Tire & Rubber Companyµ  
  1,000,000        7.000%, 05/15/22     1,075,000   
  195,000        5.125%, 11/15/23     206,944   
    L Brands, Inc.µ  
  1,730,000        6.950%, 03/01/33     1,786,225   
  165,000        5.625%, 02/15/22     182,634   
  2,000,000       

Liberty Interactive, LLCµ

8.500%, 07/15/29

    2,206,250   
    Meritage Homes Corp.µ  
  1,367,000        7.000%, 04/01/22     1,502,846   
  800,000        7.150%, 04/15/20     876,500   
  600,000       

Reliance Intermediate Holdings, LP*

6.500%, 04/01/23

    634,500   
  1,710,000       

Royal Caribbean Cruises, Ltd.µ^

7.500%, 10/15/27

    2,019,937   
  412,000       

Sally Holdings, LLC / Sally Capital, Inc.µ

5.625%, 12/01/25

    443,415   
    Service Corp. Internationalµ  
  1,000,000        8.000%, 11/15/21     1,182,500   
  295,000        5.375%, 05/15/24     315,466   
    SFR Group, SA*  
  800,000        6.000%, 05/15/22µ     781,500   
  200,000        7.375%, 05/01/26     199,750   
  1,000,000       

Time, Inc.*µ

5.750%, 04/15/22

    977,500   
  1,200,000       

ZF North America Capital, Inc.*µ

4.750%, 04/29/25

    1,257,000   
     

 

 

 
        25,992,296   
     

 

 

 
PRINCIPAL
AMOUNT
                VALUE  
     
    Consumer Staples (0.7%)   
  675,000       

Fresh Market, Inc.*^

9.750%, 05/01/23

  $ 627,750   
  1,600,000       

JBS USA, LLC*µ

5.750%, 06/15/25

    1,589,000   
  319,000       

NBTY, Inc.*

7.625%, 05/15/21

    326,377   
    Post Holdings, Inc.  
  616,000        7.375%, 02/15/22     659,505   
  220,000        7.750%, 03/15/24*µ     245,025   
     

 

 

 
        3,447,657   
     

 

 

 
    Energy (3.8%)   
  1,776,000       

Atwood Oceanics, Inc.µ

6.500%, 02/01/20

    1,313,130   
  400,000       

Bill Barrett Corp.

7.000%, 10/15/22

    291,750   
  830,000       

Bonanza Creek Energy, Inc.

6.750%, 04/15/21

    381,281   
  2,500,000       

Calfrac Holdings, LP*µ

7.500%, 12/01/20

    1,579,687   
    Carrizo Oil & Gas, Inc.µ  
  750,000        7.500%, 09/15/20     747,656   
  425,000        6.250%, 04/15/23     403,750   
  1,828,000       

Cimarex Energy Companyµ

5.875%, 05/01/22

    1,917,654   
  1,160,000       

Drill Rigs Holdings, Inc.*

6.500%, 10/01/17

    535,050   
    Energy Transfer Equity, LPµ  
  500,000        5.875%, 01/15/24     503,438   
  300,000        5.500%, 06/01/27     292,313   
  1,400,000       

Gulfmark Offshore, Inc.

6.375%, 03/15/22

    563,500   
  623,000       

Gulfport Energy Corp.µ

7.750%, 11/01/20

    638,964   
  1,500,000       

MPLX, LP*µ

4.875%, 06/01/25

    1,498,830   
  1,065,000       

Oasis Petroleum, Inc.µ

6.500%, 11/01/21

    905,250   
  1,410,000       

Pacific Drilling, SA*µ

5.375%, 06/01/20

    371,888   
  800,000       

Petroleum Geo-Services, ASA*µ

7.375%, 12/15/18

    609,500   
  255,000       

Rice Energy, Inc.µ

7.250%, 05/01/23

    257,231   
  4,000,000       

SEACOR Holdings, Inc.µ

7.375%, 10/01/19

    3,987,500   
  750,000       

Trinidad Drilling, Ltd.*µ

7.875%, 01/15/19

    699,844   
  2,967,000       

W&T Offshore, Inc.

8.500%, 06/15/19

    827,051   
  700,000       

Western Refining, Inc.µ

6.250%, 04/01/21

    652,313   
     

 

 

 
        18,977,580   
     

 

 

 
    Financials (1.8%)   
  2,335,000       

AON Corp.µ

8.205%, 01/01/27

    3,089,847   
    DuPont Fabros Technology, LPµ  
  520,000        5.875%, 09/15/21     545,675   
  300,000        5.625%, 06/15/23     313,875   
  885,000       

First Cash Financial Services, Inc.µ

6.750%, 04/01/21

    909,891   
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  90,000       

Iron Mountain, Inc.*µ

6.000%, 10/01/20

  $ 95,681   
  600,000       

Jefferies Finance, LLC*µ

7.375%, 04/01/20

    560,250   
  2,600,000       

Neuberger Berman Group, LLC*µ

5.875%, 03/15/22

    2,697,760   
  865,000       

Quicken Loans, Inc.*µ

5.750%, 05/01/25

    857,431   
     

 

 

 
        9,070,410   
     

 

 

 
    Health Care (2.1%)   
  2,000,000       

Alere, Inc.

6.500%, 06/15/20

    1,967,500   
  1,810,000       

Community Health Systems, Inc.µ

7.125%, 07/15/20

    1,658,412   
  419,000       

Endo International, PLC*µ‡

7.250%, 01/15/22

    389,408   
  825,000       

Endo, Ltd.*~^

6.000%, 07/15/23

    723,422   
  1,500,000       

Grifols Worldwide Operations, Ltd.~

5.250%, 04/01/22

    1,572,187   
  795,000       

HCA Holdings, Inc.µ

5.875%, 05/01/23

    853,631   
  330,000       

Hologic, Inc.*µ

5.250%, 07/15/22

    351,038   
  750,000       

Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^

5.625%, 10/15/23

    727,969   
  1,400,000       

Tenet Healthcare Corp.^

6.750%, 06/15/23

    1,355,375   
  325,000       

Valeant Pharmaceuticals International, Inc.*µ

7.000%, 10/01/20

    303,063   
  600,000       

VPII Escrow Corp.*µ

6.750%, 08/15/18

    591,000   
     

 

 

 
        10,493,005   
     

 

 

 
    Industrials (3.8%)   
  1,935,000       

ACCO Brands Corp.µ

6.750%, 04/30/20

    2,047,472   
  1,400,000       

AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust~

5.000%, 10/01/21

    1,531,250   
  1,300,000       

Deluxe Corp.µ

6.000%, 11/15/20

    1,348,750   
  750,000       

Garda World Security Corp.*

7.250%, 11/15/21

    642,656   
  1,530,000       

H&E Equipment Services, Inc.µ

7.000%, 09/01/22

    1,601,719   
    Icahn Enterprises, LPµ  
  957,000        5.875%, 02/01/22     918,720   
  175,000        4.875%, 03/15/19     174,235   
    Meritor, Inc.µ  
  980,000        6.750%, 06/15/21     946,925   
  560,000        6.250%, 02/15/24     495,600   
    Michael Baker International, LLC*µ  
  621,000        8.250%, 10/15/18     611,685   
  500,690        8.875%, 04/15/19     428,403   
  1,750,000       

Navistar International Corp.

8.250%, 11/01/21

    1,302,656   
  1,020,000       

Terex Corp.µ

6.000%, 05/15/21

    1,037,850   
  1,400,000       

United Continental Holdings, Inc.µ

6.375%, 06/01/18

    1,479,625   
PRINCIPAL
AMOUNT
                VALUE  
     
  4,000,000       

United Rentals North America, Inc.µ

7.625%, 04/15/22

  $ 4,275,000   
     

 

 

 
        18,842,546   
     

 

 

 
    Information Technology (3.1%)   
    Amkor Technology, Inc.µ  
  1,900,000        6.375%, 10/01/22     1,928,500   
  707,000        6.625%, 06/01/21     714,512   
  3,300,000       

Belden, Inc.*µ

5.500%, 09/01/22

    3,434,062   
  1,090,000       

Cardtronics, Inc.µ

5.125%, 08/01/22

    1,095,450   
  257,000       

CDW, LLC / CDW Finance Corp.µ

5.000%, 09/01/23

    264,389   
  860,000        CommScope Technologies Finance, LLC*µ 6.000%, 06/15/25     910,525   
  2,000,000       

Hughes Satellite Systems Corp.µ

7.625%, 06/15/21

    2,142,500   
    Nuance Communications, Inc.*  
  580,000        5.375%, 08/15/20µ     595,950   
  420,000        6.000%, 07/01/24     436,800   
  500,000       

NXP Semiconductors, NV*~

5.750%, 02/15/21

    520,625   
  3,000,000       

ViaSat, Inc.µ

6.875%, 06/15/20

    3,108,750   
     

 

 

 
        15,152,063   
     

 

 

 
    Materials (1.7%)   
  725,000       

Alcoa, Inc.µ

5.125%, 10/01/24

    765,781   
  1,800,000       

ArcelorMittal~

6.500%, 03/01/21

    1,905,750   
    First Quantum Minerals, Ltd.*  
  232,000        7.000%, 02/15/21     207,205   
  227,000        6.750%, 02/15/20~     208,982   
    INEOS Group Holdings, SA*  
  1,950,000        6.125%, 08/15/18µ^     1,983,208   
  400,000        5.625%, 08/01/24     396,000   
  1,150,000       

New Gold, Inc.*µ

7.000%, 04/15/20

    1,189,531   
  420,000       

Sealed Air Corp.*µ

5.250%, 04/01/23

    447,038   
  1,300,000       

Trinseo Materials Operating, SCA*

6.750%, 05/01/22

    1,363,375   
     

 

 

 
        8,466,870   
     

 

 

 
    Telecommunication Services (1.9%)   
    CenturyLink, Inc.  
  666,000        6.750%, 12/01/23µ     694,305   
  125,000        7.500%, 04/01/24^     133,516   
    Frontier Communications Corp.  
  1,563,000        7.625%, 04/15/24µ     1,457,497   
  440,000        11.000%, 09/15/25~µ     470,800   
  75,000        10.500%, 09/15/22     81,047   
  441,000       

Intelsat Jackson Holdings, SA*^

8.000%, 02/15/24

    420,328   
    Neptune Finco Corp.*µ  
  400,000        10.875%, 10/15/25     468,000   
  200,000        10.125%, 01/15/23     229,000   
    Sprint Corp.µ  
  3,635,000        7.875%, 09/15/23     3,337,384   
  420,000        7.125%, 06/15/24     372,487   
  305,000        7.250%, 09/15/21     284,413   
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  1,530,000       

T-Mobile USA, Inc.µ

6.625%, 04/01/23

  $ 1,643,794   
     

 

 

 
        9,592,571   
     

 

 

 
    Utilities (0.5%)   
  1,050,000       

AES Corp.µ

7.375%, 07/01/21

    1,197,656   
  1,215,000       

AmeriGas Finance Corp.µ

7.000%, 05/20/22

    1,287,141   
     

 

 

 
        2,484,797   
     

 

 

 
    TOTAL CORPORATE BONDS
(Cost $127,614,729)
    122,519,795   
     

 

 

 
  CONVERTIBLE BONDS (27.8%)   
    Consumer Discretionary (3.7%)   
  670,000       

CalAtlantic Group, Inc.

1.250%, 08/01/32

    715,711   
    Ctrip.com International, Ltd.  
  3,070,000        1.000%, 07/01/20     3,332,163   
  2,345,000        1.250%, 10/15/18     2,959,507   
  200,000,000     

JPY

 

HIS Company, Ltd.

0.000%, 08/30/19

    2,000,723   
  2,200,000       

Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)~µ§

0.750%, 03/30/43

    2,523,180   
  1,550,000       

Liberty Media Corp.

1.375%, 10/15/23

    1,654,044   
  1,350,000       

Priceline Group, Inc.µ

1.000%, 03/15/18

    2,001,618   
  3,700,000       

Tesla Motors, Inc.µ^

1.250%, 03/01/21

    3,261,124   
     

 

 

 
        18,448,070   
     

 

 

 
    Financials (5.6%)   
  2,300,000       

Ares Capital Corp.µ

4.750%, 01/15/18

    2,400,682   
  2,500,000     

EUR

 

AURELIUS Equity Opportunities SE & Co. KGaA

1.000%, 12/01/20

    3,354,709   
  3,750,000       

AYC Finance, Ltd.

0.500%, 05/02/19

    4,103,774   
  6,500,000     

EUR

 

Azimut Holding, S.p.A.µ

2.125%, 11/25/20

    7,423,729   
  1,100,000       

Colony Starwood Homes

3.000%, 07/01/19

    1,273,833   
  1,970,000     

CAD

 

Element Financial Corp.*

4.250%, 06/30/20

    1,543,047   
  1,300,000     

EUR

 

Grand City Properties, SA

0.250%, 03/02/22

    1,564,575   
  1,100,000       

IAS Operating Partnership, LP*µ

5.000%, 03/15/18

    1,086,855   
  3,700,000     

EUR

  Industrivarden, ABµ 1.875%, 02/27/17     4,198,051   
  1,000,000       

Starwood Property Trust, Inc.µ^

4.550%, 03/01/18

    1,066,095   
     

 

 

 
        28,015,350   
     

 

 

 
    Health Care (2.7%)   
  1,757,000       

BioMarin Pharmaceutical, Inc.µ

1.500%, 10/15/20

    2,328,640   
  1,805,000       

Cepheidµ

1.250%, 02/01/21

    1,677,287   
PRINCIPAL
AMOUNT
                VALUE  
     
  950,000       

Emergent Biosolutions, Inc.µ^

2.875%, 01/15/21

  $ 1,188,108   
  2,000,000       

Illumina, Inc.µ^

0.500%, 06/15/21

    2,116,080   
  455,000       

Incyte Corp.

1.250%, 11/15/20

    836,891   
  1,650,000       

Ionis Pharmaceuticals, Inc.

1.000%, 11/15/21

    1,299,169   
  1,250,000       

Ironwood Pharmaceuticals, Inc.

2.250%, 06/15/22

    1,372,131   
  1,080,000       

Medidata Solutions, Inc.

1.000%, 08/01/18

    1,261,273   
  925,000       

NuVasive, Inc.*

2.250%, 03/15/21

    1,131,617   
     

 

 

 
        13,211,196   
     

 

 

 
    Industrials (2.7%)   
  593,000       

Air Lease Corp.µ

3.875%, 12/01/18

    741,612   
  1,052,000       

Atlas Air Worldwide Holdings, Inc.

2.250%, 06/01/22

    1,043,779   
  2,300,000     

GBP

 

Carillion Finance Jersey, Ltd.

2.500%, 12/19/19

    2,887,690   
  1,750,000       

Haitian International Holdings, Ltd.

2.000%, 02/13/19

    1,742,177   
  240,000,000     

JPY

 

Japan Airport Terminal Company, Ltd.

0.000%, 03/04/22

    2,397,292   
  2,500,000     

EUR

 

Safran, SA

0.000%, 12/31/20

    2,617,552   
  1,600,000       

Tutor Perini Corp.*µ

2.875%, 06/15/21

    1,758,432   
     

 

 

 
        13,188,534   
     

 

 

 
    Information Technology (11.7%)   
  3,600,000       

Advanced Semiconductor Engineering, Inc.

0.000%, 03/27/18

    3,434,040   
  1,576,000       

Blackhawk Network Holdings, Inc.*

1.500%, 01/15/22

    1,612,248   
  1,500,000       

Ciena Corp.*µ^

3.750%, 10/15/18

    1,796,565   
  1,000,000       

Citrix Systems, Inc.^

0.500%, 04/15/19

    1,173,780   
  1,585,000       

Cypress Semiconductor Corp.*

4.500%, 01/15/22

    1,773,346   
  1,185,000       

Euronet Worldwide, Inc.µ

1.500%, 10/01/44

    1,454,552   
  825,000       

Finisar Corp.

0.500%, 12/15/33

    813,475   
    FireEye, Inc.  
  1,600,000        1.000%, 06/01/35     1,496,992   
  1,271,000        1.625%, 06/01/35     1,171,214   
  900,000       

Inphi Corp.*

1.125%, 12/01/20

    1,009,957   
  3,300,000       

Intel Corp.µ

3.250%, 08/01/39

    5,642,389   
  1,200,000       

Knowles Corp.*

3.250%, 11/01/21

    1,228,818   
  2,425,000       

LinkedIn Corp.µ

0.500%, 11/01/19

    2,402,835   
  1,500,000       

Mentor Graphics Corp.µ^

4.000%, 04/01/31

    1,650,592   
  2,900,000       

Microchip Technology, Inc.µ

1.625%, 02/15/25

    3,475,708   
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  675,000       

Novellus Systems, Inc.µ

2.625%, 05/15/41

  $ 1,787,157   
  1,750,000       

NVIDIA Corp.µ^

1.000%, 12/01/18

    4,952,745   
  2,835,000       

NXP Semiconductors, NVµ^

1.000%, 12/01/19

    3,167,957   
    ON Semiconductor Corp.  
  2,000,000        1.000%, 12/01/20^     1,876,900   
  1,525,000        2.625%, 12/15/26µ     1,632,528   
  470,000       

Palo Alto Networks, Inc.

0.000%, 07/01/19

    625,060   
  1,700,000     

EUR

 

Rocket Internet, SE

3.000%, 07/22/22

    1,610,672   
  2,745,000       

Salesforce.com, Inc.µ^

0.250%, 04/01/18

    3,615,700   
  1,449,000       

ServiceNow, Inc.µ^

0.000%, 11/01/18

    1,727,853   
    SunEdison, Inc.@  
  2,261,000        0.250%, 01/15/20*     97,065   
  275,000        2.000%, 10/01/18     11,488   
  975,000       

Synchronoss Technologies, Inc.µ^

0.750%, 08/15/19

    1,014,634   
  2,250,000       

Twitter, Inc.µ^

1.000%, 09/15/21

    2,032,920   
    WebMD Health Corp.  
  1,200,000        2.625%, 06/15/23*     1,216,032   
  715,000        2.500%, 01/31/18     804,843   
  1,575,000       

Workday, Inc.

0.750%, 07/15/18

    1,859,768   
     

 

 

 
        58,169,833   
     

 

 

 
    Materials (0.7%)   
  2,400,000     

EUR

 

Buzzi Unicem, S.p.A.

1.375%, 07/17/19

    3,435,867   
     

 

 

 
    Telecommunication Services (0.7%)   
  3,200,000     

EUR

 

America Movil, SAB de CV

0.000%, 05/28/20

    3,519,667   
     

 

 

 
   

TOTAL CONVERTIBLE BONDS

(Cost $140,152,614)

    137,988,517   
     

 

 

 
 

 

U.S. GOVERNMENT AND AGENCY

SECURITY (0.1%)

  

  

  300,000       

United States Treasury Note~

0.875%, 11/30/16

(Cost $300,121)

    300,539   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
  CONVERTIBLE PREFERRED STOCKS (11.3%)   
    Consumer Discretionary (0.2%)   
  14,300        Fiat Chrysler Automobiles, NV 7.875%     894,966   
     

 

 

 
    Consumer Staples (1.0%)  
  16,750        Bunge, Ltd.^  
    4.875%     1,671,859   
  10,000        Post Holdings, Inc.  
    5.250%     1,534,350   
  22,300        Tyson Foods, Inc.  
    4.750%     1,795,373   
     

 

 

 
        5,001,582   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
     
    Energy (0.8%)   
  35,500       

Hess Corp.

8.000%

  $ 2,340,160   
  50,000       

Southwestern Energy Company

6.250%

    1,667,500   
     

 

 

 
        4,007,660   
     

 

 

 
    Financials (3.5%)   
  65,000       

Affiliated Managers Group, Inc.µ^

5.150%

    3,595,312   
  19,600       

American Tower Corp.

5.250%

    2,207,548   
  29,000       

Crown Castle International Corp.

4.500%

    3,348,340   
  51,970       

Mandatory Exchangeable Trust*

5.750%

    5,497,646   
  39,750       

Welltower, Inc.µ

6.500%

    2,792,438   
     

 

 

 
        17,441,284   
     

 

 

 
    Health Care (2.4%)   
  4,870       

Allergan, PLC

5.500%

    4,365,176   
  53,075       

Anthem, Inc.~

5.250%

    2,360,245   
  5,850        Teva Pharmaceutical Industries, Ltd.
7.000%
    5,194,800   
     

 

 

 
        11,920,221   
     

 

 

 
    Industrials (0.2%)   
  10,000       

Stanley Black & Decker, Inc.

6.250%

    1,260,100   
     

 

 

 
    Information Technology (0.7%)   
  16,200       

Belden, Inc.

6.750%

    1,717,200   
  15,000       

MTS Systems Corp.

8.750%

    1,684,500   
     

 

 

 
        3,401,700   
     

 

 

 
    Materials (0.2%)   
  21,500       

Alcoa, Inc.^

5.375%

    778,300   
     

 

 

 
    Telecommunication Services (0.9%)   
  14,717       

Frontier Communications Corp.

11.125%

    1,455,217   
  38,350       

T-Mobile USA, Inc.

5.500%

    2,993,985   
     

 

 

 
        4,449,202   
     

 

 

 
    Utilities (1.4%)   
  55,000       

Dominion Resources, Inc.µ

6.375%

    2,867,700   
  40,000       

Exelon Corp.

6.500%

    2,002,000   
  36,000       

NextEra Energy, Inc.^

6.371%

    2,247,120   
     

 

 

 
        7,116,820   
     

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $52,646,764)
    56,271,835   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

NUMBER OF
SHARES
                VALUE  
     
  COMMON STOCKS (70.5%)   
    Consumer Discretionary (9.1%)   
  2,600        Amazon.com, Inc.µ^#   $ 1,972,906   
  38,500        Carnival Corp.µ^     1,798,720   
  28,000        Comcast Corp. - Class Aµ     1,883,000   
  38,100     

EUR

  Daimler, AG     2,590,193   
  21,800        Delphi Automotive, PLCµ     1,478,476   
  100,000        Ford Motor Companyµ     1,266,000   
  14,800        Home Depot, Inc.µ^     2,045,952   
  10,800     

KRW

  Hyundai Motor Company     1,274,317   
  10,000        Lowe’s Companies, Inc.µ     822,800   
  10,800        McDonald’s Corp.µ     1,270,620   
  31,800     

ZAR

  Naspers, Ltd. - Class N     4,990,162   
  88,075        Newell Rubbermaid, Inc.^     4,620,415   
  13,965        Nike, Inc. - Class Bµ     775,058   
  83,000     

JPY

  Panasonic Corp.^     822,394   
  29,160     

DKK

  Pandora, A/S     3,798,124   
  9,000     

EUR

  Porsche Automobil Holding, SE     470,648   
  1,100        Priceline Group, Inc.µ#     1,485,891   
  29,000        Starbucks Corp.µ^     1,683,450   
  15,000        TJX Companies, Inc.µ     1,225,800   
  52,600     

JPY

  Toyota Motor Corp.^     3,038,412   
  21,150        Walt Disney Companyµ^     2,029,343   
  9,000        Whirlpool Corp.µ     1,731,240   
  16,000     

GBP

  Whitbread, PLC     817,034   
  35,000     

EUR

  Wolters Kluwer, NV     1,472,578   
     

 

 

 
        45,363,533   
     

 

 

 
    Consumer Staples (7.4%)   
  29,900     

EUR

  Anheuser-Busch InBev, SA     3,862,848   
  45,120     

GBP

  British American Tobacco, PLC     2,879,778   
  39,000        Coca-Cola Companyµ^     1,701,570   
  25,000        Costco Wholesale Corp.µ     4,180,500   
  160,800     

GBP

  Diageo, PLC     4,607,993   
  24,000        Mondelez International, Inc. - Class Aµ     1,055,520   
  41,900     

CHF

  Nestlé, SA     3,357,557   
  11,000        Philip Morris International, Inc.µ^     1,102,860   
  17,700        Procter & Gamble Companyµ     1,514,943   
  67,000     

JPY

  Seven & I Holdings Company, Ltd.     2,782,047   
  85,590     

EUR

  Unilever, NV     3,964,901   
  790,000     

MXN

  Wal-Mart de Mexico SAB de CV     1,803,307   
  32,000        Wal-Mart Stores, Inc.     2,335,040   
  18,000        Walgreens Boots Alliance, Inc.µ     1,426,500   
     

 

 

 
        36,575,364   
     

 

 

 
    Energy (5.5%)   
  875,000     

GBP

  BP, PLCµ     4,950,444   
  19,500        Chevron Corp.µ^     1,998,360   
  40,000        ConocoPhillipsµ^     1,632,800   
  23,500        Devon Energy Corp.µ     899,580   
  7,350        EOG Resources, Inc.µ     600,495   
  40,500        Exxon Mobil Corp.µ^     3,602,475   
  24,000        Noble Corp., PLCµ^     177,120   
  20,000        Phillips 66µ^     1,521,200   
  82,300     

GBP

  Royal Dutch Shell, PLC - Class Aµ     2,125,004   
  30,700     

EUR

  Royal Dutch Shell, PLC - Class A     799,709   
  17,074        Schlumberger, Ltd.µ^     1,374,798   
  73,000     

CAD

  Suncor Energy, Inc.µ     1,964,707   
  74,000     

EUR

  TOTAL, SA     3,558,945   
  186,052        WPX Energy, Inc.#     1,858,660   
     

 

 

 
        27,064,297   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
     
    Financials (10.1%)   
  709,400     

HKD

  AIA Group, Ltd.   $ 4,418,989   
  9,900        American Express Companyµ^     638,154   
  30,200        American International Group, Inc.µ     1,644,088   
  39,600        Axis Bank, Ltd.     1,615,680   
  133,000     

EUR

  Azimut Holding, S.p.A     2,094,386   
  105,000        Bank of America Corp.µ     1,521,450   
  41,000        Bank of New York Mellon Corp.µ     1,615,400   
  73,500        Citigroup, Inc.µ     3,220,035   
  576,000     

JPY

  Daiwa Securities Group, Inc.µ     3,304,090   
  29,000     

EUR

  Deutsche Böerse, AG     2,434,879   
  15,500        Discover Financial Servicesµ     881,020   
  23,500        First Republic Bankµ     1,684,245   
  213,100     

MXN

  Grupo Financiero Banorte, SAB de CV     1,167,220   
  19,000        Hartford Financial Services Group, Inc.µ^     757,150   
  103,700     

EUR

  ING Groep, NV     1,159,367   
  4,000        Intercontinental Exchange, Inc.µ     1,056,800   
  468,900     

EUR

  Intesa Sanpaolo, S.p.A     1,034,702   
  53,500        JPMorgan Chase & Companyµ^     3,422,395   
  99,000        Manulife Financial Corp.µ     1,349,370   
  86,477        MetLife, Inc.µ^     3,696,027   
  81,000     

JPY

  Mitsui Fudosan Company, Ltd.     1,788,930   
  98,000     

CAD

  Power Financial Corp.µ     2,266,013   
  8,500        Prudential Financial, Inc.µ     639,965   
  63,560     

EUR

  Vonovia, SE     2,519,986   
  88,000        Wells Fargo & Companyµ^     4,221,360   
     

 

 

 
        50,151,701   
     

 

 

 
    Health Care (9.2%)   
  17,000        Abbott Laboratories^     760,750   
  17,000        AbbVie, Inc.^     1,125,910   
  4,785        Alexion Pharmaceuticals, Inc.µ#     615,351   
  13,000        Amgen, Inc.µ^     2,236,390   
  18,000        Anthem, Inc.µ     2,364,120   
  1,885        Biogen, Inc.µ#     546,518   
  23,400        Celgene Corp.µ#     2,625,246   
  148,300     

JPY

  Chugai Pharmaceutical Company, Ltd.     5,542,186   
  34,250        Eli Lilly and Companyµ^     2,838,982   
  11,200        Gilead Sciences, Inc.µ     890,064   
  62,500     

GBP

  Hikma Pharmaceuticals, PLC     2,176,293   
  26,700        Johnson & Johnsonµ^     3,343,641   
  42,000        Medtronic, PLCµ^     3,680,460   
  26,289        Merck & Company, Inc.µ^     1,542,113   
  36,455     

CHF

  Novartis, AG     3,023,695   
  27,000     

DKK

  Novo Nordisk, A/S - Class Bµ     1,535,390   
  95,800        Pfizer, Inc.µ^     3,534,062   
  10,000        Stryker Corp.µ     1,162,800   
  48,733     

EUR

  UCB, SA     3,813,062   
  5,775        UnitedHealth Group, Inc.µ     826,980   
  12,700        Zimmer Biomet Holdings, Inc.µ     1,665,478   
     

 

 

 
        45,849,491   
     

 

 

 
    Industrials (10.3%)   
  190,000     

CHF

  ABB, Ltd.     4,035,998   
  36,500     

EUR

  Airbus Group, SEµ     2,153,248   
  37,029     

EUR

  ALSTOM#     911,822   
  101,500     

GBP

  Ashtead Group, PLC     1,606,473   
  610,000     

GBP

  BAE Systems, PLC     4,306,954   
  5,900        Boeing Companyµ^     788,594   
  194,572     

HKD

  CK Hutchison Holdings, Ltd.     2,280,565   
  24,000        CSX Corp.µ     679,920   
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

NUMBER OF
SHARES
                VALUE  
     
  7,900        Cummins, Inc.µ   $ 969,883   
  8,600        Delta Air Lines, Inc.µ     333,250   
  15,125        Eaton Corp., PLCµ     959,076   
  27,900     

JPY

  FANUC Corp.^     4,665,107   
  11,000        Fortune Brands Home & Security, Inc.µ     695,970   
  242,500        General Electric Companyµ     7,551,450   
  41,000        Honeywell International, Inc.µ^     4,769,530   
  33,997     

EUR

  KION Group, AG     1,864,193   
  75,000     

JPY

  Komatsu, Ltd.^     1,457,382   
  5,650        Northrop Grumman Corp.µ     1,223,959   
  27,402     

EUR

  Safran, SA     1,862,685   
  29,725     

EUR

  Schneider Electric, SE     1,939,355   
  21,750        Southwest Airlines Company^     804,967   
  19,000        Union Pacific Corp.µ^     1,767,950   
  8,000        United Parcel Service, Inc. - Class Bµ^     864,800   
  23,341        United Technologies Corp.µ     2,512,659   
     

 

 

 
        51,005,790   
     

 

 

 
    Information Technology (13.2%)   
  25,550        Accenture, PLC - Class Aµ^     2,882,295   
  5,100        Alphabet, Inc. - Class Aµ^#     4,035,834   
  6,266        Alphabet, Inc. - Class Cµ^#     4,817,238   
  95,000        Apple, Inc.µ^     9,899,950   
  11,000     

EUR

  ASML Holding, NV     1,207,808   
  21,700        Baidu, Inc.µ#     3,463,320   
  60,000     

JPY

  Canon, Inc.µ     1,702,770   
  15,775        Facebook, Inc. - Class Aµ#     1,955,153   
  85,000     

CHF

  Logitech International, SAµ     1,696,851   
  17,100        MasterCard, Inc. - Class Aµ     1,628,604   
  45,000        Micron Technology, Inc.µ#     618,300   
  57,000        Microsoft Corp.µ^     3,230,760   
  1,550     

KRW

  NAVER Corp.     983,451   
  20,400     

JPY

  Nintendo Company, Ltd.µ     4,234,379   
  580,000     

EUR

  Nokia Corp.^     3,346,310   
  14,300        QUALCOMM, Inc.µ     894,894   
  16,000        Salesforce.com, Inc.µ#     1,308,800   
  57,050     

EUR

  SAP SE     4,993,213   
  810,000     

TWD

  Taiwan Semiconductor Manufacturing Company, Ltd.     4,375,367   
  232,800     

HKD

  Tencent Holdings, Ltd.     5,622,848   
  15,000        Texas Instruments, Inc.µ     1,046,250   
  41,000     

EUR

  United Internet, AG     1,814,559   
     

 

 

 
        65,758,954   
     

 

 

 
    Materials (2.9%)   
  154,000     

CAD

  Barrick Gold Corp.µ     3,362,723   
  41,000        Dow Chemical Companyµ^     2,200,470   
  135,000     

CAD

  Goldcorp, Inc.µ     2,412,247   
  160,000     

AUD

  Newcrest Mining, Ltd.µ#     3,039,800   
  51,000     

GBP

  Rio Tinto, PLCµ     1,655,064   
  280,000     

CAD

  Yamana Gold, Inc.µ     1,601,961   
     

 

 

 
        14,272,265   
     

 

 

 
    Telecommunication Services (2.5%)   
  86,500        América Móvil, SAB de CV - Series Lµ^     997,345   
  50,000        AT&T, Inc.µ^     2,164,500   
  42,100     

JPY

  Nippon Telegraph & Telephone Corp.     2,000,582   
  96,000     

EUR

  Orange, SA     1,473,316   
  36,000     

JPY

  SoftBank Group Corp.^     1,981,600   
  1,176,545     

GBP

  Vodafone Group, PLCµ     3,574,207   
     

 

 

 
        12,191,550   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
     
    Utilities (0.3%)  
  45,801     

EUR

  Engie   $ 754,002   
  10,500        Exelon Corp.µ     391,440   
  29,000     

EUR

  RWE, AG#     515,827   
     

 

 

 
        1,661,269   
     

 

 

 
   

TOTAL COMMON STOCKS

(Cost $428,099,048)

    349,894,214   
     

 

 

 
NUMBER OF
CONTRACTS
                VALUE  
  PURCHASED OPTION (0.0%) #   
    Energy (0.0%)   
  150       

Southwestern Energy Company

Call, 01/20/17, Strike $8.00

(Cost $32,013)

    99,750   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
  SHORT TERM INVESTMENT (4.7%)   
  23,570,730       

Fidelity Prime Money Market Fund - Institutional Class

(Cost $23,570,730)

    23,570,730   
     

 

 

 

 
 

      TOTAL INVESTMENTS (139.1%)
(Cost $772,416,019)

    690,645,380   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-39.1%)     (194,031,742
     

 

 

 
  NET ASSETS (100.0%)   $ 496,613,638   
     

 

 

 
  COMMON STOCKS SOLD SHORT (-2.3%) #   
    Consumer Staples (-0.3%)   
  (15,900     Post Holdings, Inc.     (1,378,053)   
     

 

 

 
    Energy (-0.6%)   
  (67,748     Southwestern Energy Company     (987,766
  (186,050     WPX Energy, Inc.     (1,858,639
     

 

 

 
        (2,846,405
     

 

 

 
    Health Care (-0.4%)   
  (36,500     Teva Pharmaceutical Industries, Ltd.     (1,952,750
     

 

 

 
    Information Technology (-1.0%)   
  (20,400     Alibaba Group Holding, Ltd.     (1,682,592
  (47,600     Ciena Corp.     (913,444
  (54,600     Mentor Graphics Corp.     (1,166,256
  (28,500     MTS Systems Corp.     (1,351,755
     

 

 

 
        (5,114,047
     

 

 

 
   

TOTAL COMMON STOCKS SOLD SHORT

(Proceeds $10,516,082)

    (11,291,255
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2016 (UNAUDITED)

 

NUMBER OF
CONTRACTS
                VALUE  
     
  WRITTEN OPTIONS (0.0%) #   
    Energy (0.0%)   
  300        Southwestern Energy Company Call, 01/20/17, Strike $13.00   $ (98,250
     

 

 

 
    Health Care (0.0%)   
  57       

Gilead Sciences, Inc.

Put, 08/05/16, Strike $78.50

    (3,192
     

 

 

 
   

TOTAL WRITTEN OPTIONS

(Premium $34,229)

    (101,442
     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such securities is $10,190,663.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $360,843,558. $87,244,197 of the collateral has been re-registered by one of the counterparties, BNP (see Note 4 - Borrowings).
^   Security, or portion of security, is on loan.
  Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2016.
§   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
@   In default status and considered non-income producing.
#   Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS

AUD    Australian Dollar
CAD    Canadian Dollar
CHF    Swiss Franc
DKK    Danish Krone
EUR    European Monetary Unit
GBP    British Pound Sterling
HKD    Hong Kong Dollar
JPY    Japanese Yen
KRW    South Korean Won
MXN    Mexican Peso
TWD    New Taiwan Dollar
ZAR    South African Rand

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

 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

INTEREST RATE SWAP

 

                                   UNREALIZED  
     FIXED  RATE      FLOATING RATE      TERMINATION      NOTIONAL        APPRECIATION/  
COUNTERPARTY    (FUND  PAYS)      (FUND  RECEIVES)      DATE      AMOUNT        (DEPRECIATION)  
BNP Paribas, SA    1.140% quarterly      3 month LIBOR      03/14/17      $ 34,000,000         $ (100,156
                      

 

 

 
                       $ (100,156
                      

 

 

 

 

See accompanying Notes to Schedule of Investments


Calamos Global Dynamic Income Fund

 

CURRENCY EXPOSURE JULY 31, 2016

  

     Value      % of Total Investments  
US Dollar    $ 469,056,152         69.1%   
European Monetary Unit      80,337,364         11.8%   
Japanese Yen      37,717,894         5.6%   
British Pound Sterling      31,586,934         4.7%   
Canadian Dollar      13,150,698         1.9%   
Hong Kong Dollar      12,322,402         1.8%   
Swiss Franc      12,114,101         1.8%   
Danish Krone      5,333,514         0.8%   
South African Rand      4,990,162         0.7%   
New Taiwan Dollar      4,375,367         0.6%   
Australian Dollar      3,039,800         0.5%   
Mexican Peso      2,970,527         0.4%   
South Korean Won      2,257,768         0.3%   
  

 

 

    

 

 

 
Total Investments Net of Common Stocks Sold Short and Written Options    $ 679,252,683         100.0%   
  

 

 

    

 

 

 

Currency exposure may vary over time.

 

See accompanying Notes to Schedule of Investments


Note 1 — Organization and Significant Accounting Policies

Organization. Calamos Global Dynamic Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 10, 2007 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 27, 2007.

The Fund’s investment strategy is to generate a high level of current income with a secondary objective of capital appreciation. The Fund, under normal circumstances, will invest at least 40% of its managed assets in securities of foreign issuers in developed and emerging markets, including debt and equity securities of corporate issuers and debt securities of government issuers. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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

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

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2016.

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


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

Note 2 — Investments

The following information is presented on a federal income tax basis as of July 31, 2016. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at July 31, 2016 was as follows:

 

Cost basis of investments

   $ 777,074,505   
  

 

 

 

Gross unrealized appreciation

     56,156,861   

Gross unrealized depreciation

     (142,585,986
  

 

 

 

Net unrealized appreciation (depreciation)

   $ (86,429,125
  

 

 

 

Note 3 — Short Sales

Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale.

To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.

Note 4 — Borrowings

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $132.5 million and a lending agreement, “Lending Agreement” as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $132.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and ..55% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is ..20%). For the period ended July 31, 2016, the average borrowings under the Agreements were $205.0 million. For the period ended July 31, 2016, the average interest rate was 1.12%. As of July 31, 2016, the amount of total outstanding borrowings was $196.0 million ($98.0 million under the BNP Agreement and $98.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on July 31, 2016 was 1.18%.

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

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


Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As July 31, 2016, the Fund used approximately $25.8 million of its cash collateral to offset the SSB Agreement, representing 3.7% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.91%, which can fluctuate depending on interest rates. As of July 31, 2016, approximately $25.5 million of securities were on loan ($6.2 million of fixed income securities and $19.3 million of equity securities).

On May 22, 2015, the Fund’s board of trustees amended the Fund’s non-fundamental policy with respect to borrowings to be measured based on managed assets rather than total assets. The policy, as amended, is as follows:

As a non-fundamental policy, the Fund may not issue debt securities, borrow money or issue preferred shares in an aggregate amount exceeding 38% of the Fund’s managed assets measured at the time of issuance of the new securities.

For purposes of this non-fundamental policy, “managed assets” shall mean the total assets of the Fund (including any assets attributable to any leverage that may be outstanding) minus the sum of liabilities (other than debt representing financial leverage). The policy is measured at each incurrence of the debt, and is not a maintenance test.

Note 5 — Interest Rate Swaps

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 4 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

Note 6 — Fair Value Measurement

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

 

   

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

 

   

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

 

   

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

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


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

 

    LEVEL 1     LEVEL 2     LEVEL 3     TOTAL  

Assets:

       

Corporate Bonds

  $      $ 122,519,795      $      $ 122,519,795   

Convertible Bonds

           137,988,517               137,988,517   

U.S. Government and Agency Security

           300,539               300,539   

Convertible Preferred Stocks

    39,676,002        16,595,833               56,271,835   

Common Stocks U.S.

    176,251,257                      176,251,257   

Common Stocks Foreign

    32,450,074        141,192,883               173,642,957   

Purchased Option

    99,750                      99,750   

Short Term Investment

    23,570,730                      23,570,730   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 272,047,813      $ 418,597,567      $      $ 690,645,380   
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

       

Common Stocks Sold Short U.S.

  $ 11,291,255      $      $      $ 11,291,255   

Written Options

    101,442                      101,442   

Interest Rate Swap

           100,156               100,156   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 11,392,697      $ 100,156      $      $ 11,492,853   
 

 

 

   

 

 

   

 

 

   

 

 

 
    TRANSFERS IN TO
LEVEL 1*
    TRANSFERS OUT OF
LEVEL 1
    TRANSFERS IN TO
LEVEL 2
    TRANSFERS OUT OF
LEVEL 2*
 

Investments at Value:

       

Common Stocks Foreign

  $ 15,958,528      $      $      $ 15,958,528   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 15,958,528      $      $      $ 15,958,528   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

* Transfers from Level 2 to Level 1 were due to the lack of the availability of an applied factor utilizing a systematic fair valuation model on securities that trade on European and Far Eastern exchanges.


ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.


SIGNATURES

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

 

Calamos Global Dynamic Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 15, 2016

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

 

Calamos Global Dynamic Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 15, 2016
By:   /s/     Thomas Herman
Name:   Thomas Herman
Title:   Principal Financial Officer
Date:  

September 15, 2016