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, 2014

DATE OF REPORTING PERIOD: January 31, 2014

 

 

 

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

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CORPORATE BONDS (33.9%)   
    Consumer Discretionary (6.1%)   
  1,050,000       

Bon-Ton Department Stores, Inc.^µ

8.000%, 06/15/21

   $ 1,018,500   
  180,000       

Claire’s Stores, Inc.^*

7.750%, 06/01/20

     156,600   
  556,000       

Cooper Tire & Rubber Companyµ

8.000%, 12/15/19

     608,820   
  4,180,000       

Dana Holding Corp.µ

6.750%, 02/15/21

     4,522,237   
    DISH DBS Corp.µ  
  1,520,000        5.875%, 07/15/22     1,524,750   
  1,480,000        5.125%, 05/01/20     1,482,775   
  900,000       

Dufry Finance, SCAµ*

5.500%, 10/15/20

     929,250   
  959,000       

Golden Nugget Escrow, Inc.*

8.500%, 12/01/21

     980,578   
    Goodyear Tire & Rubber Companyµ  
  4,714,000        8.250%, 08/15/20     5,247,271   
  1,000,000        7.000%, 05/15/22     1,091,250   
    Icahn Enterprises, LP*  
  1,286,000        5.875%, 02/01/22     1,277,963   
  720,000        6.000%, 08/01/20     739,800   
  175,000        4.875%, 03/15/19     174,781   
    Jaguar Land Rover Automotive, PLCµ*  
  2,000,000        8.125%, 05/15/21     2,277,500   
  1,730,000       

L Brands, Inc.µ

6.950%, 03/01/33

     1,712,700   
  2,000,000       

Liberty Interactive, LLCµ

8.500%, 07/15/29

     2,133,750   
    Meritage Homes Corp.µ  
  1,367,000        7.000%, 04/01/22     1,466,107   
  800,000        7.150%, 04/15/20     874,000   
    Neiman Marcus Group LTD, LLC*  
  210,000        8.750%, 10/15/21^     221,025   
  170,000        8.000%, 10/15/21     178,394   
  1,400,000       

Outerwall, Inc.µ

6.000%, 03/15/19

     1,443,750   
  330,000       

Quiksilver, Inc. / QS Wholesale, Inc.µ*

7.875%, 08/01/18

     359,494   
  1,710,000       

Royal Caribbean Cruises, Ltd.^µ

7.500%, 10/15/27

     1,828,631   
  960,000       

Ryland Group, Inc.µ

5.375%, 10/01/22

     925,800   
    Sally Holdings, LLC / Sally Capital, Inc.µ  
  330,000        5.500%, 11/01/23     326,288   
  200,000        5.750%, 06/01/22     203,625   
    Service Corp. Internationalµ  
  1,120,000        5.375%, 01/15/22*     1,137,500   
  1,000,000        8.000%, 11/15/21     1,151,875   
     

 

 

  
        35,995,014   
     

 

 

  
    Consumer Staples (1.0%)   
  330,000       

Alphabet Holding Company, Inc.µ*

7.750%, 11/01/17

     341,963   
  4,963,000       

Post Holdings, Inc.µ

7.375%, 02/15/22

     5,285,595   
PRINCIPAL
AMOUNT		                 VALUE  
     
  130,000        7.375%, 02/15/22*   $ 138,531   
     

 

 

  
        5,766,089   
     

 

 

  
    Energy (8.0%)   
  1,776,000       

Atwood Oceanics, Inc.µ

6.500%, 02/01/20

     1,902,540   
  1,500,000       

Berry Petroleum Company

6.375%, 09/15/22

     1,528,125   
  830,000       

Bonanza Creek Energy, Inc.µ

6.750%, 04/15/21

     869,425   
  580,000        BreitBurn Energy Partners, LP / BreitBurn Finance Corp.µ  
    7.875%, 04/15/22     619,513   
  749,000       

Bristow Group, Inc.µ

6.250%, 10/15/22

     794,408   
  2,500,000       

Calfrac Holdings, LPµ*

7.500%, 12/01/20

     2,601,562   
    Calumet Specialty Products Partners, LP  
  2,000,000        9.375%, 05/01/19µ     2,222,500   
  1,000,000        7.625%, 01/15/22     1,058,125   
    Carrizo Oil & Gas, Inc.µ  
  2,500,000        8.625%, 10/15/18     2,706,250   
  750,000        7.500%, 09/15/20     821,250   
  2,000,000       

Cimarex Energy Companyµ

5.875%, 05/01/22

     2,143,750   
  1,200,000       

Drill Rigs Holdings, Inc.*

6.500%, 10/01/17

     1,285,500   
  900,000       

Energy Transfer Equity, LPµ

5.875%, 01/15/24

     901,125   
  185,000       

Forum Energy Technologies, Inc.µ*

6.250%, 10/01/21

     194,944   
  3,000,000       

Gulfmark Offshore, Inc.µ

6.375%, 03/15/22

     3,033,750   
  1,000,000       

Holly Energy Partners, LPµ

6.500%, 03/01/20

     1,048,750   
    Linn Energy, LLCµ  
  3,000,000        7.750%, 02/01/21     3,181,875   
  1,000,000        7.000%, 11/01/19*     1,016,875   
  450,000        Midstates Petroleum Company, Inc. / Midstates Petroleum Company, LLCµ 10.750%, 10/01/20     489,938   
    Oasis Petroleum, Inc.µ  
  1,940,000        6.500%, 11/01/21     2,074,587   
  1,250,000        6.875%, 01/15/23     1,345,312   
  1,410,000       

Pacific Drilling, SA*

5.375%, 06/01/20

     1,412,644   
  800,000       

Petroleum Geo-Services, ASAµ*

7.375%, 12/15/18

     859,000   
  730,000       

Pioneer Energy Services Corp.µ

9.875%, 03/15/18

     772,431   
  4,000,000       

SEACOR Holdings, Inc.µ

7.375%, 10/01/19

     4,402,500   
  1,200,000       

Swift Energy Companyµ

8.875%, 01/15/20

     1,275,750   
  750,000       

Trinidad Drilling, Ltd.µ*

7.875%, 01/15/19

     804,844   
  4,500,000       

W&T Offshore, Inc.µ

8.500%, 06/15/19

     4,815,000   
  700,000       

Western Refining, Inc.µ

6.250%, 04/01/21

     714,000   
     

 

 

  
        46,896,273   
     

 

 

  
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
    Financials (1.9%)   
  2,335,000       

AON Corp.µ

8.205%, 01/01/27

   $ 2,854,748   
  520,000       

DuPont Fabros Technology, LPµ

5.875%, 09/15/21

     539,500   
  1,200,000       

Jefferies Finance, LLCµ*

7.375%, 04/01/20

     1,260,750   
  975,000       

Michael Baker International, LLC /

CDL Acquisition Company, Inc.µ*

8.250%, 10/15/18

     1,012,172   
  4,000,000       

Neuberger Berman Group LLCµ*

5.875%, 03/15/22

     4,220,000   
    Nuveen Investments, Inc.*  
  550,000        9.500%, 10/15/20^     567,531   
  550,000        9.125%, 10/15/17     563,750   
     

 

 

  
        11,018,451   
     

 

 

  
    Health Care (3.3%)   
  2,000,000       

Alere, Inc.

6.500%, 06/15/20

     2,068,750   
    Community Health Systems, Inc.  
  3,440,000        7.125%, 07/15/20µ     3,678,650   
  400,000        6.875%, 02/01/22*     411,250   
  2,000,000       

Endo Health Solutions, Inc.

7.000%, 07/15/19

     2,138,750   
  2,520,000       

Hologic, Inc.µ

6.250%, 08/01/20

     2,638,125   
  515,000       

Salix Pharmaceuticals, Ltd.µ*

6.000%, 01/15/21

     538,497   
  4,000,000       

Teleflex, Inc.µ

6.875%, 06/01/19

     4,217,500   
   

Valeant Pharmaceuticals

International, Inc.µ*

  
  1,400,000        7.250%, 07/15/22     1,526,875   
  1,300,000        7.000%, 10/01/20     1,405,625   
  600,000       

VPII Escrow Corp.*

6.750%, 08/15/18

     659,250   
     

 

 

  
        19,283,272   
     

 

 

  
    Industrials (4.3%)   
  1,935,000       

ACCO Brands Corp.^

6.750%, 04/30/20

     1,925,325   
  3,300,000       

Belden, Inc.µ*

5.500%, 09/01/22

     3,240,187   
  1,300,000       

Deluxe Corp.µ

6.000%, 11/15/20

     1,346,312   
  688,000       

Dycom Investments, Inc.µ

7.125%, 01/15/21

     726,700   
  750,000       

Garda World Security Corp.*

7.250%, 11/15/21

     773,906   
  1,530,000       

H&E Equipment Services, Inc.µ

7.000%, 09/01/22

     1,666,744   
  980,000       

Meritor, Inc.µ

6.750%, 06/15/21

     1,024,713   
  1,800,000       

Navistar International Corp.µ

8.250%, 11/01/21

     1,859,625   
  3,000,000       

Rexel, SAµ*

6.125%, 12/15/19

     3,140,625   
    Terex Corp.µ  
  1,540,000        6.500%, 04/01/20     1,657,425   
  1,020,000        6.000%, 05/15/21     1,060,163   
  837,000       

TransDigm Group, Inc.µ

7.750%, 12/15/18

     896,636   
  1,400,000       

United Continental Holdings, Inc.^

6.375%, 06/01/18

     1,470,875   
PRINCIPAL
AMOUNT		                 VALUE  
     
  4,000,000       

United Rentals North America, Inc.µ

7.625%, 04/15/22

   $ 4,512,500   
     

 

 

  
        25,301,736   
     

 

 

  
    Information Technology (3.6%)   
  300,000       

ACI Worldwide, Inc.µ*

6.375%, 08/15/20

     309,750   
  1,050,000       

Activision Blizzard, Inc.µ*

5.625%, 09/15/21

     1,088,063   
    Amkor Technology, Inc.  
  1,900,000        6.375%, 10/01/22µ     1,951,063   
  707,000        6.625%, 06/01/21^     739,699   
  387,000        ConvaTec Finance International, SA*
8.250%, 01/15/19		     399,819   
  2,000,000       

Hughes Satellite Systems Corp.µ

7.625%, 06/15/21

     2,261,250   
  3,197,000       

iGATE Corp.^

9.000%, 05/01/16

     3,390,818   
  2,500,000       

Nuance Communications, Inc.µ*

5.375%, 08/15/20

     2,450,000   
  400,000       

NXP Semiconductors, NV*

5.750%, 03/15/23

     401,500   
  3,500,000       

Sanmina Corp.µ*

7.000%, 05/15/19

     3,725,312   
  1,210,000       

Sungard Data Systems, Inc.µ

6.625%, 11/01/19

     1,270,500   
  3,000,000       

ViaSat, Inc.µ

6.875%, 06/15/20

     3,168,750   
     

 

 

  
        21,156,524   
     

 

 

  
    Materials (2.8%)   
  449,000       

Chemtura Corp.µ

5.750%, 07/15/21

     459,664   
  3,500,000       

FMG Resources^*

8.250%, 11/01/19

     3,867,500   
  900,000       

FQM (Akubra), Inc.µ*

8.750%, 06/01/20

     1,026,562   
  1,000,000       

INEOS Group Holdings, SA^µ*

6.125%, 08/15/18

     1,028,125   
    New Gold, Inc.µ*  
  3,000,000        7.000%, 04/15/20     3,065,625   
  750,000        6.250%, 11/15/22     722,813   
    Sealed Air Corp.µ*  
  1,290,000        8.125%, 09/15/19     1,444,800   
  530,000        5.250%, 04/01/23     524,369   
  500,000       

Steel Dynamics, Inc.^

5.250%, 04/15/23

     507,500   
  1,730,000       

Trinseo Op/ Trinseo Finance, Inc.*

8.750%, 02/01/19

     1,775,412   
  1,635,000       

United States Steel Corp.^

6.875%, 04/01/21

     1,725,947   
     

 

 

  
        16,148,317   
     

 

 

  
    Telecommunication Services (1.6%)   
  666,000       

CenturyLink, Inc.µ

6.750%, 12/01/23

     680,089   
  1,563,000       

Frontier Communications Corp.µ

7.625%, 04/15/24

     1,553,231   
    Intelsat, SA*  
  3,260,000        7.750%, 06/01/21     3,506,537   
  220,000        8.125%, 06/01/23     238,975   
  1,530,000       

MetroPCS Wireless, Inc.*

6.625%, 04/01/23

     1,587,375   
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
    Sprint Corp.µ*  
  1,035,000        7.875%, 09/15/23   $ 1,106,156   
  420,000        7.125%, 06/15/24     424,463   
  305,000        7.250%, 09/15/21     329,019   
     

 

 

  
        9,425,845   
     

 

 

  
    Utilities (1.3%)  
  1,050,000       

AES Corp.µ

7.375%, 07/01/21

     1,164,188   
  1,215,000       

AmeriGas Finance Corp.^

7.000%, 05/20/22

     1,321,312   
    Calpine Corp.*  
  3,996,000        7.875%, 01/15/23     4,413,082   
  872,000        7.500%, 02/15/21µ     955,385   
     

 

 

  
        7,853,967   
     

 

 

  
    TOTAL CORPORATE BONDS
(Cost $190,723,166)		     198,845,488   
     

 

 

  
  CONVERTIBLE BONDS (25.5%)   
    Consumer Discretionary (3.9%)   
  1,500,000       

Iconix Brand Group, Inc.

2.500%, 06/01/16

     1,963,695   
    Jarden Corp.  
  1,900,000        1.500%, 06/15/19^*     2,309,745   
  1,500,000        1.875%, 09/15/18     2,101,958   
  4,000,000       

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

0.750%, 03/30/43

     4,854,960   
  1,550,000       

Liberty Media Corp.*

1.375%, 10/15/23

     1,442,112   
  5,200,000       

MGM Resorts Internationalµ

4.250%, 04/15/15

     7,320,378   
  670,000       

Standard Pacific Corp.µ

1.250%, 08/01/32

     870,199   
  1,200,000     

EUR

  

Steinhoff Finance Holding GmbH

4.500%, 03/31/18

     1,884,401   
     

 

 

  
        22,747,448   
     

 

 

  
    Energy (1.4%)  
  3,115,700     

EUR

  

CGG

1.750%, 01/01/16

     1,145,439   
  2,000,000       

Chesapeake Energy Corp.^µ

2.750%, 11/15/35

     2,092,870   
  1,000,000       

Newpark Resources, Inc.~

4.000%, 10/01/17

     1,276,160   
    Technip, SAµ  
  1,950,000     

EUR

   0.500%, 01/01/16     2,306,350   
  1,150,000     

EUR

   0.250%, 01/01/17     1,535,239   
     

 

 

  
        8,356,058   
     

 

 

  
    Financials (4.4%)  
    Ares Capital Corp.  
  2,300,000        4.750%, 01/15/18     2,467,279   
  1,278,000        5.750%, 02/01/16µ     1,384,764   
  4,000,000     

EUR

  

Azimut Holding S.p.A.

2.125%, 11/25/20

     5,786,745   
  1,100,000       

IAS Operating Partnership, LP*

5.000%, 03/15/18

     1,048,614   
  3,700,000     

EUR

  

Industrivarden, AB

1.875%, 02/27/17

     5,427,578   
  1,050,000     

EUR

   2.500%, 02/27/15     1,751,414   
PRINCIPAL
AMOUNT		                 VALUE  
     
    MGIC Investment Corp.  
  1,700,000        5.000%, 05/01/17   $ 1,949,704   
  1,375,000        2.000%, 04/01/20     1,923,824   
  930,000       

Portfolio Recovery Associates, Inc.*

3.000%, 08/01/20

     1,007,148   
  1,500,000       

ProLogis, LPµ

3.250%, 03/15/15

     1,718,453   
  1,000,000       

Starwood Property Trust, Inc.

4.550%, 03/01/18

     1,146,160   
     

 

 

  
        25,611,683   
     

 

 

  
    Health Care (4.7%)   
    BioMarin Pharmaceutical, Inc.  
  1,163,000        0.750%, 10/15/18     1,246,329   
  1,097,000        1.500%, 10/15/20     1,190,953   
  3,800,000       

Cubist Pharmaceuticals, Inc.^*

1.875%, 09/01/20

     4,504,292   
  17,460,000     

SEK

  

Elekta, AB

2.750%, 04/25/17

     3,235,541   
  950,000       

Emergent Biosolutions, Inc.*

2.875%, 01/15/21

     995,125   
  699,000       

Fluidigm Corp.

2.750%, 02/01/34

     772,395   
  1,500,000       

Hologic, Inc.µ‡

2.000%, 12/15/37

     1,717,080   
  343,000       

Illumina, Inc.*

0.250%, 03/15/16

     631,456   
  455,000       

Incyte Corp, Ltd.*

1.250%, 11/15/20

     662,384   
  2,000,000       

LifePoint Hospitals, Inc.^µ

3.500%, 05/15/14

     2,134,280   
  1,679,000       

Medidata Solutions, Inc.*

1.000%, 08/01/18

     2,213,039   
  424,000       

Molina Healthcare, Inc.*

1.125%, 01/15/20

     458,997   
  1,600,000       

Salix Pharmaceuticals, Ltd.^µ

1.500%, 03/15/19

     2,569,832   
  3,800,000       

WellPoint, Inc.µ

2.750%, 10/15/42

     4,940,532   
     

 

 

  
        27,272,235   
     

 

 

  
    Industrials (0.8%)   
  593,000       

Air Lease Corp.^

3.875%, 12/01/18

     815,891   
  170,000,000     

JPY

  

Nidec Corp.

0.000%, 09/18/15

     1,980,842   
  1,500,000       

Trinity Industries, Inc.µ

3.875%, 06/01/36

     2,050,402   
     

 

 

  
        4,847,135   
     

 

 

  
    Information Technology (9.4%)   
  3,000,000       

Ciena Corp.^µ*

3.750%, 10/15/18

     4,274,505   
  1,900,000       

Concur Technologies, Inc.*

0.500%, 06/15/18

     2,448,919   
  1,000,000       

Cornerstone OnDemand, Inc.*

1.500%, 07/01/18

     1,262,580   
  2,800,000       

Dialog Semiconductor, PLC

1.000%, 04/12/17

     2,963,746   
  391,000       

Electronic Arts, Inc.

0.750%, 07/15/16

     434,982   
  1,300,000       

Finisar Corp.*

0.500%, 12/15/33

     1,388,439   
  1,900,000       

InvenSense, Inc.*

1.750%, 11/01/18

     2,163,939   
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  2,700,000       

JDS Uniphase Corp.^*

0.625%, 08/15/33

   $ 2,767,243   
  1,500,000       

Mentor Graphics Corp. µ

4.000%, 04/01/31

     1,821,135   
  3,050,000       

Micron Technology, Inc.µ

1.875%, 06/01/14

     4,918,811   
  1,900,000       

Netsuite, Inc.^*

0.250%, 06/01/18

     2,131,411   
  300,000       

Photronics, Inc.µ

3.250%, 04/01/16

     323,969   
  3,800,000       

Salesforce.com, Inc.µ*

0.250%, 04/01/18

     4,386,606   
  7,700,000       

SanDisk Corp.µ*

0.500%, 10/15/20

     7,678,055   
  2,900,000       

ServiceNow, Inc.*

0.000%, 11/01/18

     3,142,628   
  1,900,000       

SINA Corp.*

1.000%, 12/01/18

     1,765,290   
  4,300,000       

SK Hynix, Inc.

2.650%, 05/14/15

     5,276,035   
  469,000       

SunEdison, Inc.*

2.000%, 10/01/18

     558,291   
  2,800,000       

Take-Two Interactive Software, Inc.

1.000%, 07/01/18

    3,150,126   
    Workday, Inc.*  
  1,000,000        1.500%, 07/15/20     1,277,635   
  1,000,000        0.750%, 07/15/18     1,244,330   
     

 

 

  
        55,378,675   
     

 

 

  
    Materials (0.9%)   
  1,550,000       

Cemex SAB de CV

4.875%, 03/15/15

     1,874,586   
  3,200,000       

Glencore Finance Europe, SA

5.000%, 12/31/14

     3,567,068   
     

 

 

  
        5,441,654   
     

 

 

  
   

TOTAL CONVERTIBLE BONDS

(Cost $137,688,426)

     149,654,888   
     

 

 

  
 

 

 U.S. GOVERNMENT AND AGENCY

SECURITY (0.2%)

   

  

  1,050,000       

United States Treasury Note~

0.125%, 12/31/14

(Cost $1,050,000)

     1,050,041   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  CONVERTIBLE PREFERRED STOCKS (6.5%)   
    Consumer Staples (0.3%)   
  16,750       

Bunge, Ltd.

4.875%

     1,729,438   
     

 

 

  
    Energy (1.3%)  
    Chesapeake Energy Corp.*  
  5,006        5.750%^µ     5,691,196   
  1,500        5.750%     1,727,813   
     

 

 

  
        7,419,009   
     

 

 

  
    Financials (1.6%)  
  65,000       

Affiliated Managers Group, Inc.µ

5.150%

    3,936,562   
  151,000       

MetLife, Inc.

5.000%

     4,401,650   
NUMBER OF
SHARES		                 VALUE  
     
  23,333       

Weyerhaeuser Company^

6.375%

   $ 1,250,649   
     

 

 

  
        9,588,861   
     

 

 

  
    Industrials (2.1%)   
  14,800       

Genesee & Wyoming, Inc.

5.000%

     1,812,260   
  10,000       

Stanley Black & Decker, Inc.^#

6.250%

     1,017,500   
  148,500       

United Technologies Corp.^µ

7.500%

     9,567,855   
     

 

 

  
        12,397,615   
     

 

 

  
    Telecommunication Services (0.9%)   
  29,000       

Crown Castle International Corp.

4.500%

    2,844,610   
  43,000       

Intelsat, SA

5.750%

     2,258,575   
     

 

 

  
        5,103,185   
     

 

 

  
    Utilities (0.3%)   
  35,000       

NextEra Energy, Inc.

5.799%

     1,855,000   
     

 

 

  
   

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $35,713,822)

     38,093,108   
     

 

 

  
 
 COMMON STOCKS (70.2%)
   
    Consumer Discretionary (9.7%)   
  10,500        Amazon.com, Inc.^µ #     3,766,245   
  38,500        Carnival Corp.^µ     1,508,815   
  28,000        Comcast Corp - Class A~     1,524,600   
  27,500     

CHF

  

Compagnie Financière

Richemont, SA

     2,543,888   
  42,800        Delphi Automotive, PLC     2,606,092   
  100,000        Ford Motor Company^     1,496,000   
  400,000     

AUD

   Harvey Norman Holdings, Ltd.µ     1,047,785   
  14,800        Home Depot, Inc.^µ     1,137,380   
  11,400     

KRW

  Hyundai Motor Company     2,474,088   
  13,500        Las Vegas Sands Corp.µ     1,033,020   
  10,800        McDonald’s Corp.µ     1,017,036   
  65,000        Melco Crown Entertainment, Ltd.#     2,664,350   
  650,000     

HKD

   MGM China Holdings, Ltd.     2,547,628   
  45,500        Michael Kors Holdings, Ltd.#     3,636,815   
  70,000     

EUR

   Moncler, S.p.A.#     1,333,054   
  14,600        Nike, Inc. - Class Bµ     1,063,610   
  83,000     

JPY

   Panasonic Corp.^     940,693   
  9,000     

EUR

   Porsche Automobil Holding, SEµ     878,047   
  1,100        Priceline.com, Inc.µ#     1,259,379   
  14,500        Starbucks Corp.^µ     1,031,240   
  11,050     

CHF

   Swatch Group, AG     6,567,300   
  15,000        TJX Companies, Inc.µ     860,400   
  70,200     

JPY

   Toyota Motor Corp.     4,016,820   
  46,800        Walt Disney Company^µ     3,398,148   
  9,000        Whirlpool Corp.     1,199,700   
  260,000     

GBP

   WPP, PLC     5,447,637   
     

 

 

  
        56,999,770   
     

 

 

  
    Consumer Staples (5.4%)  
  335,000     

BRL

   AMBEV, SA     2,233,565   
  71,900     

JPY

   Asahi Group Holdings, Ltd.     1,955,257   
  55,400        Coca-Cola Company^µ     2,095,228   
  25,000        Costco Wholesale Corp.µ     2,809,000   
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

NUMBER OF
SHARES		                 VALUE  
     
  106,500     

EUR

   Danone   $ 7,030,925   
  26,500        Lorillard, Inc.^     1,304,330   
  24,000        Mondelez International, Inc.     786,000   
  57,350     

CHF

   Nestlé, SA     4,156,232   
  11,000        Philip Morris International, Inc.^µ     859,540   
  39,000     

GBP

   SABMiller, PLC     1,752,287   
  67,000     

JPY

   Seven & I Holdings Company, Ltd.     2,689,968   
  32,000        Wal-Mart Stores, Inc.^µ     2,389,760   
  31,000        Walgreen Company     1,777,850   
     

 

 

  
        31,839,942   
     

 

 

  
    Energy (6.7%)   
  875,000     

GBP

   BP, PLC     6,857,425   
  10,300        Cameron International Corp.µ#     617,691   
  19,500        Chevron Corp.^µ     2,176,785   
  40,000        ConocoPhillips^µ     2,598,000   
  18,400        Continental Resources, Inc.^#     2,027,680   
  23,500        Devon Energy Corp.^µ     1,391,670   
  95,000     

EUR

   ENI, S.p.A.µ     2,157,322   
  180,000     

CAD

   Ensign Energy Services, Inc.     2,658,586   
  5,050        EOG Resources, Inc.µ     834,462   
  40,500        Exxon Mobil Corp.^µ     3,732,480   
  24,000        Noble Corp., PLC^µ     744,720   
  20,000        Phillips 66^µ     1,461,800   
  82,300     

GBP

   Royal Dutch Shell, PLCµ     2,851,003   
  26,700        Schlumberger, Ltd.^µ     2,338,119   
  73,000     

CAD

   Suncor Energy, Inc.µ     2,398,267   
  74,000     

EUR

   TOTAL, SA     4,221,823   
     

 

 

  
        39,067,833   
     

 

 

  
    Financials (10.9%)  
  440,000     

GBP

   Aberdeen Asset Management, PLC     2,822,150   
  410,000     

HKD

   AIA Group, Ltd.     1,889,915   
  20,500        Allstate Corp.µ     1,049,600   
  9,900        American Express Company     841,698   
  30,200        American International Group, Inc.µ     1,448,392   
  95,000     

AUD

   ASX, Ltd.^     2,958,421   
  105,000        Bank of America Corp.^µ     1,758,750   
  41,000        Bank of New York Mellon Corp.^µ     1,310,360   
  79,000        Blackstone Group, LPµ     2,587,250   
  73,500        Citigroup, Inc.^µ     3,486,105   
  91,000     

CHF

   Credit Suisse Group, AG#     2,741,916   
  240,000     

SGD

   DBS Group Holdings, Ltd.     3,099,473   
  29,000     

EUR

   Deutsche Böerse, AGµ     2,226,980   
  15,500        Discover Financial Services~     831,575   
  3,800     

CAD

   Fairfax Financial Holdings, Ltd.     1,462,339   
  23,500        First Republic Bank~     1,140,455   
  15,900        Franklin Resources, Inc.^µ     826,959   
  11,600        Goldman Sachs Group, Inc.µ     1,903,792   
  19,000        Hartford Financial Services Group, Inc.^µ     631,750   
  256,750     

GBP

   HSBC Holdings, PLC     2,634,702   
  77,500        JPMorgan Chase & Company^µ 4,290,400  
  80,000     

CHF

   Julius Baer Group, Ltd.#     3,878,426   
  99,000        Manulife Financial Corp.µ     1,824,570   
  86,500       

Och-Ziff Capital Management Group,

LLC - Class A

     1,209,270   
  98,000     

CAD

   Power Financial Corp.µ     3,019,852   
  8,500        Prudential Financial, Inc.^µ     717,315   
  54,500     

SEK

   Svenska Handelsbanken, AB - A Shares     2,586,134   
  29,000        T. Rowe Price Group, Inc.^µ     2,274,760   
  88,000        Wells Fargo & Company^µ     3,989,920   
NUMBER OF
SHARES		                 VALUE  
     
  8,300     

CHF

   Zurich Insurance Group, AG^µ# $     2,406,509   
     

 

 

  
        63,849,738   
     

 

 

  
    Health Care (7.0%)   
  17,000        Abbott Laboratoriesµ     623,220   
  17,000        AbbVie, Inc.µ     836,910   
  13,000        Amgen, Inc.^µ     1,546,350   
  11,700        Celgene Corp.µ#     1,777,581   
  34,250        Eli Lilly and Company^µ     1,849,842   
  28,400        Gilead Sciences, Inc.^#     2,290,460   
  22,200        Jazz Pharmaceuticals, PLC^#     3,366,852   
  26,700        Johnson & Johnson^µ     2,362,149   
  42,000        Medtronic, Inc.^µ     2,375,520   
  16,750        Merck & Company, Inc.^µ     887,248   
  273,625     

DKK

   Novo Nordisk, A/S - Class B     10,831,443   
  95,800        Pfizer, Inc.^µ     2,912,320   
  25,000     

CHF

   Roche Holding, AGµ     6,859,142   
  18,000        WellPoint, Inc.^     1,548,000   
  12,700        Zimmer Holdings, Inc.^     1,193,419   
     

 

 

  
        41,260,456   
     

 

 

  
    Industrials (8.6%)  
  270,000     

CHF

   ABB, Ltd.µ#     6,715,801   
  36,500     

EUR

   Airbus Group, NV     2,585,854   
  54,000     

EUR

   ALSTOM     1,525,291   
  610,000     

GBP

   BAE Systems, PLC     4,303,477   
  5,600        Boeing Company     701,456   
  35,000     

EUR

   Bouygues, SA     1,337,767   
  43,500        Chicago Bridge & Iron Company, NV~     3,262,065   
  37,300        Eaton Corp., PLC     2,726,257   
  11,000        Fortune Brands Home & Security, Inc.^     495,660   
  242,500        General Electric Company^µ     6,094,025   
  503,070     

GBP

   Hays, PLC     1,096,238   
  41,000        Honeywell International, Inc.^µ     3,740,430   
  113,000     

HKD

   Hutchison Whampoa, Ltd.     1,399,385   
  75,000     

JPY

   Komatsu, Ltd.     1,583,162   
  160,100     

EUR

   Koninklijke Philips, NVµ     5,554,532   
  47,000     

EUR

   Krones, AG     3,752,032   
  9,500        Union Pacific Corp.^µ     1,655,280   
  8,000        United Parcel Service, Inc.     761,840   
  8,300        United Technologies Corp.µ     946,366   
     

 

 

  
        50,236,918   
     

 

 

  
    Information Technology (14.5%)  
  96,850        Accenture, PLC - Class Aµ     7,736,378   
  18,300        Apple, Inc.µ     9,160,980   
  60,000     

JPY

   Canon, Inc.µ     1,752,652   
  29,500     

EUR

   Cap Gemini, SA     2,006,706   
  60,000     

EUR

   Dialog Semiconductor, PLC#     1,163,710   
  29,600        eBay, Inc.^µ #     1,574,720   
  6,250        Google, Inc.^µ #     7,381,063   
  435,000     

SEK

   LM Ericsson Telephone Company     5,326,517   
  85,000     

CHF

   Logitech International, SAµ     1,336,203   
  20,000        MasterCard, Inc. - Class A^µ     1,513,600   
  242,000     

TWD

   MediaTek, Inc.     3,225,062   
  45,000        Micron Technology, Inc.^#     1,036,800   
  75,000        Microsoft Corp.^µ     2,838,750   
  6,428        Motorola Solutions, Inc.^µ     410,106   
  20,400     

JPY

   Nintendo Company, Ltd.µ     2,339,799   
  580,000     

EUR

   Nokia, OYJ#     4,014,077   
  31,600        Oracle Corp.^µ     1,166,040   
  12,500        QUALCOMM, Inc.µ     927,750   
  16,000        Salesforce.com, Inc.^#     968,480   
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

NUMBER OF
SHARES		                 VALUE  
     
  3,260     

KRW

   Samsung Electronics Company, Ltd.   $ 3,860,521   
  103,300     

EUR

   SAP, AG     7,903,446   
  42,900     

EUR

   Software, AG^     1,591,451   
  1,337,000       

TWD Taiwan Semiconductor

Manufacturing Company, Ltd.

     4,603,899   
  125,600     

HKD

  

Tencent Holdings, Ltd.

     8,805,806   
  8,000       

VMware, Inc. - Class A^#

     721,120   
  250,000     

JPY

  

Yahoo! Japan Corp.^

     1,411,321   
     

 

 

  
        84,776,957   
     

 

 

  
    Materials (2.9%)  
  64,000     

GBP

  

Anglo American, PLC

     1,509,055   
  154,000     

CAD

  

Barrick Gold Corp.

     2,967,309   
  13,500       

Cliffs Natural Resources, Inc.^

     260,820   
  41,000       

Dow Chemical Company^µ

     1,865,910   
  135,000     

CAD

  

Goldcorp, Inc.µ

     3,368,485   
  10,099     

EUR

  

Koninklijke DSM, NV

     668,501   
  160,000     

AUD

  

Newcrest Mining Ltd.µ

     1,319,712   
  51,000     

GBP

  

Rio Tinto, PLCµ

     2,712,608   
  280,000     

CAD

  

Yamana Gold, Inc.µ

     2,622,133   
     

 

 

  
        17,294,533   
     

 

 

  
    Telecommunication Services (4.1%)   
  187,000       

América Móvil, SAB de CV^µ

     3,975,620   
  145,000       

AT&T, Inc.^µ

     4,831,400   
  96,000     

EUR

  

Orange, SAµ

     1,188,406   
  17,500     

KRW

  

SK Telecom Company, Ltd.

     3,525,993   
  36,000     

JPY

  

SoftBank Corp.

     2,606,287   
  2,157,000     

GBP

  

Vodafone Group, PLCµ

     7,993,236   
     

 

 

  
        24,120,942   
     

 

 

  
    Utilities (0.4%)  
  10,500       

Exelon Corp.^µ

     304,500   
  45,801     

EUR

  

GDF Suezµ

     1,010,987   
  29,000     

EUR

  

RWE, AGµ

     1,070,055   
     

 

 

  
        2,385,542   
     

 

 

  
    TOTAL COMMON STOCKS
(Cost $465,377,249)		     411,832,631   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
  PURCHASED OPTIONS (0.2%)#   
    Consumer Discretionary (0.0%)   
  160       

Michael Kors Holdings, Ltd.

Call, 01/17/15, Strike $82.50

     165,600   
     

 

 

  
    Health Care (0.2%)   
  1,170       

Mylan, Inc.

Call, 01/17/15, Strike $45.00

     687,375   
  60       

Regeneron Pharmaceuticals, Inc.

Call, 01/17/15, Strike $250.00 421,200

  
     

 

 

  
        1,108,575   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
     
    Information Technology (0.0%)  
  85       

Linkedin Corp.

Call, 01/17/15, Strike $240.00

   $ 233,325   
     

 

 

  
    TOTAL PURCHASED OPTIONS
(Cost $1,745,302)		     1,507,500   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  SHORT TERM INVESTMENT (4.4%)   
  25,634,776       

Fidelity Prime Money Market Fund - Institutional Class

(Cost $25,634,776)

     25,634,776   
     

 

 

  

 
 

      TOTAL INVESTMENTS (140.9%)
(Cost $857,932,741)

     826,618,432   
     

 

 

  
  LIABILITIES, LESS OTHER ASSETS (-40.9%)     (239,961,588 ) 
     

 

 

  
  NET ASSETS (100.0%)   $ 586,656,844   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  COMMON STOCKS SOLD SHORT (-1.3%)#   
    Consumer Discretionary (-0.3%)   
  (74,000 )      MGM Resorts International#     (1,802,640 ) 
     

 

 

  
    Energy (-0.1%)   
  (57,827 )      Newpark Resources, Inc.#     (656,915 ) 
     

 

 

  
    Health Care (-0.3%)   
  (29,400 )      LifePoint Hospitals, Inc.     (1,558,494 ) 
     

 

 

  
    Information Technology (-0.6%)   
  (114,500 )      Ciena Corp.     (2,671,285 ) 
  (40,000 )      Mentor Graphics Corp.     (832,000 ) 
  (13,220 )      Photronics, Inc.#     (109,726 ) 
     

 

 

  
        (3,613,011 ) 
     

 

 

  
    TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $5,574,198)		     (7,631,060 ) 
     

 

 

  

NOTES TO SCHEDULE OF INVESTMENTS

^   Security, or portion of security, is on loan.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $413,556,970. $103,553,586 of the collateral has been re-registered by the counterparty, BNP (see Note 4 - Borrowings).
*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
§   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options, swaps and securities sold short. The aggregate value of such securities is $4,559,481.
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2014.
#   Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS

AUD    Australian Dollar
BRL    Brazilian Real
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
SEK    Swedish Krona
SGD    Singapore Dollar
TWD    New Taiwan Dollar

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

 

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

INTEREST RATE SWAPS

 

Counterparty    Fixed  Rate
(Fund Pays)		      Floating Rate
(Fund Receives)		      Termination
Date 		     Notional
Amount		        Unrealized
Appreciation/
(Depreciation)		  
BNP Paribas, SA    2.535% quarterly      3 month LIBOR      03/09/14      $ 80,000,000         $ (468,760 ) 
BNP Paribas, SA    1.140% quarterly      3 month LIBOR      03/14/17        34,000,000           (352,474 ) 
                      

 

 

  
                       $ (821,234 ) 
                      

 

 

  

 

See accompanying Notes to Schedule of Investments

Calamos Global Dynamic Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

CURRENCY EXPOSURE JANUARY 31, 2014 (UNAUDITED)

  

     Value      % of Total Investments  
US Dollar    $ 563,999,345         68.9%   
European Monetary Unit      73,058,132         8.9%   
British Pound Sterling      39,979,818         4.9%   
Swiss Franc      37,205,417         4.5%   
Japanese Yen      21,276,801         2.6%   
Canadian Dollar      18,496,971         2.3%   
Hong Kong Dollar      14,642,734         1.8%   
Swedish Krona      11,148,192         1.4%   
Danish Krone      10,831,443         1.3%   
South Korean Won      9,860,602         1.2%   
New Taiwan Dollar      7,828,961         0.9%   
Australian Dollar      5,325,918         0.6%   
Singapore Dollar      3,099,473         0.4%   
Brazilian Real      2,233,565         0.3%   
  

 

 

     

 

 

  
Total Investments Net of Common Stocks Sold Short    $ 818,987,372         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 objective is to generate a high level of current income with a secondary objective of capital appreciation.

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

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

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

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

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

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

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

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2014.

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

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

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2014. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at January 31, 2014 was as follows:

 

Cost basis of investments

    $ 864,855,003   
  

 

 

  

Gross unrealized appreciation

      74,140,686   

Gross unrealized depreciation

      (112,377,257 ) 
  

 

 

  

Net unrealized appreciation (depreciation)

    $ (38,236,571 ) 
  

 

 

  

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. Dividends paid on securities sold short are disclosed as an expense on the Statement of Operations. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a 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 $127.5 million and a lending agreement, as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $127.5 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 January 31, 2014, the average borrowings under the Agreements were $230.0 million. For the period ended January 31, 2014, the average interest rate was 0.69%. As of January 31, 2014, the amount of total outstanding borrowings was $230.0 million, which approximates fair value. The interest rate applicable to the borrowings on January 31, 2014 was 0.89%.

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

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current

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

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of January 31, 2014, the Fund used approximately $54.8 million of its cash collateral to offset the SSB Agreement, representing 6.7% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.22%, which can fluctuate depending on interest rates.

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 MEASUREMENTS

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

     LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

            

Corporate Bonds

    $ —       $ 198,845,488       $ —       $ 198,845,488   

Convertible Bonds

      —         149,654,888         —         149,654,888   

U.S. Government and Agency Security

      —         1,050,041         —         1,050,041   

Convertible Preferred Stocks

      25,008,099         13,085,009         —         38,093,108   

Common Stocks

      202,628,689         209,203,942         —         411,832,631   

Purchased Options

      1,507,500         —         —         1,507,500   

Short Term Investment

      25,634,776         —         —         25,634,776   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 254,779,064       $ 571,839,368       $ —       $ 826,618,432   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities:

            

Common Stocks Sold Short

    $ 7,631,060       $ —       $ —       $ 7,631,060   

Interest Rate Swaps

      —         821,234         —         821,234   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 7,631,060       $ 821,234       $ —       $ 8,452,294   
  

 

 

     

 

 

     

 

 

     

 

 

  

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:  

March 24, 2014

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

 

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

March 24, 2014

By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:  

March 24, 2014