nvq
 
 
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: 333-144660
     
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:
  Calamos Global Dynamic
Income Fund
     
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
  2020 Calamos Court, Naperville
Illinois 60563
 
    
NAME AND ADDRESS OF AGENT FOR SERVICE:
  John P. Calamos Sr., President
Calamos Advisors LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2011
DATE OF REPORTING PERIOD: January 31, 2011
 
 

 

 
Calamos Global Dynamic Income Fund
 
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
CORPORATE BONDS (20.6%)
        Consumer Discretionary (4.1%)
        DISH Network Corp.        
  2,000,000     7.125%, 02/01/16   $ 2,100,000  
  500,000     7.875%, 09/01/19     531,875  
  1,000,000     Exide Technologies*
8.625%, 02/01/18 		    1,058,750  
  2,000,000     General Motors Corp. **
7.200%, 01/15/11 		    720,000  
  2,000,000     Hanesbrands, Inc.‡
3.831%, 12/15/14 		    2,012,500  
  1,000,000     Interpublic Group of Companies, Inc.
6.250%, 11/15/14 		    1,085,000  
  2,000,000     Jarden Corp.
8.000%, 05/01/16 		    2,182,500  
  2,000,000     Liberty Media Corp.
8.500%, 07/15/29 		    1,975,000  
  1,000,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    1,037,500  
  2,000,000     Macy’s Retail Holdings, Inc.
5.900%, 12/01/16 		    2,145,000  
  2,000,000     MGM Resorts International
7.500%, 06/01/16 		    1,910,000  
  1,000,000     NetFlix, Inc.
8.500%, 11/15/17 		    1,135,000  
  2,210,000     Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 		    2,201,712  
        Service Corp. International        
  1,000,000     8.000%, 11/15/21     1,097,500  
  1,000,000     7.000%, 05/15/19     1,032,500  
  1,000,000     Speedway Motorsports, Inc.
8.750%, 06/01/16 		    1,095,000  
  350,000     Wynn Las Vegas, LLC
7.750%, 08/15/20 		    372,750  
                 
              23,692,587  
                 
        Consumer Staples (0.6%)
  333,000     Constellation Brands, Inc.
8.375%, 12/15/14 		    369,630  
  564,000     Darling International, Inc.*
8.500%, 12/15/18 		    611,940  
  230,000     Del Monte Foods Company
7.500%, 10/15/19 		    284,050  
  50,000     Elizabeth Arden, Inc.*
7.375%, 03/15/21 		    51,375  
  2,000,000     Smithfield Foods, Inc.
7.750%, 07/01/17 		    2,130,000  
                 
              3,446,995  
                 
        Energy (5.5%)
  2,000,000     Berry Petroleum Companyµ
8.250%, 11/01/16 		    2,115,000  
  2,000,000     Bristow Group, Inc.
7.500%, 09/15/17 		    2,120,000  
  2,000,000     Chesapeake Energy Corp.
9.500%, 02/15/15 		    2,350,000  
  2,000,000     Complete Production Services, Inc.~
8.000%, 12/15/16 		    2,115,000  
  2,850,000     Comstock Resources, Inc.
8.375%, 10/15/17 		    2,942,625  
  2,170,000     Concho Resources, Inc.~
8.625%, 10/01/17 		    2,397,850  
  2,000,000     Dresser-Rand Group, Inc.
7.375%, 11/01/14 		    2,062,500  
  1,000,000     Frontier Oil Corp.
8.500%, 09/15/16 		    1,085,000  
  500,000     GulfMark Offshore, Inc.
7.750%, 07/15/14 		    511,250  
  360,000     Holly Corp.
9.875%, 06/15/17 		    398,700  
  1,470,000     Hornbeck Offshore Services, Inc.µ
8.000%, 09/01/17 		    1,515,937  
  2,000,000     Petroplus Holdings, AG*~
9.375%, 09/15/19 		    1,960,000  
  2,000,000     Pride International, Inc.
8.500%, 06/15/19 		    2,380,000  
  2,000,000     SEACOR Holdings, Inc.
7.375%, 10/01/19 		    2,066,818  
  2,000,000     Superior Energy Services, Inc.~
6.875%, 06/01/14 		    2,030,000  
        Swift Energy Company        
  1,700,000     8.875%, 01/15/20~     1,870,000  
  515,000     7.125%, 06/01/17     528,519  
  1,000,000     Trinidad Drilling, Ltd.*
7.875%, 01/15/19 		    1,040,000  
                 
              31,489,199  
                 
        Financials (0.7%)
  500,000     Janus Capital Group, Inc.µ
6.950%, 06/15/17 		    528,975  
        Leucadia National Corp.µ        
  1,980,000     8.125%, 09/15/15     2,187,900  
  400,000     7.000%, 08/15/13     431,000  
  1,050,000     OMEGA Healthcare Investors, Inc.
7.500%, 02/15/20 		    1,113,000  
                 
              4,260,875  
                 
        Health Care (2.4%)
  2,000,000     Bio-Rad Laboratories, Inc.
8.000%, 09/15/16 		    2,215,000  
  500,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    529,375  
  2,000,000     Giant Funding Corp.*
8.250%, 02/01/18 		    2,082,500  
  2,000,000     HCA, Inc.
9.125%, 11/15/14 		    2,110,000  
        HealthSouth Corp.        
  500,000     7.750%, 09/15/22     522,500  
  500,000     7.250%, 10/01/18     514,375  
        Mylan, Inc.*        
  990,000     7.625%, 07/15/17~     1,084,050  
  500,000     7.875%, 07/15/20     555,625  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
  2,000,000     Talecris Biotherapeutics Holdings Corp.
7.750%, 11/15/16 		  $ 2,200,000  
        Valeant Pharmaceuticals International, Inc.*        
  1,300,000     7.000%, 10/01/20     1,347,125  
  250,000     6.750%, 10/01/17     258,750  
  569,000     Warner Chilcott Company, LLC*
7.750%, 09/15/18 		    594,605  
                 
              14,013,905  
                 
        Industrials (3.0%)
  1,000,000     Belden, Inc.µ
7.000%, 03/15/17 		    1,020,000  
  900,000     Clean Harbors, Inc.
7.625%, 08/15/16 		    958,500  
  2,500,000     Deluxe Corp.
7.375%, 06/01/15 		    2,606,250  
  567,000     Dycom Investments, Inc.*
7.125%, 01/15/21 		    578,340  
  2,000,000     General Cable Corp.µ
7.125%, 04/01/17 		    2,070,000  
  502,000     Interline Brands, Inc.
7.000%, 11/15/18 		    518,315  
  1,105,000     Kansas City Southern
13.000%, 12/15/13 		    1,326,000  
  2,000,000     Manitowoc Company, Inc.
7.125%, 11/01/13 		    2,032,500  
        Oshkosh Corp.        
  1,290,000     8.500%, 03/01/20~     1,448,025  
  210,000     8.250%, 03/01/17     231,525  
  2,000,000     SPX Corp.
7.625%, 12/15/14 		    2,195,000  
  680,000     Triumph Group, Inc.~
8.000%, 11/15/17 		    724,200  
  1,675,000     Tutor Perini Corp.*
7.625%, 11/01/18 		    1,716,875  
                 
              17,425,530  
                 
        Information Technology (2.0%)
        Advanced Micro Devices, Inc.        
  1,000,000     7.750%, 08/01/20     1,030,000  
  640,000     8.125%, 12/15/17     673,600  
  2,000,000     Amkor Technology, Inc.
9.250%, 06/01/16 		    2,122,500  
  400,000     Equinix, Inc.µ
8.125%, 03/01/18 		    434,000  
  2,500,000     Jabil Circuit, Inc.µ
8.250%, 03/15/18 		    2,875,000  
  1,000,000     Lender Processing Services, Inc.µ
8.125%, 07/01/16 		    1,037,500  
  1,000,000     ViaSat, Inc.
8.875%, 09/15/16 		    1,080,000  
  2,500,000     Xerox Corp.
8.000%, 02/01/27 		    2,543,213  
                 
              11,795,813  
                 
        Materials (0.7%)
  967,000     Clearwater Paper Corp.*
7.125%, 11/01/18 		    1,008,098  
  1,000,000     Southern Copper Corp.~
7.500%, 07/27/35 		    1,097,459  
        Steel Dynamics, Inc.µ        
  1,675,000     7.750%, 04/15/16     1,790,156  
  325,000     7.625%, 03/15/20*     349,375  
                 
              4,245,088  
                 
        Telecommunication Services (1.4%)
        Frontier Communications Corp.        
  2,000,000     9.000%, 08/15/31     2,130,000  
  500,000     8.250%, 04/15/17     562,500  
  1,000,000     MetroPCS Wireless, Inc.
7.875%, 09/01/18 		    1,050,000  
  2,000,000     Qwest Communications International, Inc.~
7.750%, 02/15/31 		    2,065,000  
  2,000,000     Windstream Corp.~
8.625%, 08/01/16 		    2,130,000  
                 
              7,937,500  
                 
        Utilities (0.2%)
  1,000,000     Edison Mission Energy
7.750%, 06/15/16 		    900,000  
                 
        TOTAL CORPORATE BONDS
(Cost $112,266,534) 		    119,207,492  
                 
CONVERTIBLE BONDS (17.2%)
        Consumer Discretionary (1.6%)
  1,000,000     Coinstar, Inc.
4.000%, 09/01/14 		    1,295,000  
  4,250,000     General Motors Corp. - Series Cµ**
6.250%, 07/15/33 		    1,460,725  
  6,000,000     Interpublic Group of Companies, Inc.µ
4.250%, 03/15/23 		    6,622,500  
                 
              9,378,225  
                 
        Consumer Staples (0.3%)
  1,500,000     Smithfield Foods, Inc.~
4.000%, 06/30/13 		    1,725,000  
                 
        Energy (1.6%)
  2,100,000     Petrominerales, Ltd.
2.625%, 08/25/16 		    2,765,438  
  200,000     Subsea 7, Inc.
3.500%, 10/13/14 		    315,517  
  2,800,000     Subsea 7, SA
2.250%, 10/11/13 		    3,396,972  
  1,950,000  EUR   Technip, SA
0.500%, 01/01/16 		    2,430,792  
                 
              8,908,719  
                 
        Financials (1.7%)
  1,300,000  GBP   Aberdeen Asset Management, PLC
3.500%, 12/17/14 		    2,682,648  
  4,000,000     Affiliated Managers Group, Inc.
3.950%, 08/15/38 		    4,625,000  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
  2,000,000     PHH Corp.
4.000%, 09/01/14 		  $ 2,322,500  
                 
              9,630,148  
                 
        Health Care (3.6%)
  2,000,000     Cephalon, Inc.
2.500%, 05/01/14 		    2,222,500  
  2,000,000     Charles River Laboratories International, Inc.
2.250%, 06/15/13 		    2,055,000  
  2,000,000     Cubist Pharmaceuticals, Inc.
2.500%, 11/01/17 		    2,040,000  
  3,000,000     Kinetic Concepts, Inc.*
3.250%, 04/15/15 		    3,360,000  
  2,000,000     LifePoint Hospitals, Inc.
3.500%, 05/15/14 		    2,015,000  
  6,500,000     Shire, PLCµ
2.750%, 05/09/14 		    6,898,353  
  2,000,000     Teva Pharmaceutical Industries, Ltd.
1.750%, 02/01/26 		    2,164,000  
                 
              20,754,853  
                 
        Industrials (0.8%)
  1,963,000     Genco Shipping & Trading, Ltd.
5.000%, 08/15/15 		    1,862,396  
  1,800,000  EUR   MTU Aero Engines Holdings, AGµ
2.750%, 02/01/12 		    2,820,084  
                 
              4,682,480  
                 
        Information Technology (4.3%)
        Acer, Inc.        
  900,000     0.000%, 08/10/15     986,040  
  100,000     0.000%, 08/10/17     112,380  
  3,550,000  GBP   Autonomy Corp., PLC
3.250%, 03/04/15 		    6,213,611  
  2,850,000  EUR   Cap Gemini, SA
1.000%, 01/01/12 		    1,686,311  
  2,000,000     Ciena Corp.
0.875%, 06/15/17 		    1,720,000  
  2,000,000     Equinix, Inc.
3.000%, 10/15/14 		    2,102,500  
  5,500,000     Intel Corp.µ
2.950%, 12/15/35 		    5,616,875  
  2,000,000     Quantum Corp.*
3.500%, 11/15/15 		    1,925,000  
  1,000,000     RF Micro Devices, Inc.
1.000%, 04/15/14 		    1,082,500  
  2,790,000     Xilinx, Inc.*
2.625%, 06/15/17 		    3,477,038  
                 
              24,922,255  
                 
        Materials (2.9%)
  1,200,000     Anglo American, PLC
4.000%, 05/07/14 		    2,217,066  
  1,500,000     AngloGold Ashanti, Ltd.
3.500%, 05/22/14 		    1,777,500  
  5,450,000     Goldcorp, Inc.µ
2.000%, 08/01/14 		    6,376,500  
  2,000,000     Kinross Gold Corp.
1.750%, 03/15/28 		    2,030,000  
  3,560,000     Sino-Forest Corp.*µ
4.250%, 12/15/16 		    4,525,650  
                 
              16,926,716  
                 
        Utilities (0.4%)
  1,700,000  EUR   International Power, PLC
3.250%, 07/20/13 		    2,527,848  
                 
        TOTAL CONVERTIBLE BONDS
(Cost $99,283,914) 		    99,456,244  
                 
U.S. GOVERNMENT AND AGENCY SECURITIES (1.2%)
        United States Treasury Note~        
  3,750,000     0.875%, 04/30/11     3,756,885  
  3,250,000     0.875%, 02/28/11     3,252,031  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $7,007,870) 		    7,008,916  
                 
SOVEREIGN BONDS (1.1%)
  2,000,000  AUD   Commonwealth of Australia
6.250%, 06/15/14 		    2,066,233  
  350,000  BRL   Federal Republic of Brazil
10.000%, 01/01/12 		    2,072,715  
  2,500,000  NZD   Government of New Zealand
6.000%, 04/15/15 		    2,036,907  
                 
        TOTAL SOVEREIGN BONDS
(Cost $5,834,716) 		    6,175,855  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
CONVERTIBLE PREFERRED STOCKS (4.2%)
        Consumer Discretionary (0.2%)
  8,573     Stanley Black & Decker, Inc.
4.750% 		    1,000,726  
                 
        Consumer Staples (0.7%)
  101,000     Archer-Daniels-Midland Company
6.250% 		    4,213,720  
                 
        Energy (0.9%)
  80,000     Apache Corp.
6.000% 		    5,235,200  
                 
        Financials (1.2%)
  65,000     Affiliated Managers Group, Inc.µ
5.150% 		    2,697,500  
  2,800     Bank of America Corp.µ
7.250% 		    2,773,400  
  1,600     Wells Fargo & Companyµ
7.500% 		    1,668,000  
                 
              7,138,900  
                 
        Materials (0.9%)
  50,300     Vale, SA
6.750% 		    4,929,148  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
        Utilities (0.3%)
  32,000     NextEra Energy, Inc.
7.000% 		  $ 1,585,600  
                 
        TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $20,964,395) 		    24,103,294  
                 
NUMBER OF
 		       
UNITS       VALUE
 
 
STRUCTURED EQUITY-LINKED SECURITIES (3.5%)+*
        Energy (1.3%)
  175,069     Barclays Capital, Inc.
(Nabors Industries, Ltd.)
12.000%, 06/04/11 		    4,112,371  
  128,700     JPMorgan Chase & Company
(Pride International, Inc.)
12.000%, 02/15/11 		    3,776,058  
                 
              7,888,429  
                 
        Information Technology (0.8%)
  248,000     Credit Suisse Group (Cirrus Logic, Inc.)
12.000%, 03/22/11 		    4,565,680  
                 
        Materials (1.4%)
  87,600     Credit Suisse Group
(Allegheny Technologies, Inc.)
12.000%, 04/19/11 		    4,514,904  
  73,000     Credit Suisse Group (Barrick Gold Corp.)
11.000%, 05/24/11 		    3,528,090  
                 
              8,042,994  
                 
        TOTAL STRUCTURED EQUITY-LINKED SECURITIES
(Cost $19,000,659) 		    20,497,103  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
COMMON STOCKS (83.1%)
        Consumer Discretionary (7.1%)
  41,000  EUR   Adidas, AGµ     2,551,526  
  28,650     Amazon.com, Inc.µ#     4,860,186  
  130,000  JPY   ASICS Corp.     1,730,680  
  145,000  GBP   British Sky Broadcasting Group, PLCµ     1,748,233  
  38,500     Carnival Corp.µ     1,721,335  
  30,000     CBS Corp.µ     594,900  
  400,000  AUD   Harvey Norman Holdings, Ltd.µ     1,202,237  
  39,000  JPY   Makita Corp.µ     1,688,521  
  72,000     News Corp. - Class Bµ     1,193,760  
  38,000     Nike, Inc. - Class Bµ     3,134,240  
  140,000  JPY   Nikon Corp.µ     3,246,893  
  83,000  JPY   Panasonic Corp.µ     1,140,807  
  9,000  EUR   Porsche Automobil Holding, SEµ     839,918  
  9,500  EUR   Puma, AG Rudolf Dassler Sport     2,970,782  
  110,000  JPY   Suzuki Motor Corp.µ     2,670,685  
  85,000  CHF   Swatch Group, AG     6,116,081  
  8,000     Target Corp.µ     438,640  
  31,000  JPY   Toyota Motor Corp.µ     1,276,257  
  46,800     Walt Disney Companyµ     1,819,116  
                 
              40,944,797  
                 
        Consumer Staples (9.7%)
  53,000  EUR   Anheuser-Busch InBev, NV     2,924,389  
  96,000  JPY   Asahi Breweries, Ltd.µ     1,802,317  
  40,000     Avon Products, Inc.µ     1,132,400  
  53,000  EUR   Beiersdorf, AGµ     2,904,050  
  74,000     Coca-Cola Companyµ     4,650,900  
  107,000  BRL   Companhia de Bebidas das Americas     2,875,029  
  50,000  EUR   Danone, SA     3,006,031  
  355,000  GBP   Diageo, PLCµ     6,824,686  
  160  JPY   Japan Tobacco, Inc.µ     601,893  
  12,000     Kimberly-Clark Corp.µ     776,760  
  225,000  CHF   Nestlé, SA     12,155,806  
  23,000     PepsiCo, Inc.µ     1,479,130  
  45,000     Procter & Gamble Companyµ     2,840,850  
  52,000  GBP   Reckitt Benckiser Group, PLCµ     2,826,323  
  55,000  SEK   Swedish Match, AB     1,584,756  
  30,750     Sysco Corp.µ     896,055  
  53,000  GBP   Unilever, PLCµ     1,538,928  
  1,140,000  MXN   Wal-Mart de Mexico, SAB de CV     3,170,687  
  42,000     Wal-Mart Stores, Inc.µ     2,354,940  
                 
              56,345,930  
                 
        Energy (9.1%)
  185,000  GBP   AMEC, PLCµ     3,552,437  
  10,000     Apache Corp.µ     1,193,600  
  875,000  GBP   BP, PLCµ     6,875,615  
  26,000     Chevron Corp.µ     2,468,180  
  1,600,000  HKD   CNOOC, Ltd.     3,561,518  
  40,000     ConocoPhillipsµ     2,858,400  
  23,500     Devon Energy Corp.µ     2,084,215  
  95,000  EUR   ENI S.p.A.µ     2,249,228  
  82,500     Exxon Mobil Corp.µ     6,656,100  
  46,500     Halliburton Companyµ     2,092,500  
  31,000     Marathon Oil Corp.µ     1,416,700  
  24,000     Noble Corp.     918,000  
  15,000     Occidental Petroleum Corp.µ     1,450,200  
  57,500  NOK   Petroleum Geo-Services ASAµ#     853,130  
  82,300  GBP   Royal Dutch Shell, PLCµ     2,899,558  
  22,000     Schlumberger, Ltd.     1,957,780  
  85,000  CAD   Suncor Energy, Inc.µ     3,519,349  
  18,000  EUR   Technip, SA     1,748,690  
  74,000  EUR   TOTAL, SA     4,330,207  
                 
              52,685,407  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
        Financials (8.9%)
  27,500     Aflac, Inc.µ   $ 1,583,450  
  4,000     American International Group, Inc.µ#     161,400  
  95,000  AUD   ASX, Ltd.µ     3,546,133  
  135,000  EUR   Banco Santander, SAµ     1,652,961  
  105,000     Bank of America Corp.µ     1,441,650  
  41,000     Bank of New York Mellon Corp.µ     1,280,430  
  18,700  EUR   BNP Paribas, SAµ     1,395,741  
  189,615     Citigroup, Inc.µ#     913,944  
  29,000  EUR   Deutsche Börse, AGµ     2,197,980  
  12,000     Franklin Resources, Inc.µ     1,447,800  
  80,000  CHF   GAM Holding, Ltd.µ#     1,426,848  
  8,500     Goldman Sachs Group, Inc.µ     1,390,770  
  19,000     Hartford Financial Services Group, Inc.µ     527,820  
  100,000  HKD   Hong Kong Exchanges and Clearing, Ltd.     2,304,172  
  77,500     JPMorgan Chase & Companyµ     3,482,850  
  80,000  CHF   Julius Baer Group, Ltd.µ     3,620,077  
  99,000     Manulife Financial Corp.µ     1,726,560  
  16,000     MetLife, Inc.µ     732,320  
  98,000  CAD   Power Financial Corp.µ     2,915,484  
  8,500     Prudential Financial, Inc.µ     522,835  
  238,500  GBP   Schroders, PLCµ     6,883,443  
  167,000  GBP   Standard Chartered, PLCµ     4,349,268  
  23,500     T. Rowe Price Group, Inc.µ     1,549,120  
  14,000     Travelers Companies, Inc.µ     787,640  
  37,250     Wells Fargo & Companyµ     1,207,645  
  8,300  CHF   Zurich Financial Services, AGµ     2,269,353  
                 
              51,317,694  
                 
        Health Care (9.2%)
  15,000     Abbott Laboratoriesµ     677,400  
  83,000     Bristol-Myers Squibb Companyµ     2,089,940  
  29,000  AUD   Cochlear, Ltd.     2,230,759  
  150,000  AUD   CSL, Ltd.µ     5,580,520  
  88,000  SEK   Elekta, AB - Class Bµ     3,564,066  
  34,250     Eli Lilly and Companyµ     1,190,873  
  80,000     Johnson & Johnsonµ     4,781,600  
  42,000     Medtronic, Inc.µ     1,609,440  
  144,533     Merck & Company, Inc.µ     4,794,160  
  79,600  DKK   Novo Nordisk, A/S - Class B     8,962,155  
  98,000  JPY   OLYMPUS Corp.µ     2,753,333  
  190,000     Pfizer, Inc.µ     3,461,800  
  25,000  CHF   Roche Holding, AGµ     3,803,451  
  140,000  GBP   Shire, PLC     3,693,942  
  18,500     Stryker Corp.µ     1,064,860  
  42,000     UnitedHealth Group, Inc.µ     1,724,100  
  17,000     Zimmer Holdings, Inc.µ#     1,005,720  
                 
              52,988,119  
                 
        Industrials (11.2%)
  27,000     3M Companyµ     2,373,840  
  270,000  CHF   ABB, Ltd.µ#     6,378,730  
  54,000  EUR   ALSTOMµ     3,013,701  
  610,000  GBP   BAE Systems, PLCµ     3,341,515  
  28,000     Boeing Companyµ     1,945,440  
  35,000  EUR   Bouygues, SAµ     1,624,980  
  14,000     Danaher Corp.µ     644,840  
  10,000     Eaton Corp.µ     1,079,600  
  14,500     General Dynamics Corp.µ     1,093,300  
  242,500     General Electric Companyµ     4,883,950  
  60,000     Honeywell International, Inc.µ     3,360,600  
  25,000     Illinois Tool Works, Inc.µ     1,337,250  
  160,000  JPY   Komatsu, Ltd.     4,772,373  
  44,000  EUR   Konecranes OYJµ     1,847,281  
  47,000  EUR   Krones AGµ#     3,046,684  
  10,000     Lockheed Martin Corp.µ     796,000  
  30,000  EUR   MAN, AGµ     3,473,130  
  44,000  EUR   MTU Aero Engines Holdings, AGµ     3,103,148  
  14,000  EUR   Nexans, SAµ     1,123,129  
  10,000     Raytheon Companyµ     499,900  
  40,000  EUR   Royal Philips Electronics, NVµ     1,246,328  
  12,700  EUR   Schneider Electric, SA     1,977,309  
  28,000  EUR   SGL Carbon, AGµ#     1,059,313  
  63,500  EUR   Siemens, AG     8,140,290  
  32,000     United Technologies Corp.µ     2,601,600  
                 
              64,764,231  
                 
        Information Technology (18.7%)
  72,000     Accenture, PLC - Class A     3,705,840  
  500,000  TWD   Acer, Inc.     1,358,434  
  23,400     Apple, Inc.µ#     7,940,088  
  1,350,000  GBP   ARM Holdings, PLC     11,121,976  
  90,000  EUR   ASML Holding, NV     3,773,464  
  260,000  GBP   Autonomy Corp., PLCµ#     6,232,667  
  60,000  JPY   Canon, Inc.µ     2,953,424  
  29,500  EUR   Cap Gemini, SAµ     1,484,083  
  37,000     Check Point Software Technologies, Ltd.#     1,648,350  
  145,000     Cisco Systems, Inc.µ#     3,066,750  
  132,500     Dell, Inc.µ#     1,743,700  
  130,000     eBay, Inc.µ#     3,946,800  
  65,000     EMC Corp.µ#     1,617,850  
  6,250     Google, Inc.µ#     3,752,250  
  115,762  TWD   HTC Corp.     3,891,459  
  185,000     Intel Corp.µ     3,970,100  
  15,000     International Business Machines Corp.µ     2,430,000  
  113,000  JPY   Konami Corp.µ     2,262,280  
  285,000  SEK   LM Ericsson Telephone Companyµ     3,513,714  
  85,000  CHF   Logitech International, SAµ#     1,594,092  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
  190,000     Microsoft Corp.µ   $ 5,267,750  
  5,625     Motorola Mobility Holdings, Inc.#     156,769  
  6,428     Motorola Solutions, Inc.#     249,214  
  23,000  JPY   Murata Manufacturing Company, Ltd.     1,746,496  
  20,400  JPY   Nintendo Company, Ltd.µ     5,515,860  
  580,000  EUR   Nokia, OYJ     6,186,592  
  92,000  JPY   Nomura Research Institute, Ltd.µ     2,002,501  
  75,000     Oracle Corp.µ     2,402,250  
  30,393     QUALCOMM, Inc.µ     1,645,173  
  5,560  KRW   Samsung Electronics Company, Ltd.µ     4,881,603  
  88,000  EUR   SAP, AG     5,091,031  
  75,000     Symantec Corp.µ#     1,320,750  
                 
              108,473,310  
                 
        Materials (5.1%)
  114,000  GBP   Anglo American, PLCµ     5,589,190  
  20,500  EUR   BASF, SEµ     1,578,172  
  105,000  AUD   BHP Billiton, Ltd.     4,671,304  
  60,000  GBP   BHP Billiton, PLCµ     2,291,031  
  41,000     Dow Chemical Companyµ     1,454,680  
  36,000     E.I. du Pont de Nemours and Companyµ     1,824,480  
  35,803     Freeport-McMoRan Copper & Gold, Inc.µ     3,893,576  
  30,000  GBP   Rio Tinto, PLCµ     2,060,281  
  10,500  CHF   Syngenta, AG     3,386,147  
  50,000  CAD   Teck Resources, Ltd. - Class B     3,028,412  
                 
              29,777,273  
                 
        Telecommunication Services (3.2%)
  93,500     América Móvil, SAB de CVµ     5,328,565  
  145,000     AT&T, Inc.µ     3,990,400  
  96,000  EUR   France Telecom, SAµ     2,093,774  
  5,520     Frontier Communications Corp.     50,618  
  23,000     Verizon Communications, Inc.µ     819,260  
  2,157,000  GBP   Vodafone Group, PLC     6,053,837  
                 
              18,336,454  
                 
        Utilities (0.9%)
  47,500     Duke Energy Corp.µ     849,300  
  10,500     Exelon Corp.µ     446,355  
  45,801  EUR   GDF Suezµ     1,814,173  
  29,000  EUR   RWE, AG     2,091,527  
                 
              5,201,355  
                 
        TOTAL COMMON STOCKS
(Cost $562,720,430) 		    480,834,570  
                 
WARRANTS (0.0%)
        Financials (0.0%)
  1     American International Group, Inc.# 0.000%, 01/19/21
(Cost $12) 		    11  
                 
NUMBER OF
 		       
CONTRACTS       VALUE
 
 
PURCHASED OPTIONS (0.0%) #
        Consumer Discretionary (0.0%)
  55     Amazon.com, Inc.
Call, 01/19/13, Strike $180.00 		  $ 162,800  
                 
        Industrials (0.0%)
  200     Genco Shipping & Trading, Ltd.
Put, 07/16/11, Strike $9.00 		    10,000  
                 
        TOTAL PURCHASED OPTIONS
(Cost $228,411) 		    172,800  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
SHORT TERM INVESTMENT (2.6%)
  15,172,332     Fidelity Prime Money Market Fund - Institutional Class
(Cost $15,172,332) 		    15,172,332  
                 
  TOTAL INVESTMENTS (133.5%)
  (Cost $842,479,273)
    772,628,617  
         
LIABILITIES, LESS OTHER ASSETS (-33.5)%     (193,875,884 )
         
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 578,752,733  
         
NUMBER OF
 		       
SHARES       VALUE
 
 
COMMON STOCKS SOLD SHORT (-2.4%)#
        Consumer Discretionary (-0.4%)
  (13,800 )   Coinstar, Inc.      (571,182 )
  (183,600 )   Interpublic Group of Companies, Inc.      (1,962,684 )
                 
              (2,533,866 )
                 
        Consumer Staples (-0.1%)
  (39,600 )   Smithfield Foods, Inc.      (788,436 )
                 
        Financials (-0.4%)
  (11,800 )   Affiliated Managers Group, Inc.      (1,201,594 )
  (50,000 )   PHH Corp.      (1,194,500 )
                 
              (2,396,094 )
                 
        Health Care (-0.8%)
  (15,000 )   Cephalon, Inc.      (886,200 )
  (20,500 )   Charles River Laboratories International, Inc.      (786,175 )
  (44,000 )   Cubist Pharmaceuticals, Inc.      (965,360 )
  (30,000 )   Kinetic Concepts, Inc.      (1,383,900 )
  (19,300 )   LifePoint Hospitals, Inc.      (679,360 )
                 
              (4,700,995 )
                 
        Industrials (-0.1%)
  (49,800 )   Genco Shipping & Trading, Ltd.      (575,688 )
                 
        Information Technology (-0.5%)
  (29,000 )   Ciena Corp.      (638,870 )
  (6,000 )   Equinix, Inc.      (530,520 )
  (350,000 )   Quantum Corp.      (941,500 )
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
  (75,000 )   RF Micro Devices, Inc.    $ (504,000 )
                 
              (2,614,890 )
                 
        Materials (-0.1%)
  (14,000 )   Kinross Gold Corp.      (232,960 )
                 
        TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $13,576,097) 		    (13,842,929 )
                 
NUMBER OF
 		       
CONTRACTS       VALUE
 
 
WRITTEN OPTIONS (-0.4%)#
        Consumer Discretionary (0.0%)
  50     Coinstar, Inc.
Call, 07/16/11, Strike $47.50 		    (13,875 )
                 
        Other (-0.4%)
  6,700     iShares MSCI EAFE Index Fund 
Call, 03/19/11, Strike $58.00 		    (1,778,850 )
  1,150     SPDR Trust Series 1
Call, 03/19/11, Strike $125.00 		    (623,300 )
                 
              (2,402,150 )
                 
        TOTAL WRITTEN OPTIONS
(Premium $1,777,670) 		    (2,416,025 )
                 
 
 
 
 
 
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. At January 31, 2011, the value of 144A securities that could not be exchanged to the registered form is $37,707,841 or 6.5% of net assets applicable to common shareholders.
** General Motors filed for bankruptcy on June 1, 2009 and the bankruptcy plan transferred the assets and liabilities of the company into one of four trusts. The General Unsecured Creditors Trust will resolve the outstanding claims and distribute common stock and warrants of the new General Motors in lieu of cash proceeds.
‡ Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2011.
µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $393,213,898.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options, swaps, or securities sold short. The aggregate value of such securities aggregate a total value of $25,280,426.
+ Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.
# 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
MXN
  Mexican Peso
NOK
  Norwegian Krone
NZD
  New Zealand Dollar
SEK
  Swedish Krona
TWD
  New Taiwanese 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
 
                             
                      Unrealized
 		 
    Fixed Rate
 		  Floating Rate
 		  Termination
 		  Notional
 		    Appreciation/
 		 
Counterparty   (Fund Pays)   (Fund Receives)   Date   Amount     (Depreciation)  
   
 
BNP Paribas, SA
  2.5350% quarterly   3 month LIBOR   03/09/14   $ 80,000,000     $ (3,357,734 )
                             
BNP Paribas, SA
  2.0200% quarterly   3 month LIBOR   03/09/12     55,000,000       (1,100,461 )
                             
BNP Paribas, SA
  1.8525% quarterly   3 month LIBOR   09/14/12     36,900,000       (821,978 )
                             
                             
                        $ (5,280,173 )
                             
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 
             
CURRENCY EXPOSURE JANUARY 31, 2011 (UNAUDITED)
    Value     % of Total Investments  
 
             
US Dollar
  $ 427,280,146     56.5%
             
European Monetary Unit
    92,004,647     12.2%
             
British Pound Sterling
    86,779,189     11.5%
             
Swiss Franc
    40,750,585     5.4%
             
Japanese Yen
    36,164,320     4.8%
             
Australian Dollar
    19,297,186     2.5%
             
Canadian Dollar
    9,463,245     1.2%
             
Danish Krone
    8,962,155     1.2%
             
Swedish Krona
    8,662,536     1.1%
             
Hong Kong Dollar
    5,865,690     0.8%
             
New Taiwanese Dollar
    5,249,893     0.7%
             
Brazilian Real
    4,947,744     0.7%
             
South Korean Won
    4,881,603     0.6%
             
Mexican Peso
    3,170,687     0.4%
             
New Zealand Dollar
    2,036,907     0.3%
             
Norwegian Krone
    853,130     0.1%
     
   
             
Total Investments Net of Common Stocks Sold Short and Written Options
  $ 756,369,663     100.0%
     
   
 
Currency exposure may vary over time.

 

 
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 as amended (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 securities 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 last current reported sales price at the time a 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 the 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 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, 2011.
 
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.
 
Forward Foreign Currency Contracts. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at January 31, 2011.
 
NOTE 2 – INVESTMENTS
 
The following information is presented on a federal income tax basis as of January 31, 2011. 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, 2011 was as follows:
 
         
         
Cost basis of Investments
  $ 850,130,051  
         
Gross unrealized appreciation
    48,078,064  
Gross unrealized depreciation
    (125,579,498 )
         
Net unrealized appreciation (depreciation)
  $ (77,501,434 )
         
 
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 “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $300,000,000 and a Lending Agreement, as defined below. Borrowings under the Agreement

 

are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .85% on the undrawn balance. For the period ended January 31, 2011, the average borrowings and the average interest rate were $191,000,000 and 1.28%, respectively. As of January 31, 2011, the amount of such outstanding borrowings is $191,000,000. The interest rate applicable to the borrowings on January 31, 2011 was 1.25%.
 
The Lending Agreement 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 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, 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.
 
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. Three main types of interest rate swaps are coupon swaps (fixed rate to floating rate in the same currency); basis swaps (one floating rate index to another floating rate index in the same currency); and cross-currency interest rate swaps (fixed rate in one currency to floating rate in another). In the case of a coupon swap, a Fund may agree with a counterparty that the Fund will pay a fixed rate (multiplied by a notional amount) while the counterparty will pay a floating rate multiplied by the same notional amount. 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 – STRUCTURED EQUITY-LINKED SECURITIES
 
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract.
 
NOTE 7 – VALUATIONS
 
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 (including U.S. government and government agency obligations) 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.
 
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
  $ —     $ 119,207,492     $ —     $ 119,207,492  
Convertible Bonds
            99,456,244               99,456,244  
U.S. Government and Agency Securities
            7,008,916               7,008,916  
Sovereign Bonds
            6,175,855               6,175,855  
Convertible Preferred Stocks
    16,170,594       7,932,700               24,103,294  
Structured Equity-Linked Securities
            20,497,103               20,497,103  
Common Stocks
    191,791,163       289,043,407               480,834,570  
Warrants
    11                       11  
Purchased Options
    172,800                       172,800  
Short Term Investment
    15,172,332                       15,172,332  
                                 
    $ 223,306,900     $ 549,321,717     $ —     $ 772,628,617  
                                 
Liabilities:
                               
Common Stocks sold short
    13,842,929                —       13,842,929  
Written Options
    2,416,025                       2,416,025  
Interest Rate Swaps
            5,280,173               5,280,173  
                                 
Total
  $ 16,258,954     $ 5,280,173     $ —     $ 21,539,127  
                                 

 

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, 2011    
     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, 2011    
 
        
By:
  /s/ Nimish S. Bhatt
 
    
 
        
Name:
  Nimish S. Bhatt    
Title:
  Principal Financial Officer    
Date:
  March 24, 2011