N-CSRS

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-22047

 

Calamos Global Dynamic Income Fund

(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)

 

2020 Calamos Court, Naperville,

    Illinois 60563-2787

(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES)

 

    John P. Calamos, Sr., President

Calamos Advisors LLC

2020 Calamos Court

Naperville, Illinois

60563-2787

(NAME AND ADDRESS OF AGENT FOR SERVICE)

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

DATE OF FISCAL YEAR END: October 31, 2013

DATE OF REPORTING PERIOD: November 1, 2012 through April 30, 2013

 

 

 


Item 1. Report to Shareholders

LOGO


LOGO

Experience and Foresight

About Calamos Investments

For nearly 35 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five closed-end funds. Two are total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed income offerings, which pursue high current income from income and capital gains. Calamos Global Dynamic Income Fund (CHW) falls into this category. Please see page 5 for a more detailed overview of our closed-end offerings.

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

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

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

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

 

TABLE OF CONTENTS

  

Letter to Shareholders

     1   

The Calamos Closed-End Funds: An Overview

     5   

Investment Team Discussion

     6   

Schedule of Investments

     10   

Statement of Assets and Liabilities

     17   

Statement of Operations

     18   

Statements of Changes In Net Assets

     19   

Statement of Cash Flows

     20   

Notes to Financial Statements

     21   

Financial Highlights

     29   

Report of Independent Registered Public Accounting Firm

     30   

Trustee Approval of
Management Agreement

     31   

About Closed-End Funds

     33   

Level Rate Distribution Policy

     34   

Automatic Dividend Reinvestment Plan

     34   
  
 


 

Letter to Shareholders

 

 

 

LOGO

 

JOHN P. CALAMOS, SR.

CEO and Global Co-CIO

 

Dear Fellow Shareholder:

Welcome to your semiannual report for the six-month period ended April 30, 2013. This report includes commentary from our investment team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and allocation of your fund. I invite you to read it carefully.

Calamos Global Dynamic Income Fund (CHW) is an enhanced fixed income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains.

Steady and Competitive Distributions

During the annual period, CHW provided steady monthly distributions. We believe the Fund’s distribution rate, which was 8.18%* on a market price basis as of April 30, 2013, was very competitive, given the low interest rates in many segments of the bond market.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Directors consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional information on our level rate distribution policy, please see “The Calamos Closed-End Funds: An Overview” on page 5 and “Level Rate Distribution Policy” on page 34.)

Market Environment

Today’s market conditions remind me of the often tumultuous 1970s, when macro events fueled uncertainty and volatility. This time around, however, massive accommodative monetary policy from the Federal Reserve and central banks around the world has

 

* Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 4/15/13 distribution was $0.0620 per share. Based on our current estimates, we anticipate that approximately $0.0296 is paid from ordinary income and $0.0324 of the distribution represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.
 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     1   


 

Letter to Shareholders

 

 

supported the global equity markets and their overall recoveries. However, this aggressive easing policy has also driven government bond yields in developed markets to historic lows. As a result, the search for income continued to be a primary concern for many investors, contributing to distortions in the equity markets as well.

The U.S. stuck to its slow-growth trajectory, adding to its growing string of consecutive quarters of economic expansion. A recovering housing market and rising equity markets contributed to a “wealth effect” that carried through to retail and auto sales. Although sequestration cast a shadow at the end of the year that carried into 2013, the country managed to avoid the fiscal cliff, and the passage of a new continuing resolution has prevented a Washington shutdown.

Elsewhere, we continued to see underwhelming euro zone GDP and ongoing tensions between the haves and have-nots. Italy’s ill-fated election, as well as Cyprus’ woes and the EU’s missteps in addressing them, underscored the tensions in the EU and the complexities of the bailout-austerity cycle. There was better news coming out of Japan, however, as the Bank of Japan took steps during the period to reverse deflation, resulting in better factory output, consumer confidence and business sentiment for that key global economy.

Conditions were best in the U.S., as economic recovery continued at a slow and steady pace. U.S. stocks rallied to a double-digit performance, with the S&P 500 Index1 returning an impressive 14.42% for the six-month period. Global markets also participated in the upswing, as the MSCI World Index2, a measure of developed market equity performance, posted a robust 13.78% gain. Meanwhile, emerging markets lagged their developed market counterparts for the period amid concerns of slowing growth and less accommodative monetary policy in several key economies, but the MSCI Emerging Markets Index3 still managed a gain of 5.40%.

Convertible securities also enjoyed the six-month rally, as the BofA Merrill Lynch All U.S. Convertible Ex-Mandatory Index4 returned 12.69%, prompted by lower-quality higher yielding securities. High yield issuance continued to maintain a steady pace, while performance for the six-month period was also healthy, with a 7.21% return in the Credit Suisse High Yield Index5. The lower yielding U.S. bond market was more muted, however, as the Barclays Capital U.S. Aggregate Bond Index6 posted a gain of just 0.90%.

Global Outlook: Cautious Optimism

Our global outlook remains cautiously optimistic, and we believe, now more than ever, that active management and diversification are crucial to long-term investing success.

We expect the global economic recovery to continue at a measured pace, led by the U.S. and the emerging markets. Our greatest concerns relate to euro zone GDP and a potential slowdown in earnings growth, globally. We believe that valuations and long-term secular trends (including those related to the EM consumer) support our positioning. Recent housing and consumer data in the U.S. has been encouraging, and although

 

 

2   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Letter to Shareholders

 

 

some of China’s first quarter economic data (GDP and industrial production) has fallen short of estimates, numbers remain high in absolute terms and relative to developed markets.

On the back of central bank intervention and investors’ quest for income, valuations for areas such as staples have become stretched to a point that we believe merits caution. Meanwhile, we believe that the valuations of growth equities are attractive by many measures. For example, U.S. growth equities are highly compelling on the basis of free cash flow yields versus 10-year Treasury yields, as well as on a P/E basis versus value stocks. Many growth-rich but dividend-poor technology stocks are especially undervalued. After strong performance in the first half of 2012, we’ve seen the sector give some back, but the fundamentals still look attractive from both top-down and bottom-up perspectives.

We are also encouraged by trends in the U.S. and global convertible markets. Economic growth has supported increased issuance globally, and we continue to find attractively valued convertibles that offer the characteristics we seek – that is, a balance between equity participation and potential downside resilience.

Our Use of Leverage*

We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Fund’s distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage would be advantageous given the economic environment, specifically the low borrowing costs we were able to secure. Overall, our use of leverage contributed favorably to the returns of the Fund, as the performance of the Fund’s holdings exceeded the costs of our borrowing activities.

Consistent with our focus on risk management, we have employed techniques to hedge against a rise in interest rates. We have used interest rate swaps to manage the borrowing costs associated with our leverage activities. Interest rate swaps allow us to “lock down” an interest rate we believe to be attractive. Although rates are at historically low levels across much of the fixed income market, history has taught us that rates can rise quickly, in some cases, in a matter of months. We believe that the Fund’s use of interest rate swaps is beneficial because it provides a degree of protection should a rise in rates occur.

A Global, Long-Term Perspective

Despite our broadly constructive outlook for equities and the global economy, we expect continued choppiness in the markets, and would not be surprised to see the equity market correct off recent highs, with

 

* Leverage creates risks that may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing.
 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     3   


 

Letter to Shareholders

 

 

overpriced sectors potentially coming under particular pressure. We believe this can create new buying opportunities, and we are carefully assessing opportunities across industries.

In this environment, we believe that maintaining long-term focus, global perspective and a commitment to diversified asset allocation are vital to investing success. We recognize that our role is to understand and adapt to the markets we are in, and we believe that our experience, proprietary research and active approach position us well in this regard. We continue to enhance our team and our approach, adding new resources, including a dedicated value investing team, additional specialized team members and more risk management capabilities.

If you would like any additional information about this Fund or our other closed-end offerings, please contact your financial advisor or our client services team at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time), or visit us at www.calamos.com. We thank you for your continued trust.

Sincerely,

LOGO

John P. Calamos, Sr.

CEO and Global Co-CIO,

Calamos Advisors LLC

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

 

1 The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. Source: Lipper, Inc.

 

2 The MSCI World Index (U.S. Dollars) is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. Source: Lipper, Inc.

 

3 The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide.

 

4 The BofA Merrill Lynch All U.S. Convertibles Ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles.

 

5 The Credit Suisse High Yield Index is an unmanaged index of approximately 1,600 issues with an average maturity range of seven to ten years with a minimum capitalization of $75 million. The Index is considered generally representative of the U.S. market for high yield bonds.

 

6 The Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. Source: Lipper, Inc.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed.

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

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

 

 

4   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

The Calamos Closed-End Funds: An Overview

 

 

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

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

 

Portfolios Positioned to Pursue High Current Income from Income and Capital Gains    Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential
OBJECTIVE: U.S. ENHANCED FIXED INCOME    OBJECTIVE: GLOBAL TOTAL RETURN

Calamos Convertible Opportunities and Income Fund

(Ticker: CHI)

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

  

Calamos Global Total Return Fund
(Ticker: CGO)

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

     OBJECTIVE: U.S. TOTAL RETURN

Calamos Convertible and High Income Fund

(Ticker: CHY)

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

  

Calamos Strategic Total Return Fund

(Ticker: CSQ)

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

OBJECTIVE: GLOBAL ENHANCED FIXED INCOME     

Calamos Global Dynamic Income Fund
(Ticker: CHW)

Invests in global fixed income securities, alternative investments and equities

  

Our Level Rate Distribution Policy

Closed-end fund investors often look for a steady stream of income. Recognizing this, Calamos closed-end funds have a level rate distribution policy in which we aim to keep monthly income consistent through the disbursement of net investment income, net realized short-term capital gains and, if necessary, return of capital. We set distributions at levels that we believe are sustainable for the long term. Our team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment. The funds’ distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.

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

For more information on our level rate distribution policy, please see page 34.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     5   


 

Investment Team Discussion

 

 

 

TOTAL RETURN* AS OF 4/30/13  

Common Shares – Inception 6/27/07

  

     6 Months     1 Year     Since
Inception**
 

On Market Price

    11.50%        12.69%        1.16%   

On NAV

    8.86%        11.86%        3.14%   

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

**Annualized since inception.

       

  

 

SECTOR WEIGHTINGS  

Information Technology

    16.5

Energy

    15.4   

Health Care

    11.5   

Industrials

    10.9   

Consumer Discretionary

    10.5   

Financials

    10.0   

Consumer Staples

    7.8   

Materials

    6.2   

Telecommunication Services

    5.1   

Utilities

    2.3   

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

 

GLOBAL DYNAMIC INCOME FUND

INVESTMENT TEAM DISCUSSION

The Fund’s Investment Team discusses strategy, performance and positioning for the six-month period ended April 30, 2013.

Q  To provide a context for its performance, please discuss the Fund’s strategy and role within an asset allocation.

A.  Calamos Global Dynamic Income Fund (CHW) is a global enhanced fixed-income offering that seeks to provide an attractive monthly distribution, with a secondary objective of capital appreciation. We believe it offers a diversified way to participate in the long-term potential of global markets.

In this portfolio, we are drawing upon our team’s wide-ranging experience in an array of asset classes. We utilize a highly flexible approach, and can invest in equities, convertible securities and high-yield securities. We also can employ alternative strategies such as covered call writing and convertible arbitrage. Through covered call writing, we seek to generate income by selling (“writing”) options on market indexes. In the convertible arbitrage strategy, we invest in convertible securities and short sell the convertibles’ underlying equities to generate income and hedge against risk.

We believe that this broad mandate enhances our ability to capitalize on market volatility, manage potential downside risks and generate more income versus traditional fixed-income funds. The allocation to each asset class and strategy is dynamic, and reflects our view of the economic landscape as well as the potential of individual securities. By combining asset classes and strategies, we believe the Fund is well positioned to generate income and capital gains. The broader range of security types also provides us with increased opportunities to manage the risk and reward characteristics of the Fund over full market cycles.

We invest in both U.S. and non-U.S. companies, with at least 40% of assets invested in non-U.S. companies. We emphasize companies with reliable debt servicing, respectable balance sheets, and sustainable prospects for growth. Regardless of a company’s country of domicile, we favor where possible companies with geographically diversified revenue streams and global business strategies.

 

 

 

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/13

 

 

LOGO

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

 

 

6   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Investment Team Discussion

 

 

Q.  How did the Fund perform over the reporting period?

A.  The Fund gained 8.86% on a net asset value (NAV) basis for the six-month period ended April 30, 2013. On a market price basis, the Fund returned 11.50%. On both a

NAV and market price basis, the Fund’s returns surpassed the broader global fixed income and equity markets, with the BofA Merrill Lynch All-Convertible Index gaining 12.69% and the MSCI World Index rising 13.14%.

Q.  How do NAV and market price return differ?

A.  Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings. A fund’s NAV return measures the return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance.

Q.  The Fund is currently trading at a discount to its NAV. Please discuss this discount.

A.  As of the close of the reporting period, the Fund was trading at a discount of 6.48%. This means that its market share price is 6.48% less than its NAV price. At the beginning of the reporting period, the Fund was trading at a discount of 8.69%. As we have noted in the past, we believe that this may be favorable for long-term investors seeking to purchase shares because investors can buy shares of the portfolio at a price that is lower than the fair value of the portfolio, as measured by its NAV.

Q.  Please discuss the Fund’s distributions during the annual period.

A.  We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund provided a steady distribution stream over the period. Monthly distributions were $0.0620 per share. The Fund’s annual distribution rate was 8.18% of market price as of April 30, 2013.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2013, the dividend yield of S&P 500 Index stocks averaged 2.08%. Yields also remained low within the U.S. government bond market, with 10-year U.S. Treasurys and 30-year U.S. Treasurys yielding 1.70% and 2.88%, respectively.

Q  What factors influenced performance over the reporting period?

A.  Consistent with their demand for yield, investors gravitated towards more defensive, higher dividend paying stocks as they invested in the equity markets during the period. Although our equity and convertible exposure participated in the improving stock markets, our holdings in fixed income securities reduced the Fund’s returns relative to the general equity market index.

During the period, high yield bonds performed strongly as credit spreads tightened in the space by 108 basis points as measured by J.P. Morgan. As spreads narrowed due to demand for income coupled with an improving equity market, yields on high yield

 

ASSET ALLOCATION AS OF 4/30/13

 

LOGO

Fund asset allocations are based on total investments and may vary over time.

 

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     7   


 

Investment Team Discussion

 

 

bonds fell to historic lows. Lower credit qualities in the high yield space were outperformers as investors’ demand for yield inspired interest in the CCC-rated tier. However, given our more conservative approach to managing the high yield space, we did not participate in the gains that exposure to these types of securities would have provided.

Global equities delivered strong gains over the period, amid strengthening economic data within the U.S. and Japan; Europe, however, continued to project uncertainty. The Fund’s exposure to convertibles as a risk-managed and income-generating approach to these markets mitigated full participation in the equity market upside during the period. In addition, the Fund’s emphasis on higher-quality companies with stronger balance sheets, greater capital efficiency and relatively higher growth profiles did not optimize returns. Conversely, investors’ demand for dividend yield, as opposed to growth, favored defensive stocks. Regardless, we continue to believe that global equity valuations, long-term secular trends and our cautiously optimistic macroeconomic views support the positioning of the Fund.

Specifically, as related to the Fund’s domestic equity sleeve, underweight positions in the utilities and materials sectors were beneficial to returns. The Fund’s overweight in information technology hampered performance, as did an underweight position and security selection related to the consumer discretionary sector.

With respect to the Fund’s international equity sleeve, performance benefited from strong security selection in the consumer discretionary sector, as holdings in the apparel and general merchandise industries strongly outperformed. An underweight position in utilities was also supportive to returns. The Fund’s underweight positions in the Japanese yen and British pound sterling were supportive to returns, as these currencies weakened versus the U.S. dollar during the reporting period. An overweight position and security selection within the materials sector detracted from returns, as Fund holdings in gold mining companies underperformed. An underweight position and security selection in the financials sector also held back returns, as a lack of exposure to the strong diversified and regional banks industry contributed to underperformance. From a geographic standpoint, an underweight position in Japan and an overweight to Canada relative to the index also detracted from performance.

With respect to the Fund’s global securities sleeve, an underweight position and security selection in materials was supportive to returns, as convertible holdings in gold mining performed better than the equities in the index. Security selection in the consumer discretionary sector detracted from performance, as the Fund’s names in the automobile manufacturers and auto parts and equipment industries hampered results. Security selection in health care also detracted from returns.

The Fund’s convertible arbitrage strategy performed well, benefiting from the rising equity market during the period.

Q.  How is the Fund positioned?

A.  Given our view of improving global economic growth and attractive valuations, we continue to position the portfolio cautiously. We have maintained significant investments in higher secular growth businesses, such as those in the information technology and health care sectors. We continue to favor companies with diversified global operations and the ability to access growth in emerging markets. We are anticipating periods of volatility within the global markets, and therefore maintain a strong focus on risk management.

 

8   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Investment Team Discussion

 

 

The Fund’s weighting in telecommunication services increased during the period, as we continue to see opportunities in the sector as the global economy slowly grows. We reduced exposure to the materials sector, but increased the Fund’s positions in industrials and financials, as we see income and growth opportunities in these sectors as the global economic recovery continues. An improvement in the housing market should benefit financials as well.

The average credit quality of the portfolio is higher than that of the Credit Suisse High Yield Index. This is typical for the Fund, as our credit process tends to guide us away from the most speculative corporate securities. We currently view the lowest credit tiers of the market as less attractive given their pricing and our outlook for a slower-growth global economy. We do not see ample returns for taking on higher credit risk. We continue to believe that convertible exposure is advantageous in garnering risk-managed equity returns, while contemporaneously receiving income.

Q.  What is your outlook for the Fund?

A.  Our global outlook remains cautiously optimistic and we expect the economic recovery to continue at an uneven pace over the next several quarters. We believe global equity valuations and growth prospects remain attractive going forward, as the global economy shows signs of slow but positive growth. A recovering housing sector and rising equity markets have led to increased auto sales and higher confidence levels in the U.S., underscoring the resiliency of the consumer. We have also seen evidence of equities being used as bond substitutes, with equity dividend yields outpacing those found in corporate bonds in some cases.

We are encouraged by trends in the U.S. and global convertible markets. Economic growth has supported increased issuance globally, and we see this as positive for the Fund. We continue to find attractively valued convertibles that offer the characteristics we seek by striking a balance between equity participation and potential downside protection. Although we are constructive on equities and the global economy, we see persistent choppiness in the market—an environment that underscores the benefits of access to convertibles as an investment strategy.

In the fixed income market, many high yield issuers look well positioned for the future, having taken advantage of low rates to reduce borrowing costs. We continue to favor mid-grade corporate credits and bonds with moderate durations, as history has shown that interest rate increases can move quickly.

Outside the U.S., we are closely monitoring euro zone GDP and tensions between the haves and have-nots, as the bailout-austerity cycle continues to be complex. Within the emerging markets, growth targets remain well above those in developed economies, but selected tighter monetary policies could create near-term headwinds for growth. We believe timing when to enter and exit global markets is extremely difficult. We expect policy uncertainty and market fluctuations to continue, but modest global economic growth, attractive valuations and robust secular themes support our active and risk-aware approach to investing in equity and equity-sensitive markets.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     9   


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
  CORPORATE BONDS (39.5%)   
    Consumer Discretionary (7.0%)   
    American Axle & Manufacturing, Inc.  
  1,550,000        6.625%, 10/15/22m^   $ 1,660,438   
  450,000        6.250%, 03/15/21     476,156   
  1,400,000        Coinstar, Inc.m*
6.000%, 03/15/19
    1,453,375   
  556,000        Cooper Tire & Rubber Companym
8.000%, 12/15/19
    645,655   
  4,180,000        Dana Holding Corp.m^
6.750%, 02/15/21
    4,603,225   
    DISH Network Corp.m  
  1,940,000        5.875%, 07/15/22     1,980,012   
  1,480,000        5.125%, 05/01/20*     1,468,900   
  500,000        7.875%, 09/01/19     570,313   
  900,000        Dufry Finance, SCAm*
5.500%, 10/15/20
    948,938   
    Goodyear Tire & Rubber Companym^  
  4,714,000        8.250%, 08/15/20     5,288,519   
  1,000,000        7.000%, 05/15/22     1,085,625   
    Jaguar Land Rover Automotive, PLCm*  
  4,000,000        8.125%, 05/15/21     4,565,000   
  600,000        5.625%, 02/01/23^     630,000   
  2,000,000        L Brands, Inc.m
6.950%, 03/01/33
    2,118,750   
  2,000,000        Liberty Interactive, LLCm
8.500%, 07/15/29
    2,236,250   
    Meritage Homes Corp.m  
  1,812,000        7.000%, 04/01/22     2,050,957   
  800,000        7.150%, 04/15/20     906,500   
  2,000,000        MGM Resorts Internationalm
7.500%, 06/01/16
    2,250,000   
  2,210,000        Royal Caribbean Cruises, Ltd.m
7.500%, 10/15/27
    2,520,781   
  960,000        Ryland Group, Inc.m
5.375%, 10/01/22
    998,400   
  200,000        Sally Holdings, LLCm
5.750%, 06/01/22
    215,750   
  1,000,000        Service Corp. Internationalm
8.000%, 11/15/21
    1,225,000   
  41,000        Wolverine World Wide, Inc.m*
6.125%, 10/15/20
    44,664   
     

 

 

 
        39,943,208   
     

 

 

 
    Consumer Staples (1.1%)   
  550,000        Elizabeth Arden, Inc.m
7.375%, 03/15/21
    616,344   
  4,963,000        Post Holdings, Inc.m
7.375%, 02/15/22
    5,518,235   
     

 

 

 
        6,134,579   
     

 

 

 
    Energy (9.2%)   
  6,000,000      NOK   Aker Solutions, ASA‡
6.120%, 06/06/17
    1,074,309   
  1,506,000        Atwood Oceanics, Inc.m
6.500%, 02/01/20
    1,647,187   
PRINCIPAL
AMOUNT
              VALUE  
  1,500,000        Berry Petroleum Companym
6.375%, 09/15/22
  $ 1,606,875   
  749,000        Bristow Group, Inc.m
6.250%, 10/15/22
    816,878   
  2,500,000        Calfrac Holdings, LPm*
7.500%, 12/01/20
    2,564,062   
    Calumet Specialty Products, LPm  
  3,000,000        9.375%, 05/01/19     3,362,500   
  500,000        9.625%, 08/01/20*     572,188   
    Carrizo Oil & Gas, Inc.m  
  2,500,000        8.625%, 10/15/18     2,765,625   
  750,000        7.500%, 09/15/20^     809,531   
  2,000,000        Cimarex Energy Companym^
5.875%, 05/01/22
    2,185,000   
  1,200,000        Drill Rigs Holdings, Inc.m^*
6.500%, 10/01/17
    1,214,250   
  3,000,000        Gulfmark Offshore, Inc.m
6.375%, 03/15/22
    3,140,625   
  1,000,000        Holly Energy Partners, LPm
6.500%, 03/01/20
    1,085,000   
  800,000        Hornbeck Offshore Services, Inc.m
5.875%, 04/01/20
    842,500   
    Linn Energy, LLCm  
  3,000,000        7.750%, 02/01/21     3,285,000   
  1,000,000        6.250%, 11/01/19*     1,044,375   
    Oasis Petroleum, Inc.m  
  1,940,000        6.500%, 11/01/21     2,142,487   
  1,250,000        6.875%, 01/15/23     1,385,938   
  400,000        Oil States International, Inc.m*
5.125%, 01/15/23
    411,500   
  800,000        Petroleum Geo-Services, ASAm*
7.375%, 12/15/18
    898,000   
  880,000        Pioneer Energy Services Corp.m
9.875%, 03/15/18
    964,700   
  3,500,000        Samson Investment Companym*
9.750%, 02/15/20
    3,716,562   
  4,000,000        SEACOR Holdings, Inc.m
7.375%, 10/01/19
    4,450,000   
  2,000,000        SESI, LLCm
7.125%, 12/15/21
    2,277,500   
  1,200,000        Swift Energy Companym
8.875%, 01/15/20
    1,305,750   
  900,000        Tesoro Logistics, LPm^*
5.875%, 10/01/20
    968,063   
  750,000        Trinidad Drilling, Ltd.m*
7.875%, 01/15/19
    815,156   
  4,500,000        W&T Offshore, Inc.m
8.500%, 06/15/19
    4,938,750   
  700,000        Western Refining, Inc.m*
6.250%, 04/01/21
    725,813   
     

 

 

 
        53,016,124   
     

 

 

 
    Financials (1.9%)   
  2,335,000        AON Corp.m
8.205%, 01/01/27
    3,064,921   
 

 

10   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
  1,200,000        Jefferies Finance, LLC*
7.375%, 04/01/20
  $ 1,241,250   
  4,000,000        Neuberger Berman Group LLCm*
5.875%, 03/15/22
    4,305,000   
    Nuveen Investments, Inc.m^*  
  550,000        9.500%, 10/15/20     586,782   
  550,000        9.125%, 10/15/17     582,656   
  1,070,000        Omega Healthcare Investors, Inc.m
5.875%, 03/15/24
    1,171,650   
     

 

 

 
        10,952,259   
     

 

 

 
    Health Care (4.5%)  
  4,000,000        Community Health Systems, Inc.m^
7.125%, 07/15/20
    4,502,500   
  2,000,000        Endo Health Solutions, Inc.~
7.000%, 07/15/19
    2,197,500   
  2,520,000        Hologic, Inc.m
6.250%, 08/01/20
    2,724,750   
  4,000,000        Teleflex, Inc.m
6.875%, 06/01/19
    4,380,000   
    Valeant Pharmaceuticals International, Inc.m*  
  3,800,000        7.250%, 07/15/22     4,327,250   
  1,300,000        7.000%, 10/01/20     1,443,812   
  5,569,000        Warner Chilcott Company, LLCm
7.750%, 09/15/18
    6,063,249   
     

 

 

 
        25,639,061   
     

 

 

 
    Industrials (4.2%)  
  3,300,000        Belden, Inc.m*
5.500%, 09/01/22
    3,413,437   
  1,300,000        Deluxe Corp.*
6.000%, 11/15/20
    1,357,687   
  688,000        Dycom Investments, Inc.m
7.125%, 01/15/21
    752,070   
  1,530,000        H&E Equipment Services, Inc.
7.000%, 09/01/22
    1,702,125   
  1,935,000        Mead Products, LLC/ ACCO Brand Corp.m*
6.750%, 04/30/20
    2,059,566   
  1,800,000        Navistar International Corp.m^
8.250%, 11/01/21
    1,876,500   
  3,000,000        Rexel, SAm*
6.125%, 12/15/19
    3,225,000   
  1,120,000        RR Donnelley & Sons Companym^
7.875%, 03/15/21
    1,224,300   
    Terex Corp.m  
  1,540,000        6.500%, 04/01/20^     1,676,675   
  1,020,000        6.000%, 05/15/21     1,096,500   
  450,000        Titan International, Inc.m*
7.875%, 10/01/17
    494,438   
  837,000        TransDigm Group, Inc.m
7.750%, 12/15/18
    929,070   
  4,000,000        United Rentals North America, Inc.m
7.625%, 04/15/22
    4,572,500   
     

 

 

 
        24,379,868   
     

 

 

 
PRINCIPAL
AMOUNT
              VALUE  
     
    Information Technology (4.4%)  
    Amkor Technology, Inc.m^  
  800,000        6.375%, 10/01/22   $ 823,000   
  707,000        6.625%, 06/01/21     733,513   
  2,000,000        Hughes Satellite Systems Corp.m
7.625%, 06/15/21
    2,295,000   
  5,472,000        iGATE Corp.m^
9.000%, 05/01/16
    5,981,580   
  2,500,000        Nuance Communications, Inc.m*
5.375%, 08/15/20
    2,573,437   
  1,000,000        NXP BVm^*
5.750%, 03/15/23
    1,050,625   
  3,500,000        Sanmina Corp.*
7.000%, 05/15/19
    3,720,937   
    Seagate Technology, PLCm^  
  2,000,000        7.000%, 11/01/21     2,210,000   
  1,250,000        6.875%, 05/01/20     1,367,969   
  1,210,000        SunGard Data Systems, Inc.m^*
6.625%, 11/01/19
    1,281,844   
  3,000,000        ViaSat, Inc.m
6.875%, 06/15/20
    3,279,375   
     

 

 

 
        25,317,280   
     

 

 

 
    Materials (3.2%)  
  400,000        Ardagh Packaging Finance, PLCm^*
7.000%, 11/15/20
    419,750   
  4,500,000        FMG Resourcesm^*
8.250%, 11/01/19
    4,952,812   
    Inmet Mining Corp.*  
  900,000        8.750%, 06/01/20     969,188   
  350,000        7.500%, 06/01/21m^     366,188   
    New Gold, Inc.m*  
  3,000,000        7.000%, 04/15/20     3,172,500   
  750,000        6.250%, 11/15/22     774,375   
    Sealed Air Corp.m*  
  1,290,000        8.125%, 09/15/19     1,478,662   
  530,000        5.250%, 04/01/23     544,244   
    Steel Dynamics, Inc.*  
  941,000        6.125%, 08/15/19     1,034,512   
  500,000        5.250%, 04/15/23m     516,875   
  450,000        6.375%, 08/15/22m     494,719   
  1,730,000        Trinseo Op/ Trinseo Finance, Inc.m^*
8.750%, 02/01/19
    1,738,650   
  1,635,000        United States Steel Corp.m^
6.875%, 04/01/21
    1,697,334   
     

 

 

 
        18,159,809   
     

 

 

 
    Telecommunication Services (1.6%)  
  1,563,000        Frontier Communications Corp.m
7.625%, 04/15/24
    1,635,289   
    Intelsat, SA*  
  3,260,000        7.750%, 06/01/21     3,447,450   
  220,000        8.125%, 06/01/23m^     234,575   
    MetroPCS Wireless, Inc.m*  
  3,230,000        6.625%, 04/01/23     3,470,231   
  400,000        6.250%, 04/01/21^     429,000   
     

 

 

 
        9,216,545   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     11   


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

PRINCIPAL
AMOUNT
              VALUE  
     
    Utilities (2.4%)  
  1,050,000        AES Corp.m
7.375%, 07/01/21
  $ 1,246,219   
  5,500,000        AmeriGas Finance Corp.m^
7.000%, 05/20/22
    6,160,000   
    Calpine Corp.m^*  
  4,500,000        7.875%, 01/15/23     5,130,000   
  981,000        7.500%, 02/15/21     1,104,851   
     

 

 

 
        13,641,070   
     

 

 

 
    TOTAL CORPORATE BONDS
(Cost $210,940,014)
    226,399,803   
     

 

 

 
     
  CONVERTIBLE BONDS (15.0%)   
    Consumer Discretionary (1.8%)  
  4,000,000        Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)*§
0.750%, 03/30/43
    4,149,220   
  2,000,000        MGM Resorts Internationalm
4.250%, 04/15/15
    2,220,340   
  670,000        Standard Pacific Corp.m
1.250%, 08/01/32
    891,713   
  2,300,000      EUR   Volkswagen International Finance, NV*
5.500%, 11/09/15
    3,146,846   
     

 

 

 
        10,408,119   
     

 

 

 
    Energy (2.6%)   
  3,115,700      EUR   CGGVeritas
1.750%, 01/01/16
    1,173,651   
  2,000,000        Chesapeake Energy Corp.
2.750%, 11/15/35
    2,023,730   
  1,450,000        Exterran Holdings, Inc.m
4.250%, 06/15/14
    1,818,032   
  800,000        Hornbeck Offshore Services, Inc.m
1.625%, 11/15/26
    855,200   
  1,000,000        Newpark Resources, Inc.m
4.000%, 10/01/17
    1,252,950   
  3,100,000        Subsea 7, SAm
2.250%, 10/11/13
    3,309,820   
    Technip, SA  
  1,950,000      EUR   0.500%, 01/01/16m     2,525,687   
  1,150,000      EUR   0.250%, 01/01/17     1,641,418   
     

 

 

 
        14,600,488   
     

 

 

 
    Financials (2.8%)   
  1,000,000        Affiliated Managers Group, Inc.m
3.950%, 08/15/38
    1,254,890   
    Ares Capital Corp.m  
  2,300,000        4.750%, 01/15/18*     2,426,695   
  1,278,000        5.750%, 02/01/16     1,406,663   
  1,100,000        IAS Operating Partnership, LP*
5.000%, 03/15/18
    1,113,535   
    Industrivarden, AB  
  3,700,000      EUR   1.875%, 02/27/17     5,374,191   
  1,050,000      EUR   2.500%, 02/27/15     1,766,163   
PRINCIPAL
AMOUNT
              VALUE  
  1,500,000        ProLogis, LPm
3.250%, 03/15/15
  $ 1,808,820   
  1,000,000        Starwood Property Trust, Inc.m
4.550%, 03/01/18
    1,109,275   
     

 

 

 
        16,260,232   
     

 

 

 
    Health Care (3.0%)   
  17,460,000      SEK   Elekta, AB
2.750%, 04/25/17
    3,410,756   
  1,500,000        Hologic, Inc.m
2.000%, 12/15/37
    1,713,570   
  2,000,000        LifePoint Hospitals, Inc.m^
3.500%, 05/15/14
    2,172,850   
  1,600,000        Salix Pharmaceuticals, Ltd.m
1.500%, 03/15/19
    1,740,952   
  3,150,000        Shire, PLC
2.750%, 05/09/14
    3,439,439   
  3,800,000        WellPoint, Inc.m^*
2.750%, 10/15/42
    4,562,432   
     

 

 

 
        17,039,999   
     

 

 

 
    Industrials (1.2%)   
  4,800,000      EUR   Deutsche Post, AG
0.600%, 12/06/19
    7,112,025   
     

 

 

 
    Information Technology (3.0%)   
  3,200,000      EUR   Cap Gemini, SA
3.500%, 01/01/14
    1,617,179   
  3,000,000        Ciena Corp.m^*
3.750%, 10/15/18
    3,332,325   
  1,500,000        Mentor Graphics Corp.m
4.000%, 04/01/31
    1,777,057   
  575,000        Nuance Communications, Inc.m^
2.750%, 11/01/31
    600,665   
  300,000        Photronics, Inc.m
3.250%, 04/01/16
    331,955   
  3,800,000        Salesforce.com, Inc.*
0.250%, 04/01/18
    3,823,408   
  4,900,000        SK Hynix, Inc.
2.650%, 05/14/15
    5,561,745   
     

 

 

 
        17,044,334   
     

 

 

 
    Telecommunication Services (0.6%)   
  3,300,000        Billion Express Investments, Ltd.
0.750%, 10/18/15
    3,410,517   
     

 

 

 
    TOTAL CONVERTIBLE BONDS
(Cost $84,244,637)
    85,875,714   
     

 

 

 
     
  U.S. GOVERNMENT AND AGENCY SECURITY (0.5%)   
  2,800,000       

United States Treasury Note~

1.750%, 01/31/14
(Cost $2,833,088)

    2,834,235   
     

 

 

 
     
 

 

12   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  CONVERTIBLE PREFERRED STOCKS (5.9%)   
    Consumer Discretionary (0.7%)   
  83,000        General Motors Company^
4.750%
  $ 3,857,840   
     

 

 

 
    Consumer Staples (0.3%)   
  16,750        Bunge, Ltd.m^
4.875%
    1,762,938   
     

 

 

 
    Energy (1.2%)   
    Chesapeake Energy Corp.*  
  5,006        5.750%     5,074,832   
  1,500        5.750%     1,508,813   
     

 

 

 
        6,583,645   
     

 

 

 
    Financials (1.7%)   
  65,000        Affiliated Managers Group, Inc.
5.150%
    3,505,937   
  25,000        Fifth Third Bancorp
8.500%
    3,693,500   
  13,600        MetLife, Inc.
5.000%
    682,040   
  1,600        Wells Fargo & Companym
7.500%
    2,111,600   
     

 

 

 
        9,993,077   
     

 

 

 
    Industrials (1.5%)   
  148,500        United Technologies Corp.m^
7.500%
    8,782,290   
     

 

 

 
    Telecommunication Services (0.2%)   
  23,001        Intelsat, SA
5.750%
    1,265,055   
     

 

 

 
    Utilities (0.3%)  
  32,000        NextEra Energy, Inc.
5.599%
    1,834,400   
     

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $32,918,325)
    34,079,245   
     

 

 

 
     
  COMMON STOCKS (69.6%)   
    Consumer Discretionary (4.7%)  
  10,500        Amazon.com, Inc.#     2,665,005   
  38,500        Carnival Corp.m     1,328,635   
  400,000      AUD   Harvey Norman Holdings, Ltd.m     1,245,274   
  14,800        Home Depot, Inc.     1,085,580   
  13,500        Las Vegas Sands Corp.     759,375   
  10,800        McDonald’s Corp.     1,103,112   
  14,600        Nike, Inc. - Class B     928,560   
  83,000      JPY   Panasonic Corp.     598,171   
  9,000      EUR   Porsche Automobil Holding, SEm     706,727   
  1,100        Priceline.com, Inc.m^#     765,589   
  30,000        Starbucks Corp.m^     1,825,200   
  14,950      CHF   Swatch Group, AG     8,577,122   
NUMBER OF
SHARES
              VALUE  
  15,000        TJX Companies, Inc.   $ 731,550   
  31,000      JPY   Toyota Motor Corp.     1,799,173   
  46,800        Walt Disney Companym     2,940,912   
     

 

 

 
        27,059,985   
     

 

 

 
    Consumer Staples (9.2%)  
  71,500      EUR   Anheuser-Busch InBev, NV^     6,869,048   
  77,800        Coca-Cola Companym     3,293,274   
  137,000      BRL   Companhia de Bebidas das Americas     5,669,674   
  25,000        Costco Wholesale Corp.     2,710,750   
  106,500      EUR   Danone, SA^     8,122,561   
  130,800      GBP   Diageo, PLCm     3,994,317   
  160,500      CHF   Nestlé, SA     11,445,657   
  11,000        Philip Morris International, Inc.     1,051,490   
  119,100      GBP   SABMiller, PLC     6,426,309   
  42,000        Wal-Mart Stores, Inc.m     3,264,240   
     

 

 

 
        52,847,320   
     

 

 

 
    Energy (7.9%)  
  875,000      GBP   BP, PLC     6,340,377   
  10,300        Cameron International Corp.^#     633,965   
  19,500        Chevron Corp.m     2,379,195   
  2,175,000      HKD   CNOOC, Ltd.     4,073,928   
  40,000        ConocoPhillipsm     2,418,000   
  23,500        Devon Energy Corp.m     1,293,910   
  95,000      EUR   ENI, S.p.A.m     2,267,309   
  180,000      CAD   Ensign Energy Services, Inc.     3,030,225   
  10,500        EOG Resources, Inc.     1,272,180   
  40,500        Exxon Mobil Corp.m     3,604,095   
  24,000        Noble Corp.m     900,000   
  57,500      NOK   Petroleum Geo-Services, ASA     844,814   
  20,000        Phillips 66m     1,219,000   
  82,300      GBP   Royal Dutch Shell, PLCm     2,801,926   
  33,300        Schlumberger, Ltd.m     2,478,519   
  73,000      CAD   Suncor Energy, Inc.m     2,275,974   
  34,000      EUR   Technip, SA^     3,646,852   
  74,000      EUR   TOTAL, SA     3,724,944   
     

 

 

 
        45,205,213   
     

 

 

 
    Financials (7.1%)  
  440,000      GBP   Aberdeen Asset Management, PLC     3,071,336   
  20,500        Allstate Corp.     1,009,830   
  4,000        American International Group, Inc.m#     165,680   
  95,000      AUD   ASX, Ltd.     3,704,025   
  105,000        Bank of America Corp.m     1,292,550   
  41,000        Bank of New York Mellon Corp.m     1,157,020   
  23,000        Blackstone Group, LP     472,650   
  18,961        Citigroup, Inc.     884,720   
  29,000      EUR   Deutsche Böerse, AG     1,812,387   
  20,000        Franklin Resources, Inc.m     3,093,200   
 

 

See accompanying Notes to Schedule of Investments   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     13   


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  11,600        Goldman Sachs Group, Inc.m^   $ 1,694,412   
  19,000        Hartford Financial Services Group, Inc.m     533,710   
  4,400        IntercontinentalExchange, Inc.m^#     716,892   
  77,500        JPMorgan Chase & Companym     3,798,275   
  80,000      CHF   Julius Baer Group, Ltd.#     3,189,150   
  99,000        Manulife Financial Corp.m     1,463,220   
  25,598        MetLife, Inc.m     998,066   
  98,000      CAD   Power Financial Corp.m     2,894,913   
  8,500        Prudential Financial, Inc.m     513,570   
  48,500        T. Rowe Price Group, Inc.m     3,516,250   
  58,000        Wells Fargo & Company     2,202,840   
  8,300      CHF   Zurich Insurance Group, AGm#     2,319,366   
     

 

 

 
        40,504,062   
     

 

 

 
    Health Care (8.1%)  
  17,000        Abbott Laboratories     627,640   
  17,000        AbbVie, Inc.     782,850   
  22,000        Amgen, Inc.     2,292,620   
  5,000        Celgene Corp.#     590,350   
  52,700        Covidien, PLC     3,364,368   
  34,250        Eli Lilly and Companym     1,896,765   
  28,400        Gilead Sciences, Inc.m^#     1,438,176   
  26,700        Johnson & Johnsonm     2,275,641   
  42,000        Medtronic, Inc.m     1,960,560   
  34,000        Merck & Company, Inc.     1,598,000   
  98,700      CHF   Novartis, AG     7,306,523   
  71,100      DKK   Novo Nordisk, A/S - Class B     12,515,365   
  121,800        Pfizer, Inc.m     3,540,726   
  25,000      CHF   Roche Holding, AGm     6,258,515   
     

 

 

 
        46,448,099   
     

 

 

 
    Industrials (7.7%)  
  270,000      CHF   ABB, Ltd.#     6,122,764   
  54,000      EUR   ALSTOM     2,217,681   
  610,000      GBP   BAE Systems, PLC     3,562,823   
  35,000      EUR   Bouygues, SA^     978,001   
  12,700        Caterpillar, Inc.     1,075,309   
  37,300        Eaton Corp., PLC     2,290,593   
  23,500        Fluor Corp.m^     1,339,030   
  242,500        General Electric Companym     5,405,325   
  41,000        Honeywell International, Inc.m     3,015,140   
  75,000      JPY   Komatsu, Ltd.     2,054,848   
  136,000      EUR   Koninklijke Philips Electronics, NVm     3,764,216   
  47,000      EUR   Krones, AG     3,273,727   
  14,000      EUR   Nexans, SAm     643,302   
  63,500      EUR   Siemens, AGm     6,634,927   
  5,000        Union Pacific Corp.m^     739,800   
  8,300        United Technologies Corp.     757,707   
     

 

 

 
        43,875,193   
     

 

 

 
NUMBER OF
SHARES
              VALUE  
     
    Information Technology (14.9%)   
  109,000        Accenture, PLC - Class Am   $ 8,876,960   
  18,300        Apple, Inc.m     8,102,325   
  25,000        CA, Inc.m     674,250   
  60,000      JPY   Canon, Inc.     2,157,871   
  29,500      EUR   Cap Gemini, SA     1,360,131   
  65,500        Check Point Software Technologies, Ltd.m^#     3,053,610   
  9,500        Cognizant Technology Solutions Corp. - Class A#     615,600   
  61,000        eBay, Inc.m#     3,195,790   
  6,250        Google, Inc.m#     5,153,562   
  27,000        Infosys, Ltd.m^     1,126,980   
  435,000      SEK   LM Ericsson Telephone Company     5,409,822   
  85,000      CHF   Logitech International, SAm#     541,988   
  2,000        MasterCard, Inc. - Class A     1,105,860   
  75,000        Microsoft Corp.m     2,482,500   
  6,428        Motorola Solutions, Inc.m     367,681   
  20,400      JPY   Nintendo Company, Ltd.m     2,251,602   
  580,000      EUR   Nokia, OYJ^     1,948,620   
  92,000      JPY   Nomura Research Institute, Ltd.m     2,771,291   
  42,000        Oracle Corp.m     1,376,760   
  51,000        QUALCOMM, Inc.m     3,142,620   
  16,000        Salesforce.com, Inc.m^#     657,760   
  5,560      KRW   Samsung Electronics Company, Ltd.     7,689,594   
  165,800      EUR   SAP, AG     13,217,904   
  42,900      EUR   Software, AG^     1,503,454   
  75,000        Symantec Corp.m#     1,822,500   
  1,337,000      TWD   Taiwan Semiconductor Manufacturing Company, Ltd.     4,962,184   
     

 

 

 
        85,569,219   
     

 

 

 
    Materials (5.1%)   
  64,000      GBP   Anglo American, PLC     1,564,849   
  154,000      CAD   Barrick Gold Corp.     3,035,823   
  13,500        Cliffs Natural Resources, Inc.m     288,090   
  41,000        Dow Chemical Companyµ     1,390,310   
  135,000      CAD   Goldcorp, Inc.m     3,995,930   
  10,000        Mosaic Company     615,900   
  160,000      AUD   Newcrest Mining Ltd.m     2,802,947   
  51,000      GBP   Rio Tinto, PLCm     2,341,925   
  15,000      CHF   Syngenta, AGm     6,412,791   
  280,000      CAD   Yamana Gold, Inc.m     3,465,780   
  77,000      NOK   Yara International, ASAm     3,616,994   
     

 

 

 
        29,531,339   
     

 

 

 
    Telecommunication Services (4.5%)   
  187,000        América Móvil, SAB de CVm     3,998,060   
  145,000        AT&T, Inc.m     5,431,700   
  810,000      HKD   China Unicom Hong Kong, Ltd.     1,167,934   
  96,000      EUR   France Telecom, SAm     1,025,221   
 

 

14   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Schedule of Investments


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

NUMBER OF
SHARES
              VALUE  
  95,000      JPY   KDDI Corp.   $ 4,568,297   
  17,500      KRW   SK Telecom Company, Ltd.     3,080,435   
  2,157,000      GBP   Vodafone Group, PLCm     6,581,646   
     

 

 

 
        25,853,293   
     

 

 

 
    Utilities (0.4%)   
  10,500        Exelon Corp.m     393,855   
  45,801      EUR   GDF Suezm     981,988   
  29,000      EUR   RWE, AGm     1,045,139   
     

 

 

 
        2,420,982   
     

 

 

 
    TOTAL COMMON STOCKS
(Cost $461,699,079)
    399,314,705   
     

 

 

 
     
  SHORT TERM INVESTMENT (2.9%)   
  16,909,891        Fidelity Prime Money Market Fund - Institutional Class
(Cost $16,909,891)
    16,909,891   
     

 

 

 

 
 

      TOTAL INVESTMENTS (133.4%)
(Cost $809,545,034)

    765,413,593   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-33.4%)     (191,775,043
     

 

 

 
  NET ASSETS (100.0%)   $ 573,638,550   
     

 

 

 
     
  COMMON STOCKS SOLD SHORT (-0.7%)#   
    Consumer Discretionary (-0.1%)   
  (36,000     MGM Resorts International     (508,320
     

 

 

 
    Energy (-0.1%)   
  (57,827     Newpark Resources, Inc.     (607,183
     

 

 

 
    Health Care (-0.1%)   
  (15,100     LifePoint Hospitals, Inc.     (724,800
     

 

 

 
    Information Technology (-0.4%)   
  (92,500     Ciena Corp.     (1,383,800
  (40,000     Mentor Graphics Corp.     (730,400
  (13,220     Photronics, Inc.     (104,306
     

 

 

 
        (2,218,506
     

 

 

 
    TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $3,471,329)
    (4,058,809
     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

 

m Security, or portion of security, is held in a segregated account as collateral for notes payable aggregating a total value of $404,774,108. $95,847,703 of the collateral has been re-registered by the counterparty, BNP (see Note 8—Borrowings).

 

^ Security, or portion of security, is on loan.

 

* 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.

 

Variable rate or step bond security. The rate shown is the rate in effect at April 30, 2013.

 

~ 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 is $3,701,559.

 

§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified 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
NOK    Norwegian Krone
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.

 

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         $ (1,821,691
BNP Paribas, SA      1.140% quarterly      3 month LIBOR      03/14/17        34,000,000           (774,061
                        

 

 

 
                         $ (2,595,752
                        

 

 

 

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     15   


 

Schedule of Investments    April 30, 2013 (Unaudited)

 

 

 

CURRENCY EXPOSURE

APRIL 30, 2013

 

     VALUE      % OF TOTAL
INVESTMENTS
 
US Dollar   $ 486,226,148         63.9%   
European Monetary Unit     90,101,299         11.8%   
Swiss Franc     52,173,876         6.9%   
British Pound Sterling     36,685,508         4.8%   
Canadian Dollar     18,698,645         2.5%   
Japanese Yen     16,201,253         2.1%   
Danish Krone     12,515,365         1.6%   
South Korean Won     10,770,029         1.4%   
Swedish Krona     8,820,578         1.2%   
Australian Dollar     7,752,246         1.0%   
Brazilian Real     5,669,674         0.7%   
Norwegian Krone     5,536,117         0.7%   
Hong Kong Dollar     5,241,862         0.7%   
New Taiwanese Dollar     4,962,184         0.7%   
Total Investments Net of Common Stocks Sold Short   $ 761,354,784         100.0%   

Currency exposure may vary over time.

 

16   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


 

Statement of Assets and Liabilities    April 30, 2013 (Unaudited)

 

 

ASSETS

  

Investments in securities, at value (cost $809,545,034)

  $ 765,413,593   

Cash with custodian (interest bearing)

    584,794   

Restricted cash for short positions (interest bearing)

    3,765,594   

Foreign currency (cost $163,831)

    165,586   

Receivables:

 

Accrued interest and dividends

    6,207,040   

Investments sold

    5,965,912   

Prepaid expenses

    33,912   

Other assets

    102,885   

Total assets

    782,239,316   

LIABILITIES

 

Securities sold short, at value (proceeds $3,471,329)

    4,058,809   

Unrealized depreciation on interest rate swaps

    2,595,752   

Payables:

 

Note payable

    201,000,000   

Investments purchased

    26,435   

Affiliates:

 

Investment advisory fees

    627,507   

Deferred compensation to trustees

    102,885   

Financial accounting fees

    7,195   

Trustees’ fees and officer compensation

    5,176   

Other accounts payable and accrued liabilities

    177,007   

Total liabilities

    208,600,766   

NET ASSETS

  $ 573,638,550   

COMPOSITION OF NET ASSETS

 

Common stock, no par value, unlimited shares authorized 59,006,992 shares issued and outstanding

  $ 751,325,399   

Undistributed net investment income (loss)

    (13,631,766

Accumulated net realized gain (loss) on investments, foreign currency transactions, short positions and interest rate swaps

    (116,742,089

Unrealized appreciation (depreciation) of investments, foreign currency translations, short positions and interest rate swaps

    (47,312,994

NET ASSETS

  $ 573,638,550   

Net asset value per common shares based upon 59,006,992 shares issued and outstanding

  $ 9.72   

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     17   


 

Statement of Operations    Six Months Ended April 30, 2013 (Unaudited)

 

 

INVESTMENT INCOME

  

Interest

   $ 9,326,178   

Dividends

     6,668,000   

Securities lending income

     37,162   

Dividend taxes withheld

     (376,355

Total investment income

     15,654,985   

EXPENSES

  

Investment advisory fees

     3,771,415   

Interest expense and related fees

     1,021,606   

Printing and mailing fees

     52,311   

Financial accounting fees

     43,224   

Custodian fees

     38,286   

Accounting fees

     32,839   

Audit fees

     23,040   

Trustees’ fees and officer compensation

     22,069   

Legal fees

     20,056   

Transfer agent fees

     9,266   

Dividend or interest expense on short positions

     1,800   

Registration fees

     756   

Other

     30,237   

Total expenses

     5,066,905   

NET INVESTMENT INCOME (LOSS)

     10,588,080   

REALIZED AND UNREALIZED GAIN (LOSS)

  

Net realized gain (loss) from:

  

Investments

     613,716   

Foreign currency transactions

     (16,583

Short positions

     (24,624

Interest rate swaps

     (1,014,586

Change in net unrealized appreciation/(depreciation) on:

  

Investments

     35,260,393   

Foreign currency translations

     10,471   

Short positions

     (754,107

Interest rate swaps

     749,841   

NET GAIN (LOSS)

     34,824,521   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 45,412,601   

 

18   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


 

Statements of Changes in Net Assets

 

 

    

(Unaudited)

Six Months

Ended
April 30, 2013

    

Year

Ended
October 31,

2012

 

OPERATIONS

  

Net investment income (loss)

  $ 10,588,080       $ 20,614,639   

Net realized gain (loss)

    (442,077      7,379,036   

Change in unrealized appreciation/(depreciation)

    35,266,598         29,225,076   

Net increase (decrease) in net assets applicable to shareholders resulting from operations

    45,412,601         57,218,751   

DISTRIBUTIONS FROM

    

Net investment income

    (21,950,601      (29,317,736

Return of capital

            (12,459,214

Net decrease in net assets from distributions

    (21,950,601      (41,776,950

TOTAL INCREASE (DECREASE) IN NET ASSETS

    23,462,000         15,441,801   

NET ASSETS

    

Beginning of period

  $ 550,176,550       $ 534,734,749   

End of period

    573,638,550         550,176,550   

Undistributed net investment income (loss)

  $ (13,631,766    $ (2,269,245

 

See accompanying Notes to Financial Statements   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     19   


 

Statement of Cash Flows    Six Months Ended April 30, 2013 (Unaudited)

 

 

CASH FLOWS FROM OPERATING ACTIVITIES:

  

Net increase/(decrease) in net assets from operations

   $ 45,412,601   

Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by operating activities:

  

Purchase of investment securities

     (172,555,888

Net proceeds from disposition of short term investments

     27,615,732   

Purchase of securities to cover securities sold short

     (173,616

Proceeds from disposition of investment securities

     156,667,884   

Proceeds from securities sold short

     712,350   

Premiums received from written options

     21,236   

Amortization and accretion of fixed-income securities

     3,705   

Net realized gains/losses from investments

     (613,716

Net realized gains/losses from short positions

     24,624   

Change in unrealized appreciation or depreciation on investments

     (35,260,393

Change in unrealized appreciation or depreciation on short positions

     754,107   

Change in unrealized appreciation or depreciation on interest rate swaps

     (749,841

Net change in assets and liabilities:

  

(Increase)/decrease in assets:

  

Accrued interest and dividends receivable

     333,457   

Restricted cash for short positions (interest bearing)

     (792,010

Prepaid expenses

     (27,205

Other assets

     (7,299

Increase/(decrease) in liabilities:

  

Payables to affiliates

     (3,871

Other accounts payable and accrued liabilities

     74,910   

Net cash provided by/(used in) operating activities

   $ 21,436,767   

CASH FLOWS FROM FINANCING ACTIVITIES:

  

Distributions to shareholders

     (21,950,601

Net cash provided by/(used in) financing activities

   $ (21,950,601

Net increase/(decrease) in cash and foreign currency*

   $ (513,834

Cash at beginning of period

   $ $1,264,214   

Cash and foreign currency at end of period

   $ 750,380   

Supplemental disclosure

  

Cash paid for interest and related fees

   $ $952,349   

 

*    Includes net change in unrealized appreciation or depreciation on foreign currency of $(1,755).

 

20   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT   See accompanying Notes to Financial Statements


 

Notes to Financial Statements    (Unaudited)

 

 

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 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.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     21   


 

Notes to Financial Statements    (Unaudited)

 

 

Investment Transactions.  Investment transactions are recorded on a trade date basis. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.

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.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds.  Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are allocated proportionately among each fund to which the expenses relate in relation to the net assets of each fund or on another reasonable basis.

Use of Estimates.  The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

Income Taxes.  No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of the Fund’s taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.

The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2008 – 2012 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications.  Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

NOTE 2 – INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed assets. “Managed assets” means a fund’s total assets

 

22   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Notes to Financial Statements    (Unaudited)

 

 

(including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Pursuant to a financial accounting services agreement, during the period the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of “Trustees’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the Fund.

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $102,885 is included in “Other assets” on the Statement of Assets and Liabilities at April 30, 2013. The Fund’s obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at April 30, 2013.

NOTE 3 – INVESTMENTS

The cost of purchases and proceeds from sale of long-term investments for the period ended April 30, 2013 were as follows:

 

Cost of purchases    $ 147,164,525   
Proceeds from sales      150,988,574   

The following information is presented on a federal income tax basis as of April 30, 2013. 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 April 30, 2013 was as follows:

 

Cost basis of investments    $ 816,428,860   
  

 

 

 
Gross unrealized appreciation      75,432,264   
Gross unrealized depreciation      (126,447,531
  

 

 

 
Net unrealized appreciation (depreciation)    $ (51,015,267
  

 

 

 

NOTE 4 – INCOME TAXES

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     23   


 

Notes to Financial Statements    (Unaudited)

 

 

United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.

The tax character of distributions for the period ended April 30, 2013 will be determined at the end of the Fund’s current fiscal year.

Distributions for the year ended October 31, 2012 were characterized for federal income tax purposes as follows:

 

        YEAR ENDED
OCTOBER 31, 2012
 
Distributions paid from:     
Ordinary income      $ 29,317,736   
Return of capital        12,459,214   

As of October 31, 2012, the components of accumulated earnings/(loss) on a tax basis were as follows:

 

Undistributed ordinary income    $   
Undistributed capital gains        
  

 

 

 
Total undistributed earnings        
Accumulated capital and other losses      (111,011,464
Net unrealized gains/(losses)      (90,043,067
  

 

 

 
Total accumulated earnings/(losses)      (201,054,531
Other      (94,318
Paid-in capital      751,325,399   
  

 

 

 
Net assets applicable to common shareholders    $ 550,176,550   
  

 

 

 

The Regulated Investment Company Modernization Act of 2010 (the “Act”) modernized various tax rules for regulated investment companies, and was effective for taxable years beginning after the enactment date of December 22, 2010. One significant change is to the treatment of capital loss carryforwards. Now, any capital losses recognized will retain their character as either short-term or long-term capital losses, will be utilized before the pre-Act capital loss carryforwards, and will be carried forward indefinitely, until applied in offsetting future capital gains.

As of October 31, 2012, the Fund had pre-Act capital loss carryforwards which, if not used, will expire as follows:

 

2017    $ (110,343,542
2018      (667,922

NOTE 5 – COMMON SHARES

There are unlimited common shares of beneficial interest authorized and 59,006,992 shares outstanding at April 30, 2013. Calamos Advisors owned 112,487 of the outstanding shares at April 30,2013. Transactions in common shares were as follows:

 

      PERIOD ENDED
APRIL 30, 2013
       YEAR ENDED
OCTOBER 31, 2012
 
Beginning shares      59,006,992           59,006,992   
Shares issued through reinvestment of distributions                  
  

 

 

 
Ending shares      59,006,992           59,006,992   
  

 

 

 

Notice is hereby given in accordance with Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares of common stock in the open market.

The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of the Fund’s common shares at the time such common shares are initially sold.

 

24   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Notes to Financial Statements    (Unaudited)

 

 

NOTE 6 – 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 7 – DERIVATIVE INSTRUMENTS

Foreign Currency Risk.  The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward 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 the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward foreign currency contracts at April 30, 2013.

Equity Risk.  The Fund may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

As of April 30, 2013, the Fund had no outstanding purchased options and/or written options as listed on the Schedule of Investments.

Interest Rate Risk.  The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 8 – 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. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     25   


 

Notes to Financial Statements    (Unaudited)

 

 

of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) on interest rate swaps in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. 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.

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of April 30, 2013, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.

As of April 30, 2013, the Fund had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:

 

      LIABILITY DERIVATIVES
FAIR VALUE
 
Interest rate swaps1    $ 2,595,752   

 

(1) Generally, the statement of assets and liabilities location for Interest rate swaps is Unrealized appreciation (depreciation) on swaps.

For the period ended April 30, 2013, the Fund had the following transactions in options written:

 

      NUMBER OF
CONTRACTS
       PREMIUMS
RECEIVED
 
Options outstanding at October 31, 2012              $   
Options written      12           21,236   
Options closed                  
Options exercised      (12        (21,236
Options expired                  
  

 

 

 
Options outstanding at April 30, 2013              $   

NOTE 8 – 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 (“Lending Agreement”), as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to 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 April 30, 2013, the average borrowings under the Agreements were $170.9 million. For the period ended April 30, 2013, the average interest rate was 0.96%. As of April 30, 2013, the amount of outstanding borrowings was $134.3 million, which approximates fair value. The interest rate applicable to the borrowings on April 30, 2013 was 0.94%.

 

26   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Notes to Financial Statements    (Unaudited)

 

 

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

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable 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 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 April 30, 2013, the Fund used approximately $66.7 million of its cash collateral to offset the SSB Agreement, representing 8.6% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.47%, which can fluctuate depending on interest rates.

NOTE 9 – 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.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     27   


 

Notes to Financial Statements    (Unaudited)

 

 

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

   $       $ 226,399,803       $       $ 226,399,803   

Convertible Bonds

        85,875,714            85,875,714   

U.S. Government and Agency Security

        2,834,235            2,834,235   

Convertible Preferred Stocks

     20,392,325         13,686,920            34,079,245   

Common Stocks

     177,396,613         221,918,092            399,314,705   

Short Term Investment

     16,909,891               16,909,891   
  

 

 

 
Total    $ 214,698,829       $ 550,714,764       $       $ 765,413,593   
  

 

 

 
Liabilities            

Common Stocks Sold Short

   $ 4,058,809       $       $       $ 4,058,809   

Interest Rate Swaps

        2,595,752            2,595,752   
  

 

 

 
Total    $ 4,058,809       $ 2,595,752       $       $ 6,654,561   
  

 

 

 

 

28   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Financial Highlights

 

 

Selected data for a share outstanding throughout each period were as follows:

 

    (Unaudited)
Six Months
Ended
April 30,
    Year Ended October 31,  
     2013     2012     2011     2010     2009     2008  

Net asset value, beginning of period

    $9.32        $9.06        $9.22        $8.48        $7.42        $14.80   

Income from investment operations:

           

Net investment income (loss)*

    0.18        0.35        0.30        0.31        0.32        0.60   

Net realized and unrealized gain (loss)

    0.59        0.62        0.14        1.03        1.63        (6.49

Distributions to preferred shareholders from:

           

Net investment income (common share equivalent basis)

                                (0.01     (0.17

Total from investment operations

    0.77        0.97        0.44        1.34        1.94        (6.06

Less distributions to common shareholders from:

           

Net investment income

    (0.37     (0.50     (0.39     (0.27     (0.43     (1.32

Return of capital

           (0.21     (0.21     (0.33     (0.45       

Total distributions

    (0.37     (0.71     (0.60     (0.60     (0.88     (1.32

Capital charge resulting from issuance of common and preferred shares and related offering costs

                                (a)      (a) 

Premiums from shares sold in at the market offerings

                                         

Net asset value, end of period

    $9.72        $9.32        $9.06        $9.22        $8.48        $7.42   

Market value, end of period

    $9.09        $8.51        $7.72        $8.24        $7.34        $6.35   

Total investment return based on:(b)

           

Net asset value

    8.86%        12.07%        5.64%        17.50%        31.82%        (43.35%

Market value

    11.50%        20.09%        0.72%        21.32%        33.32%        (45.14%

Net assets, end of period (000)

    $573,639        $550,177        $534,735        $543,850        $500,245        $437,906   

Preferred shares, at redemption value ($25,000 per share liquidation preference) (000’s omitted)

    $—        $—        $—        $—        $—        $50,000   

Ratios to average net assets applicable to common shareholders:

           

Net expenses(c)

    1.83% (d)      1.98%        1.93%        2.20%        3.24%        2.68%   

Gross expenses prior to expense reductions and earnings credits(c)

    1.83% (d)      1.98%        1.93%        2.20%        3.26%        2.70%   

Net expenses, excluding interest expenses and dividend expense on short positions(c)

    1.46% (d)      1.50%        1.45%        1.52%        2.32%        2.10%   

Net investment income (loss)(c)

    3.82% (d)      3.82%        3.11%        3.55%        4.31%        4.70%   

Preferred share distributions

    —%        —%        —%        —%        0.07%        1.35%   

Net investment income (loss), net of preferred share distributions from net investment income

    3.82% (d)      3.82%        3.11%        3.55%        4.24%        3.35%   

Portfolio turnover rate

    20%        42%        43%        37%        34%        79%   

Average commission rate paid

    $0.0196        $0.0122        $0.0136        $0.0121        $0.0191        $0.0864   

Asset coverage per preferred share, at end of period(e)

    $—        $—        $—        $—        $—        $243,959   

Asset coverage per $1,000 of loan outstanding(f)

    $3,854        $3,737        $3,660        $3,847        $3,619        $3,900   

 

* Net investment income allocated based on average shares method.

 

(a) Amount equated to less than $0.005 per common share.

 

(b) Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.

 

(c) Does not reflect the effect of dividend payments to Preferred Shareholders.

 

(d) Annualized.

 

(e) Calculated by subtracting the Fund’s total liabilities (not including Preferred Shares) from the Fund’s total assets and dividing this by the number of Preferred Shares outstanding.

 

(f) Calculated by subtracting the Fund’s total liabilities (not including Note payable) and preferred shares from the Fund’s total assets and dividing this by the amount of note payable outstanding, and by multiplying the result by 1,000.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     29   


 

Report of Independent Registered Public Accounting Firm

 

 

To the Board of Trustees and Shareholders of Calamos Global Dynamic Income Fund

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, for Calamos Global Dynamic Income Fund (the “Fund”) as of April 30, 2013, and the related statements of operations, changes in net assets, and cash flows and the financial highlights for the semi-annual period then ended. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

We conducted our review in accordance with standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements and financial highlights taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to such interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets of the Fund for the year ended October 31, 2012 and the financial highlights for each of the five years in the period then ended; and in our report dated December 14, 2012, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

June 21, 2013

 

30   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Trustee Approval of the Management Agreement    (Unaudited)

 

 

The Board of Trustees of the Fund oversees the management of the Fund, and, as required by law, determines annually whether to continue the Fund’s management agreement with Calamos Advisors (the “Adviser”) under which the Adviser serves as the investment manager and administrator for the Fund. The “Independent Trustees,” who comprise more than 80% of the Board, have never been affiliated with the Adviser.

In connection with their most recent consideration regarding the continuation of the management agreement, the Trustees received and reviewed a substantial amount of information provided by the Adviser in response to detailed requests of the Independent Trustees and their independent legal counsel. In the course of their consideration of the agreement, the Independent Trustees were advised by their counsel and, in addition to meeting with management of the Adviser, they met separately in executive session with their counsel.

At a meeting held on June 28, 2012, based on their evaluation of the information referred to above and other information, the Trustees determined that the overall arrangements between the Fund and the Adviser were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser and its affiliates, the fees charged for those services and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees, including all of the Independent Trustees, approved the continuation of the management agreement through July 31, 2013, subject to possible earlier termination as provided in the agreement.

In connection with its consideration of the management agreement, the Board considered, among other things: (i) the nature, quality and extent of the Adviser’s services, (ii) the investment performance of the Fund as well as performance information for comparable funds and other comparable clients of the advisor, (iii) the fees and other expenses paid by the Fund as well as expense information for comparable funds and for other, comparable clients of the Adviser, (iv) the profitability of the Adviser and its affiliates from their relationship with the Fund, (v) the extent to which economies of scale may apply, and (vi) other benefits to the Adviser from its relationship with the Fund. In the Board’s deliberations, no single factor was responsible for the Board’s decision to approve continuation of the management agreements.

Nature, Extent and Quality of Services.  The Board’s consideration of the nature, extent and quality of the Adviser’s services to the Fund took into account the knowledge gained from the Board’s meetings with the Adviser throughout the prior year. In addition, the Board considered: the Adviser’s long-term history of managing the Fund; the consistency of investment approach; the background and experience of the Adviser’s investment personnel responsible for managing the Fund; the Adviser’s performance as administrator of the Fund, including, among other things, in the areas of brokerage selection, trade execution, compliance and shareholder communications; and frequent favorable recognition of the Adviser in the media and in industry publications. The Board also reviewed the Adviser’s resources and key personnel involved in providing investment management services to the Fund and the investment results produced by the Adviser’s in-house research. The Board noted the personal investments that the Adviser’s key investment personnel have made in the Fund, which further aligns the interests of the Adviser and its personnel with those of the Fund’s shareholders. In addition, the Board considered compliance reports about the Adviser from the Fund’s Chief Compliance Officer. The Board concluded that the nature, extent and quality of the services provided by the Adviser to the Fund were appropriate and consistent with the management agreements and that the Fund was likely to continue to benefit from services provided under its management agreement with the Adviser.

Investment Performance of the Fund.  The Board considered the Fund’s investment performance over various time periods, including how the Fund performed compared to the median performance of a group of comparable funds (the Fund’s “Universe Median”) selected by Lipper, Inc., an independent data service provider (“Lipper”). The performance periods considered by the Board ended on March 31, 2012. Where available, the Board considered one-, three-, five- and ten-year performance.

The Board considered that the Fund outperformed its Universe Median during the one- and three- year periods.

For the reasons noted above, the Board concluded that continuation of the management agreement for the Fund was in the best interest of the Fund and its shareholders.

Costs of Services Provided and Profits Realized by the Adviser.  Using information provided by Lipper, the Board evaluated the Fund’s actual management fee rate compared to the median management fee rate for other mutual funds similar in size, character and investment strategy (the Fund’s “Expense Group”), and the Fund’s total expense ratio compared to the median total expense ratio of the Fund’s Expense Group.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     31   


 

Trustee Approval of the Management Agreement    (Unaudited)

 

 

The Board considered that the Fund’s management fee rate is slightly above the median of the Fund’s Expense Group. The Board also noted that the Fund’s total expense ratio, which reflects the total fees paid by an investor, is higher than median of the Fund’s Expense Group. The Board, in its consideration of expenses, also took into account its review of the Fund’s performance.

The Board also reviewed the Adviser’s management fee rates for its institutional separate accounts and for its sub-advised funds (for which the Adviser provides portfolio management services only). The Board took into account the Adviser’s assertion that although, generally, the rates of fees paid by institutional clients were lower than the rates of fees paid by the Fund, the differences reflected the Adviser’s greater level of responsibilities and significantly broader scope of services regarding the Fund, and the more extensive regulatory obligations and risks associated with managing the Fund.

The Board also considered the Adviser’s costs in serving as the Fund’s investment adviser and manager, including costs associated with technology, infrastructure and compliance necessary to manage the Fund. The Board reviewed the Adviser’s methodology for allocating costs among the Adviser’s lines of business. The Board also considered information regarding the structure of the Adviser’s compensation program for portfolio managers, analysts and certain other employees and the relationship of such compensation to the attraction and retention of quality personnel. Finally, the Board reviewed information on the profitability of the Adviser in serving as the Fund’s investment manager and of the Adviser and its affiliates in all of their relationships with the Fund, as well as an explanation of the methodology utilized in allocating various expenses among the Fund and the Adviser’s other business units. Data was provided to the Board with respect to profitability, both on a pre- and post-marketing cost basis. The Board also reviewed the annual report of the Adviser’s parent company and discussed its corporate structure.

After its review of all the matters addressed, including those outlined above, the Board concluded that the rate of management fee paid by the Fund to the Adviser, in light of the nature and quality of the services provided, was reasonable and in the best interests of the Fund’s shareholders.

Economies of Scale and Fee Levels Reflecting Those Economies.  In reviewing the Fund’s fees and expenses, the Trustees examined the potential benefits of economies of scale and whether any economies of scale should be reflected in the Fund’s fee structure. They noted that the Fund is a closed-end fund, and has therefore had a relatively stable asset base since commencement of operations, and that there do not appear to have been any significant economies of scale realized since that time.

Other Benefits Derived from the Relationship with the Fund.  The Board also considered other benefits that accrue to the Adviser and its affiliates from their relationship with the Fund. The Board concluded that, other than the services to be provided by the Adviser and its affiliates pursuant to their agreements with the Fund and the fees payable by the Fund therefore, the Fund and the Adviser may potentially benefit from their relationship with each other in other ways. The Board also considered the Adviser’s use of a portion of the commissions paid by the Fund on their portfolio brokerage transactions to obtain research products and services benefiting the Fund and/or other clients of the Adviser and concluded, based on reports from the Fund’s Chief Compliance Officer, that the Adviser’s use of “soft” commission dollars to obtain research products and services was consistent with regulatory requirements.

After full consideration of the above factors as well as other factors that were instructive in their consideration, the Trustees, including all of the Independent Trustees, concluded that the continuation of the management agreement with the Adviser was in the best interest of the Fund and its shareholders.

 

32   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

About Closed-End Funds

 

 

What is a Closed-End Fund?

A closed-end fund is a publicly traded investment company that raises its initial investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the fund’s Board of Directors.

Potential Advantages of Closed-End Fund Investing

 

Defined Asset Pool Allows Efficient Portfolio Management—Although closed-end fund shares trade actively on a securities exchange, this doesn’t affect the closed-end fund manager because there are no new investors buying into or selling out of the fund’s portfolio.

 

 

More Flexibility in the Timing and Price of Trades—Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities.

 

 

Lower Expense Ratios—The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could enhance investment performance.

 

 

Closed-End Structure Makes Sense for Less-Liquid Asset Classes—A closed-end structure makes sense for investors considering less-liquid asset classes, such as high-yield bonds or micro-cap stocks.

 

 

Ability to Put Leverage to Work—Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to “leverage” their investment positions.

 

 

No Minimum Investment Requirements

OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS

 

OPEN-END FUND    CLOSED-END FUND
Issues new shares on an ongoing basis    Generally issues a fixed number of shares
Issues common equity shares    Can issue common equity shares and senior securities such as preferred shares and bonds
Sold at NAV plus any sales charge    Price determined by the marketplace
Sold through the fund’s distributor    Traded in the secondary market
Fund redeems shares at NAV calculated at the close of business day    Fund does not redeem shares
      

You can purchase or sell common shares of closed-end funds daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a discount which is a market price that is below their net asset value.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares and fluctuations in the variable rates of the leverage financing.

Each open-end or closed-end fund should be evaluated individually. Before investing carefully consider the fund’s investment objectives, risks, charges and expenses.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     33   


 

Level Rate Distribution Policy

 

 

Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return

The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.

We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.

Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.

 

 

Automatic Dividend Reinvestment Plan

 

Maximizing Investment with an Automatic Dividend Reinvestment Plan

The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund.

Potential Benefits

 

Compounded Growth: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.

 

 

Potential for Lower Commission Costs: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan.

 

 

Convenience: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time.

Pursuant to the Plan, unless a shareholder is ineligible or elects otherwise, all dividend and capital gains on common shares distributions are automatically reinvested by Computershare, as agent for shareholders in administering the Plan (“Plan Agent”), in additional common shares of the Fund. Shareholders who elect not to participate in the Plan will receive all dividends and distributions payable in cash paid by check mailed directly to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee) by Plan Agent, as dividend paying agent. Shareholders may elect not to participate in the Plan and to receive all dividends and distributions in cash by sending written instructions to Plan Agent, as dividend paying agent, at: Dividend Reinvestment Department, P.O. Box 358016, PIttsburgh, PA 15252. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by giving notice in writing to the Plan Agent; such termination will be effective with respect to a particular dividend or distribution if notice is received prior to the record date for the applicable distribution.

 

34   CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT  


 

Automatic Dividend Reinvestment Plan

 

 

The shares are acquired by the Plan Agent for the participant’s account either (i) through receipt of additional common shares from the Fund (“newly issued shares”) or (ii) by purchase of outstanding common shares on the open market (“open-market purchases”) on the NASDAQ or elsewhere. If, on the payment date, the net asset value per share of the common shares is equal to or less than the market price per common share plus estimated brokerage commissions (a “market premium”), the Plan Agent will receive newly issued shares from the Fund for each participant’s account. The number of newly issued common shares to be credited to the participant’s account will be determined by dividing the dollar amount of the dividend or distribution by the greater of (i) the net asset value per common share on the payment date, or (ii) 95% of the market price per common share on the payment date.

If, on the payment date, the net asset value per common share exceeds the market price plus estimated brokerage commissions (a “market discount”), the Plan Agent has a limited period of time to invest the dividend or distribution amount in shares acquired in open-market purchases. The weighted average price (including brokerage commissions) of all common shares purchased by the Plan Agent as Plan Agent will be the price per common share allocable to each participant. If, the Plan Agent is unable to invest the full dividend amount in open-market purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Agent will cease making open-market purchases and will invest the uninvested portion of the dividend or distribution amount in newly issued shares at the close of business on the last purchase date.

The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends even though no cash is received by participants.

There are no brokerage charges with respect to shares issued directly by the Fund as a result of dividends or distributions payable either in shares or in cash. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open-market purchases in connection with the reinvestment of dividends or distributions. If a participant elects to have the Plan Agent sell part or all of his or her common shares and remit the proceeds, such participant will be charged his or her pro rata share of brokerage commissions on the shares sold, plus a $15 transaction fee. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants.

A participant may request the sale of all of the common shares held by the Plan Agent in his or her Plan account in order to terminate participation in the Plan. If such participant elects in advance of such termination to have the Plan Agent sell part or all of his shares, the Plan Agent is authorized to deduct from the proceeds a $15.00 fee plus the brokerage commissions incurred for the transaction. A participant may re-enroll in the Plan in limited circumstances.

The terms and conditions of the Plan may be amended by the Plan Agent or the Fund at any time upon notice are required by the Plan.

This discussion of the Plan is only summary, and is qualified in its entirety to the Terms and Conditions of the Dividend Reinvestment Plan filed as part of the Fund’s registration statement.

For additional information about the Plan, please contact the Plan Agent, Computershare, at 866.226.8016. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name.

We’re pleased to provide our shareholders with the additional benefit of the Fund’s Dividend Reinvestment Plan and hope that it may serve your financial plan.

 

  CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT     35   


MANAGING YOUR CALAMOS FUNDS INVESTMENTS

Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.

 

PERSONAL ASSISTANCE: 800.582.6959

Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues concerning your Calamos Fund.

 

YOUR FINANCIAL ADVISOR

We encourage you to talk to your financial advisor to determine how the Calamos Funds can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs.

 

LOGO

 

STAY CONNECTED

www.calamos.com

Visit our Web site for timely fund performance, detailed fund profiles, fund news and insightful market commentary.

 

 


A description of the Calamos Proxy Voting Policies and Procedures and the Fund’s proxy voting record for the 12-month period ended June 30, 2012, are available free of charge upon request by calling 800.582.6959, by visiting the Calamos Web site at www.calamos.com, by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Fund’s proxy voting record is also available free of charge by visiting the SEC Web site at www.sec.gov.

The Fund files its complete list of portfolio holdings with the SEC for the first and third quarters each fiscal year on Form N-Q . The Forms N-Q are available free of charge, upon request, by calling or writing Calamos Investments at the phone number or address provided above or by visiting the SEC Web site at www.sec.gov. You may also review or, for a fee, copy the forms at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.732.0330.

The Fund’s report to the SEC on Form N-CSR contains certifications by the fund’s principal executive officer and principal financial officer as required by Rule 30a-2(a) under the 1940 Act, relating to, among other things, the quality of the Fund’s disclosure controls and procedures and internal control over financial reporting.

FOR 24-HOUR AUTOMATED SHAREHOLDER ASSISTANCE: 866.226.8016

TO OBTAIN INFORMATION ABOUT YOUR INVESTMENTS: 800.582.6959

VISIT OUR WEB SITE: www.calamos.com

INVESTMENT ADVISER:

Calamos Advisors LLC

2020 Calamos Court

Naperville, IL 60563-2787

CUSTODIAN AND FUND ACCOUNTING AGENT:

State Street Bank and Trust Company

225 Franklin Street

Boston, MA 02111

TRANSFER AGENT:

Computershare

P.O. Box 358016

Pittsburgh, PA 15252

866.226.8016

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:

Deloitte & Touche LLP

Chicago, IL

LEGAL COUNSEL:

K&L Gates LLP

Chicago, IL

 

 

 

 

 

 

LOGO

2020 Calamos Court

Naperville, IL 60563-2787

800.582.6959

www.calamos.com

© 2013 Calamos Investments LLC. All Rights Reserved.

Calamos® and Calamos Investments® are registered

trademarks of Calamos Investments LLC.

CHWSAN 3083 2013

 


ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.


ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS

Included in the Report to Shareholders in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.


ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

ITEM 11. 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-CSR 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of Ethics – Not applicable.

(a)(2)(i) Certification of Principal Executive Officer.

(a)(2)(ii) 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:   June 21, 2013

 

By:   /s/ Nimish S. Bhatt        
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:   June 21, 2013

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.

 

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

June 21, 2013

 

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

June 21, 2013