nvq
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 333-144660
     
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:
  Calamos Global Dynamic
Income Fund
     
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
  2020 Calamos Court, Naperville
Illinois 60563
 
    
NAME AND ADDRESS OF AGENT FOR SERVICE:
  John P. Calamos Sr., President
Calamos Advisors LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2010
DATE OF REPORTING PERIOD: July 31, 2010
 
 

 

 
ITEM 1.  SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)
 
Calamos Global Dynamic Income Fund
 
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
CORPORATE BONDS (23.9%)
        Consumer Discretionary (4.4%)
  2,000,000     Boyd Gaming Corp.
7.125%, 02/01/16 		  $ 1,725,000  
  2,000,000     DISH Network Corp.
7.125%, 02/01/16 		    2,065,000  
  2,000,000     General Motors Corp.
7.200%, 01/15/11 		    690,000  
  2,000,000     Hanesbrands, Inc.‡
4.121%, 12/15/14 		    1,910,000  
  1,000,000     Interpublic Group of Companies, Inc.
6.250%, 11/15/14 		    1,037,500  
  2,000,000     Jarden Corp.
8.000%, 05/01/16 		    2,110,000  
  2,000,000     Liberty Media Corp.
8.500%, 07/15/29 		    1,900,000  
  1,000,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    955,000  
  2,000,000     MGM Resorts International
7.500%, 06/01/16 		    1,670,000  
  1,000,000     NetFlix, Inc.
8.500%, 11/15/17 		    1,090,000  
  70,000     Phillips-Van Heusen Corp.
7.375%, 05/15/20 		    73,325  
  2,210,000     Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 		    1,977,950  
  2,000,000     Service Corp. International
8.000%, 11/15/21 		    2,095,000  
  1,000,000     Sotheby’sµ
7.750%, 06/15/15 		    1,025,000  
  1,000,000     Speedway Motorsports, Inc.
8.750%, 06/01/16 		    1,066,250  
  350,000     Wynn Las Vegas, LLC*†
7.750%, 08/15/20 		    356,563  
                 
              21,746,588  
                 
        Consumer Staples (0.8%)
  230,000     Del Monte Foods Company
7.500%, 10/15/19 		    243,512  
  1,500,000     NBTY, Inc.~
7.125%, 10/01/15 		    1,560,000  
  2,000,000     Smithfield Foods, Inc.
7.750%, 07/01/17 		    1,962,500  
  50,000     TreeHouse Foods, Inc.
7.750%, 03/01/18 		    52,938  
                 
              3,818,950  
                 
        Energy (6.6%)
  2,000,000     Berry Petroleum Companyµ
8.250%, 11/01/16 		    2,025,000  
  2,000,000     Bristow Group, Inc.
7.500%, 09/15/17 		    2,000,000  
  2,000,000     Chesapeake Energy Corp.
9.500%, 02/15/15 		    2,255,000  
  2,000,000     Complete Production Services, Inc.~
8.000%, 12/15/16 		    2,035,000  
  2,850,000     Comstock Resources, Inc.
8.375%, 10/15/17 		    2,949,750  
  2,170,000     Concho Resources, Inc.
8.625%, 10/01/17 		    2,273,075  
  125,000     Continental Resources, Inc.*
7.375%, 10/01/20 		    127,500  
  2,000,000     Dresser-Rand Group, Inc.
7.375%, 11/01/14 		    2,025,000  
  1,000,000     Frontier Oil Corp.
8.500%, 09/15/16 		    1,025,000  
  500,000     GulfMark Offshore, Inc.
7.750%, 07/15/14 		    497,500  
  260,000     Holly Corp.
9.875%, 06/15/17 		    272,025  
  1,470,000     Hornbeck Offshore Services, Inc.µ
8.000%, 09/01/17 		    1,383,637  
  2,000,000     Mariner Energy, Inc.
11.750%, 06/30/16 		    2,530,000  
        Petroplus Holdings, AG*        
  2,000,000     9.375%, 09/15/19     1,810,000  
  1,000,000     6.750%, 05/01/14     905,000  
  2,000,000     Pride International, Inc.
8.500%, 06/15/19 		    2,245,000  
  2,000,000     SEACOR Holdings, Inc.
7.375%, 10/01/19 		    2,147,632  
  2,000,000     Superior Energy Services, Inc.
6.875%, 06/01/14 		    2,010,000  
        Swift Energy Company        
  1,700,000     8.875%, 01/15/20     1,742,500  
  515,000     7.125%, 06/01/17     496,975  
                 
              32,755,594  
                 
        Financials (1.4%)
  2,000,000     Ford Motor Credit Company, LLC
9.875%, 08/10/11 		    2,110,378  
  1,000,000     Janus Capital Group, Inc.µ
6.950%, 06/15/17 		    1,027,995  
        Leucadia National Corp.µ        
  1,980,000     8.125%, 09/15/15     2,069,100  
  400,000     7.000%, 08/15/13     416,000  
  1,050,000     OMEGA Healthcare Investors, Inc.*~
7.500%, 02/15/20 		    1,094,625  
                 
              6,718,098  
                 
        Health Care (2.2%)
  2,000,000     Bio-Rad Laboratories, Inc.
8.000%, 09/15/16 		    2,150,000  
  500,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    525,000  
  2,000,000     HCA, Inc.
9.125%, 11/15/14 		    2,110,000  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
        Mylan, Inc.*        
  740,000     7.625%, 07/15/17   $ 789,950  
  500,000     7.875%, 07/15/20     537,500  
  630,000     Omnicare, Inc.
7.750%, 06/01/20 		    674,100  
  2,000,000     Talecris Biotherapeutics Holdings Corp.
7.750%, 11/15/16 		    2,160,000  
  1,500,000     Valeant Pharmaceuticals International*
7.625%, 03/15/20 		    1,792,500  
                 
              10,739,050  
                 
        Industrials (3.9%)
  1,000,000     Belden, Inc.µ
7.000%, 03/15/17 		    1,005,000  
  1,000,000     Clean Harbors, Inc.
7.625%, 08/15/16 		    1,037,500  
  2,500,000     Deluxe Corp.
7.375%, 06/01/15 		    2,568,750  
  2,000,000     General Cable Corp.µ
7.125%, 04/01/17 		    2,025,000  
  1,000,000     Interline Brands, Inc.
8.125%, 06/15/14 		    1,030,000  
  1,105,000     Kansas City Southern
13.000%, 12/15/13 		    1,338,431  
  2,000,000     Manitowoc Company, Inc.
7.125%, 11/01/13 		    2,020,000  
        Oshkosh Corp.        
  1,290,000     8.500%, 03/01/20     1,357,725  
  210,000     8.250%, 03/01/17     220,500  
  2,000,000     SPX Corp.
7.625%, 12/15/14 		    2,105,000  
  2,000,000     Terex Corp.
7.375%, 01/15/14 		    2,045,000  
  2,000,000     Trinity Industries, Inc.
6.500%, 03/15/14 		    2,027,500  
  680,000     Triumph Group, Inc.
8.000%, 11/15/17 		    678,300  
                 
              19,458,706  
                 
        Information Technology (2.6%)
        Advanced Micro Devices, Inc.        
  1,000,000     7.750%, 08/01/20*†     1,015,000  
  640,000     8.125%, 12/15/17     675,200  
  2,000,000     Amkor Technology, Inc.
9.250%, 06/01/16 		    2,140,000  
  400,000     Equinix, Inc.µ
8.125%, 03/01/18 		    419,000  
  100,000     Fidelity National Information Services, Inc.*
7.625%, 07/15/17 		    104,500  
  2,500,000     Jabil Circuit, Inc.µ
8.250%, 03/15/18 		    2,737,500  
  1,000,000     Lender Processing Services, Inc.µ
8.125%, 07/01/16 		    1,065,000  
  1,000,000     SunGard Data Systems, Inc.
9.125%, 08/15/13 		    1,027,500  
  1,000,000     ViaSat, Inc.
8.875%, 09/15/16 		    1,077,500  
  2,500,000     Xerox Corp.
8.000%, 02/01/27 		    2,529,010  
                 
              12,790,210  
                 
        Materials (0.6%)
  1,000,000     Southern Copper Corp.
7.500%, 07/27/35 		    1,129,636  
        Steel Dynamics, Inc.µ        
  1,675,000     7.750%, 04/15/16     1,750,375  
  325,000     7.625%, 03/15/20*     334,344  
                 
              3,214,355  
                 
        Telecommunication Services (1.3%)
  2,000,000     Frontier Communications Corp.
9.000%, 08/15/31 		    2,060,000  
  500,000     New Communications Holdings, Inc.*
8.250%, 04/15/17 		    536,250  
  2,000,000     Qwest Communications International, Inc.~
7.750%, 02/15/31 		    1,940,000  
  2,000,000     Windstream Corp.~
8.625%, 08/01/16 		    2,095,000  
                 
              6,631,250  
                 
        Utilities (0.1%)
  1,000,000     Edison Mission Energy
7.750%, 06/15/16 		    717,500  
                 
        TOTAL CORPORATE BONDS
(Cost $114,272,185) 		    118,590,301  
                 
CONVERTIBLE BONDS (13.8%)
        Consumer Discretionary (1.3%)
  4,250,000     General Motors Corp. - Series Cµ
6.250%, 07/15/33 		    1,316,225  
  5,000,000     Interpublic Group of Companies, Inc.µ
4.250%, 03/15/23 		    5,281,250  
                 
              6,597,475  
                 
        Consumer Staples (0.3%)
  1,500,000     Smithfield Foods, Inc.~
4.000%, 06/30/13 		    1,456,875  
                 
        Energy (0.6%)
  1,800,000     Acergy, SA
2.250%, 10/11/13 		    1,856,575  
  1,000,000     Subsea 7, Inc.
3.500%, 10/13/14 		    1,190,878  
                 
              3,047,453  
                 
        Financials (1.5%)
  1,300,000  GBP   Aberdeen Asset Management, PLC
3.500%, 12/17/14 		    2,078,652  
  3,000,000     Affiliated Managers Group, Inc.
3.950%, 08/15/38 		    2,985,000  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
  2,250,000     Health Care REIT, Inc.
3.000%, 12/01/29 		  $ 2,334,375  
                 
              7,398,027  
                 
        Health Care (1.8%)
  6,500,000     Shire, PLCµ
2.750%, 05/09/14 		    6,498,360  
  2,000,000     Teva Pharmaceutical Industries, Ltd.µ
1.750%, 02/01/26 		    2,242,500  
                 
              8,740,860  
                 
        Industrials (0.5%)
  1,800,000  EUR   MTU Aero Engines Holdings, AGµ
2.750%, 02/01/12 		    2,526,702  
                 
        Information Technology (3.5%)
  3,550,000  GBP   Autonomy Corp., PLC
3.250%, 03/04/15 		    6,091,350  
  2,850,000  EUR   Cap Gemini, SA
1.000%, 01/01/12 		    1,621,924  
  5,500,000     Intel Corp.µ
2.950%, 12/15/35 		    5,479,375  
  4,000,000     Mentor Graphics Corp.
6.250%, 03/01/26 		    4,035,000  
                 
              17,227,649  
                 
        Materials (3.5%)
  1,200,000     Anglo American, PLC
4.000%, 05/07/14 		    1,880,642  
  1,500,000     AngloGold Ashanti, Ltd.
3.500%, 05/22/14 		    1,686,059  
  5,450,000     Goldcorp, Inc.µ
2.000%, 08/01/14 		    6,219,812  
  3,560,000     Sino-Forest Corp.*µ
4.250%, 12/15/16 		    3,386,450  
  2,860,000     Sterlite Industries, Ltd.µ
4.000%, 10/30/14 		    2,781,350  
  1,400,000     Xstrata, PLC
4.000%, 08/14/17 		    1,585,500  
                 
              17,539,813  
                 
        Telecommunication Services (0.3%)
  1,350,000     NII Holdings, Inc.
2.750%, 08/15/25 		    1,355,063  
                 
        Utilities (0.5%)
  1,700,000  EUR   International Power, PLC
3.250%, 07/20/13 		    2,394,542  
                 
        TOTAL CONVERTIBLE BONDS
(Cost $74,104,328) 		    68,284,459  
                 
U.S. GOVERNMENT AND AGENCY SECURITIES (1.2%)
        United States Treasury Note~        
  3,250,000     1.500%, 10/31/10     3,260,793  
  2,650,000     0.875%, 02/28/11     2,660,248  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $5,918,971) 		    5,921,041  
                 
SOVEREIGN BONDS (1.2%)
  2,000,000  AUD   Commonwealth of Australia
6.250%, 06/15/14 		    1,908,285  
  350,000  BRL   Federal Republic of Brazil
10.000%, 01/01/12 		    1,966,482  
  2,500,000  NZD   Government of New Zealand
6.000%, 04/15/15 		    1,919,643  
                 
        TOTAL SOVEREIGN BONDS
(Cost $5,847,034) 		    5,794,410  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
CONVERTIBLE PREFERRED STOCKS (4.3%)
        Consumer Staples (0.9%)
  49,000     Archer-Daniels-Midland Company~
6.250% 		    1,882,090  
  5,500     Bunge, Ltd.
5.125% 		    2,750,000  
                 
              4,632,090  
                 
        Energy (0.7%)
  61,300     Apache Corp.
6.000% 		    3,356,175  
                 
        Financials (1.3%)
  65,000     Affiliated Managers Group, Inc.µ
5.150% 		    2,246,563  
  2,800     Bank of America Corp.µ
7.250% 		    2,576,000  
  1,600     Wells Fargo & Companyµ
7.500% 		    1,560,000  
                 
              6,382,563  
                 
        Health Care (1.0%)
  5,000     Mylan, Inc.µ
6.500% 		    5,298,750  
                 
        Materials (0.4%)
  23,600     Vale, SA
6.750% 		    1,881,864  
                 
        TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $21,074,745) 		    21,551,442  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
NUMBER OF
 		       
UNITS       VALUE
 
 
STRUCTURED EQUITY-LINKED SECURITIES (7.3%)+*
        Consumer Discretionary (0.5%)
  10,000     Credit Suisse Group (Priceline.com, Inc.)
11.000%, 10/19/10 		  $ 2,244,600  
                 
        Energy (2.8%)
  76,000     BNP Paribas, SA (ENSCO, PLC)
11.000%, 11/22/10 		    3,249,760  
  37,500     Deutsche Bank, AG (Apache Corp.)
12.000%, 12/21/10 		    3,516,000  
  46,297     JPMorgan Chase & Company (Devon Energy Corp.)
12.000%, 02/02/11 		    2,878,284  
  182,971     JPMorgan Chase & Company (Pride International, Inc.)
12.000%, 08/10/10 		    4,343,732  
                 
              13,987,776  
                 
        Information Technology (3.4%)
  55,386     Barclays Capital, Inc. (Lexmark International, Inc.)
11.000%, 11/12/10 		    2,014,389  
  130,000     Barclays Capital, Inc. (QUALCOMM, Inc.)
12.000%, 01/22/11 		    4,945,200  
  55,824     Barclays Capital, Inc. (VMware, Inc.)
10.000%, 10/16/10 		    3,266,262  
  113,400     Deutsche Bank, AG (SanDisk Corp.)
12.000%, 01/24/11 		    4,920,426  
  137,000     Deutsche Bank, AG (Seagate Technology)
11.000%, 08/31/10 		    1,735,790  
                 
              16,882,067  
                 
        Materials (0.6%)
  78,000     Credit Suisse Group (Barrick Gold Corp.)
11.000%, 11/16/10 		    3,192,540  
                 
        TOTAL STRUCTURED EQUITY-LINKED
SECURITIES
(Cost $38,011,793) 		    36,306,983  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
COMMON STOCKS (83.4%)
        Consumer Discretionary (6.6%)
  41,000  EUR   Adidas, AGµ     2,223,958  
  23,750     Amazon.com, Inc.µ#     2,799,888  
  7,500     Apollo Group, Inc. - Class Aµ#     345,975  
  145,000  GBP   British Sky Broadcasting Group, PLCµ     1,617,584  
  38,500     Carnival Corp.µ     1,335,180  
  30,000     CBS Corp.µ     443,400  
  400,000  AUD   Harvey Norman Holdings, Ltd.µ     1,266,475  
  39,000  JPY   Makita Corp.µ     1,121,714  
  72,000     News Corp. - Class Bµ     1,064,880  
  38,000     Nike, Inc. - Class Bµ     2,798,320  
  140,000  JPY   Nikon Corp.µ     2,438,469  
  83,000  JPY   Panasonic Corp.µ     1,096,739  
  9,000  EUR   Porsche Automobil Holding, SEµ     457,784  
  9,500  EUR   Puma, AG Rudolf Dassler Sport     2,782,524  
  110,000  JPY   Suzuki Motor Corp.µ     2,302,426  
  85,000  CHF   Swatch Group, AG     4,779,993  
  8,000     Target Corp.µ     410,560  
  31,000  JPY   Toyota Motor Corp.µ     1,088,222  
  67,500     Walt Disney Companyµ     2,274,075  
                 
              32,648,166  
                 
        Consumer Staples (8.8%)
  96,000  JPY   Asahi Breweries, Ltd.µ     1,699,282  
  40,000     Avon Products, Inc.µ     1,245,200  
  53,000  EUR   Beiersdorf, AGµ     3,139,094  
  37,500     Coca-Cola Companyµ     2,066,625  
  355,000  GBP   Diageo, PLCµ     6,160,816  
  160  JPY   Japan Tobacco, Inc.µ     514,938  
  12,000     Kimberly-Clark Corp.µ     769,440  
  225,000  CHF   Nestlé, SA     11,121,069  
  23,000     PepsiCo, Inc.µ     1,492,930  
  45,000     Procter & Gamble Companyµ     2,752,200  
  52,000  GBP   Reckitt Benckiser Group, PLCµ     2,549,619  
  122,000  SEK   Swedish Match, AB     2,879,852  
  30,750     Sysco Corp.µ     952,328  
  53,000  GBP   Unilever, PLCµ     1,505,801  
  1,140,000  MXN   Wal-Mart de Mexico, SAB de CV     2,688,605  
  42,000     Wal-Mart Stores, Inc.µ     2,149,980  
                 
              43,687,779  
                 
        Energy (7.8%)
  185,000  GBP   AMEC, PLCµ     2,533,213  
  10,000     Apache Corp.µ     955,800  
  875,000  GBP   BP, PLCµ     5,595,702  
  26,000     Chevron Corp.µ     1,981,460  
  40,000     ConocoPhillipsµ     2,208,800  
  23,500     Devon Energy Corp.µ     1,468,515  
  95,000  EUR   ENI S.p.A.µ     1,941,306  
  82,500     Exxon Mobil Corp.µ     4,923,600  
  46,500     Halliburton Companyµ     1,389,420  
  31,000     Marathon Oil Corp.µ     1,036,950  
  24,000     Noble Corp.#     780,000  
  15,000     Occidental Petroleum Corp.µ     1,168,950  
  57,500  NOK   Petroleum Geo-Services ASAµ#     514,600  
  82,300  GBP   Royal Dutch Shell, PLCµ     2,266,568  
  22,000     Schlumberger, Ltd.     1,312,520  
  40,000  CAD   Suncor Energy, Inc.µ     1,318,613  
  18,000  EUR   Technip, SA     1,198,233  
  134,000  NOK   TGS Nopec Geophysical Company, ASA#     1,773,928  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
  74,000  EUR   TOTAL, SA   $ 3,735,634  
  16,500     Transocean, Ltd.#     762,465  
                 
              38,866,277  
                 
        Financials (9.9%)
  27,500     Aflac, Inc.µ     1,352,725  
  4,000     American International Group, Inc.µ#     153,880  
  95,000  AUD   ASX, Ltd.µ     2,487,888  
  135,000  EUR   Banco Santander, SAµ     1,753,800  
  105,000     Bank of America Corp.µ     1,474,200  
  41,000     Bank of New York Mellon Corp.µ     1,027,870  
  18,700  EUR   BNP Paribas, SAµ     1,278,287  
  189,615     Citigroup, Inc.µ#     777,422  
  29,000  EUR   Deutsche Börse, AGµ     2,032,012  
  201,020  EUR   EFG Eurobank Ergasias, SAµ#     1,547,570  
  12,000     Franklin Resources, Inc.µ     1,206,960  
  80,000  CHF   GAM Holding, Ltd.µ#     925,407  
  8,500     Goldman Sachs Group, Inc.µ     1,281,970  
  19,000     Hartford Financial Services
Group, Inc.µ 		    444,790  
  100,000  HKD   Hong Kong Exchanges and
Clearing, Ltd. 		    1,646,870  
  77,500     JPMorgan Chase & Companyµ     3,121,700  
  80,000  CHF   Julius Baer Group, Ltd.µ     2,797,387  
  99,000     Manulife Financial Corp.µ     1,575,090  
  16,000     MetLife, Inc.µ     672,960  
  360,000  JPY   Mizuho Financial Group, Inc.     583,577  
  48,000  EUR   Piraeus Bank, SAµ#     317,572  
  98,000  CAD   Power Financial Corp.µ     2,686,290  
  8,500     Prudential Financial, Inc.µ     486,965  
  238,500  GBP   Schroders, PLCµ     4,814,889  
  387,000  SGD   Singapore Exchange, Ltd.µ     2,184,608  
  167,000  GBP   Standard Chartered, PLCµ     4,824,928  
  23,000  JPY   Sumitomo Mitsui Financial Group, Inc.µ     708,842  
  23,500     T. Rowe Price Group, Inc.µ     1,133,405  
  14,000     Travelers Companies, Inc.µ     706,300  
  37,250     Wells Fargo & Companyµ     1,032,942  
  8,300  CHF   Zurich Financial Services, AGµ     1,937,030  
                 
              48,976,136  
                 
        Health Care (11.9%)
  15,000     Abbott Laboratoriesµ     736,200  
  60,000     Alcon, Inc.µ     9,304,800  
  83,000     Bristol-Myers Squibb Companyµ     2,068,360  
  62,000  AUD   Cochlear, Ltd.µ     3,963,916  
  150,000  AUD   CSL, Ltd.µ     4,497,147  
  88,000  SEK   Elekta, AB - Class Bµ     2,552,268  
  34,250     Eli Lilly and Companyµ     1,219,300  
  80,000     Johnson & Johnsonµ     4,647,200  
  42,000     Medtronic, Inc.µ     1,552,740  
  144,533     Merck & Company, Inc.µ     4,980,607  
  79,600  DKK   Novo Nordisk, A/S - Class B     6,810,791  
  98,000  JPY   OLYMPUS Corp.µ     2,628,075  
  190,000     Pfizer, Inc.µ     2,850,000  
  25,000  CHF   Roche Holding, AGµ     3,250,651  
  140,000  GBP   Shire, PLC     3,202,237  
  225,000  GBP   Smith & Nephew, PLC     1,957,811  
  18,500     Stryker Corp.µ     861,545  
  42,000     UnitedHealth Group, Inc.µ     1,278,900  
  17,000     Zimmer Holdings, Inc.µ#     900,830  
                 
              59,263,378  
                 
        Industrials (11.2%)
  27,000     3M Companyµ     2,309,580  
  350,000  CHF   ABB, Ltd.µ#     7,065,028  
  54,000  EUR   ALSTOMµ     2,824,781  
  610,000  GBP   BAE Systems, PLCµ     2,990,706  
  28,000     Boeing Companyµ     1,907,920  
  35,000  EUR   Bouygues, SAµ     1,477,160  
  14,000     Danaher Corp.µ     537,740  
  10,000     Eaton Corp.µ     784,600  
  14,500     General Dynamics Corp.µ     888,125  
  242,500     General Electric Companyµ     3,909,100  
  60,000     Honeywell International, Inc.µ     2,571,600  
  25,000     Illinois Tool Works, Inc.µ     1,087,500  
  160,000  JPY   Komatsu, Ltd.     3,352,311  
  44,000  EUR   Konecranes OYJµ     1,435,715  
  47,000  EUR   Krones AGµ#     2,665,800  
  10,000     Lockheed Martin Corp.µ     751,500  
  30,000  EUR   MAN, AGµ     2,793,547  
  44,000  EUR   MTU Aero Engines Holdings, AGµ     2,562,581  
  14,000  EUR   Nexans, SAµ     949,109  
  10,000     Raytheon Companyµ     462,700  
  40,000  EUR   Royal Philips Electronics, NVµ     1,243,479  
  24,700  EUR   Schneider Electric, SA     2,842,945  
  28,000  EUR   SGL Carbon, AGµ#     972,069  
  50,000  EUR   Siemens, AGµ     4,891,021  
  32,000     United Technologies Corp.µ     2,275,200  
                 
              55,551,817  
                 
        Information Technology (19.1%)
  72,000     Accenture, PLC     2,854,080  
  25,000     Apple, Inc.µ#     6,431,250  
  1,350,000  GBP   ARM Holdings, PLCµ     6,943,302  
  43,500  EUR   ASML Holding, NV     1,396,157  
  260,000  GBP   Autonomy Corp., PLCµ#     6,708,717  
  60,000  JPY   Canon, Inc.µ     2,598,945  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
  29,500  EUR   Cap Gemini, SAµ   $ 1,402,354  
  145,000     Cisco Systems, Inc.µ#     3,345,150  
  132,500     Dell, Inc.µ#     1,754,300  
  130,000     eBay, Inc.µ#     2,718,300  
  65,000     EMC Corp.µ#     1,286,350  
  6,250     Google, Inc.µ#     3,030,313  
  115,762  TWD   HTC Corp.     2,131,665  
  108,000     Infosys Technologies, Ltd.µ     6,531,840  
  185,000     Intel Corp.µ     3,811,000  
  15,000     International Business Machines
Corp.µ 		    1,926,000  
  113,000  JPY   Konami Corp.µ     1,740,611  
  285,000  SEK   LM Ericsson Telephone Companyµ     3,144,737  
  85,000  CHF   Logitech International, SAµ#     1,337,207  
  72,143  TWD   MediaTek, Inc.     976,929  
  190,000     Microsoft Corp.µ     4,903,900  
  45,000     Motorola, Inc.µ#     337,050  
  20,400  JPY   Nintendo Company, Ltd.µ     5,695,006  
  580,000  EUR   Nokia, OYJ#     5,461,737  
  92,000  JPY   Nomura Research Institute, Ltd.µ     1,826,066  
  75,000     Oracle Corp.µ     1,773,000  
  30,393     QUALCOMM, Inc.µ     1,157,365  
  5,560  KRW   Samsung Electronics Company, Ltd.µ     3,813,641  
  121,500  EUR   SAP, AG     5,550,698  
  75,000     Symantec Corp.µ#     972,750  
  132,000  EUR   Ubisoft Entertainment, SAµ#     1,248,603  
                 
              94,809,023  
                 
        Materials (3.9%)
  114,000  GBP   Anglo American, PLCµ#     4,507,698  
  20,500  EUR   BASF, SE     1,198,733  
  105,000  AUD   BHP Billiton, Ltd.     3,811,530  
  60,000  GBP   BHP Billiton, PLCµ     1,838,071  
  41,000     Dow Chemical Companyµ     1,120,530  
  36,000     E.I. du Pont de Nemours and
Companyµ 		    1,464,120  
  35,803     Freeport-McMoRan Copper & Gold,
Inc.µ 		    2,561,347  
  30,000  GBP   Rio Tinto, PLCµ     1,552,671  
  37,000  NOK   Yara International, ASAµ     1,389,197  
                 
              19,443,897  
                 
        Telecommunication Services (3.2%)
  93,500     América Móvil, SAB de CVµ     4,638,535  
  145,000     AT&T, Inc.µ     3,761,300  
  96,000  EUR   France Telecom, SAµ     2,007,899  
  5,520     Frontier Communications Corp.     42,173  
  23,000     Verizon Communications, Inc.µ     668,380  
  2,157,000  GBP   Vodafone Group, PLC     5,029,462  
                 
              16,147,749  
                 
        Utilities (1.0%)
  47,500     Duke Energy Corp.µ     812,250  
  10,500     Exelon Corp.µ     439,215  
  45,801  EUR   GDF Suezµ     1,518,226  
  29,000  EUR   RWE, AG     2,048,226  
                 
              4,817,917  
                 
        TOTAL COMMON STOCKS
(Cost $580,344,132) 		    414,212,139  
                 
NUMBER OF
 		       
CONTRACTS       VALUE
 
 
PURCHASED OPTIONS (0.0%)#
        Consumer Discretionary (0.0%)
  30     Amazon.com, Inc.
Call, 01/21/12, Strike $130.00
(Cost $96,396) 		    51,975  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
SHORT TERM INVESTMENT (3.3%)
  16,362,018     Fidelity Prime Money Market Fund -
Institutional Class
(Cost $16,362,018) 		    16,362,018  
                 
  TOTAL INVESTMENTS (138.4%)
  (Cost $856,031,602)
    687,074,768  
         
LIABILITIES, LESS OTHER ASSETS (-38.4%)     (190,659,661 )
         
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 496,415,107  
         
NUMBER OF
 		       
SHARES       VALUE
 
 
COMMON STOCKS SOLD SHORT (-1.3%)#
        Consumer Discretionary (-0.1%)
  (61,200 )   Interpublic Group of Companies, Inc.     (559,368 )
                 
        Consumer Staples (-0.1%)
  (33,000 )   Smithfield Foods, Inc.     (470,250 )
                 
        Financials (-0.1%)
  (7,200 )   Affiliated Managers Group, Inc.     (509,976 )
                 
        Health Care (-0.9%)
  (251,300 )   Mylan, Inc.     (4,372,620 )
                 
        Information Technology (-0.1%)
  (44,600 )   Mentor Graphics Corp.     (429,052 )
                 
        TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $4,989,717) 		    (6,341,266 )
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2010 (UNAUDITED)

 
                 
NUMBER OF
 		       
CONTRACTS       VALUE
 
 
WRITTEN OPTIONS (-0.5%)#
        Other (-0.5%)
  6,700     iShares MSCI EAFE Index Fund
Call, 12/18/10, Strike $52.00 		  $ (2,261,250 )
  1,150     SPDR Trust Series 1
Call, 12/18/10, Strike $119.00 		    (251,850 )
                 
        TOTAL WRITTEN OPTIONS
(Premium $2,080,454) 		    (2,513,100 )
                 
 
 
 
 
 
NOTES TO SCHEDULE OF INVESTMENTS
‡ Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2010.
* Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. At July 31, 2010, the value of 144A securities that could not be exchanged to the registered form is $44,690,883 or 9.0% of net assets applicable to common shareholders.
µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $394,195,672.
† Security or a portion of the security purchased on a delayed delivery or when-issued basis.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options, swaps, or securities sold short. The aggregate value of such securities aggregate a total value of $17,884,250.
+ Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.
# Non-income producing security.
 
FOREIGN CURRENCY ABBREVIATIONS
     
AUD
  Australian Dollar
BRL
  Brazilian Real
CAD
  Canadian Dollar
CHF
  Swiss Franc
DKK
  Danish Krone
EUR
  European Monetary Unit
GBP
  British Pound Sterling
HKD
  Hong Kong Dollar
JPY
  Japanese Yen
KRW
  South Korean Won
MXN
  Mexican Peso
NOK
  Norwegian Krone
NZD
  New Zealand Dollar
SEK
  Swedish Krona
SGD
  Singapore Dollar
TWD
  New Taiwanese Dollar
 
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
 
See accompanying Notes to Schedule of Investments

 

Calamos Global Dynamic Income Fund
 
 
INTEREST RATE SWAPS
 
                             
                      Unrealized
 		 
    Fixed Rate
 		  Floating Rate
 		  Termination
 		  Notional
 		    Appreciation/
 		 
Counterparty   (Fund Pays)   (Fund Receives)   Date   Amount     (Depreciation)  
   
 
BNP Paribas, SA
  2.5350% quarterly   3 month LIBOR   03/09/14   $ 80,000,000     $ (3,919,557 )
                             
BNP Paribas, SA
  2.0200% quarterly   3 month LIBOR   03/09/12     55,000,000       (1,386,704 )
                             
BNP Paribas, SA
  1.8525% quarterly   3 month LIBOR   09/14/12     36,900,000       (933,085 )
                             
                             
                        $ (6,239,346 )
                             
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Global Dynamic Income Fund
 
             
CURRENCY EXPOSURE JULY 31, 2010 (UNAUDITED)
    Value     % of Total Investments  
 
             
US Dollar
  $ 407,065,868     60.0%
             
European Monetary Unit
    75,441,782     11.1%
             
British Pound Sterling
    74,769,797     11.0%
             
Swiss Franc
    33,213,772     4.9%
             
Japanese Yen
    29,395,223     4.3%
             
Australian Dollar
    17,935,241     2.7%
             
Swedish Krona
    8,576,857     1.3%
             
Danish Krone
    6,810,791     1.0%
             
Canadian Dollar
    4,004,903     0.6%
             
South Korean Won
    3,813,641     0.6%
             
Norwegian Krone
    3,677,725     0.5%
             
New Taiwanese Dollar
    3,108,594     0.5%
             
Mexican Peso
    2,688,605     0.4%
             
Singapore Dollar
    2,184,608     0.3%
             
Brazilian Real
    1,966,482     0.3%
             
New Zealand Dollar
    1,919,643     0.3%
             
Hong Kong Dollar
    1,646,870     0.2%
     
   
             
Total Investments Net of Common Stocks Sold Short and Written Options
  $ 678,220,402     100.0%
     
   
 
Currency exposure may vary over time.

 

 
NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
Organization. Calamos Global Dynamic Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 10, 2007 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 27, 2007. The Fund’s investment objective is to generate a high level of current income with a secondary objective of capital appreciation.
 
Fund Valuation. The valuation of the Fund’s securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
 
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV.
 
When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
 
Fixed income securities and certain convertible preferred securities are generally traded in the over-the-counter market and are valued by independent pricing services or by dealers who make markets in such securities. Valuations of such fixed income securities and certain convertible preferred securities consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
 
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
 
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
 
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

 

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
 
Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2010.
 
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
 
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
 
Forward Foreign Currency Contracts. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward currency contracts at July 31, 2010.
 
NOTE 2 — INVESTMENTS
 
The following information is presented on a federal income tax basis as of July 31, 2010. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
 
The cost basis of investments for federal income tax purposes at July 31, 2010 was as follows:
 
         
         
Cost basis of Investments
  $ 864,021,985  
       
Gross unrealized appreciation
    19,173,517  
Gross unrealized depreciation
    (196,120,734 )
       
Net unrealized appreciation (depreciation)
  $ (176,947,217 )
       
 
NOTE 3 — SHORT SALES
 
Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale.
 
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.
 
NOTE 4 — BORROWINGS
 
The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $300,000,000. Borrowings under the Agreement are secured by assets of the Fund that are held

 

with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .85% on the undrawn balance. For the period ended July 31, 2010, the average borrowings and the average interest rate were $191,000,000 and 1.31%, respectively. As of July 31, 2010, the amount of such outstanding borrowings is $191,000,000. The interest rate applicable to the borrowings on July 31, 2010 was 1.42%.
 
The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.
 
Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.
 
NOTE 5 — INTEREST RATE SWAPS
 
The Fund has engaged in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 4 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. Three main types of interest rate swaps are coupon swaps (fixed rate to floating rate in the same currency); basis swaps (one floating rate index to another floating rate index in the same currency); and cross-currency interest rate swaps (fixed rate in one currency to floating rate in another). In the case of a coupon swap, a Fund may agree with a counterparty that the Fund will pay a fixed rate (multiplied by a notional amount) while the counterparty will pay a floating rate multiplied by the same notional amount. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.
 
NOTE 6 — WHEN-ISSUED AND DELAYED DELIVERY SECURITIES
 
The Fund may purchase securities on a when-issued or delayed-delivery basis. Although the payment and interest terms of these securities are established at the time the Fund enters into the commitment, the securities

 

may be delivered and paid for a month or more after the date of purchase, when their value may have changed. The Fund makes such commitments only with the intention of actually acquiring the securities, but may sell the securities before the settlement date if Calamos Advisors deems it advisable for investment reasons. The Fund may utilize spot and forward foreign currency exchange transactions to reduce the risk inherent in fluctuations in the exchange rate between one currency and another when securities are purchased or sold on a when-issued or delayed-delivery basis.
 
At the time when the Fund enters into a binding obligation to purchase securities on a when-issued basis, liquid assets (cash, U.S. Government securities or other “high-grade” debt obligations) of the Fund having a value at least as great as the purchase price of the securities to be purchased will be segregated on the books of the Fund and held by the custodian throughout the period of the obligation. The use of this investment strategy may increase net asset value fluctuation.
 
NOTE 7 — STRUCTURED EQUITY-LINKED SECURITIES
 
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract.
 
NOTE 8 — VALUATIONS
 
Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:
 
  •  Level 1 assets and liabilities use inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange).
 
  •  Level 2 assets and liabilities reflect inputs other than quoted prices, but use observable market data (including quoted prices of similar securities, interest rates, credit risk, etc.).
 
  •  Level 3 assets and liabilities are valued using unobservable inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value).

 

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:
 
                         
        Value of
 		   
    Value of
 		  Investment
 		  Other
    Investment
 		  Securities
 		  Financial
Valuation Inputs   Securities   Sold Short   Instruments
 
Level 1 — Quoted Prices
                       
Common Stocks
  $ 170,258,693     $ (6,341,266 )   $ —  
Convertible Preferred Stocks
    13,198,704       —       —  
Written Options
    —       —       (2,513,100 )
Purchased Options
    51,975       —       —  
Short Term Investment
    16,362,018       —       —  
Level 2 — Other significant observable inputs
                       
Common Stocks
    243,953,446       —       —  
Convertible Bonds
    68,284,459       —       —  
Corporate Bonds
    118,590,301       —       —  
U.S. Government and Agency Securities
    5,921,041       —       —  
Sovereign Bonds
    5,794,410       —       —  
Convertible Preferred Stocks
    8,352,738       —       —  
Structured Equity-Linked Securities
    36,306,983       —       —  
Interest Rate Swaps
    —       —       (6,239,346 )
                         
Total
  $ 687,074,768     $ (6,341,266 )   $ (8,752,446 )
                         

 

ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
  (a)   Certification of Principal Executive Officer.
 
  (b)   Certification of Principal Financial Officer.

 

 

SIGNATURES
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
         
Calamos Global Dynamic Income Fund    
 
        
By:
  /s/ John P. Calamos, Sr.
 
    
 
        
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 21, 2010    
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
Calamos Global Dynamic Income Fund    
 
        
By:
  /s/ John P. Calamos, Sr.
 
    
 
        
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 21, 2010    
 
        
By:
  /s/ Nimish S. Bhatt
 
    
 
        
Name:
  Nimish S. Bhatt    
Title:
  Principal Financial Officer    
Date:
  September 21, 2010