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, 2008 
 
DATE OF REPORTING PERIOD:   January 31, 2008 
 
 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2008 (UNAUDITED)
GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount           Value  
 
Corporate Bonds (12.5%)        
       
Consumer Discretionary (3.8%)
        
$ 2,000,000    
Boyd Gaming Corp.
        
       
7.125%, 02/01/16
   $ 1,730,000  
  2,000,000    
D.R. Horton, Inc.
        
       
9.750%, 09/15/10
     1,962,500  
  2,000,000    
EchoStar Communications Corp.
        
       
7.125%, 02/01/16
     2,007,500  
  2,000,000    
Ford Motor Company
        
       
9.875%, 08/10/11
     1,920,330  
  2,000,000    
General Motors Corp.
        
       
7.200%, 01/15/11
     1,835,000  
  2,000,000    
Goodyear Tire & Rubber Company
        
       
7.857%, 08/15/11
     2,025,000  
  2,000,000    
Hanesbrands, Inc.‡
        
       
8.204%, 12/15/14
     1,820,000  
  1,725,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     1,552,500  
  2,000,000    
Interpublic Group of Companies, Inc.
        
       
6.250%, 11/15/14
     1,660,000  
  2,000,000    
Jarden Corp.
        
       
7.500%, 05/01/17
     1,720,000  
  2,000,000    
Liberty Media Corp.
        
       
8.500%, 07/15/29
     1,906,122  
  2,000,000    
MGM Mirageµ
        
       
7.500%, 06/01/16
     1,930,000  
  2,000,000    
Pulte Homes, Inc.
        
       
7.875%, 08/01/11
     1,942,500  
  2,210,000    
Royal Caribbean Cruises, Ltd.µ
        
       
7.500%, 10/15/27
     2,020,470  
  2,000,000    
Service Corp. Internationalµ
        
       
6.750%, 04/01/15
     1,990,000  
  2,000,000    
Warnaco Group, Inc.µ
        
       
8.875%, 06/15/13
     2,045,000  
       
 
      
       
 
     30,066,922  
       
 
      
       
 
        
       
Consumer Staples (1.2%)
        
  1,000,000    
Alliance One International, Inc.
        
       
8.500%, 05/15/12
     935,000  
  2,000,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     2,030,000  
  1,300,000    
Dole Food Company, Inc.µ
        
       
8.875%, 03/15/11
     1,163,500  
  2,000,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     1,870,000  
  2,000,000    
Pilgrim’s Pride Corp.
        
       
7.625%, 05/01/15
     1,905,000  
  2,000,000    
Smithfield Foods, Inc.
        
       
7.750%, 07/01/17
     1,900,000  
       
 
      
       
 
     9,803,500  
       
 
      
       
 
        
       
Energy (1.5%)
        
  2,000,000    
Arch Western Financial, LLC
        
       
6.750%, 07/01/13
     1,945,000  
  2,000,000    
Complete Production Services, Inc.
        
       
8.000%, 12/15/16
     1,950,000  
  2,000,000    
Dresser-Rand Group, Inc.
        
       
7.375%, 11/01/14
     1,970,000  
  2,000,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
     2,040,000  
  2,000,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     1,940,000  
  2,000,000    
Williams Companies, Inc.
        
       
7.750%, 06/15/31
     2,180,000  
       
 
      
       
 
     12,025,000  
       
 
      
       
 
        
       
Financials (0.4%)
        
       
Leucadia National Corp.
        
  2,000,000    
7.000%, 08/15/13
     1,945,000  
  880,000    
8.125%, 09/15/15
     880,000  
       
 
      
       
 
     2,825,000  
       
 
      
       
 
        
       
Health Care (1.6%)
        
  2,000,000    
Bio-Rad Laboratories, Inc.µ
        
       
7.500%, 08/15/13
     2,030,000  
  3,000,000    
Community Health Systems, Inc.
        
       
8.875%, 07/15/15
     3,033,750  
  1,000,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     1,000,000  
  3,000,000    
HCA, Inc.
        
       
9.250%, 11/15/16
     3,153,750  
  2,000,000    
Psychiatric Solutions, Inc.µ
        
       
7.750%, 07/15/15
     1,980,000  
  995,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
     962,662  
       
 
      
       
 
     12,160,162  
       
 
      
       
 
        
       
Industrials (1.7%)
        
  2,000,000    
Belden CDT, Inc.µ
        
       
7.000%, 03/15/17
     1,925,000  
  2,000,000    
Deluxe Corp.
        
       
7.375%, 06/01/15
     1,975,000  
  2,000,000    
General Cable Corp.
        
       
7.125%, 04/01/17
     1,915,000  
  1,000,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
     980,000  
  2,000,000    
Manitowoc Company, Inc.µ
        
       
7.125%, 11/01/13
     1,940,000  
  2,000,000    
SPX Corp.
        
       
7.625%, 12/15/14
     2,052,500  
  2,000,000    
Terex Corp.
        
       
7.375%, 01/15/14
     1,985,000  
  500,000    
Westinghouse Air Brake Technologies Corp.
        
       
6.875%, 07/31/13
     492,500  
       
 
      
       
 
     13,265,000  
       
 
      
       
 
        
       
Information Technology (0.8%)
        
  2,000,000    
Amkor Tech, Inc.
        
       
9.250%, 06/01/16
     1,892,500  
  2,000,000    
SunGard Data Systems, Inc.µ
        
       
9.125%, 08/15/13
     2,040,000  
  2,000,000    
Xerox Corp.
        
       
8.000%, 02/01/27
     2,008,318  
       
 
      
       
 
     5,940,818  
       
 
      
       
 
        
       
Materials (0.5%)
        
  2,000,000    
Century Aluminum Company
        
       
7.500%, 08/15/14
     1,910,000  
See accompanying notes to Schedule of Investments

1

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                         
Principal                    
Amount                 Value  
 
$ 2,305,000            
Terra Industries, Inc.
        
               
7.000%, 02/01/17
   $ 2,276,188  
               
 
      
               
 
     4,186,188  
               
 
      
               
 
        
               
Telecommunication Services (1.0%)
        
  2,000,000            
Citizens Communications Company
        
               
9.000%, 08/15/31
     1,932,500  
  2,000,000            
Leap Wireless International, Inc.
        
               
9.375%, 11/01/14
     1,830,000  
  2,000,000            
Qwest Communications International, Inc.µ
        
               
7.750%, 02/15/31
     1,780,000  
  2,000,000            
Windstream Corp.µ
        
               
8.625%, 08/01/16
     2,080,000  
               
 
      
               
 
     7,622,500  
               
 
      
               
 
        
               
TOTAL CORPORATE BONDS
        
               
(Cost $100,130,018)
     97,895,090  
               
 
      
               
 
        
Convertible Bonds (15.0%)        
               
 
        
               
Consumer Discretionary (3.3%)
        
  1,650,000     EUR  
Adidas, AG
        
               
2.500%, 10/08/18
     4,259,431  
  3,500,000            
Ford Motor Companyµ
        
               
4.250%, 12/15/36
     3,513,125  
  4,250,000            
General Motors Corp.µ
        
               
7.200%, 11/15/11
     3,587,000  
  5,000,000            
Interpublic Group of Companies, Inc.*
        
               
4.250%, 03/15/23
     5,093,750  
  3,000,000     EUR  
Intralot SA
        
               
2.250%, 12/20/13
     4,629,687  
  3,750,000            
JAKKS Pacific, Inc.
        
               
4.625%, 06/15/23
     5,020,313  
               
 
      
               
 
     26,103,306  
               
 
      
               
 
        
               
Consumer Staples (0.4%)
        
  3,000,000            
General Mills, Inc.‡
        
               
4.301%, 04/11/37
     3,007,500  
               
 
      
               
 
        
               
Energy (1.0%)
        
  3,000,000            
Grey Wolf, Inc.‡
        
               
4.780%, 04/01/24
     3,438,900  
  4,300,000            
SeaDrill, Ltd.
        
               
3.625%, 11/08/12
     4,128,000  
               
 
      
               
 
     7,566,900  
               
 
      
               
 
        
               
Financials (1.4%)
        
  3,000,000            
American Equity Investment Life Holding Company
        
               
5.250%, 12/06/24
     2,827,500  
  3,000,000            
Health Care REIT, Inc.
        
               
4.750%, 07/15/27
     3,131,250  
  5,000,000            
Prudential Financial, Inc.‡
        
               
2.733%, 12/12/36
     4,916,000  
               
 
      
               
 
     10,874,750  
               
 
      
               
 
        
               
Health Care (4.4%)
        
  1,000,000            
Affymetrix, Inc.
        
               
3.500%, 01/15/38
     1,018,750  
  3,000,000            
Bristol-Myers Squibb Company‡
        
               
4.491%, 09/15/23
     3,003,600  
$ 3,300,000            
Emdeon Corp.
        
               
3.125%, 09/01/25
     3,048,375  
  1,000,000            
Five Star Quality Care, Inc.
        
               
3.750%, 10/15/26
     848,750  
  2,400,000            
Henry Schein, Inc.
        
               
3.000%, 08/15/34
     3,288,000  
  4,100,000            
Invitrogen Corp.µ
        
               
3.250%, 06/15/25
     4,592,000  
  3,000,000            
Millipore Corp.
        
               
3.750%, 06/01/26
     3,180,000  
  6,500,000            
Shire, PLC
        
               
2.750%, 05/09/14
     6,158,750  
  2,000,000            
SonoSite, Inc.
        
               
3.750%, 07/15/14
     2,280,000  
  6,200,000            
Teva Pharmaceutical Industries, Ltd.µ
        
               
1.750%, 02/01/26
     7,161,000  
               
 
      
               
 
     34,579,225  
               
 
      
               
 
        
               
Industrials (1.0%)
        
  1,800,000     EUR  
MTU Aero Engines Holdings, AG
        
               
2.750%, 02/01/12
     2,668,097  
  3,000,000            
School Specialty, Inc.
        
               
3.750%, 11/30/26
     2,853,750  
  2,000,000            
Waste Connections, Inc.
        
               
3.750%, 04/01/26
     2,185,000  
               
 
      
               
 
     7,706,847  
               
 
      
               
 
        
               
Information Technology (2.8%)
        
  1,310,259     EUR  
Alcatel, SA
        
               
4.750%, 01/01/11
     4,571,822  
  2,700,000            
Electronic Data Systems Corp.µ
        
               
3.875%, 07/15/23
     2,696,625  
  5,500,000            
Intel Corp.
        
               
2.950%, 12/15/35
     5,500,000  
  2,700,000            
Linear Technology Corp.
        
               
3.125%, 05/01/27
     2,622,375  
  4,000,000            
Mentor Graphics Corp.
        
               
6.250%, 03/01/26
     3,850,000  
  2,800,000            
Seagate Technology
        
               
6.800%, 04/30/10
     3,020,500  
               
 
      
               
 
     22,261,322  
               
 
      
               
 
        
               
Telecommunication Services (0.3%)
        
  1,290,500     EUR  
France Telecom, AG
        
               
1.600%, 01/01/09
     1,995,831  
               
 
      
               
 
        
               
Utilities (0.4%)
        
  1,700,000     EUR  
International Power, PLC
        
               
3.250%, 07/20/13
     2,853,984  
               
 
      
               
TOTAL CONVERTIBLE BONDS
        
               
(Cost $122,555,237)
     116,949,665  
               
 
      
See accompanying notes to Schedule of Investments

2

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                         
Number of                    
Shares                 Value  
 
Convertible Preferred Stocks (28.4%)        
               
 
        
               
Consumer Discretionary (3.7%)
        
  120,700            
Deutsche Bank (Amazon.com, Inc.)*y
        
               
15.000%
   $ 9,748,335  
  125,700            
Deutsche Bank (Apollo Group, Inc.)*y
        
               
12.000%
     10,012,633  
  80,007            
Lehman Brothers Holding (ITT Educational Services, Inc.)*y
        
               
12.000%
     7,563,862  
  900     EUR  
Porsche Holding GmbH
        
               
7.000%
     1,615,597  
               
 
      
               
 
     28,940,427  
               
 
      
               
 
        
               
Consumer Staples (0.6%)
        
  4,000            
Bunge, Ltd.
        
               
5.125%
     4,390,000  
               
 
      
               
 
        
               
Energy (1.3%)
        
  80,000            
Lehman Brothers Holding (Transocean, Inc.)*y
        
               
12.000%
     10,036,000  
               
 
      
               
 
        
               
Financials (1.7%)
        
  9,500            
Alleghany Corp.
        
               
5.750%
     3,285,813  
  60,000            
CIT Group, Inc.
        
               
7.750%
     1,257,600  
  20,400            
Citigroup, Inc.
        
               
6.500%
     1,109,250  
  185,000            
MetLife, Inc.
        
               
6.375%
     5,389,050  
  2,000            
SLM Corp.
        
               
7.250%
     2,195,000  
               
 
      
               
 
     13,236,713  
               
 
      
               
 
        
               
Health Care (4.2%)
        
  68,404            
Citigroup, Inc. (Alcon, Inc.)y
        
               
12.000%
     9,931,577  
  2,000            
Mylan Laboratories, Inc.
        
               
6.500%
     2,114,500  
  11,000            
Schering-Plough Corp.µ
        
               
6.000%
     2,107,490  
  141,900            
Wachovia Bank NA (Biogen Idec, Inc.)*y
        
               
12.000%
     8,324,564  
  144,600            
Wachovia Bank NA (Humana, Inc.)*y
        
               
12.000%
     10,531,218  
               
 
      
               
 
     33,009,349  
               
 
      
               
 
        
               
Industrials (1.1%)
        
  159,300            
Credit Suisse (CNH Global NV)*y
        
               
12.000%
     8,841,150  
               
 
      
               
 
        
               
Information Technology (11.4%)
        
  184,900            
Deutsche Bank (Electronic Arts, Inc.)*y
        
               
12.000%
     9,144,229  
  285,800            
Deutsche Bank (Nokia Corp.)*y
        
               
12.000%
     10,450,277  
  504,400            
Goldman Sachs (Oracle Corp.)*¹y
        
               
12.000%
     10,263,531  
  517,526            
JPMorgan Chase & Company (Intel Corp.)*y
        
               
12.000%
     10,715,376  
  417,544            
Morgan Stanley (Cisco Systems, Inc.)*¹y
        
               
12.000%
     9,998,091  
  249,138            
Morgan Stanley (Infosys Technologies, Ltd.)*¹y
        
               
12.000%
     10,031,542  
  195,142            
Morgan Stanley (SAP, AG)*y
        
               
12.000%
     9,402,917  
  323,500            
Wachovia Bank NA (eBay, Inc.)*y
        
               
12.000%
     8,959,333  
  410,500            
Wachovia Bank NA (NVIDIA Corp.)*y
        
               
15.000%
     10,424,647  
               
 
      
               
 
     89,389,943  
               
 
      
               
 
        
               
Materials (3.0%)
        
  52     EUR  
Bayer, AG
        
               
6.625%
     5,705,357  
  38,000            
Cia Vale do Rio Doce
        
               
5.500%
     2,299,000  
  21,000            
Freeport-McMoRan Copper & Gold, Inc.µ
        
               
6.750%
     2,788,800  
  710     CHF  
Givaudan SA
        
               
5.375%
     6,293,883  
  30,000            
Hecla Mining Company
        
               
6.500%
     2,928,000  
  30,000            
Royal Gold, Inc.
        
               
7.250%
     3,147,000  
               
 
      
               
 
     23,162,040  
               
 
      
               
 
        
               
Telecommunication Services (1.2%)
        
  154,800            
Credit Suisse (America Movil, S.A. de C.V.)*y
        
               
12.000%
     9,692,028  
               
 
      
               
 
        
               
Utilities (0.2%)
        
  30,000            
Entergy Corp.
        
               
7.625%
     1,920,000  
               
 
      
               
 
        
               
TOTAL CONVERTIBLE PREFERRED STOCKS
        
               
(Cost $233,308,339)
     222,617,650  
               
 
      
               
 
        
Common Stocks (76.2%)        
               
 
        
               
Consumer Discretionary (5.9%)
        
  41,000     EUR  
Adidas, AG
     2,615,028  
  18,750            
Amazon.com, Inc.#µ
     1,456,875  
  15,000            
Apollo Group, Inc.#
     1,196,100  
  145,000     GBP  
British Sky Broadcasting Group, PLC
     1,593,089  
  10,000            
Carnival Corp.µ
     444,900  
  400,000     GBP  
Carphone Warehouse Group, PLC
     2,633,829  
  30,000            
CBS Corp.µ
     755,700  
  21,500            
Central European Media Enterprises, Ltd.
     2,037,985  
  46,000     CHF  
Compagnie Generale Richemont, SA
    2,631,453  
See accompanying notes to Schedule of Investments

3

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                         
Number of                    
Shares                 Value  
 
  400,000     AUD  
Harvey Norman Holdings, Ltd.
   $ 2,027,700  
  61,000     EUR  
Industria de Diseno Textil, SA
     3,064,528  
  39,000     JPY  
Makita Corp.
     1,461,620  
  50,000            
McDonald’s Corp.µ
     2,677,500  
  72,000            
News Corp., Class Bµ
     1,399,680  
  38,000            
Nike, Inc.µ
     2,346,880  
  87,000     JPY  
Nikon Corp.
     2,419,048  
  7,000            
Nordstrom, Inc.µ
     272,300  
  54,500     EUR  
Paddy Power, PLC
     1,551,479  
  40,000     EUR  
Royal Philips Electronics, NV
     1,564,531  
  50,000     JPY  
Sony Corp.
     2,362,043  
  85,000     CHF  
Swatch Group, AG
     4,458,215  
  8,000            
Target Corp.
     444,640  
  70,000            
Time Warner, Inc.
     1,101,800  
  31,000     JPY  
Toyota Motor Corp.
     1,678,373  
  67,500            
Walt Disney Companyµ
     2,020,275  
               
 
      
               
 
     46,215,571  
               
 
      
               
 
        
               
Consumer Staples (8.5%)
        
  50,000            
Altria Group, Inc.µ
     3,791,000  
  15,250            
Anheuser-Busch Companies, Inc.µ
    709,430  
  53,000     EUR  
Beiersdorf, AG
     4,090,724  
  115,000     GBP  
British American Tobacco, PLC
     4,119,604  
  29,000     DKK  
Carlsberg A/S
     3,059,003  
  90,000            
Coca-Cola Company
     5,325,300  
  12,250            
Colgate-Palmolive Companyµ
     943,250  
  32,000            
CVS Corp.
     1,250,240  
  180,000     GBP  
Diageo, PLC
     3,633,510  
  76,500     EUR  
Heineken, NV
     4,300,879  
  53,000     EUR  
InBev, NV
     4,373,925  
  160     JPY  
Japan Tobacco, Inc.
     849,114  
  12,000            
Kimberly-Clark Corp.
     787,800  
  22,500     CHF  
Nestle Holdings, Inc.
     10,073,142  
  37,000            
PepsiCo, Inc.µ
     2,523,030  
  86,000            
Procter & Gamble Companyµ
     5,671,700  
  52,000     GBP  
Reckitt Benckiser
     2,723,760  
  13,000            
Reynolds American, Inc.
     823,290  
  53,000     GBP  
Unilever, PLC
     1,747,086  
  72,000            
Wal-Mart Stores, Inc.µ
     3,663,360  
  18,500            
Walgreen Companyµ
     649,535  
  37,000     AUD  
Woolworths, Ltd.
     964,292  
               
 
      
               
 
     66,072,974  
               
 
      
               
 
        
               
Energy (6.7%)
        
  175,000     GBP  
BG Group, PLC
     3,860,885  
  580,000     GBP  
BP, PLC
     6,181,645  
  38,000     CAD  
Canadian Natural Resources, Ltd.
     2,430,138  
  55,000            
Chevron Corp.µ
     4,647,500  
  40,000            
ConocoPhillipsµ
     3,212,800  
  18,500            
Devon Energy Corp.µ
     1,572,130  
  47,000     EUR  
ENI S.p.A.
     1,519,626  
  100,000            
Exxon Mobil Corp.µ
     8,640,000  
  46,500            
Halliburton Companyµ
     1,542,405  
  31,000            
Marathon Oil Corp.µ
     1,452,350  
  15,000            
Occidental Petroleum Corp.
     1,018,050  
  115,000     NOK  
Petroleum Geo-Services ASA
     2,486,842  
  82,300     GBP  
Royal Dutch Shell, PLC
     2,950,566  
  22,000            
Schlumberger, Ltd.µ
     1,660,120  
  20,000     CAD  
Suncor Energy, Inc.
     1,880,384  
  74,000     EUR  
TOTAL, SA
     5,385,601  
  15,693            
Transocean, Inc.#
     1,923,962  
               
 
      
               
 
     52,365,004  
               
 
      
               
 
        
               
Financials (9.4%)
        
  27,500            
AFLAC, Inc.
     1,686,575  
  23,000            
American Express Companyµ
     1,134,360  
  65,000            
American International Group, Inc.µ
     3,585,400  
  24,000            
Aon Corp.µ
     1,044,480  
  95,000     AUD  
Australian Stock Exchange, Ltd.
     4,119,312  
  135,000     EUR  
Banco Santander Central Hispano, SA
     2,374,333  
  80,000            
Bank of America Corp.µ
     3,548,000  
  41,000            
Bank of New York Mellon Corp.µ
     1,911,830  
  18,700     EUR  
BNP Paribas
     1,854,932  
  128,000            
Citigroup, Inc.µ
     3,612,160  
  62,500     AUD  
Commonwealth Bank of Australia
     2,814,542  
  29,000     EUR  
Deutsche Bank, AG
     5,074,331  
  12,000            
Franklin Resources, Inc.µ
     1,250,760  
  19,000            
Hartford Financial Services Group, Inc.µ
     1,534,630  
  62,500            
JPMorgan Chase & Companyµ
     2,971,875  
  55,000     CHF  
Julius Baer Holding, AG
     3,863,441  
  126,875     GBP  
Man Group PLC
     1,396,901  
  99,000            
Manulife Financial Corp.
     3,720,420  
  40,000            
MetLife, Inc.µ
     2,358,800  
  40,000            
Morgan Stanleyµ
     1,977,200  
  47,000     EUR  
Piraeus Bank, SA
     1,510,304  
  98,000     CAD  
Power Financial Corp.
     3,567,452  
  25,500            
Prudential Financial, Inc.µ
     2,151,435  
  149,500     GBP  
Schroders, PLC
     3,258,576  
  387,000     SGD  
Singapore Exchange, Ltd.
     2,689,041  
  12,000            
St. Paul Travelers Companies, Inc.µ
     577,200  
  8,000            
State Street Corp.
     656,960  
  23,500            
T. Rowe Price Group, Inc.
     1,188,865  
  32,000            
U.S. Bancorpµ
     1,086,400  
  67,000            
Wachovia Corp.µ
     2,608,310  
  8,300     CHF  
Zurich Financial Services, AG
     2,376,551  
               
 
      
               
 
     73,505,376  
               
 
      
               
 
        
               
Health Care (8.9%)
        
  77,000            
Abbott Laboratoriesµ
     4,335,100  
  60,000            
Alcon, Inc.
     8,520,000  
  64,000     JPY  
Astellas Pharma, Inc.
     2,776,136  
  83,000            
Bristol-Myers Squibb Companyµ
     1,924,770  
  62,000     AUD  
Cochlear, Ltd.
     3,909,514  
  251,500     AUD  
CSL, Ltd.
     7,873,242  
  34,250            
Eli Lilly and Companyµ
     1,764,560  
  37,000     EUR  
Fresenius Medical Care, AG & Company
     1,903,651  
  80,000            
Johnson & Johnsonµ
     5,060,800  
  42,000            
Medtronic, Inc.
     1,955,940  
  92,500            
Merck & Company, Inc.µ
     4,280,900  
  54,000     CHF  
Novartis International, AG
     2,735,819  
  107,000     DKK  
Novo Nordisk, AS — B Shares
     6,750,677  
  98,000     JPY  
OLYMPUS Corp.
     3,305,806  
  190,000            
Pfizer, Inc.µ
     4,444,100  
  16,500     CHF  
Roche Holding, AG
     2,995,926  
  39,000     JPY  
Terumo Corp.
     2,132,286  
  42,000            
UnitedHealth Group, Inc.#µ
     2,135,280  
  17,000            
Wyethµ
     676,600  
               
 
      
               
 
     69,481,107  
               
 
      
               
 
        
               
Industrials (9.9%)
        
  27,000            
3M Company
     2,150,550  
  270,000     CHF  
Abb, Ltd.
     6,753,087  
See accompanying notes to Schedule of Investments

4

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                             
Number of            
Shares         Value  
 
     27,000     EUR   Alstom   $ 5,452,316  
 
     395,000     GBP   BAE Systems, PLC     3,679,693  
 
     28,000             Boeing Companym     2,329,040  
 
     500,000     CAD   Bombardier, Inc.     2,465,017  
 
     14,750             Burlington Northern Santa Fe Corp.m     1,276,170  
 
     164,516     GBP   Capita Group, PLC     2,156,554  
 
     7,000             Danaher Corp.m     521,150  
 
     18,000             Emerson Electric Companym     915,120  
 
     63,000     GBP   FirstGroup, PLC     835,278  
 
     14,500             General Dynamics Corp.m     1,224,670  
 
     242,500             General Electric Companym     8,586,925  
 
     60,000             Honeywell International, Inc.m     3,544,200  
 
     25,000             Illinois Tool Works, Inc.     1,260,000  
 
     64,000     JPY   Komatsu, Ltd.     1,560,272  
 
     47,000     EUR   Krones AG     3,641,407  
 
     44,000     AUD   Leighton Holdings, Ltd.     1,980,109  
 
     10,000             Lockheed Martin Corp.m     1,079,200  
 
     27,000     EUR   MAN, AG     3,328,420  
 
     66,000     JPY   Mitsubishi Corp.     1,748,947  
 
     44,000     EUR   MTU Aero Engines Holdings, AG     2,358,626  
 
     30,000     EUR   Q-Cells, AG     2,822,468  
 
     21,000             Raytheon Companym     1,367,940  
 
     53,600     EUR   SGL Carbon     2,715,460  
 
     43,000     EUR   Siemens, AG     5,542,743  
 
     13,650             Union Pacific Corp.m     1,706,660  
 
     20,000             United Parcel Service, Inc.     1,463,200  
 
     43,000             United Technologies Corp.m     3,156,630  
 
                          
 
                         77,621,852  
 
                          
 
 
                   Information Technology (15.7%)        
 
     31,000             Apple, Inc.#m     4,196,160  
 
     391,000     GBP   Autonomy Corp. PLC     7,145,825  
 
     60,000     JPY   Canon, Inc.     2,543,583  
 
     90,000     JPY   Capcom Co.     2,189,346  
 
     200,000             Cisco Systems, Inc.#m     4,900,000  
 
     132,500             Dell, Inc.#m     2,655,300  
 
     50,000             eBay, Inc.#     1,344,500  
 
     20,000             Electronic Arts, Inc.#     947,400  
 
     65,000             EMC Corp.#     1,031,550  
 
     6,250             Google, Inc.#m     3,526,875  
 
     85,000             Hewlett-Packard Companym     3,718,750  
 
     140,000             Infosys Technologies, Ltd.     5,796,000  
 
     185,000             Intel Corp.m     3,922,000  
 
     40,000             International Business Machines Corp.m     4,293,600  
 
     113,000     JPY   Konica Minolta Holdings, Inc.     1,821,004  
 
     825,000     SEK   LM Ericsson Telephone Company     1,878,492  
 
     85,000     CHF   Logitech International, SA     2,581,381  
 
     230,000             Microsoft Corp.m     7,498,000  
 
     45,000             Motorola, Inc.m     518,850  
 
     70,000             NDS Group, PLC     3,780,000  
 
     23,000     JPY   Nintendo Company, Ltd.     11,630,712  
 
     370,000     EUR   Nokia Corp.     13,624,275  
 
     92,000     JPY   Nomura Reasearch Institute, Ltd.     2,446,971  
 
     150,000             Oracle Corp.#m     3,082,500  
 
     47,000             QUALCOMM, Inc.m     1,993,740  
 
     118,000     EUR   SAP, AG     5,663,348  
 
     65,000             Satyam Computer Services, Ltd.     1,582,750  
 
     165,000     NOK   Tandberg, ASA     2,876,025  
 
     109,100     CHF   Temenos Group, AG     2,573,082  
 
     60,000             Texas Instruments, Inc.m     1,855,800  
 
     71,000     JPY   Trend Micro, Inc.     2,564,397  
 
     66,000     EUR   Ubisoft Entertainment SA     5,998,587  
 
     103,000     HKD   Vtech Holdings     593,874  
 
                          
 
                         122,774,677  
 
                          
 
 
                   Materials (3.5%)        
 
     47,000     GBP   Anglo American, PLC     2,597,027  
 
     27,000     EUR   Arcelormittal     1,770,213  
 
     30,000     EUR   BASF, AG     3,907,226  
 
     37,000     EUR   Bayer, AG     3,035,821  
 
     143,700     AUD   BHP Billton, Ltd.     4,818,220  
 
     30,000     GBP   BHP Billton, PLC     907,188  
 
     87,000             Cia Vale do Rio Doce     2,608,260  
 
     36,000             E.I. du Pont de Nemours and Companym     1,626,480  
 
     7,000             Freeport-McMoRan Copper & Gold, Inc.     623,210  
 
     17,000     GBP   Rio Tinto Group     1,702,075  
 
     41,000             The Dow Chemical Companym     1,585,060  
 
     37,000     NOK   Yara International ASA     1,799,180  
 
                          
 
                         26,979,960  
 
                          
 
 
                   Telecommunication Services (5.2%)        
 
     93,500             America Movil, S.A. de C.V.     5,601,585  
 
     145,000             AT&T, Inc.m     5,581,050  
 
     35,000     EUR   Bouygues, SA     2,698,475  
 
     265,000     GBP   BT Group, PLC     1,376,914  
 
     20,000             China Mobile, Ltd.     1,512,000  
 
     157,000     EUR   France Telecom, AG     5,537,053  
 
     25,000             Millicom International Cellular, SA     2,648,500  
 
     180,000     EUR   Telefonica, SA     5,262,041  
 
     83,000             Verizon Communications, Inc.m     3,223,720  
 
     2,157,000     GBP   Vodafone Group     7,545,758  
 
                          
 
                         40,987,096  
 
                          
 
 
                   Utilities (2.5%)        
 
     47,500             Duke Energy Corp.     886,350  
 
     21,000     EUR   E.ON, AG     3,867,293  
 
     31,000             Exelon Corp.m     2,361,890  
 
     28,500             FPL Goup, Incm     1,837,680  
 
     14,500     EUR   Gas Natural SDG, SA     800,418  
 
     19,000             Progress Energy, Inc.     858,230  
 
     7,000             Public Service Enterprise Group, Inc.     672,000  
 
     45,000     EUR   RWE, AG     5,524,022  
 
     48,000     EUR   Suez     2,940,183  
 
                          
 
                         19,748,066  
 
                          
 
                   TOTAL COMMON STOCKS      
 
                   (Cost $634,224,829)     595,751,683  
 
                          
See accompanying notes to Schedule of Investments

5

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                         
Principal            
Amount           Value
 
U.S. Government and Agency Securities (3.6%)
 
  $ 15,000,000         Federal Home Loan Mortgage Corp.m        
 
              5.750%, 04/15/08   $  15,093,225  
 
    5,000,000         United States Treasury Notem        
 
              4.875%, 04/30/08     5,035,940  
 
     8,000,000         Federal Home Loan Bankm        
 
               4.625%, 02/01/08     8,000,000  
 
                      
 
               TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES      
 
               (Cost $28,117,537)     28,129,165  
 
                      
                             
Number of                    
Shares                 Value  
 
Investment in Affiliated Fund (6.6%)        
 
     51,581,419             Calamos Government Money Market Fund - Class I Shares (Cost $51,581,419)     51,581,419  
 
                          
TOTAL INVESTMENTS (142.3%)        
(Cost $1,169,917,379)     1,112,924,672  
 
                          
OTHER ASSETS, LESS LIABILITIES (5.1%)     19,157,742  
 
                          
PREFERRED SHARES AT REDEMPTION
VALUE INCLUDING DIVIDENDS PAYABLE
(-44.8%)		     (350,140,507 )
 
                          
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%)		   $ 781,941,907  
 
                          
                             
Number of                    
Shares                 Value  
 
Common Stocks Sold Short (-4.5%)
 
                   Consumer Discretionary (-0.6%)        
 
     (195,000 )           Interpublic Group of Companies, Inc.#     (1,741,350 )
 
     (140,600 )           JAKKS Pacific, Inc.#     (3,312,536 )
 
                          
 
                         (5,053,886 )
 
                          
 
                            
 
                   Consumer Staples (-0.5%)        
 
     (31,000 )           Bunge, Ltd.     (3,672,570 )
 
                          
 
                            
 
                   Energy (-0.3%)        
 
     (328,000 )           Grey Wolf, Inc.#     (1,954,880 )
 
                          
 
                            
 
                   Financials (-0.8%)        
 
     (7,800 )           Alcon, Inc.#     (2,948,400 )
 
     (84,500 )           American Equity Investment Life Holding Company     (698,815 )
 
     (34,500 )           CIT Group, Inc.     (964,620 )
 
     (84,500 )           SLM Corp.#     (1,837,875 )
 
                          
 
                         (6,449,710 )
 
                          
 
                            
 
                   Health Care (-1.2%)        
 
     (25,000 )           Affymetrix, Inc.#     (501,500 )
 
     (51,000 )           Five Star Quality Care, Inc.#     (389,130 )
 
     (138,500 )           Health Corp.     (1,549,815 )
 
     (44,100 )           Henry Schein, Inc.#     (2,563,533 )
 
     (19,900 )           Millipore Corp.#     (1,395,985 )
 
     (114,000 )           Mylan Laboratories, Inc.#     (1,699,740 )
 
     (44,200 )           SonoSite, Inc.#     (1,539,486 )
 
                          
 
                         (9,639,189 )
 
                          
 
                            
 
                   Industrials (-0.3%)        
 
     (32,500 )           School Specialty, Inc.#     (1,054,950 )
 
     (41,000 )           Waste Connections, Inc.#     (1,195,560 )
 
                          
 
                         (2,250,510 )
 
                          
 
                            
 
                   Information Technology (-0.1%)        
 
     (71,600 )           Mentor Graphics Corp.#     (590,700 )
 
                          
 
                            
 
                   Materials (-0.5%)        
 
     (175,200 )           Hecla Mining Company#     (1,629,360 )
 
     (76,500 )           Royal Gold, Inc.     (2,299,590 )
 
                          
 
                         (3,928,950 )
 
                          
 
                            
 
                   Utilities (-0.2%)        
 
     (17,000 )           Entergy Corp.     (1,839,060 )
 
                          
 
                   TOTAL COMMON STOCKS SOLD SHORT        
 
                   (Proceeds $37,500,538)     (35,379,455 )
 
                          
                             
Number of                    
Contracts                 Value  
 
Written Options (-2.6%)        
 
                   Financials (-2.6%)        
 
                   IShares MSCI EAFE Index Fund#        
 
     9,000             Call, 06/21/08, Strike $73.00     (3,825,000 )
 
     8,250             Call, 03/22/08, Strike $72.00     (2,433,750 )
 
     8,000             Call, 06/21/08, Strike $76.00     (2,200,000 )
 
     6,000             Call, 03/22/08, Strike $73.00     (1,425,000 )
 
     5,400             Call, 06/21/08, Strike $75.00     (1,728,000 )
 
     2,750             Call, 06/21/08, Strike $74.00     (1,003,750 )
 
     1,525             Call, 06/21/08, Strike $77.00     (358,375 )
 
                   SPDR Trust Series 1#        
 
     4,000             Call, 06/21/08, Strike $140.00     (2,650,000 )
 
     2,500             Call, 06/21/08, Strike $139.00     (1,793,750 )
 
     2,350             Call, 03/22/08, Strike $136.00     (1,404,125 )
 
     1,500             Call, 06/21/08, Strike $141.00     (915,000 )
 
     1,500             Call, 03/22/08, Strike $141.00     (476,250 )
 
     1,250             Call, 03/22/08, Strike $140.00     (459,375 )
 
                          
 
                   TOTAL WRITTEN OPTIONS        
 
                   (Premium $25,253,125)     (20,672,375 )
 
                          
NOTES TO SCHEDULE OF INVESTMENTS
 
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 shown 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.
 
*   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 or excepted from such registration requirements. At January 31, 2008, the value of 144A securities that could not be exchanged to the registered form is $164,139,734 or 21.0% of net assets.
 
#   Non-income producing security.
 
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2008.
See accompanying notes to Schedule of Investments

6

 

GLOBAL DYNAMIC INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
m   Security, or portion of security, is held in a segregated account as collateral for swaps aggregating a total market value of $328,931,182.
 
¹   Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
y   The security of the financial institution is linked to, and may be exchangeable or convertible to, the equity security shown in the parenthetical.
 
W   Investment in an affiliated fund. During the period from November 1, 2007, through January 31, 2008, the fund had net redemptions of $1,218,577, and received $743,741 in dividend payments from the affiliated fund. As of October 31, 2007, the fund had holdings of $52,799,996 of the affiliated fund.
     
FOREIGN CURRENCY ABBREVIATIONS
 
AUD
  Australian Dollar
CAD
  Canadian Dollar
CHF
  Swiss Franc
DKK
  Danish Krone
EUR
  European Monetary Unit
GBP
  British Pound Sterling
HKD
  Hong Kong Dollar
JPY
  Japanese Yen
NOK
  Norwegian Krone
SEK
  Swedish Krona
SGD
  Singapore Dollar
See accompanying notes to Schedule of Investments

7

 

CALAMOS GLOBAL DYNAMIC INCOME FUND
Country Allocation as of January 31, 2008
         
Country   % of Portfolio
United States
     49.8 %
Germany
     7.9 %
United Kingdom
     7.4 %
Switzerland
     6.5 %
Japan
     4.3 %
France
     3.6 %
Australia
     2.8 %
Finland
     2.4 %
India
     1.7 %
Mexico
     1.5 %
Cayman Islands
     1.5 %
Netherlands
     1.5 %
Canada
     1.4 %
Spain
     1.1 %
Denmark
     1.0 %
Bermuda
     0.8 %
Norway
     0.7 %
Israel
     0.7 %
Greece
     0.6 %
Brazil
     0.5 %
Luxembourg
     0.4 %
Belgium
     0.4 %
Singapore
     0.3 %
Liberia
     0.2 %
Sweden
     0.2 %
Netherlands Antilles
     0.2 %
Ireland
     0.2 %
Italy
     0.2 %
Hong Kong
     0.2 %
 
        
Total:
     100.0 %
 
        
Country allocations vary over time.
See accompanying notes to Schedule of Investments

 

 

                                 
CREDIT DEFAULT SWAPS - (unaudited)  
                            Unrealized  
SWAP Counterparty   Referenced Obligation   Buy/Sell Protection   Fund Pays/Receives Fixed Rate   Termination Date   Notional Amount     Appreciation/Depreciation  
Citibank, N.A.
   Centex Corporation   BUY   1.35 BPS Quarterly   9/20/2012   $ 5,000,000     $ 555,879  
Citibank, N.A.
   Motorola Inc.   BUY   0.73 BPS Quarterly   9/20/2017     5,000,000       371,795  
Goldman Sachs
   Jones Apparel Group   BUY   1.32 BPS Quarterly   9/20/2012     5,000,000       345,514  
Goldman Sachs
   Temple-Inland   BUY   1.00 BPS Quarterly   9/20/2012     5,000,000       53,714  
Lehman Brothers Holdings
   Iac/Interactivecorp   BUY   1.25 BPS Quarterly   9/20/2012     5,000,000       117,319  
Citibank, N.A.
   Radian Group Inc   BUY   8.60 BPS Quarterly   9/20/2012     3,000,000       (37,555 )
Merrill Lynch
   CDX.NA.IG.8, 3-7% 10 Year Fixed   SELL   5.62 BPS Quarterly   3/20/2013     4,000,000       (422,892 )
Merrill Lynch
   CDX.NA.IG.8, 3-7% 10 Year Fixed   SELL   1.78 BPS Quarterly   6/20/2017     20,000,000       (3,411,245 )
Lehman Brothers Holdings
   CDX.NA.IG.8, 3-7% 10 Year Fixed   SELL   5.64 BPS Quarterly   6/20/2017     20,000,000       (2,089,947 )
Citibank, N.A.
   CDX.NA.IG.8, 7-10% 10 Year Fixed   SELL   1.68 BPS Quarterly   6/20/2017     20,000,000       (3,549,807 )
Goldman Sachs
   CDX.NA.IG.8, 3-7% 10 Year Fixed   SELL   5.43 BPS Quarterly   6/20/2017     10,000,000       (1,173,655 )
Goldman Sachs
   CDX.NA.IG.8, 7-10% 10 Year Fixed   SELL   1.67 BPS Quarterly   6/20/2017     10,000,000       (1,781,831 )
Merrill Lynch
   CDX.NA.IG.8, 3-7% 10 Year Fixed   SELL   5.72 BPS Quarterly   6/20/2017     13,000,000       (1,294,737 )
 
                              
 
                           $ (12,317,448 )
 
                              

 

 

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.
Portfolio Valuation. The valuation of the Fund’s portfolio securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time as of which 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 Stock Market, the last current reported sale price on NASDAQ at the time as of which a Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than option securities, that are traded on a U.S. securities exchange and other 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.
Trading in securities on European and Far Eastern securities 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 is evaluated 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 current sale price at the time as of which 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, in accordance with guidelines adopted by the board of trustees. 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, including any thinly-traded security, below investment grade bond or synthetic convertible instrument, 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 the value of a foreign security it holds is

 

 

materially affected by events occurring before their pricing time but after the close of the primary market or exchange on which the security is traded. 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. Short-term and long-term investment transactions are recorded on a trade date basis on January 31, 2008.
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 market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. 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.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
NOTE 2 — INVESTMENTS
The following information is presented on a federal income tax basis as of January 31, 2008. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at January 31, 2008 was as follows:
         
Cost basis of investments
   $ 1,170,532,793  
 
      
Gross unrealized appreciation
     33,989,923  
Gross unrealized depreciation
     (91,598,044 )
 
      
Net unrealized appreciation (depreciation)
   $ (57,608,121 )
 
      

 

 

NOTE 3 – SHORT SALES
Securities sold short represent obligations to deliver the securities at a future date. A 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 Statements of Operations. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.
NOTE 4 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at January 31, 2008.
NOTE 5 – PREFERRED SHARES
Preferred Shares. There are unlimited shares of Auction Rate Cumulative Preferred Shares (“Preferred Shares”) authorized. The Preferred Shares have rights as determined by the board of trustees. The 14,000 shares of Preferred Shares outstanding consist of five series, 2,800 shares of M, 2,800 shares of T, 2,800 shares of W, 2,800 shares of TH, and 2,800 shares of F. The Preferred Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends, whether or not declared.
NOTE 6 – SWAPS
The Fund may engage in various swap transactions primarily to manage duration and yield curve risk or as alternatives to direct investments.
The Fund may also enter into credit default swap agreements. A credit default swap agreement may have as reference obligations one or more securities that are not currently held by the Fund. The protection “buyer” in a credit default contract is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. The Fund may be either the buyer or the seller in the transaction. If the Fund is the buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if the credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, the Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in

 

 

addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap. Credit default swap agreements involve greater risks than if the Fund invested in the reference obligation.
The contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation or depreciation. Premiums paid to or by the Fund are accrued daily and included in realized gain (loss) on swaps. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with swap contracts. Risks include changes in the return of the underlying instruments, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the contracts.
As of January 31, 2008, the Fund had outstanding swap agreements as listed on the Schedule of Investments.
NOTE 7– SYNTHETIC CONVERTIBLE INSTRUMENTS
The Fund may establish a ‘‘synthetic’’ convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (‘‘fixed-income component’’, which may be a convertible or non-convertible security) and the right to acquire equity securities (‘‘convertible component’’). The fixed-income component is achieved by investing in fixed-income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.
The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.
NOTE 8 – 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.

 

 

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

 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Global Dynamic Income Fund
         
By:
   /s/ John P. Calamos, Sr.     
 
 
 
    
Name: John P. Calamos, Sr.    
Title: Principal Executive Officer    
Date: March 24, 2008    
 
        
By:
   /s/ Nimish S. Bhatt     
 
 
 
    
Name: Nimish S. Bhatt    
Title: Principal Financial Officer    
Date: March 24, 2008    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Global Dynamic Income Fund
         
By:
   /s/ John P. Calamos, Sr.     
 
 
 
    
Name: John P. Calamos, Sr.    
Title: Principal Executive Officer    
Date: March 24, 2008    
 
        
By:
   /s/ Nimish S. Bhatt     
 
 
 
    
Name: Nimish S. Bhatt    
Title: Principal Financial Officer    
Date: March 24, 2008