SEC Form N-CSR filed by Calamos Global Total Return Fund

TIMELY INFORMATION INSIDE

Global Total Return Fund (CGO)

Annual REPORT October 31, 2022

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TABLE OF CONTENTS

CALAMOS CLOSED-END FUNDS

Innovative Solutions for the Search for Income

About Calamos Investments:

•Our experience as an innovator in dynamically allocated closed-end funds extends back to 2002.

•Calamos total-return and enhanced-fixed-income funds can meet a range of investor needs.

•Our funds offer competitive distributions through a multi-asset-class approach and strategies that have been less dependent on interest rates.

•Distribution policies seek to provide steady monthly income.

•We currently manage more than $7.9 billion in seven closed-end funds as of October 31, 2022.

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

Maximizing Investment with an Automatic Dividend Reinvestment Plan

Calamos is committed to helping shareholders maximize the opportunities of our closed-end funds. The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund. If shares are trading at a premium to NAV, you will purchase shares at lower-than-market price. For more information, please see page 65.

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   1

John P. calamos, sr.

Founder, Chairman,
and Global Chief
Investment Officer

Dear Fellow Shareholder:

Welcome to your annual report for the 12 months ending October 31, 2022. In this report, you will find commentary from our portfolio management teams, a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of Calamos Global Total Return Fund (CGO). Global markets have faced many challenges over the reporting period, and we understand investors have questions. Our team has sought to address the key topics in the markets and clarify how they have influenced the Fund, and it is our hope that you find this report informative. In these challenging times, we believe that CGO’s multi-asset approach continues to offer a compelling total-return strategy for investors seeking current income.

Investing through periods of rapid change is never easy, but it’s important to maintain a long-term perspective. When markets are volatile and economic conditions are uncertain, many investors find it difficult to stay invested. During my more than 50 years as an investor, I have learned that there are opportunities in all economic environments for active investors who follow disciplined processes. Especially during challenging markets, it’s helpful to remember that market volatility and economic uncertainty are always part of the investment landscape—but short-term volatility sets the stage for long-term opportunities. For example, our team seeks to use short-term sell-offs to actively rebalance the Fund to gain exposure to investments with compelling long-term potential.

Market Review

During the 12-month reporting period, heightened investor anxiety buffeted global markets. Market participants worried about the Federal Reserve’s interest rate increases, inflation, recessionary pressures, fiscal policy and geopolitical uncertainty. Although unemployment remained low in the US, well-publicized layoffs began to make their way into the headlines, and corporate earnings expectations started to decline as companies confronted inflation and an array of unknowns related to regulations and taxes. Investors who were long accustomed to abnormally low interest rates faced a new reality: As the Fed dug into its tightening cycle and global central banks followed suit, the yield of

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the US 10-year Treasury crossed 4% for the first time since 2010. Although conditions began to stabilize as the reporting period closed—particularly for smaller-cap stocks—major equity, fixed income and convertible market benchmarks closed the reporting period with losses.

Outlook

There are times when macro or geopolitical concerns—such as Fed policy, inflation or the war in Ukraine—drive most of the market’s activity. This is the sort of environment we find ourselves in today. We expect heightened volatility as markets seek clarity about whether a recession is indeed on the horizon or has perhaps already begun. In the US, the fiscal policy backdrop remains uncertain, which is likely to contribute to volatility as market participants pay increasing attention to the 2024 election.

We remain highly attuned to potential risks, with monetary policy errors and geopolitics being top of mind. Fiscal policy in the United States will be highly consequential for the markets and the economy. Business confidence is flagging, with real implications not only for corporate profits but also for individuals. Regulations that unduly disincentivize entrepreneurial activity create headwinds that may be felt by businesses first but eventually ripple into households. Policies that encourage unchecked and excessive demand without a corresponding increase in supply ultimately come home to roost, as evidenced by the inflation we see today.

Here’s another important point: Despite the big-picture challenges and uncertainties, over the long term, fundamentals win out. CGO does not invest in the broad economy or in markets as a whole. Rather, our team is focused on managing risk and identifying individual securities that offer compelling risk-and-reward characteristics. Our investment professionals are looking past the short-term noise to identify pockets of opportunity, including among innovative companies with quality fundamentals, those in thematic niches, and those that can demonstrate long-term resilience regardless of the macro backdrop. In a rising interest rate environment, price-to-earnings multiples can come down even if earnings are good, so our team remains particularly mindful of valuations.

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Innovative Multi-Asset Approach Supports the Search for Steady, Attractive Income

Our experience with closed-end funds dates back to 2002, and we have always recognized that many investors choose closed-end funds to support their search for income. Like all our closed-end funds, CGO is managed with the goal of providing steady (although not assured) monthly distributions. We believe our innovative approach will be an especially important differentiator given the unusual economic and market environment we find ourselves in.

We employ a level distribution policy within this Fund with the goal of providing shareholders a consistent and attractive distribution stream. As of October 31, 2022, the monthly per share distribution rate was $0.0800, and the annualized distribution rate was 10.53%^† on market price. Although interest rates rose sharply during the annual period with the yield on the 10-year Treasury rising from 1.55% to 4.10%, rates remain modest in absolute terms historically, and negative in real terms (below the rate of inflation). This was true more so for the dividend yield on the S&P 500 Index, which stood at 1.69%. Therefore, the Fund’s annualized distribution rate soundly outdistances both fixed income and equity alternatives.

Conclusion

As always, thank you for your trust. We are honored to serve you and help you achieve your asset allocation goals. I invite you to visit our website, www.calamos.com, for ongoing updates about the markets and thought leadership from our team. We also provide information about asset allocation strategies for investors seeking income, capital appreciation, or both.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman, and Global Chief Investment Officer

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

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

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GROWTH OF $10,000: for the 10-year period ended 10/31/22

AVERAGE ANNUAL TOTAL RETURN^† aS OF 10/31/22

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gain distributions. Source: State Street Corporation and Morningstar Direct.

† 

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

NOTES:

The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends.

The 50%ACWI(NR)-25%RefinitivGlblCv-25%BBGUSHY2%Cap Index is blended from 50% - MSCI ACWI Index (MXWD), 25% - Refinitive Global Convertible Bond Index and 25% - Bloomberg US HY 2% Issuer Capped Index.

The MSCI ACWI Index (Net) is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets and emerging markets. The index is calculated in both US dollars and local currencies. Net return basis approximates the minimum possible reinvestment of regular cash distributions by deducting withholding tax based on the maximum rate of the company’s country of incorporation applicable to institutional investors.

The Refinitiv Global Convertible Bond Index (USD) is designed to represent the global convertible market.

The Bloomberg US Corporate High Yield 2% Issuer Capped Index measures the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer.

Index returns assume reinvestment of dividends and do not reflect deduction of fees and expenses. It is not possible to invest directly in an index.

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Summary of Fund Expenses

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The example should not be considered a representation of future expenses. Actual expenses may be greater or less than those assumed. Moreover, our actual rate of return may be greater or less than the hypothetical 5% return shown in the example.

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Source: Fund Accounting Records

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TOTAL RETURN*

SECTOR WEIGHTINGS

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

Global Total Return Fund (CGO)

INVESTMENT TEAM DISCUSSION

Please discuss the Fund’s strategy and role within an asset allocation.

Calamos Global Total Return Fund (CGO) is a total-return-oriented offering that seeks to provide total return through a combination of capital appreciation and current income. We invest in a diversified portfolio of global equities, convertible securities and high yield bonds. The allocation to each asset class is dynamic and reflects our view of the economic landscape and the potential of individual securities. By combining these asset classes, we believe the Fund can be optimally positioned over the long term to generate capital gains and income. This broader range of security types also provides us with increased opportunities to manage the risk/reward characteristics of the portfolio over full market cycles. Through this approach, we seek to offer investors an attractive monthly distribution and equity participation.

We believe having a relatively high level of exposure to convertible and equity assets is advantageous for the portfolio, albeit on a selective and risk-managed basis, as we consider both geopolitical turmoil and the impact of rising interest rates.

We invest in both US and non-US companies, favoring companies with geographically diversified revenue streams and global business strategies. We emphasize companies that we believe offer reliable debt servicing, respectable balance sheets and sustainable growth prospects.

How did the Fund perform over the 12-month period?

The Fund returned -33.22% on a net asset value (NAV) basis for the 12 months ended October 31, 2022 (“annual period”). On a market price basis, the Fund returned -36.65% versus a return of -18.83% for a comparator index comprising 50% MSCI ACWI Index (Net Returns), 25% Refinitiv Global Convertible Bond Index, and 25% Bloomberg US Corporate High Yield 2% Issuer Capped Index. At the end of the annual period, the Fund’s shares traded at a -4.90% discount to net asset value.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as interest rates, general market sentiment, or future expectations. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a portfolio manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized long term within asset allocations, we believe that NAV return is the better measure of a fund’s performance. However, when managing the Fund, we strongly consider actions and policies we deem will help optimize its overall price performance and returns based on market value.

Please discuss the Fund’s distributions during the reporting period.

We employ a level rate distribution policy within this Fund with the goal of providing shareholders a consistent distribution stream. In each month of the period prior to

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October, the Fund distributed $0.1000 per share. For the month of October, the Fund reduced its distribution per share and distributed $0.0800 per share, resulting in a current annualized distribution rate of 10.53% of market price as of October 31, 2022.

Both the Fund’s distribution rate and level remained attractive and competitive because low-but-rising interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2022, the dividend yield of S&P 500 Index stocks averaged approximately 1.69%. Although higher than a year ago, yields within the US government bond market were also still relatively low at the end of the annual period, with the 10-year US Treasury yielding 4.10%.

What factors influenced performance over the reporting period?

Global stocks and convertible securities struggled in the annual period as markets traversed a global landscape characterized by higher inflation, rising interest rates, and heightened geopolitical tension. Looking ahead, investors and companies alike have lowered expectations given the risks presented by rising interest rates, inflation, the war in Ukraine, supply chain disruptions, and high commodity prices. Although Covid-19 has largely transitioned from a pandemic to an endemic phase, lockdowns in China, resulting in markedly lower economic growth expectations, still threaten the course of more normal economic activity globally. In addition, Federal Reserve activities are expected to result in further rate increases well into 2023, after it raised short-term levels six times in 2022 through early November, bringing the target rate to 3.75%–4.00%.

Pursuant to our risk-managed equity objective, the Fund navigated volatile markets while employing an active blend of common stocks, convertibles, high yield bonds and options. That said, declines in the global equity markets contributed to the Fund’s negative performance over the annual period. Moreover, the Fund’s return trailed the comparator index over the annual period because of lagging individual security selection, an overweight in equities, and an underweight in bonds. Moreover, our holdings in global companies with cyclical and secular growth characteristics trailed the more narrow, defensive market sectors and industries that held up relatively better amid the broad sell-off across markets.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/22

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

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Other factors that contributed to and detracted from the Fund’s performance included the following:

•Despite our relatively low financing costs over the period, our use of leverage was not helpful because our reinvestment rate was less than our associated costs due to overall equity market declines. Although leverage can enhance returns during favorable markets, the opposite can occur during unfavorable conditions.

•On an unleveraged basis, the portfolio underperformed the comparator index during the period. Our use of Treasury bonds and selection in convertible bonds was beneficial to returns relative to the index, whereas our underweight in corporate bonds and overweight and selection in equity securities detracted from returns.

•Our selection in the energy sector, notably in the integrated oil & gas industry, provided favorable returns relative to the comparator index. In addition, our overweight and selection in the consumer staples sector, notably in the packaged foods and meats industry, lifted results.

•From a country perspective, our selection in US securities was helpful relative to the comparator index.

•Our selection in the communication services sector, namely an underweight and selection in the interactive home entertainment industry, underperformed relative to the comparator index. In addition, selection in the information technology sector, notably in semiconductor equipment, impeded results.

•From a country perspective, our overweight and selection in Taiwan was detrimental to returns.

How is the Fund positioned?

The Fund’s regional and country positioning reflects the combined inputs from our top-down global framework and our bottom-up security analysis. Our investment team evaluates macroeconomic factors as well as growth opportunities and actively integrates these into the investment decision-making process. To tap into selective growth potential in the global economy, we favor growth companies with high-quality balance sheets, strong brands, free cash flows, and experienced management—businesses poised to withstand market volatility.

In terms of Fund positioning, we emphasize companies with favorable pricing power, stronger earnings momentum, quality balance sheets and attractive valuations.

We positioned the Fund with a combination of secular growth, cyclicals, commodities exposures, recovery opportunities, and select defensives. Technology, consumer discretionary, financials, health care and industrials constitute the largest sector weights in the Fund. Key industry positions include pharmaceuticals, automobiles, diversified banks, software, semiconductors, aerospace & defense, and oil & gas. We own a range of holdings in energy and materials, spanning companies positioned to benefit from favorable supply-and-demand dynamics and attractive capital efficiency. We maintain an underweight stance in certain defensive areas, including utilities, real estate and more traditional telecoms.

Through a geographic lens, we own businesses in the US that reflect our view of healthy earnings growth, pricing power and relative valuation. We own diverse holdings in Europe with a blend of end markets and business types. Positioning largely consists of

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   13

high-quality global businesses that sustain strong balance sheets and demonstrate less reliance on demand in Europe. We have a modest weight in Japan, owning multiple companies with better earnings momentum and more attractive business models. We own positions in emerging markets within key demand areas such as interactive media, retail, semiconductors, and high-quality financials.

Our largest allocation is in the US, based on the reasonably positive economic backdrop and wider opportunity set. Outside the US, we own several companies backed by leading business models and positioned to benefit from rising global demand. Our exposure outside of North America was approximately 40% at the end of the period.

The average credit quality of the portfolio is BB. This is typical for the Fund because our credit process tends to guide us away from the most speculative corporate securities. That said, we recognize that opportunities are available for lower credit securities to enhance performance.

We are cognizant of rising interest rates and inflation. Although the Fund invests primarily in equities, the weighted average duration of the bonds in our portfolio is only 2.3 years as of October 31, 2022. This relatively low duration average is expected to mitigate the volatility that our fixed income securities might incur in a rising rate environment.

Although leverage was not beneficial over the annual period, we believe in the prudent use of leverage as a means of enhancing total return and supporting the Fund’s distribution rate. As of October 31, 2022, our amount of leveraged assets was approximately 31%.

What are your closing thoughts for Fund shareholders?

Global markets continue to confront a set of complex crosscurrents. We are analyzing many aspects of economic activity alongside evolving policy actions, corporate earnings, and geopolitical factors. With persistent global inflation and tighter monetary policy, financial markets reflect uncertainty, and we expect global volatility will continue until these risks resolve. Within this complicated environment, we seek to identify ways to capitalize on volatility, including a range of opportunities at the thematic, regional, and market-cap levels. We believe that our active, risk-managed investment approach and long-term perspective positions us to take advantage of the volatility and opportunities in global markets.

We are mindful that markets will experience volatility, and we remain closely attuned to the risks. As markets navigate geopolitical risks, monetary policy, and inflation, we believe the Fund’s focus on providing lower-volatility global equity market participation over full market cycles will serve it well.

We believe that fiscal and monetary policy, especially rate hikes, are likely to remain important factors that affect the corporate refinancing of debt. Geopolitical factors may also spur market volatility as we continue into next year. With increased volatility, active management is imperative to both manage risk and optimize opportunities. Our exposure to convertible bonds, approximately 22% (percent of net assets) as of October 31, 2022, should allow us to participate in an upswing in equities in a risk-managed manner while not incurring the volatility of longer-duration bonds in a rising rate environment.

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The Fund’s Investment Objective, Principal INVESTMENT Strategies and Principal Risks

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In response to recent political and military actions undertaken by Russia, the US and the EU have instituted sanctions against certain Russian individuals, including politicians, and Russian corporate and banking entities. These sanctions and any additional sanctions or other intergovernmental actions that may be undertaken against Russia in the future may result in the devaluation of Russian currency, a downgrade in the country’s credit rating, the ability to freely trade sanctioned companies, a decline in the value and liquidity of Russian securities, and/or other adverse consequences to the Russian economy. Such actions could result in a freeze of Russian securities, impairing the ability of a fund to buy, sell, receive, or deliver those securities. Retaliatory action by the Russian government could involve the seizure of US and/or European residents’ assets, and any such actions are likely to impair the value and liquidity of such assets.

Any or all of these potential results could have an adverse/recessionary effect on Russia’s economy and may have an impact on economies of other European countries and globally as well. All of these factors could have a negative effect on the performance of funds that have significant exposure to Russia or to European issuers or countries.

In addition, policy and legislative changes in the United States and in other countries are changing many aspects of financial regulation. The impact of these changes on the markets, and the practical implications for market participants, may not be fully known for some time. Widespread disease and virus epidemics, such as the coronavirus outbreak, could likewise be highly disruptive, adversely affecting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments.

CALAMOS GLOBAL TOTAL RETURN Fund Annual REPORT   21

Leverage creates risks which may adversely affect the return for the holders of common shares, including:

•the likelihood of greater volatility in the net asset value and market price of the Fund’s common shares;

•fluctuations in the dividend rates on any preferred shares borne by the Fund or in interest rates on borrowings and short-term debt;

•increased operating costs, which are effectively borne by common shareholders, may reduce the Fund’s total return; and

•the potential for a decline in the value of an investment acquired with borrowed funds, while the Fund’s obligations under such borrowing or preferred shares remain fixed.

In addition, the rights of lenders and the holders of preferred shares and debt securities issued by the Fund will be senior to the rights of the holders of common shares with respect to the payment of dividends or to the payment of assets upon liquidation. Holders of preferred shares have voting rights in addition to and separate from the voting rights of common shareholders. The holders of preferred shares or debt, if any, on the one hand, and the holders of the common shares, on the other, may have interests that conflict in certain situations.

Leverage is a speculative technique that could adversely affect the returns to common shareholders. Leverage can cause the Fund to lose money and can magnify the effect of any losses. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage or if the Fund incurs capital losses, the return of the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to common shareholders as dividends and other distributions will be reduced or potentially eliminated.

The Fund will pay, and common shareholders will effectively bear, any costs and expenses relating to any borrowings and to the issuance and ongoing maintenance of preferred shares or debt securities. Such costs and expenses include the higher management fee resulting from the use of any such leverage, offering and/or issuance costs, and interest and/or dividend expense and ongoing maintenance. These conditions may, directly or indirectly, result in higher leverage costs to common shareholders.

Certain types of borrowings may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage, borrowing base and portfolio composition requirements and additional covenants that may affect the Fund’s ability to pay dividends and distributions on common shares in certain instances. The Fund may also be required to pledge its assets to the lenders in connection with certain types of borrowings. The Fund may be subject to certain restrictions on investments imposed by guidelines of and covenants with rating agencies which may issue ratings for the preferred shares or short-term debt instruments issued by the Fund. These guidelines and covenants may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. The Board reserves the right to change the amount and type of leverage that the Fund uses, and reserves the right to implement changes to the Fund’s borrowings that it believes are in the long-term interests of the Fund and its shareholders, even if such changes impose a higher interest rate or other costs or impacts over the intermediate, or short-term time period. There is no guarantee that the Fund will maintain leverage at the current rate, and the Board reserves the right to raise, decrease, or eliminate the Fund’s leverage exposure.

Because Calamos’ investment management fee is a percentage of the Fund’s managed assets, Calamos’ fee will be higher if the Fund is leveraged and Calamos will have an incentive to be more aggressive and leverage the Fund. Consequently, the Fund and Calamos may have differing interests in determining whether to leverage the Fund’s assets. Any additional use of leverage by the Fund effected through new, additional or increased credit facilities or the issuance of preferred shares would require approval by the Board of Trustees of the Fund.

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The Fund’s MRP Shareholders are entitled to receive monthly cash dividends, at a currently effective dividend rate per annum for each series of MRP Shares as follows (subject to adjustment as described in the Fund’s prospectus): 4.00% for Series B MRP Shares, 4.24% for Series C MRP Shares, 2.45% for Series D MRP Shares, and 2.68% for Series E MRP Shares.

To cover the interest expense on the borrowings under the SSB Agreement (including “net income” payments made with respect to borrowings offset by collateral for securities on loan) and the dividend payments associated with the MRP Shares, based on rates in effect on October 31, 2022, the Fund’s portfolio would need to experience an annual return of 1.08% (before giving effect to expenses associated with senior securities).

Leverage is a speculative technique that could adversely affect the returns to common shareholders. Leverage can cause the Fund to lose money and can magnify the effect of any losses. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund’s return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage or if the Fund incurs capital losses, the return of the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to common shareholders as dividends and other distributions will be reduced or potentially eliminated.

​The Fund will pay, and common shareholders will effectively bear, any costs and expenses relating to any borrowings and to the issuance and ongoing maintenance of preferred shares, including the MRP Shares, or debt securities. Such costs and expenses include the higher management fee resulting from the use of any such leverage, offering and/or issuance costs, and interest and/or dividend expense and ongoing maintenance.

Certain types of borrowings may result in the Fund being subject to covenants in credit agreements, including those relating to asset coverage, borrowing base and portfolio composition requirements and additional covenants that may affect the Fund’s ability to pay dividends and distributions on common shares in certain instances. The Fund may also be required to pledge its assets to the lenders in connection with certain types of borrowings. The Fund may be subject to certain restrictions on investments imposed by guidelines of and covenants with rating agencies for the preferred shares or short term debt instruments issued by the Fund. These guidelines and covenants may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act.

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The secondary market for high yield securities may not be as liquid as the secondary market for more highly rated securities, a factor which may have an adverse effect on the Fund’s ability to dispose of a particular security. There are fewer dealers in the market for high yield securities than for investment grade obligations. The prices quoted by different dealers may vary significantly and the spread between the bid and asked price is generally much larger than for higher quality instruments. Under adverse market or economic conditions, the secondary market for high yield securities could contract further, independent of any specific adverse changes in the condition of a particular issuer, and these instruments may become illiquid. As a result, the Fund could find it more difficult to sell these securities or may be able to sell the securities only at prices lower than if such securities were widely traded. Prices realized upon the sale of such lower rated or unrated securities, under these circumstances, may be less than the prices used in calculating the Fund’s NAV.

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Currently, certain categories of interest rate swaps are subject to mandatory clearing, and more are expected to be cleared in the future. The counterparty risk for cleared derivatives is generally lower than for uncleared OTC derivative transactions because generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that a clearing house, or its members, will satisfy the clearing house’s obligations to the Fund.

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