Experience and Foresight

About Calamos Investments

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

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

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

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

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

JOHN P. CALAMOS, SR.

CEO and Global Co-CIO

Dear Fellow Shareholder,

Welcome to your annual report for the 12-month period ended October 31, 2015. In this report, you will find commentary from the management team as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the Fund’s performance and positioning. I invite you to review not only the commentary for this Fund, but also to discuss with your financial advisor if there are other Calamos funds that could be suitable for your asset allocation.

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

Steady Distributions

During the period, the Fund provided a steady monthly distribution of $0.0700 per share. We believe the Fund’s current annualized distribution rate, which was 10.94%* on a market price basis as of October 31, 2015, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional information on our level rate distribution policy, please see “The Calamos Closed-End Funds: An Overview” on page 5 and “Level Rate Distribution Policy” on page 40.)

Market Environment

Investor sentiment shifted back and forth from a “risk-on” to “risk-off” mindset throughout the period. Markets were heartened by factors including continued global accommodative monetary policy, declining U.S. unemployment and healthy consumer activity, and encouraging economic data points in the euro zone. However, investors remained concerned about global monetary policy, including the Federal Reserve’s interest rate strategy. Fears of slowing global growth, especially in China, also contributed to investor anxiety as did political concerns, which ranged from long-standing global geopolitical tensions to future health care legislation in the U.S.

Developed equity markets rose during the period, with the MSCI World Index rising 2.33%. The U.S. market also advanced, with the S&P 500 Index gaining 5.20%. Growth-oriented stocks far surpassed value-oriented stocks, as the Russell 3000 Growth Index returned 8.72% versus 0.24% for the Russell 3000 Value Index. Emerging markets did not fare as well, with the MSCI Emerging Market Index declining 14.22%. The U.S. convertible market lagged for the year, as the BofA ML All U.S. Convertibles Index fell 0.13%, as some of the smaller cap companies in the index came under pressure during the final months of the period. Global convertible markets performed better, returning 2.66%, as measured by the BofA ML Global 300 Convertible Index. The Credit Suisse High Yield Index lost 2.43%, challenged by the high exposure to the struggling energy sector.

We believe the headwinds for traditional fixed income asset classes remain formidable, given paltry yields and the risks associated with an eventual rise in U.S. short-term interest rates. The high yield asset class, particularly energy issuers and bonds rated CCC and below, has also faced pressure due to falling commodity prices, global growth concerns, an approaching rate hike by the Fed, and an increase in expected default rates. As investors have moved to a risk-off posture, we’ve seen a significant widening of spreads. However, we believe that at current valuations, there are opportunities within the high yield market to generate compelling returns over the next year, especially relative to other segments of the fixed income market.

Our Use of Leverage**

We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Fund’s distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage

would be advantageous given the economic environment, specifically the low borrowing costs we were able to secure.

Consistent with our focus on risk management, we have employed techniques intended to hedge against a rise in interest rates. We have used interest rate swaps to manage the borrowing costs associated with the Fund’s use of leverage. Interest rate swaps allow us to “lock down” an interest rate we believe to be attractive.

Outlook

Looking forward, our view is that market volatility is likely to remain high due to global economic, fiscal and monetary policy unknowns. Nonetheless, our team sees many opportunities for investors who take a long-term approach. Our positioning continues to reflect a focus on risk management, as we carefully assess the impact and interaction of top-down macroeconomic factors, market sentiment, and company-specific characteristics.

We believe diversification and thoughtful asset allocation are powerful strategies for navigating these markets. For example, although a higher interest rate environment in the U.S. may create challenges for funds that rely on traditional fixed income securities, other types of investments—such as convertible securities—may help diversify a portfolio’s vulnerability to short-term downturns in the stock market, likely with reduced sensitivity to interest rates.

While we do not expect robust economic expansion and remain concerned about policies that discourage global entrepreneurship, we believe global and U.S. GDP can grow at a slow pace in 2016. Against this backdrop, our view is that stocks can continue to advance, with growth stocks remaining especially attractive. Markets may well experience spikes in short-term volatility in the wake of Federal Reserve interest rate increases, but we do not believe a more normal U.S. interest rate environment is likely to create longer-term headwinds for well-run businesses.

Also, we believe a more normal interest rate environment can fuel stronger economic growth. For example, in an expanding economy, higher interest rates can provide greater incentive for banks to extend loans to small businesses because lending activities would be more profitable. Small businesses are an important engine of job growth, so with increased access to capital, small businesses are better positioned to grow and hire more people.

In closing, we thank you for your continued trust in Calamos Investments. We are honored you have chosen us to help you achieve your financial objectives. If you’d like to learn more about our views on the markets and investment opportunities, please visit us at www.calamos.com for commentary, blogs and videos.

Sincerely,

John P. Calamos, Sr.

Founder, CEO and Global Co-CIO

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

The MSCI World Index is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. The Russell 3000 Growth Index measures the performance of the broad growth segment of the U.S. equity universe. It includes those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 3000 Value Index measures the performance of the broad value segment of the U.S. equity universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide. The BofA ML All U.S. Convertibles Index represents the U.S. convertible market. The BofA ML Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. The Credit Suisse High Yield Index is considered generally representative of the high yield bond market. The MSCI EAFE Index measures developed market equity performance excluding the U.S. and Canada. Sources: Lipper, Inc.; Morningstar.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Fund is actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to the accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, that should be carefully considered prior to investing. This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio.

GLOBAL DYNAMIC INCOME FUND (CHW)

INVESTMENT TEAM DISCUSSION

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

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

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

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

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

How did the Fund perform over the reporting period?

The Fund decreased 0.15% on a net asset value (NAV) basis for the 12-month period ended October 31, 2015. On a market price basis, the Fund declined 5.92%. As a comparison to the broader global markets, the MSCI EAFE Index rose 0.37% and the MSCI World Index returned 2.33% during the period. The S&P 500 Index gained 5.20% during the period.

Convertible-oriented closed-end funds (CEFs) have experienced especially wide disconnects in prices versus net asset values (NAV), exacerbated by the recent sell-off in the high yield sector. We believe the sell-off of Calamos CEFs is largely sentiment driven and not in line with fundamentals, as evidenced by NAV performance that is much more aligned with comparable indexes. We believe this may present a great entry point for investors who can look past the short-term emotions driving the CEF market and instead focus on fundamentals. Calamos has what we believe is a well-established track record of navigating market volatility and using innovative strategies to generate income with less vulnerability to duration risk.

At the end of the reporting period, the Fund’s shares traded at a 13.90% discount to NAV.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/15

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.

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 general market sentiment or future expectation. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance. However, when managing the Fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market price.

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

We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. In each month of the period, the Fund distributed $0.0700 per share, resulting in a current annualized distribution rate of 10.94% of market price as of October 31, 2015.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2015, the dividend yield of S&P 500 Index stocks averaged approximately 2.0%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 2.14% and 2.92%, respectively.

What factors influenced performance over the reporting period?

The Fund has the ability to invest in a range of strategies including convertible securities, high yield, U.S. equities, international equities, as well as convertible arbitrage. This enables us to participate in a myriad of opportunities on behalf of our shareholders. Given this flexibility, we were able to maintain our exposure to the equity

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

markets through our convertible holdings, which allowed us to participate in the general upward trajectory of equities.

The Fund’s U.S. equity sleeve outperformed relative to the S&P 500 Index as an overweight to and selection in consumer discretionary (movies and entertainment, restaurants, hotels, resorts and cruise lines) outperformed relative to the index. The portfolio also had a relatively heavier position in the outperforming footwear industry. In addition, our selection in information technology (technology hardware, storage and peripherals, Internet software and services) was additive.

Conversely, our overweight to and selection in health care (biotechnology, managed health care) impeded performance relative to the index. In addition, our underweight to consumer staples was not helpful.

The Fund’s global equity sleeve underperformed relative to the MSCI World Index. Our underweight to and selection in financials (lack of an allocation to diversified banks) was helpful. Our selection in industrials (railroads, electrical components and equipment) also proved beneficial, as did our overweight allocation to the U.S.

Conversely, our overweight to and selection in energy (oil and gas exploration and production) detracted relative to the index. Our selection in consumer discretionary (Internet retail, automobile manufacturers, cable and satellite) held back performance. The portfolio also lacked an allocation to the strong-performing home improvement retail industry, which did relatively well. In addition, our underweight allocation to Japan and overweight allocation to emerging Latin America was detrimental. Lastly, convertibles and corporate bonds lagged behind equities.

The Fund’s international sleeve outperformed relative to the MSCI EAFE Index. An overweight position and selection in information technology (IT consulting, home entertainment software, semiconductors) was beneficial relative to the index. In addition, an underweight to and selection in financials (the avoidance of diversified banks) was helpful. An underweight to emerging Asia and an overweight to emerging Europe and South Africa was relatively positive.

Conversely, an underweight and selection in health care (pharmaceuticals) impeded performance relative to the MSCI EAFE Index. In addition, our selection in telecommunication services (wireless telecom services, integrated telecom services) hindered returns. Our overweight to emerging Latin America and an underweight to Japan was not helpful.

The convertible arbitrage sleeve contributed positively for the period. The convertible arbitrage strategy benefited from higher volatility as the value of the embedded call option in the convertibles increased. Additionally, the volatile environment provided opportunities to capture trading profits generated through hedge ratio rebalancing (gamma capture). As the underlying stocks of the convertible bonds in our portfolios declined, the bond values of the convertibles held the convertibles’ total valuation up. This created an environment where our short common stock positions added more value than was lost by the convertible price decline and provided an opportunity for convertible arbitrage to post a positive return in the face of a declining equity market.

How is the Fund positioned?

We continued to find opportunities across asset classes. We maintained a preference for larger cap growth-oriented companies with global presence and geographically

diversified revenue streams. We believe that such companies should be particularly well positioned to capitalize on the global growth trends we see, as economic growth remains more measured in the U.S. and other developed markets. In keeping with emphasis on risk management, we emphasize those companies that we believe have respectable balance sheets, good prospects for sustainable growth and reliable debt servicing.

The portfolio’s largest allocations, in absolute terms, are in the information technology, consumer discretionary and financials sectors. We believe that many information technology companies offer compelling fundamentals and participation in secular growth trends. In regard to consumer discretionary, we believe that companies in the sector should benefit from improving economic conditions highlighted by higher employment, lower energy costs and low interest rates. We believe that many financial companies will do well in a rising interest rate environment.

As noted, our pursuit of yield is informed by our risk-managed approach to total return. This said, the Fund’s portfolio includes a blend of high yield and investment grade credits. We take a very selective approach to CCC rated credits. Given our expectation that economic growth may feel stop-and-go, we believe it is particularly important to favor companies that offer the best prospects for reliable debt servicing. This worked well for us when these lower credits came under pressure, especially during the third quarter of 2015, and we avoided the pitfalls.

The Fund is currently employing leverage at 29%. We currently borrow through floating rate bank debt. Given low borrowing rates, this has been beneficial to the performance of the Fund. In addition, approximately 15% of our floating rate debt is hedged through interest rate swaps. This is a defensive strategy that mitigates the Fund’s overall exposure to a quick rise in short-term interest rates.

What are your closing thoughts for Fund shareholders?

Although we remain positive, we expect elevated volatility to persist due to global growth concerns and central bank policies—including an uncertain Federal Reserve timeline and divergent courses being taken by global central banks. We believe that fiscal policy is likely to remain a focal point of market anxiety, with the U.S. election among the factors shining a spotlight on it. We also believe the U.S. and global economies are likely to maintain a subdued pace of expansion over the near term. The spike in volatility, widening credit spreads, falling commodity prices, and reduced inflation expectations support a more cautious positioning, including an overweight toward quality and secular growth across our global and international portfolios. However, we believe we are well equipped to navigate this turbulence and see considerable opportunities for investors who can stay calm during this period of elevated choppiness. In our view, equities continue to offer compelling risk/reward characteristics, and we are finding companies with attractively valued fundamentals in many industries.