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 811-21511
Lazard Global Total Return and Income Fund, Inc.
(Exact name of Registrant as specified in charter)
30 Rockefeller Plaza
New York, New York 10112
(Address of principal executive offices) (Zip code)
Nathan A. Paul, Esq.
Lazard Asset Management LLC
30 Rockefeller Plaza
New York, New York 10112
(Name and address of agent for service)
| Registrant's telephone number, including area code: (212) 632-6000 |
| Date of fiscal year end: | 12/31 | |
| Date of reporting period: | 9/30/2008 |
FORM N-Q
Item 1. Schedule of Investments.
| Description |
Shares |
Value |
||
| Common Stocks — 96.2% | ||||
| Finland — 2.0% | ||||
| Nokia Corp. Sponsored ADR (c) | 192,800 | $ | 3,595,720 | |
| France — 6.7% | ||||
| GDF Suez Sponsored ADR | 75,981 | 3,723,069 | ||
| Sanofi-Aventis ADR | 105,200 | 3,457,924 | ||
| Societe Generale Sponsored ADR | 72,000 | 1,231,920 | ||
| Total SA Sponsored ADR | 64,000 | 3,883,520 | ||
| Total France | 12,296,433 | |||
| Ireland — 1.1% | ||||
| CRH PLC Sponsored ADR | 98,300 | 2,095,756 | ||
| Italy — 1.0% | ||||
| Eni SpA Sponsored ADR | 36,350 | 1,924,733 | ||
| Japan — 7.6% | ||||
| Canon, Inc. Sponsored ADR | 44,700 | 1,687,425 | ||
| Hoya Corp. Sponsored ADR | 73,500 | 1,447,950 | ||
| Mitsubishi UFJ Financial Group, | ||||
| Inc. ADR | 528,000 | 4,614,720 | ||
| Nomura Holdings, Inc. ADR | 332,600 | 4,350,408 | ||
| Sumitomo Mitsui Financial Group, | ||||
| Inc. ADR | 321,200 | 1,968,956 | ||
| Total Japan | 14,069,459 | |||
| Netherlands — 2.4% | ||||
| Heineken NV ADR | 225,600 | 4,487,184 | ||
| Singapore — 2.7% | ||||
| Singapore Telecommunications, | ||||
| Ltd. ADR | 217,400 | 4,880,630 | ||
| Sweden — 0.6% | ||||
| Telefonaktiebolaget LM Ericsson | ||||
| Sponsored ADR | 123,800 | 1,167,434 | ||
| Switzerland — 10.5% | ||||
| Credit Suisse Group Sponsored | ||||
| ADR | 73,400 | 3,543,752 | ||
| Nestle SA Sponsored ADR (c) | 86,000 | 3,680,800 | ||
| Novartis AG ADR | 78,900 | 4,169,076 | ||
| Roche Holding AG Sponsored | ||||
| ADR | 46,200 | 3,571,260 | ||
| UBS AG (a) | 107,587 | 1,887,076 | ||
| Zurich Financial Services AG ADR | 92,500 | 2,571,500 | ||
| Total Switzerland | 19,423,464 |
| Description |
Shares |
Value |
||
| United Kingdom — 18.4% | ||||
| Barclays PLC Sponsored ADR | 82,328 | $ | 2,033,502 | |
| BP PLC Sponsored ADR | 97,100 | 4,871,507 | ||
| Cadbury PLC Sponsored ADR | 72,128 | 2,952,920 | ||
| Diageo PLC Sponsored ADR (c) | 101,100 | 6,961,746 | ||
| GlaxoSmithKline PLC Sponsored | ||||
| ADR | 80,200 | 3,485,492 | ||
| HSBC Holdings PLC Sponsored | ||||
| ADR | 76,300 | 6,167,329 | ||
| Tesco PLC Sponsored ADR | 153,200 | 3,171,240 | ||
| Vodafone Group PLC Sponsored | ||||
| ADR (c) | 191,712 | 4,236,835 | ||
| Total United Kingdom | 33,880,571 | |||
| United States — 43.2% | ||||
| Bank of America Corp. (c) | 138,200 | 4,837,000 | ||
| Bank of New York Mellon Corp. | 103,600 | 3,375,288 | ||
| Bristol-Myers Squibb Co. | 92,600 | 1,930,710 | ||
| Cisco Systems, Inc. (a), (c) | 220,400 | 4,972,224 | ||
| ConocoPhillips | 32,900 | 2,409,925 | ||
| Dr Pepper Snapple Group, Inc. (a) | 54,096 | 1,432,462 | ||
| Exxon Mobil Corp. | 105,100 | 8,162,066 | ||
| General Electric Co. (c) | 116,300 | 2,965,650 | ||
| International Business Machines | ||||
| Corp. | 58,700 | 6,865,552 | ||
| Johnson & Johnson (c) | 104,300 | 7,225,904 | ||
| JPMorgan Chase & Co. (c) | 148,896 | 6,953,443 | ||
| Microsoft Corp. | 326,400 | 8,711,616 | ||
| Oracle Corp. (a), (c) | 399,700 | 8,117,907 | ||
| The Home Depot, Inc. | 165,500 | 4,284,795 | ||
| United Technologies Corp. (c) | 68,900 | 4,138,134 | ||
| Wyeth | 88,900 | 3,283,966 | ||
| Total United States | 79,666,642 | |||
| Total Common Stocks | ||||
| (Identified cost $177,792,071) | 177,488,026 | |||
|
Principal |
||||
|
Amount |
||||
| Description |
(000) (d) |
Value |
||
| Foreign Government Obligations — 13.1% | ||||
| Brazil — 1.2% | ||||
| Brazil NTN-F: | ||||
| 10.00%, 07/01/10 | 2,641 | 1,296,367 | ||
| 10.00%, 01/01/12 | 2,000 | 965,043 | ||
| Total Brazil | 2,261,410 | |||
| Egypt — 3.9% | ||||
| Egypt Treasury Bills: | ||||
| 0.00%, 10/28/08 | 5,075 | 919,818 | ||
|
Principal |
||||
|
Amount |
||||
| Description |
(000) (d) |
Value |
||
| 0.00%, 10/28/08 | 20,725 | $ | 3,756,300 | |
| 0.00%, 11/18/08 | 2,850 | 512,723 | ||
| 0.00%, 12/23/08 | 2,975 | 528,681 | ||
| 0.00%, 02/24/09 | 1,500 | 260,839 | ||
| 0.00%, 03/03/09 | 6,725 | 1,166,635 | ||
| Total Egypt | 7,144,996 | |||
| Ghana — 0.3% | ||||
| Ghanaian Government Bonds: | ||||
| 13.50%, 03/30/10 | 420 | 318,313 | ||
| 14.00%, 03/07/11 | 310 | 223,470 | ||
| Total Ghana | 541,783 | |||
| Hungary — 1.8% | ||||
| Hungarian Government Bonds: | ||||
| 6.00%, 10/12/11 | 81,400 | 429,648 | ||
| 7.25%, 06/12/12 | 451,400 | 2,446,854 | ||
| 5.50%, 02/12/14 | 87,700 | 438,279 | ||
| Total Hungary | 3,314,781 | |||
| Israel — 0.3% | ||||
| Israel Government Bond, | ||||
| 7.00%, 04/29/11 | 2,001 | 604,655 | ||
| Mexico — 1.5% | ||||
| Mexican Bonos: | ||||
| 9.00%, 12/20/12 | 13,145 | 1,230,136 | ||
| 7.75%, 12/14/17 | 17,000 | 1,487,743 | ||
| Total Mexico | 2,717,879 | |||
| Peru — 1.1% | ||||
| Peru Bono Soberano, | ||||
| 12.25%, 08/10/11 | 5,584 | 2,059,668 | ||
| Poland — 0.2% | ||||
| Polish Government Bond, | ||||
| 6.25%, 10/24/15 | 879 | 371,096 | ||
| Turkey — 2.6% | ||||
| Turkish Government Bonds: | ||||
| 0.00%, 10/07/09 | 3,230 | 2,127,229 | ||
| 14.00%, 01/19/11 | 3,570 | 2,544,622 | ||
| Total Turkey | 4,671,851 | |||
| Uganda — 0.2% | ||||
| Uganda Government Bond, | ||||
| 10.00%, 04/01/10 | 676,000 | 387,344 |
| Principal | ||||
| Amount | ||||
| Description | (000) (d) |
Value |
||
| Total Foreign Government | ||||
| Obligations | ||||
| (Identified cost $25,203,888) | $ | 24,075,463 | ||
| Structured Notes — 3.8% | ||||
| Brazil — 2.3% | ||||
| Citigroup Funding, Inc. Brazil | ||||
| Inflation-Indexed Currency and | ||||
| Credit Linked Unsecured Notes | ||||
| NTN-B: | ||||
| 9.50%, 05/18/09 (e) | 927 | 1,260,104 | ||
| 9.40%, 08/17/10 (e) | 1,029 | 1,352,218 | ||
| 8.80%, 05/18/15: | ||||
| Series LTCLN0335 (e) | 989 | 1,239,507 | ||
| Series LTCLN0948 (e) | 365 | 388,378 | ||
| Total Brazil | 4,240,207 | |||
| Colombia — 1.5% | ||||
| Citigroup Funding, Inc. Colombia | ||||
| TES Credit Linked Unsecured | ||||
| Note, | ||||
| 12.01%, 04/27/12 (e) | 397 | 425,778 | ||
| JPMorgan Chase & Co. Colombian | ||||
| Peso Linked Notes: | ||||
| 10.77%, 11/14/10 (e) | 1,200 | 1,041,120 | ||
| 11.92%, 03/05/15 (e) | 1,638 | 1,285,830 | ||
| Total Colombia | 2,752,728 | |||
| Total Structured Notes | ||||
| (Identified cost $6,531,542) | 6,992,935 | |||
| Corporate Bond — 0.8% | ||||
| United States — 0.8% | ||||
| JPMorgan Chase & Co., | ||||
| 9.28%, 06/20/11 | ||||
| (Identified cost $1,668,786) (e) | 40,000 | 1,538,039 | ||
| Supranationals — 0.4% | ||||
| African Development Bank, | ||||
| 12.00%, 10/19/08 (f) | 460 | 374,903 | ||
| European Investment Bank, | ||||
| 12.25%, 02/26/10 (g) | 1,375,000 | 373,461 | ||
| Total Supranationals | ||||
| (Identified cost $778,931) | 748,364 | |||
| Total Investments—114.3% | ||
| (Identified cost $211,975,218) (b) | $ | 210,842,827 |
| Liabilities in Excess of Cash and | ||
| Other Assets—(14.3)% | (26,364,753) | |
| Net Assets—100.0% | $ | 184,478,074 |
| Forward Currency Purchase Contracts open at September 30, 2008: | ||||||||||||||||
| U.S. $ Cost |
U.S. $ |
|||||||||||||||
| Forward Currency | Expiration |
Foreign |
on Origination |
Current |
Unrealized |
Unrealized |
||||||||||
| Purchase Contracts | Date |
Currency |
Date |
Value |
Appreciation |
Depreciation |
||||||||||
| AED | 10/29/08 | 7,726,000 | $ | 2,103,572 | $ | 2,103,797 | $ |
225 |
$ |
- |
||||||
| AED | 11/17/08 | 5,257,000 | 1,431,255 | 1,431,586 |
331 |
- |
||||||||||
| ARS | 10/20/08 | 1,536,003 | 486,000 | 486,472 |
472 |
- |
||||||||||
| ARS | 10/20/08 | 1,556,975 | 490,000 | 493,114 |
3,114 |
- |
||||||||||
| ARS | 10/20/08 | 1,555,212 | 492,000 | 492,555 |
555 |
- |
||||||||||
| BRL | 11/13/08 | 1,887,502 | 1,093,000 | 984,192 |
- |
108,808 |
||||||||||
| CLP | 12/17/08 | 510,449,250 | 951,000 | 919,867 |
- |
31,133 |
||||||||||
| CNY | 06/24/09 | 13,508,603 | 2,094,000 | 1,947,002 |
- |
146,998 |
||||||||||
| CNY | 09/08/09 | 2,953,900 | 436,000 | 425,983 |
- |
10,017 |
||||||||||
| COP | 10/02/08 | 400,331,700 | 201,000 | 182,879 |
- |
18,121 |
||||||||||
| COP | 10/02/08 | 1,408,704,000 | 704,000 | 643,523 |
- |
60,477 |
||||||||||
| COP | 11/04/08 | 874,800,000 | 400,000 | 397,671 |
- |
2,329 |
||||||||||
| EUR | 10/06/08 | 689,000 | 979,552 | 969,974 |
- |
9,578 |
||||||||||
| EUR | 10/06/08 | 577,000 | 835,208 | 812,301 |
- |
22,907 |
||||||||||
| EUR | 10/06/08 | 403,146 | 625,207 | 567,550 |
- |
57,657 |
||||||||||
| EUR | 10/13/08 | 1,033,000 | 1,456,840 | 1,455,300 |
- |
1,540 |
||||||||||
| EUR | 10/14/08 | 1,121,000 | 1,580,946 | 1,579,437 |
- |
1,509 |
||||||||||
| EUR | 10/28/08 | 1,311,732 | 1,854,853 | 1,850,823 |
- |
4,030 |
||||||||||
| GHC | 10/20/08 | 561,300 | 473,272 | 478,150 |
4,878 |
- |
||||||||||
| GHC | 11/28/08 | 865,700 | 728,397 | 720,055 |
- |
8,342 |
||||||||||
| GHC | 12/22/08 | 155,000 | 127,993 | 127,111 |
- |
882 |
||||||||||
| HUF | 10/20/08 | 64,732,000 | 375,759 | 375,764 |
5 |
- |
||||||||||
| IDR | 10/14/08 | 10,310,220,000 | 1,098,000 | 1,092,147 |
- |
5,853 |
||||||||||
| IDR | 11/17/08 | 18,290,181,000 | 1,911,000 | 1,928,232 |
17,232 |
- |
||||||||||
| IDR | 12/09/08 | 6,971,500,000 | 730,000 | 732,539 |
2,539 |
- |
||||||||||
| ILS | 10/15/08 | 3,296,180 | 911,000 | 949,022 |
38,022 |
- |
||||||||||
| ILS | 11/04/08 | 2,953,349 | 816,000 | 849,913 |
33,913 |
- |
||||||||||
| INR | 10/16/08 | 44,520,680 | 967,000 | 948,003 |
- |
18,997 |
||||||||||
| INR | 10/23/08 | 51,354,030 | 1,183,000 | 1,093,549 |
- |
89,451 |
||||||||||
| INR | 11/03/08 | 8,988,240 | 204,000 | 191,409 |
- |
12,591 |
||||||||||
| INR | 11/10/08 | 78,648,990 | 1,851,000 | 1,674,752 |
- |
176,248 |
||||||||||
| KES | 10/16/08 | 17,546,000 | 248,000 | 239,779 |
- |
8,221 |
||||||||||
| KES | 10/21/08 | 17,972,000 | 252,726 | 245,599 |
- |
7,127 |
||||||||||
| KES | 10/22/08 | 29,819,000 | 407,224 | 407,496 |
272 |
- |
||||||||||
| KWD | 10/08/08 | 288,360 | 1,080,000 | 1,080,266 |
266 |
- |
||||||||||
| KWD | 10/22/08 | 319,000 | 1,187,198 | 1,193,980 |
6,782 |
- |
||||||||||
| KWD | 10/30/08 | 968,000 | 3,525,127 | 3,621,259 |
96,132 |
- |
||||||||||
| MXN | 10/06/08 | 9,778,654 | 929,000 | 894,130 |
- |
34,870 |
||||||||||
| MYR | 10/03/08 | 1,741,686 | 513,000 | 505,936 |
- |
7,064 |
||||||||||
| MYR | 10/03/08 | 1,741,686 | 505,951 | 505,936 |
- |
15 |
||||||||||
| MYR | 10/07/08 | 2,227,276 | 682,000 | 647,060 |
- |
34,940 |
||||||||||
| MYR | 10/14/08 | 2,887,731 | 891,000 | 839,539 |
- |
51,461 |
||||||||||
| MYR | 10/20/08 | 2,560,860 | 738,000 | 744,970 |
6,970 |
- |
||||||||||
| MYR | 10/24/08 | 3,879,831 | 1,201,000 | 1,129,134 |
- |
71,866 |
||||||||||
| MYR | 11/03/08 | 2,139,694 | 623,000 | 623,351 |
351 |
- |
||||||||||
| MYR | 11/03/08 | 1,196,424 | 348,000 | 348,551 |
551 |
- |
||||||||||
| MYR | 11/28/08 | 2,627,552 | 785,000 | 767,098 |
- |
17,902 |
||||||||||
| NGN | 10/14/08 | 64,611,850 | 547,604 | 548,200 |
596 |
- |
||||||||||
|
Forward Currency Purchase Contracts open at September 30, 2008 (continued): |
||||||||||||||||
| U.S. $ Cost |
U.S. $ |
|||||||||||||||
| Forward Currency | Expiration |
Foreign |
on Origination |
Current |
Unrealized |
Unrealized |
||||||||||
| Purchase Contracts | Date |
Currency |
Date |
Value |
Appreciation |
|
Depreciation |
|||||||||
| NGN | 10/16/08 | 101,813,250 | $ | 861,000 |
$ |
863,836 |
$ |
2,836 |
$ |
- |
||||||
| NGN | 10/27/08 | 66,388,000 | 560,000 | 563,270 |
3,270 |
- |
||||||||||
| NGN | 10/31/08 | 161,737,000 | 1,361,423 | 1,360,401 |
- |
1,022 |
||||||||||
| NGN | 11/20/08 | 36,146,000 | 305,597 | 304,031 |
- |
1,566 |
||||||||||
| NGN | 11/24/08 | 66,076,000 | 558,452 | 555,778 |
- |
2,674 |
||||||||||
| PEN | 10/21/08 | 1,691,746 | 596,000 | 566,673 |
- |
29,327 |
||||||||||
| PEN | 11/10/08 | 401,731 | 144,000 | 134,382 |
- |
9,618 |
||||||||||
| PEN | 12/03/08 | 721,103 | 243,000 | 240,766 |
- |
2,234 |
||||||||||
| PEN | 12/10/08 | 1,677,008 | 562,000 | 559,609 |
- |
2,391 |
||||||||||
| PEN | 03/03/09 | 2,749,120 | 968,000 | 911,012 |
- |
56,988 |
||||||||||
| PEN | 03/11/09 | 1,596,335 | 533,000 | 528,851 |
- |
4,149 |
||||||||||
| PHP | 10/15/08 | 44,719,920 | 934,000 | 950,532 |
16,532 |
- |
||||||||||
| PHP | 10/27/08 | 55,769,480 | 1,196,000 | 1,185,486 |
- |
10,514 |
||||||||||
| PHP | 12/11/08 | 45,077,500 | 949,000 | 958,558 |
9,558 |
- |
||||||||||
| PLN | 10/06/08 | 2,341,599 | 964,733 | 970,551 |
5,818 |
- |
||||||||||
| PLN | 10/06/08 | 1,055,274 | 512,966 | 437,392 |
- |
75,574 |
||||||||||
| PLN | 10/14/08 | 3,892,602 | 1,761,000 | 1,613,548 |
- |
147,452 |
||||||||||
| PLN | 10/14/08 | 4,018,830 | 1,635,000 | 1,665,872 |
30,872 |
- |
||||||||||
| PLN | 10/14/08 | 1,526,562 | 666,912 | 632,785 |
- |
34,127 |
||||||||||
| RUB | 10/14/08 | 14,834,880 | 606,000 | 577,515 |
- |
28,485 |
||||||||||
| RUB | 10/22/08 | 6,858,155 | 269,000 | 266,699 |
- |
2,301 |
||||||||||
| RUB | 10/22/08 | 80,990,000 | 3,221,239 | 3,149,534 |
- |
71,705 |
||||||||||
| RUB | 12/02/08 | 11,377,905 | 439,429 | 439,880 |
451 |
- |
||||||||||
| RUB | 12/11/08 | 22,029,000 | 851,560 | 851,286 |
- |
274 |
||||||||||
| RUB | 03/16/09 | 11,377,905 | 462,000 | 435,064 |
- |
26,936 |
||||||||||
| SGD | 12/26/08 | 1,332,000 | 940,944 | 930,666 |
- |
10,278 |
||||||||||
| SKK | 10/28/08 | 39,686,450 | 2,049,216 | 1,845,799 |
- |
203,417 |
||||||||||
| TRY | 10/10/08 | 367,808 | 284,000 | 289,013 |
5,013 |
- |
||||||||||
| TRY | 10/10/08 | 812,827 | 621,000 | 638,695 |
17,695 |
- |
||||||||||
| TRY | 10/10/08 | 3,946,020 | 2,835,599 | 3,100,663 |
265,064 |
- |
||||||||||
| TRY | 10/10/08 | 1,173,000 | 968,781 | 921,708 |
- |
47,073 |
||||||||||
| TRY | 10/10/08 | 535,642 | 428,000 | 420,891 |
- |
7,109 |
||||||||||
| TRY | 10/14/08 | 1,213,249 | 997,000 | 952,161 |
- |
44,839 |
||||||||||
| TRY | 06/23/09 | 3,781,700 | 2,656,808 | 2,710,900 |
54,092 |
- |
||||||||||
| TZS | 10/06/08 | 340,293,130 | 293,000 | 293,094 |
94 |
- |
||||||||||
| TZS | 10/27/08 | 516,810,000 | 440,307 | 443,742 |
3,435 |
- |
||||||||||
| TZS | 10/28/08 | 250,113,000 | 215,676 | 215,448 |
- |
228 |
||||||||||
| TZS | 11/03/08 | 659,394,600 | 562,000 | 565,335 |
3,335 |
- |
||||||||||
| UAH | 10/01/08 | 2,161,210 | 425,000 | 425,854 |
854 |
- |
||||||||||
| UAH | 11/17/08 | 2,015,020 | 389,000 | 393,209 |
4,209 |
- |
||||||||||
| UAH | 11/28/08 | 1,990,000 | 364,469 | 386,601 |
22,132 |
- |
||||||||||
| UAH | 12/17/08 | 1,713,130 | 326,000 | 331,324 |
5,324 |
- |
||||||||||
| UAH | 12/18/08 | 1,046,400 | 192,000 | 202,523 |
10,523 |
- |
||||||||||
| UAH | 03/16/09 | 902,160 | 168,000 | 168,265 |
265 |
- |
||||||||||
| UGX | 10/02/08 | 1,221,179,000 | 742,584 | 730,933 |
- |
11,651 |
||||||||||
| UGX | 10/03/08 | 572,250,000 | 350,000 | 342,445 |
- |
7,555 |
||||||||||
| UGX | 10/24/08 | 448,920,000 | 257,569 | 267,445 |
9,876 |
- |
||||||||||
| UGX | 10/29/08 | 410,025,000 | 235,748 | 244,014 |
8,266 |
- |
||||||||||
|
Forward Currency Purchase Contracts open at September 30, 2008 (concluded): |
||||||||||||||||
| U.S. $ Cost |
U.S. $ |
|||||||||||||||
| Forward Currency | Expiration |
Foreign |
on Origination |
Current |
Unrealized |
Unrealized |
||||||||||
| Purchase Contracts | Date |
Currency |
Date |
Value |
Appreciation |
Depreciation |
||||||||||
| UGX | 11/03/08 | 889,134,400 | $ | 539,000 |
$ |
528,551 | $ |
- |
$ |
10,449 |
||||||
| UGX | 11/28/08 | 268,461,000 | 161,675 | 158,691 | - |
2,984 |
||||||||||
| UGX | 12/24/08 | 1,125,933,750 | 657,000 | 662,948 | 5,948 |
- |
||||||||||
| UGX | 12/29/08 | 688,242,280 | 404,000 | 404,937 | 937 |
- |
||||||||||
| UGX | 01/05/09 | 391,482,000 | 234,000 | 229,842 | - |
4,158 |
||||||||||
| UGX | 04/02/09 | 980,873,000 | 564,801 | 561,096 | - |
3,705 |
||||||||||
| ZMK | 10/09/08 | 2,106,092,000 | 622,000 | 587,668 | - |
34,332 |
||||||||||
| ZMK | 10/22/08 | 894,384,000 | 248,509 | 248,678 | 169 |
- |
||||||||||
| ZMK | 10/23/08 | 673,200,000 | 187,000 | 187,128 | 128 |
- |
||||||||||
| ZMK | 10/31/08 | 98,796,000 | 27,574 | 27,402 | - | 172 |
||||||||||
| ZMK | 11/25/08 | 1,151,851,000 | 318,323 | 317,245 | - |
1,078 |
||||||||||
| ZMK | 11/26/08 | 1,023,024,000 | 282,838 | 281,685 | - |
1,153 |
||||||||||
| ZMK | 01/12/09 | 1,332,204,570 | 321,000 | 362,312 | 41,312 |
- |
||||||||||
| Total Forward Currency Purchase Contracts | $ | 86,526,416 | $ | 85,349,178 | $ | 741,214 |
$ |
1,918,452 |
||||||||
| Forward Currency Sale Contracts open at September 30, 2008: | ||||||||||||||||
|
U.S. $ Cost |
U.S. $ |
|||||||||||||||
| Forward Currency | Expiration |
Foreign |
on Origination |
Current |
Unrealized |
Unrealized |
||||||||||
| Sale Contracts | Date |
Currency |
Date |
Value |
Appreciation |
Depreciation |
||||||||||
| AED | 10/08/08 | 2,410,100 | $ | 656,274 |
$ |
656,151 | $ |
123 | $ |
- |
||||||
| BRL | 10/14/08 | 4,249,486 | 2,378,000 | 2,229,429 | 148,571 |
- |
||||||||||
| BRL | 11/13/08 | 1,887,502 | 980,520 | 984,191 | - |
3,671 |
||||||||||
| COP | 10/02/08 | 1,490,059,500 | 786,000 | 680,688 | 105,312 |
- |
||||||||||
| COP | 10/02/08 | 318,976,200 | 146,656 | 145,714 | 942 |
- |
||||||||||
| COP | 02/27/09 | 3,293,053,000 | 1,649,000 | 1,467,301 | 181,699 |
- |
||||||||||
| EUR | 10/06/08 | 679,000 | 964,733 | 955,896 | 8,837 |
- |
||||||||||
| EUR | 10/06/08 | 328,000 | 512,966 | 461,759 | 51,207 |
- |
||||||||||
| EUR | 10/06/08 | 403,146 | 590,710 | 567,550 | 23,160 |
- |
||||||||||
| EUR | 10/28/08 | 1,310,000 | 2,049,216 | 1,848,380 | 200,836 |
- |
||||||||||
| EUR | 11/28/08 | 2,446,209 | 3,582,963 | 3,454,548 | 128,415 |
- |
||||||||||
| HUF | 10/14/08 | 269,819,095 | 1,580,946 | 1,567,229 | 13,717 |
- |
||||||||||
| HUF | 10/20/08 | 231,041,040 | 1,334,726 | 1,341,175 | - |
6,449 |
||||||||||
| ILS | 11/04/08 | 2,953,349 | 867,407 | 849,913 | 17,494 |
- |
||||||||||
| MXN | 10/06/08 | 30,343,526 | 2,908,000 | 2,774,519 | 133,481 |
- |
||||||||||
| MYR | 10/03/08 | 1,741,686 | 506,894 | 505,936 | 958 |
- |
||||||||||
| MYR | 10/03/08 | 1,741,686 | 505,951 | 505,936 | 15 |
- |
||||||||||
| MYR | 10/07/08 | 2,227,276 | 647,840 | 647,060 | 780 |
- |
||||||||||
| MYR | 10/14/08 | 3,288,162 | 956,000 | 955,955 | 45 |
- |
||||||||||
| PEN | 12/03/08 | 2,432,520 | 870,000 | 812,183 | 57,817 |
- |
||||||||||
| PLN | 10/06/08 | 2,321,723 | 979,552 | 962,313 | 17,239 |
- |
||||||||||
| PLN | 10/06/08 | 1,898,330 | 835,208 | 786,824 | 48,384 |
- |
||||||||||
| RUB | 10/22/08 | 8,595,000 | 343,731 | 334,242 | 9,489 |
- |
||||||||||
| RUB | 03/16/09 | 11,377,905 | 433,940 | 435,064 | - |
1,124 |
||||||||||
| SKK | 10/28/08 | 39,686,450 | 1,854,853 | 1,845,799 | 9,054 |
- |
||||||||||
| TRY | 10/10/08 | 3,938,000 | 3,008,403 | 3,094,362 | - |
85,959 |
||||||||||
| TRY | 10/10/08 | 1,188,656 | 929,000 | 934,009 | - |
5,009 |
||||||||||
| TRY | 10/10/08 | 3,217,379 | 2,312,000 | 2,528,119 | - |
216,119 |
||||||||||
| TRY | 10/10/08 |
1,516,584 | 1,157,000 | 1,191,686 | - |
34,686 |
||||||||||
| TRY | 10/13/08 |
1,810,281 | 1,456,840 | 1,421,150 | 35,690 |
- |
||||||||||
| TZS | 10/06/08 |
340,293,130 | 293,356 | 293,094 | 262 |
- |
||||||||||
| UAH | 10/01/08 |
2,161,210 | 427,117 | 425,854 | 1,263 |
- |
||||||||||
| UGX | 10/02/08 |
1,221,179,000 | 728,193 | 730,933 | - |
2,740 |
||||||||||
Total Forward Currency
Sale Contracts |
$ | 39,233,995 | $ |
38,394,962 | 1,194,790 |
355,757 |
||||||||||
Gross unrealized appreciation/depreciation
on Forward Currency Contracts |
$ | 1,936,004 |
$ |
2,274,209 |
||||||||||||
| (a) |
Non-income producing security. |
| (b) |
For federal income tax purposes, the aggregate cost was $211,975,218, aggregate gross unrealized appreciation was $23,271,140, aggregate gross unrealized depreciation was $24,403,531, and the net unrealized depreciation was $1,132,391. |
| (c) |
Segregated security for forward currency contracts. |
| (d) |
Principal amount denominated in respective country’s currency unless otherwise specified. |
| (e) |
Pursuant to Rule 144A under the Securities Act of 1933, these securities may only be traded among “qualified institutional buyers.” At September 30, 2008, these securities amounted to 4.6% of net assets and are not considered to be liquid. |
|
Structured Notes – Principal amount denominated in U.S. dollars. Interest rate shown reflects current yield as of September 30, 2008. |
|
|
Corporate Bond – Variable rate security. Principal amount denominated in Russian Ruble. Interest rate shown reflects current rate as of September 30, 2008. |
|
| (f) |
Principal amount denominated in Ghanaian Cedi. |
| (g) |
Principal amount denominated in Zambian Kwacha. |
Security Abbreviations:
ADR – American Depositary Receipt
NTN-B – Brazil Sovereign “Nota do Tesouro Nacional” Series B
NTN-F – Brazil Sovereign “Nota do Tesouro Nacional” Series F
TES – Titulos de Tesoreria
| Currency Abbreviations: | ||
| AED — United Arab Emirates Dirham | MXN — Mexican Peso | |
| ARS — Argentine Peso | MYR — Malaysian Ringgit | |
| BRL — Brazilian Real | NGN — Nigerian Naira | |
| CLP — Chilean Peso | PEN — Peruvian New Sol | |
| CNY — Chinese Renminbi | PHP — Philippine Peso | |
| COP — Colombian Peso | PLN — Polish Zloty | |
| EUR — Euro | RUB — Russian Ruble | |
| GHC — Ghanaian Cedi | SGD — Singapore Dollar | |
| HUF — Hungarian Forint | SKK — Slovenska Koruna | |
| IDR — Indonesian Rupiah | TRY — New Turkish Lira | |
| ILS — Israeli Shekel | TZS — Tanzanian Shilling | |
| INR — Indian Rupee | UAH — Ukranian Hryvnia | |
| KES — Kenyan Shilling | UGX — Ugandan Shilling | |
| KWD — Kuwaiti Dinar | ZMK — Zambian Kwacha |
| Portfolio holdings by industry (as percentage of net assets): | |||
| Industry | |||
| Alcohol & Tobacco | 6.2 | % | |
| Banking | 15.1 | ||
| Computer Software | 9.1 | ||
| Drugs | 10.8 | ||
| Energy Integrated | 11.5 | ||
| Financial Services | 8.0 | ||
| Food & Beverages | 4.4 | ||
| Gas Utilities | 2.0 | ||
| Housing | 1.1 | ||
| Insurance | 1.4 | ||
| Manufacturing | 3.9 | ||
| Medical Products | 3.9 | ||
| Retail | 4.0 | ||
| Semiconductors & Components | 1.7 | ||
| Technology | 3.7 | ||
| Technology Hardware | 5.3 | ||
| Telecommunications | 4.9 | ||
|
Subtotal
|
97.0 | ||
| Foreign Government Obligations | 13.1 | ||
| Structured Notes | 3.8 | ||
| Supranationals | 0.4 | ||
|
Total Investments
|
114.3 | % |
Valuation of Investments:
Market values for securities are generally based on the last reported sales price on the principal exchange or market on which the security is traded, generally as of the close of regular trading on the New York Stock Exchange (normally 4:00 p.m. Eastern time) on each valuation date. Any securities not listed, for which current over-the-counter market quotations or bids are readily available, are valued at the last quoted bid price or, if available, the mean of two such prices. Forward currency contracts are valued at the current cost of offsetting the contracts. Securities listed on foreign exchanges are valued at the last reported sales price except as described below; securities listed on foreign exchanges that are not traded on the valuation date are valued at the last quoted bid price.
Bonds and other fixed-income securities that are not exchange-traded are valued on the basis of prices provided by pricing services which are based primarily on institutional trading in similar groups of securities, or by using brokers’ quotations.
If a significant event materially affecting the value of securities occurs between the close of the exchange or market on which the security is principally traded and the time when Lazard Global Total Return & Income Fund, Inc.’s (the “Fund”) net asset value is calculated, or when current market quotations otherwise are determined not to be readily available or reliable, such securities will be valued at their fair values as determined by, or in accordance with procedures approved by, the Board of Directors. The Valuation Committee of Lazard Asset Management LLC, the Fund’s Investment Manager (the “Investment Manager”) and a wholly-owned subsidiary of Lazard Frères & Co. LLC, may evaluate a variety of factors to determine the fair value of securities for which current market quotations are determined not to be readily available or reliable. These factors include, but are not limited to, the type of security, the value of comparable securities, observations from financial institutions and relevant news events. Input from the Investment Manager’s analysts will also be considered. Fair valuing of foreign securities may be determined with the assistance of a pricing service, using correlations between the movement of prices of such securities and indices of domestic securities and other appropriate indicators, such as closing market prices of relevant ADRs or futures contracts. The effect of using fair value pricing is that the net asset value of the Fund will reflect the affected securities’ values as determined in the judgment of the Board of Directors, or its designee, instead of being determined by the market. Using a fair value pricing methodology to price securities may result in a value that is different from the most recent closing price of a security and from the prices used by other investment companies to calculate their portfolios’ net asset values.
Fair Value Measurements:
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”), effective January 1, 2008. In accordance with SFAS 157, fair value is defined as the price that the Fund would receive to sell an asset, or would pay to transfer a liability, in an orderly transaction between market participants at the date of measurement. SFAS 157 also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurement that is based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer, broadly, to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability, developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of September 30, 2008:
|
Other |
||||||
|
Investments |
Financial |
|||||
Level |
in Securities |
Instruments* |
||||
| Level 1 |
$ |
177,488,026 | $ | - | ||
| Level 2 | 22,929,658 | (338,205 | ) | |||
| Level 3 | 10,425,143 | - | ||||
| Total |
$ |
210,842,827 | $ | (338,205 | ) |
*Other financial instruments are derivative instruments such as forward contracts which are valued at the unrealized appreciation/depreciation on the instrument.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
Investments |
|||
| In Securities | |||
| Balance as of 12/31/07 |
$ |
6,486,430 | |
| Accrued discounts/premiums | 10,945 | ||
| Realized gain (loss) | - | ||
| Change in unrealized | |||
| appreciation/depreciation | (1,004,165 | ) | |
| Net purchases (sales) | 4,931,933 | ||
| Net transfers in and/or out of | |||
| Level 3 | - | ||
| Balance as of 9/30/08 |
$ |
10,425,143 | |
| Net change in unrealized | |||
| appreciation/depreciation | |||
| from investments still held | |||
| as of 9/30/08 |
$ |
(1,004,165 | ) |
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.LazardNet.com as well as on the Securities and Exchange Commission’s website at www.sec.gov.
Item 2. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 3. Exhibits.
Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached as Exhibit 99.CERT.
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.
Lazard Global Total Return and Income Fund, Inc.
| By: | /s/ Charles Carroll | |
Charles Carroll |
||
| Chief Executive Officer | ||
| Date: | November 28, 2008 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ Charles Carroll | |
Charles Carroll |
||
| Chief Executive Officer | ||
| Date: | November 28, 2008 | |
| By: | /s/ Stephen St. Clair | |
Stephen St. Clair |
||
| Chief Financial Officer | ||
| Date: | November 28, 2008 | |