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
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Date of fiscal year end: |
12/31 |
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Date of reporting period: |
9/30/2011 |
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Item 1. |
Schedule of Investments. |
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Lazard Global Total Return and Income Fund, Inc. |
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Portfolio of Investments |
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September 30, 2011 (unaudited) |
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Description |
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Shares |
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Value |
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Common Stocks — 93.6% |
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Australia — 1.8% |
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BHP Billiton, Ltd. Sponsored ADR |
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38,500 |
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$ |
2,557,940 |
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Finland — 1.0% |
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Sampo Oyj, A Shares ADR |
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109,500 |
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1,392,840 |
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France — 6.1% |
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GDF Suez Sponsored ADR |
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75,981 |
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2,274,871 |
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Sanofi SA ADR |
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105,200 |
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3,450,560 |
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Total SA Sponsored ADR |
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64,000 |
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2,807,680 |
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8,533,111 |
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Germany — 2.1% |
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SAP AG Sponsored ADR |
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59,300 |
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3,001,766 |
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Ireland — 1.1% |
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CRH PLC Sponsored ADR |
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98,300 |
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1,524,633 |
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Italy — 0.9% |
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Eni SpA Sponsored ADR |
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36,350 |
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1,276,976 |
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Japan — 8.4% |
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Canon, Inc. Sponsored ADR |
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44,700 |
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2,023,122 |
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Hoya Corp. Sponsored ADR (c) |
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73,500 |
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1,711,080 |
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Mitsubishi UFJ Financial Group, Inc. |
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1,050,900 |
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4,676,505 |
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Nomura Holdings, Inc. ADR (c) |
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332,600 |
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1,184,056 |
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Sumitomo Mitsui Financial Group, |
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393,600 |
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2,152,992 |
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11,747,755 |
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Singapore — 3.7% |
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Singapore Telecommunications, Ltd. |
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217,400 |
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5,249,340 |
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Description |
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Shares |
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Value |
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Spain — 1.3% |
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Banco Santander SA Sponsored |
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220,693 |
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$ |
1,774,372 |
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Switzerland — 8.0% |
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Novartis AG ADR |
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78,900 |
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4,400,253 |
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Roche Holding AG Sponsored ADR |
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92,400 |
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3,716,328 |
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UBS AG (a) |
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107,587 |
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1,229,719 |
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Zurich Financial Services AG ADR |
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92,500 |
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1,941,575 |
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11,287,875 |
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United Kingdom — 14.4% |
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BP PLC Sponsored ADR (c) |
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99,907 |
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3,603,645 |
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British American Tobacco PLC |
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37,700 |
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3,194,321 |
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GlaxoSmithKline PLC Sponsored |
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80,200 |
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3,311,458 |
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HSBC Holdings PLC Sponsored |
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113,569 |
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4,320,165 |
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Unilever PLC Sponsored ADR |
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99,100 |
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3,090,929 |
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Wm Morrison Supermarkets PLC |
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120,300 |
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2,694,720 |
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20,215,238 |
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United States — 44.8% |
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Cisco Systems, Inc. (c) |
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220,400 |
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3,413,996 |
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Comcast Corp., Class A |
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160,900 |
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3,329,021 |
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ConocoPhillips |
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32,900 |
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2,083,228 |
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Emerson Electric Co. |
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67,600 |
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2,792,556 |
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Halliburton Co. |
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89,900 |
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2,743,748 |
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Honeywell International, Inc. (c) |
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64,700 |
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2,840,977 |
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Intel Corp. |
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155,400 |
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3,314,682 |
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International Business Machines |
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30,200 |
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5,285,906 |
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Lazard Global Total Return and Income Fund, Inc. |
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Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
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Description |
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Shares |
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Value |
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Johnson & Johnson |
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104,300 |
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$ |
6,644,953 |
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Merck & Co., Inc. |
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75,300 |
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2,463,063 |
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Microsoft Corp. |
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226,600 |
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5,640,074 |
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Oracle Corp. |
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147,340 |
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4,234,552 |
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PepsiCo, Inc. |
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41,100 |
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2,544,090 |
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Pfizer, Inc. (c) |
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87,566 |
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1,548,167 |
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The Bank of New York Mellon Corp. (c) |
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103,600 |
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1,925,924 |
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The Home Depot, Inc. (c) |
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165,500 |
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5,439,985 |
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United Technologies Corp. |
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47,200 |
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3,320,992 |
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Wal-Mart Stores, Inc. |
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62,800 |
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3,259,320 |
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62,825,234 |
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Total Common
Stocks |
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131,387,080 |
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Description |
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Principal |
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Value |
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Foreign Government Obligations — 18.7% |
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Brazil — 4.0% |
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Brazil NTN-F: |
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10.00%, 01/01/12 |
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9,045 |
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$ |
4,913,308 |
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10.00%, 01/01/13 |
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|
1,195 |
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|
646,829 |
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5,560,137 |
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Colombia — 0.1% |
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Republic of Colombia, |
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305,000 |
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191,613 |
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Ghana — 0.5% |
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Ghana Government Bonds: |
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13.67%, 06/11/12 |
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|
790 |
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|
496,195 |
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15.00%, 12/10/12 |
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|
320 |
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|
204,872 |
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|||
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|
701,067 |
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Description |
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Principal |
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Value |
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Israel — 1.5% |
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Israel Fixed Bonds: |
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4.00%, 03/30/12 |
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|
3,888 |
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$ |
1,063,784 |
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5.00%, 03/31/13 |
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|
3,392 |
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|
954,151 |
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Israel Government Bond - |
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413 |
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|
118,964 |
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2,136,899 |
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Malaysia — 1.1% |
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Bank Negara Monetary Note, |
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5,000 |
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|
1,554,924 |
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Mexico — 3.9% |
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Mexican Bonos: |
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9.50%, 12/18/14 |
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8,000 |
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|
652,901 |
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7.75%, 12/14/17 |
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7,000 |
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|
561,083 |
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8.50%, 12/13/18 |
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8,000 |
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|
661,793 |
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Mexican Cetes: |
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0.00%, 11/17/11 |
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120,300 |
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|
862,449 |
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0.00%, 12/15/11 |
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|
104,000 |
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|
743,124 |
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Mexican Udibonos: |
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4.50%, 12/18/14 |
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|
3,890 |
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|
1,420,275 |
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5.00%, 06/16/16 |
|
|
1,480 |
|
|
571,278 |
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|||
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5,472,903 |
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Poland — 0.9% |
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Poland Government Bonds: |
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|
|
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0.00%, 01/25/12 |
|
|
2,674 |
|
|
796,156 |
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3.00%, 08/24/16 |
|
|
1,432 |
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|
437,553 |
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|||
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|
|
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|
1,233,709 |
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|||
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Romania — 1.8% |
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Romania Government Bonds: |
|
|
|
|
|
|
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|
6.25%, 10/25/14 |
|
|
1,290 |
|
|
381,494 |
|
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Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
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|
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|
|
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|
|
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Description |
|
Principal |
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Value |
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||
|
6.00%, 04/30/15 |
|
|
560 |
|
$ |
164,034 |
|
|
6.00%, 04/30/16 |
|
|
530 |
|
|
153,993 |
|
|
6.75%, 06/11/17 |
|
|
600 |
|
|
176,182 |
|
|
Romania Treasury Bills: |
|
|
|
|
|
|
|
|
0.00%, 02/08/12 |
|
|
2,280 |
|
|
684,736 |
|
|
0.00%, 04/04/12 |
|
|
1,140 |
|
|
338,725 |
|
|
0.00%, 06/06/12 |
|
|
1,930 |
|
|
566,702 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
2,465,866 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
South Africa — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Republic of South Africa, |
|
|
4,643 |
|
|
701,524 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
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Turkey — 3.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Turkey Government Bonds: |
|
|
|
|
|
|
|
|
0.00%, 11/16/11 |
|
|
2,156 |
|
|
1,149,951 |
|
|
0.00%, 11/07/12 |
|
|
3,321 |
|
|
1,636,166 |
|
|
0.00%, 02/20/13 |
|
|
1,310 |
|
|
629,971 |
|
|
9.00%, 05/21/14 |
|
|
269 |
|
|
167,849 |
|
|
4.50%, 02/11/15 |
|
|
1,671 |
|
|
953,081 |
|
|
4.00%, 04/29/15 |
|
|
1,458 |
|
|
829,806 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
5,366,824 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
Uruguay — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Uruguay Treasury Bills: |
|
|
|
|
|
|
|
|
0.00%, 06/22/12 |
|
|
5,472 |
|
|
258,536 |
|
|
0.00%, 05/09/13 |
|
|
2,350 |
|
|
100,635 |
|
|
0.00%, 06/27/13 |
|
|
4,650 |
|
|
196,864 |
|
|
0.00%, 08/15/13 |
|
|
6,000 |
|
|
248,634 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
804,669 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
Total Foreign
Government Obligations |
|
|
|
|
|
26,190,135 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
Description |
|
|
|
|
Value |
|
|
|
Total Investments — 112.3% |
|
|
|
|
$ |
157,577,215 |
|
|
|
|
|
|
|
|
|
|
|
Liabilities in Excess of Cash and |
|
|
|
|
|
(17,320,634 |
) |
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0% |
|
|
|
|
$ |
140,256,581 |
|
|
|
|
|
|
|
|||
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Purchase Contracts open at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
|
||||||||||||||||||||
|
BRL |
|
BRC |
|
10/04/11 |
|
|
70,056 |
|
$ |
42,000 |
|
$ |
37,259 |
|
$ |
— |
|
$ |
4,741 |
|
|
BRL |
|
BRC |
|
10/04/11 |
|
|
638,400 |
|
|
399,000 |
|
|
339,529 |
|
|
— |
|
|
59,471 |
|
|
BRL |
|
UBS |
|
10/04/11 |
|
|
708,456 |
|
|
382,041 |
|
|
376,789 |
|
|
— |
|
|
5,252 |
|
|
BRL |
|
UBS |
|
10/04/11 |
|
|
1,147,538 |
|
|
631,904 |
|
|
610,311 |
|
|
— |
|
|
21,593 |
|
|
BRL |
|
UBS |
|
10/19/11 |
|
|
684,560 |
|
|
398,000 |
|
|
362,716 |
|
|
— |
|
|
35,284 |
|
|
CLP |
|
CSF |
|
10/24/11 |
|
|
410,203,200 |
|
|
816,000 |
|
|
787,155 |
|
|
— |
|
|
28,845 |
|
|
CLP |
|
BNP |
|
10/28/11 |
|
|
186,476,400 |
|
|
396,000 |
|
|
357,635 |
|
|
— |
|
|
38,365 |
|
|
CLP |
|
BNP |
|
02/13/12 |
|
|
476,500,200 |
|
|
989,000 |
|
|
903,609 |
|
|
— |
|
|
85,391 |
|
|
CNY |
|
JPM |
|
06/13/12 |
|
|
10,364,580 |
|
|
1,622,000 |
|
|
1,631,078 |
|
|
9,078 |
|
|
— |
|
|
CNY |
|
BRC |
|
08/13/12 |
|
|
3,377,088 |
|
|
528,000 |
|
|
532,319 |
|
|
4,319 |
|
|
— |
|
|
CNY |
|
JPM |
|
09/24/12 |
|
|
9,237,380 |
|
|
1,457,000 |
|
|
1,458,302 |
|
|
1,302 |
|
|
— |
|
|
CZK |
|
CIT |
|
10/11/11 |
|
|
12,613,663 |
|
|
725,298 |
|
|
684,639 |
|
|
— |
|
|
40,659 |
|
|
CZK |
|
ING |
|
10/11/11 |
|
|
11,503,980 |
|
|
679,442 |
|
|
624,408 |
|
|
— |
|
|
55,034 |
|
|
CZK |
|
CIT |
|
10/19/11 |
|
|
6,669,630 |
|
|
370,525 |
|
|
362,032 |
|
|
— |
|
|
8,493 |
|
|
CZK |
|
CIT |
|
10/19/11 |
|
|
12,960,383 |
|
|
766,161 |
|
|
703,497 |
|
|
— |
|
|
62,664 |
|
|
CZK |
|
BNP |
|
11/09/11 |
|
|
6,025,812 |
|
|
344,785 |
|
|
327,139 |
|
|
— |
|
|
17,646 |
|
|
EUR |
|
CIT |
|
10/11/11 |
|
|
92,307 |
|
|
126,354 |
|
|
123,661 |
|
|
— |
|
|
2,693 |
|
|
EUR |
|
CIT |
|
10/11/11 |
|
|
506,917 |
|
|
693,006 |
|
|
679,106 |
|
|
— |
|
|
13,900 |
|
|
EUR |
|
ING |
|
10/11/11 |
|
|
470,155 |
|
|
675,284 |
|
|
629,857 |
|
|
— |
|
|
45,427 |
|
|
EUR |
|
CIT |
|
10/12/11 |
|
|
180,000 |
|
|
241,155 |
|
|
241,141 |
|
|
— |
|
|
14 |
|
|
EUR |
|
CIT |
|
10/17/11 |
|
|
1,042,083 |
|
|
1,443,000 |
|
|
1,395,996 |
|
|
— |
|
|
47,004 |
|
|
EUR |
|
CIT |
|
10/17/11 |
|
|
3,695,000 |
|
|
5,210,467 |
|
|
4,949,895 |
|
|
— |
|
|
260,572 |
|
|
EUR |
|
CIT |
|
10/19/11 |
|
|
1,030,686 |
|
|
1,388,901 |
|
|
1,380,706 |
|
|
— |
|
|
8,195 |
|
|
EUR |
|
BRC |
|
10/27/11 |
|
|
495,595 |
|
|
706,000 |
|
|
663,859 |
|
|
— |
|
|
42,141 |
|
|
EUR |
|
JPM |
|
11/07/11 |
|
|
283,135 |
|
|
403,000 |
|
|
379,239 |
|
|
— |
|
|
23,761 |
|
|
EUR |
|
CIT |
|
11/09/11 |
|
|
501,337 |
|
|
685,002 |
|
|
671,501 |
|
|
— |
|
|
13,501 |
|
|
GHS |
|
BRC |
|
10/11/11 |
|
|
237,330 |
|
|
109,369 |
|
|
147,755 |
|
|
38,386 |
|
|
— |
|
|
GHS |
|
SCB |
|
10/11/11 |
|
|
391,000 |
|
|
246,036 |
|
|
243,425 |
|
|
— |
|
|
2,611 |
|
|
GHS |
|
SCB |
|
10/12/11 |
|
|
610,000 |
|
|
390,900 |
|
|
379,675 |
|
|
— |
|
|
11,225 |
|
|
GHS |
|
SCB |
|
10/18/11 |
|
|
527,510 |
|
|
340,000 |
|
|
327,852 |
|
|
— |
|
|
12,148 |
|
|
GHS |
|
CIT |
|
10/24/11 |
|
|
156,000 |
|
|
99,237 |
|
|
96,814 |
|
|
— |
|
|
2,423 |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Purchase Contracts open at September 30, 2011 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
|
||||||||||||||||||||
|
GHS |
|
SCB |
|
10/24/11 |
|
|
265,634 |
|
$ |
171,156 |
|
$ |
164,853 |
|
$ |
— |
|
$ |
6,303 |
|
|
GHS |
|
CIT |
|
10/27/11 |
|
|
723,000 |
|
|
455,864 |
|
|
448,368 |
|
|
— |
|
|
7,496 |
|
|
GHS |
|
SCB |
|
10/31/11 |
|
|
554,000 |
|
|
357,143 |
|
|
343,229 |
|
|
— |
|
|
13,914 |
|
|
GHS |
|
JPM |
|
11/08/11 |
|
|
401,000 |
|
|
258,426 |
|
|
247,912 |
|
|
— |
|
|
10,514 |
|
|
GHS |
|
CIT |
|
11/22/11 |
|
|
117,000 |
|
|
73,864 |
|
|
72,044 |
|
|
— |
|
|
1,820 |
|
|
GHS |
|
JPM |
|
12/12/11 |
|
|
291,653 |
|
|
184,707 |
|
|
178,560 |
|
|
— |
|
|
6,147 |
|
|
HUF |
|
CIT |
|
11/09/11 |
|
|
142,885,560 |
|
|
720,538 |
|
|
650,774 |
|
|
— |
|
|
69,764 |
|
|
IDR |
|
RBC |
|
10/12/11 |
|
|
5,289,355,000 |
|
|
619,000 |
|
|
601,314 |
|
|
— |
|
|
17,686 |
|
|
IDR |
|
SCB |
|
10/19/11 |
|
|
3,411,100,000 |
|
|
385,000 |
|
|
387,543 |
|
|
2,543 |
|
|
— |
|
|
IDR |
|
JPM |
|
11/18/11 |
|
|
7,099,422,000 |
|
|
811,363 |
|
|
803,964 |
|
|
— |
|
|
7,399 |
|
|
ILS |
|
BRC |
|
10/06/11 |
|
|
3,182,562 |
|
|
893,426 |
|
|
849,451 |
|
|
— |
|
|
43,975 |
|
|
INR |
|
SCB |
|
10/13/11 |
|
|
43,926,800 |
|
|
965,000 |
|
|
895,728 |
|
|
— |
|
|
69,272 |
|
|
INR |
|
BRC |
|
11/14/11 |
|
|
43,376,800 |
|
|
944,000 |
|
|
880,387 |
|
|
— |
|
|
63,613 |
|
|
INR |
|
JPM |
|
11/25/11 |
|
|
15,285,580 |
|
|
331,000 |
|
|
309,755 |
|
|
— |
|
|
21,245 |
|
|
INR |
|
JPM |
|
11/25/11 |
|
|
33,060,870 |
|
|
717,000 |
|
|
669,963 |
|
|
— |
|
|
47,037 |
|
|
INR |
|
BNP |
|
05/21/12 |
|
|
18,207,540 |
|
|
379,838 |
|
|
364,345 |
|
|
— |
|
|
15,493 |
|
|
INR |
|
BRC |
|
05/21/12 |
|
|
42,264,610 |
|
|
884,567 |
|
|
845,742 |
|
|
— |
|
|
38,825 |
|
|
INR |
|
JPM |
|
05/25/12 |
|
|
18,698,400 |
|
|
392,000 |
|
|
374,103 |
|
|
— |
|
|
17,897 |
|
|
INR |
|
UBS |
|
05/25/12 |
|
|
42,064,980 |
|
|
878,000 |
|
|
841,603 |
|
|
— |
|
|
36,397 |
|
|
KES |
|
CIT |
|
10/18/11 |
|
|
13,209,000 |
|
|
138,532 |
|
|
131,493 |
|
|
— |
|
|
7,039 |
|
|
KES |
|
CIT |
|
10/18/11 |
|
|
14,798,000 |
|
|
155,850 |
|
|
147,310 |
|
|
— |
|
|
8,540 |
|
|
KES |
|
SCB |
|
10/19/11 |
|
|
19,843,230 |
|
|
207,457 |
|
|
197,534 |
|
|
— |
|
|
9,923 |
|
|
KES |
|
JPM |
|
11/21/11 |
|
|
18,964,350 |
|
|
195,913 |
|
|
188,765 |
|
|
— |
|
|
7,148 |
|
|
KRW |
|
SCB |
|
11/10/11 |
|
|
510,244,200 |
|
|
467,000 |
|
|
432,138 |
|
|
— |
|
|
34,862 |
|
|
KRW |
|
BRC |
|
11/23/11 |
|
|
1,019,284,400 |
|
|
927,170 |
|
|
862,646 |
|
|
— |
|
|
64,524 |
|
|
KRW |
|
JPM |
|
11/23/11 |
|
|
828,294,000 |
|
|
762,000 |
|
|
701,006 |
|
|
— |
|
|
60,994 |
|
|
KZT |
|
BRC |
|
10/11/11 |
|
|
63,103,000 |
|
|
430,003 |
|
|
425,724 |
|
|
— |
|
|
4,279 |
|
|
KZT |
|
CIT |
|
10/11/11 |
|
|
36,300,000 |
|
|
247,250 |
|
|
244,898 |
|
|
— |
|
|
2,352 |
|
|
KZT |
|
HSB |
|
10/11/11 |
|
|
47,000,000 |
|
|
319,402 |
|
|
317,086 |
|
|
— |
|
|
2,316 |
|
|
KZT |
|
HSB |
|
10/11/11 |
|
|
73,593,000 |
|
|
507,888 |
|
|
496,495 |
|
|
— |
|
|
11,393 |
|
|
KZT |
|
CIT |
|
10/18/11 |
|
|
59,880,000 |
|
|
409,800 |
|
|
403,790 |
|
|
— |
|
|
6,010 |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Purchase Contracts open at September 30, 2011 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
|
||||||||||||||||||||
|
KZT |
|
BRC |
|
11/04/11 |
|
|
17,133,600 |
|
$ |
118,065 |
|
$ |
115,405 |
|
$ |
— |
|
$ |
2,660 |
|
|
KZT |
|
BRC |
|
12/15/11 |
|
|
17,612,000 |
|
|
121,074 |
|
|
118,368 |
|
|
— |
|
|
2,706 |
|
|
MXN |
|
HSB |
|
10/11/11 |
|
|
11,923,939 |
|
|
992,000 |
|
|
859,194 |
|
|
— |
|
|
132,806 |
|
|
MXN |
|
JPM |
|
11/07/11 |
|
|
3,325,959 |
|
|
279,000 |
|
|
239,022 |
|
|
— |
|
|
39,978 |
|
|
MYR |
|
BRC |
|
10/31/11 |
|
|
1,564,218 |
|
|
498,000 |
|
|
489,419 |
|
|
— |
|
|
8,581 |
|
|
NGN |
|
CIT |
|
10/05/11 |
|
|
30,780,000 |
|
|
197,219 |
|
|
192,797 |
|
|
— |
|
|
4,422 |
|
|
NGN |
|
CIT |
|
10/11/11 |
|
|
36,100,000 |
|
|
231,188 |
|
|
226,208 |
|
|
— |
|
|
4,980 |
|
|
NGN |
|
SCB |
|
10/11/11 |
|
|
47,051,600 |
|
|
302,000 |
|
|
294,832 |
|
|
— |
|
|
7,168 |
|
|
NGN |
|
CIT |
|
10/21/11 |
|
|
33,370,000 |
|
|
212,751 |
|
|
209,101 |
|
|
— |
|
|
3,650 |
|
|
NGN |
|
JPM |
|
10/27/11 |
|
|
44,044,000 |
|
|
286,000 |
|
|
275,986 |
|
|
— |
|
|
10,014 |
|
|
NGN |
|
JPM |
|
10/31/11 |
|
|
23,127,000 |
|
|
147,522 |
|
|
143,634 |
|
|
— |
|
|
3,888 |
|
|
NGN |
|
JPM |
|
10/31/11 |
|
|
57,736,440 |
|
|
360,402 |
|
|
358,582 |
|
|
— |
|
|
1,820 |
|
|
NGN |
|
JPM |
|
11/04/11 |
|
|
92,639,250 |
|
|
591,000 |
|
|
575,352 |
|
|
— |
|
|
15,648 |
|
|
NGN |
|
CIT |
|
11/18/11 |
|
|
30,082,500 |
|
|
191,000 |
|
|
186,833 |
|
|
— |
|
|
4,167 |
|
|
NGN |
|
CIT |
|
11/21/11 |
|
|
31,047,400 |
|
|
196,876 |
|
|
192,825 |
|
|
— |
|
|
4,051 |
|
|
PLN |
|
ING |
|
10/31/11 |
|
|
3,904,714 |
|
|
1,210,595 |
|
|
1,175,552 |
|
|
— |
|
|
35,043 |
|
|
PLN |
|
CIT |
|
11/02/11 |
|
|
2,270,003 |
|
|
789,827 |
|
|
683,262 |
|
|
— |
|
|
106,565 |
|
|
PLN |
|
JPM |
|
11/02/11 |
|
|
1,158,910 |
|
|
346,176 |
|
|
348,828 |
|
|
2,652 |
|
|
— |
|
|
RON |
|
BRC |
|
10/12/11 |
|
|
3,823,087 |
|
|
1,271,185 |
|
|
1,174,639 |
|
|
— |
|
|
96,546 |
|
|
RSD |
|
CIT |
|
10/11/11 |
|
|
22,939,000 |
|
|
315,378 |
|
|
301,850 |
|
|
— |
|
|
13,528 |
|
|
RSD |
|
CIT |
|
10/12/11 |
|
|
19,880,000 |
|
|
276,630 |
|
|
261,507 |
|
|
— |
|
|
15,123 |
|
|
RSD |
|
BRC |
|
11/08/11 |
|
|
4,815,150 |
|
|
64,881 |
|
|
62,770 |
|
|
— |
|
|
2,111 |
|
|
RSD |
|
BRC |
|
11/08/11 |
|
|
12,196,000 |
|
|
170,003 |
|
|
158,987 |
|
|
— |
|
|
11,016 |
|
|
RSD |
|
BRC |
|
11/09/11 |
|
|
55,737,450 |
|
|
770,919 |
|
|
726,363 |
|
|
— |
|
|
44,556 |
|
|
RUB |
|
CSF |
|
10/11/11 |
|
|
23,068,500 |
|
|
780,000 |
|
|
715,671 |
|
|
— |
|
|
64,329 |
|
|
RUB |
|
HSB |
|
10/11/11 |
|
|
19,479,670 |
|
|
661,000 |
|
|
604,332 |
|
|
— |
|
|
56,668 |
|
|
RUB |
|
CSF |
|
10/12/11 |
|
|
21,788,190 |
|
|
727,000 |
|
|
675,848 |
|
|
— |
|
|
51,152 |
|
|
RUB |
|
HSB |
|
10/17/11 |
|
|
23,454,920 |
|
|
766,000 |
|
|
726,995 |
|
|
— |
|
|
39,005 |
|
|
THB |
|
HSB |
|
10/06/11 |
|
|
24,660,440 |
|
|
821,139 |
|
|
793,214 |
|
|
— |
|
|
27,925 |
|
|
THB |
|
SCB |
|
10/25/11 |
|
|
6,048,090 |
|
|
201,000 |
|
|
194,286 |
|
|
— |
|
|
6,714 |
|
|
THB |
|
SCB |
|
10/25/11 |
|
|
7,530,000 |
|
|
251,000 |
|
|
241,890 |
|
|
— |
|
|
9,110 |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Purchase Contracts open at September 30, 2011 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
|
||||||||||||||||||||
|
THB |
|
JPM |
|
11/07/11 |
|
|
19,521,920 |
|
$ |
649,000 |
|
$ |
626,578 |
|
$ |
— |
|
$ |
22,422 |
|
|
THB |
|
HSB |
|
11/14/11 |
|
|
25,220,160 |
|
|
834,000 |
|
|
809,157 |
|
|
— |
|
|
24,843 |
|
|
THB |
|
HSB |
|
12/06/11 |
|
|
27,860,985 |
|
|
927,000 |
|
|
892,801 |
|
|
— |
|
|
34,199 |
|
|
UAH |
|
BRC |
|
10/11/11 |
|
|
995,685 |
|
|
123,000 |
|
|
123,034 |
|
|
34 |
|
|
— |
|
|
UAH |
|
BRC |
|
10/11/11 |
|
|
1,598,655 |
|
|
197,000 |
|
|
197,542 |
|
|
542 |
|
|
— |
|
|
UAH |
|
DUB |
|
10/19/11 |
|
|
984,940 |
|
|
121,000 |
|
|
120,752 |
|
|
— |
|
|
248 |
|
|
UAH |
|
ING |
|
10/24/11 |
|
|
1,761,570 |
|
|
216,875 |
|
|
214,910 |
|
|
— |
|
|
1,965 |
|
|
UAH |
|
BRC |
|
11/09/11 |
|
|
1,639,760 |
|
|
199,000 |
|
|
197,290 |
|
|
— |
|
|
1,710 |
|
|
UGX |
|
CIT |
|
10/04/11 |
|
|
271,000,000 |
|
|
100,000 |
|
|
95,088 |
|
|
— |
|
|
4,912 |
|
|
UGX |
|
CIT |
|
10/04/11 |
|
|
279,675,000 |
|
|
113,000 |
|
|
98,132 |
|
|
— |
|
|
14,868 |
|
|
UGX |
|
CIT |
|
10/05/11 |
|
|
486,590,000 |
|
|
197,000 |
|
|
170,636 |
|
|
— |
|
|
26,364 |
|
|
UGX |
|
CIT |
|
10/07/11 |
|
|
517,020,000 |
|
|
210,000 |
|
|
181,101 |
|
|
— |
|
|
28,899 |
|
|
UGX |
|
CIT |
|
10/17/11 |
|
|
268,772,000 |
|
|
94,905 |
|
|
93,612 |
|
|
— |
|
|
1,293 |
|
|
UGX |
|
SCB |
|
10/31/11 |
|
|
894,800,000 |
|
|
309,405 |
|
|
309,203 |
|
|
— |
|
|
202 |
|
|
UGX |
|
CIT |
|
11/07/11 |
|
|
486,590,000 |
|
|
168,312 |
|
|
167,537 |
|
|
— |
|
|
775 |
|
|
UGX |
|
BRC |
|
12/19/11 |
|
|
453,769,000 |
|
|
166,399 |
|
|
153,499 |
|
|
— |
|
|
12,900 |
|
|
UGX |
|
SCB |
|
12/22/11 |
|
|
583,400,000 |
|
|
201,520 |
|
|
197,142 |
|
|
— |
|
|
4,378 |
|
|
UGX |
|
CIT |
|
01/18/12 |
|
|
547,000,000 |
|
|
183,403 |
|
|
183,024 |
|
|
— |
|
|
379 |
|
|
UGX |
|
CIT |
|
02/22/12 |
|
|
1,199,696,000 |
|
|
400,968 |
|
|
396,144 |
|
|
— |
|
|
4,824 |
|
|
UGX |
|
CIT |
|
03/19/12 |
|
|
1,179,600,000 |
|
|
418,981 |
|
|
385,746 |
|
|
— |
|
|
33,235 |
|
|
UGX |
|
SCB |
|
06/25/12 |
|
|
294,000,000 |
|
|
107,182 |
|
|
91,859 |
|
|
— |
|
|
15,323 |
|
|
UYU |
|
CIT |
|
10/05/11 |
|
|
5,969,656 |
|
|
308,000 |
|
|
293,782 |
|
|
— |
|
|
14,218 |
|
|
UYU |
|
CIT |
|
10/06/11 |
|
|
2,364,060 |
|
|
123,000 |
|
|
116,319 |
|
|
— |
|
|
6,681 |
|
|
UYU |
|
CIT |
|
10/19/11 |
|
|
3,717,648 |
|
|
198,000 |
|
|
182,452 |
|
|
— |
|
|
15,548 |
|
|
UYU |
|
JPM |
|
11/04/11 |
|
|
5,969,656 |
|
|
293,205 |
|
|
293,205 |
|
|
— |
|
|
— |
|
|
UYU |
|
CIT |
|
11/07/11 |
|
|
1,751,000 |
|
|
93,531 |
|
|
85,615 |
|
|
— |
|
|
7,916 |
|
|
UYU |
|
JPM |
|
11/07/11 |
|
|
2,784,000 |
|
|
148,480 |
|
|
136,124 |
|
|
— |
|
|
12,356 |
|
|
UYU |
|
CIT |
|
11/16/11 |
|
|
3,731,508 |
|
|
198,000 |
|
|
182,131 |
|
|
— |
|
|
15,869 |
|
|
UYU |
|
CIT |
|
11/30/11 |
|
|
2,370,375 |
|
|
121,061 |
|
|
115,382 |
|
|
— |
|
|
5,679 |
|
|
UYU |
|
CIT |
|
12/02/11 |
|
|
2,382,510 |
|
|
123,000 |
|
|
115,932 |
|
|
— |
|
|
7,068 |
|
|
UYU |
|
CIT |
|
12/02/11 |
|
|
5,025,536 |
|
|
268,000 |
|
|
244,540 |
|
|
— |
|
|
23,460 |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Purchase Contracts open at September 30, 2011 (concluded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
UYU |
|
JPM |
|
12/08/11 |
|
|
3,945,420 |
|
$ |
207,000 |
|
$ |
191,777 |
|
$ |
— |
|
$ |
15,223 |
|
|
UYU |
|
CIT |
|
12/20/11 |
|
|
2,339,235 |
|
|
124,032 |
|
|
113,462 |
|
|
— |
|
|
10,570 |
|
|
UYU |
|
CIT |
|
12/20/11 |
|
|
3,743,388 |
|
|
198,000 |
|
|
181,568 |
|
|
— |
|
|
16,432 |
|
|
UYU |
|
CIT |
|
12/30/11 |
|
|
7,053,090 |
|
|
363,000 |
|
|
341,486 |
|
|
— |
|
|
21,514 |
|
|
ZAR |
|
BNP |
|
10/19/11 |
|
|
5,560,892 |
|
|
779,000 |
|
|
687,180 |
|
|
— |
|
|
91,820 |
|
|
ZAR |
|
BNP |
|
10/24/11 |
|
|
5,561,462 |
|
|
764,000 |
|
|
686,747 |
|
|
— |
|
|
77,253 |
|
|
ZMK |
|
BRC |
|
10/12/11 |
|
|
1,734,800,000 |
|
|
347,307 |
|
|
357,782 |
|
|
10,475 |
|
|
— |
|
|
ZMK |
|
CIT |
|
10/12/11 |
|
|
1,139,015,000 |
|
|
227,167 |
|
|
234,908 |
|
|
7,741 |
|
|
— |
|
|
ZMK |
|
SCB |
|
11/25/11 |
|
|
1,746,525,000 |
|
|
354,265 |
|
|
353,993 |
|
|
— |
|
|
272 |
|
|
ZMK |
|
SCB |
|
12/19/11 |
|
|
320,101,000 |
|
|
63,969 |
|
|
64,283 |
|
|
314 |
|
|
— |
|
|
ZMK |
|
SCB |
|
12/20/11 |
|
|
650,940,000 |
|
|
129,515 |
|
|
130,665 |
|
|
1,150 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Total Forward Currency Purchase Contracts |
|
$ |
64,011,336 |
|
$ |
61,025,094 |
|
$ |
78,536 |
|
$ |
3,064,778 |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Forward Currency Sale Contracts open at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
BRL |
|
BRC |
|
10/04/11 |
|
|
708,456 |
|
$ |
376,788 |
|
$ |
382,040 |
|
$ |
5,252 |
|
$ |
— |
|
|
BRL |
|
UBS |
|
10/04/11 |
|
|
1,855,994 |
|
|
987,100 |
|
|
1,036,000 |
|
|
48,900 |
|
|
— |
|
|
BRL |
|
HSB |
|
12/02/11 |
|
|
5,075,901 |
|
|
2,665,194 |
|
|
3,157,637 |
|
|
492,443 |
|
|
— |
|
|
BRL |
|
UBS |
|
12/02/11 |
|
|
1,029,840 |
|
|
540,735 |
|
|
559,999 |
|
|
19,264 |
|
|
— |
|
|
COP |
|
BNP |
|
10/18/11 |
|
|
293,168,000 |
|
|
151,776 |
|
|
160,000 |
|
|
8,224 |
|
|
— |
|
|
CZK |
|
CIT |
|
10/11/11 |
|
|
12,613,663 |
|
|
684,639 |
|
|
693,006 |
|
|
8,367 |
|
|
— |
|
|
CZK |
|
ING |
|
10/11/11 |
|
|
11,503,980 |
|
|
624,408 |
|
|
675,283 |
|
|
50,875 |
|
|
— |
|
|
CZK |
|
CIT |
|
10/19/11 |
|
|
25,655,825 |
|
|
1,392,614 |
|
|
1,388,901 |
|
|
— |
|
|
3,713 |
|
|
EUR |
|
CIT |
|
10/11/11 |
|
|
224,936 |
|
|
301,343 |
|
|
315,378 |
|
|
14,035 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/11/11 |
|
|
517,000 |
|
|
692,614 |
|
|
725,298 |
|
|
32,684 |
|
|
— |
|
|
EUR |
|
ING |
|
10/11/11 |
|
|
474,000 |
|
|
635,008 |
|
|
679,442 |
|
|
44,434 |
|
|
— |
|
|
EUR |
|
BRC |
|
10/12/11 |
|
|
899,000 |
|
|
1,204,363 |
|
|
1,271,184 |
|
|
66,821 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/12/11 |
|
|
194,559 |
|
|
260,644 |
|
|
276,629 |
|
|
15,985 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/17/11 |
|
|
383,205 |
|
|
513,349 |
|
|
549,777 |
|
|
36,428 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/17/11 |
|
|
648,088 |
|
|
868,191 |
|
|
908,969 |
|
|
40,778 |
|
|
— |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Sale Contracts open at September 30, 2011 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
EUR |
|
CIT |
|
10/17/11 |
|
|
1,855,000 |
|
$ |
2,484,995 |
|
$ |
2,552,873 |
|
$ |
67,878 |
|
$ |
— |
|
|
EUR |
|
HSB |
|
10/17/11 |
|
|
250,078 |
|
|
335,009 |
|
|
345,000 |
|
|
9,991 |
|
|
— |
|
|
EUR |
|
HSB |
|
10/17/11 |
|
|
558,121 |
|
|
747,670 |
|
|
805,000 |
|
|
57,330 |
|
|
— |
|
|
EUR |
|
HSB |
|
10/17/11 |
|
|
699,555 |
|
|
937,138 |
|
|
941,000 |
|
|
3,862 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/19/11 |
|
|
272,000 |
|
|
364,371 |
|
|
370,525 |
|
|
6,154 |
|
|
— |
|
|
EUR |
|
CIT |
|
10/19/11 |
|
|
531,000 |
|
|
711,328 |
|
|
766,162 |
|
|
54,834 |
|
|
— |
|
|
EUR |
|
CSF |
|
10/26/11 |
|
|
874,317 |
|
|
1,171,174 |
|
|
1,176,000 |
|
|
4,826 |
|
|
— |
|
|
EUR |
|
BRC |
|
10/27/11 |
|
|
2,704,000 |
|
|
3,622,062 |
|
|
3,873,562 |
|
|
251,500 |
|
|
— |
|
|
EUR |
|
ING |
|
10/31/11 |
|
|
888,000 |
|
|
1,189,458 |
|
|
1,210,595 |
|
|
21,137 |
|
|
— |
|
|
EUR |
|
CIT |
|
11/02/11 |
|
|
544,000 |
|
|
728,666 |
|
|
789,827 |
|
|
61,161 |
|
|
— |
|
|
EUR |
|
JPM |
|
11/02/11 |
|
|
263,000 |
|
|
352,278 |
|
|
346,176 |
|
|
— |
|
|
6,102 |
|
|
EUR |
|
BRC |
|
11/08/11 |
|
|
47,000 |
|
|
62,953 |
|
|
64,881 |
|
|
1,928 |
|
|
— |
|
|
EUR |
|
BRC |
|
11/08/11 |
|
|
118,178 |
|
|
158,291 |
|
|
170,003 |
|
|
11,712 |
|
|
— |
|
|
EUR |
|
BNP |
|
11/09/11 |
|
|
247,000 |
|
|
330,836 |
|
|
344,785 |
|
|
13,949 |
|
|
— |
|
|
EUR |
|
BRC |
|
11/09/11 |
|
|
534,139 |
|
|
715,436 |
|
|
770,919 |
|
|
55,483 |
|
|
— |
|
|
EUR |
|
CIT |
|
11/09/11 |
|
|
516,000 |
|
|
691,140 |
|
|
720,538 |
|
|
29,398 |
|
|
— |
|
|
EUR |
|
CSF |
|
11/09/11 |
|
|
249,780 |
|
|
334,560 |
|
|
351,000 |
|
|
16,440 |
|
|
— |
|
|
EUR |
|
HSB |
|
11/22/11 |
|
|
617,000 |
|
|
826,388 |
|
|
883,014 |
|
|
56,626 |
|
|
— |
|
|
EUR |
|
ING |
|
11/28/11 |
|
|
1,077,819 |
|
|
1,443,565 |
|
|
1,453,978 |
|
|
10,413 |
|
|
— |
|
|
EUR |
|
HSB |
|
12/06/11 |
|
|
1,781,000 |
|
|
2,385,311 |
|
|
2,529,020 |
|
|
143,709 |
|
|
— |
|
|
HUF |
|
CIT |
|
11/09/11 |
|
|
142,885,560 |
|
|
650,774 |
|
|
685,002 |
|
|
34,228 |
|
|
— |
|
|
ILS |
|
CIT |
|
10/06/11 |
|
|
634,325 |
|
|
169,306 |
|
|
171,000 |
|
|
1,694 |
|
|
— |
|
|
INR |
|
BRC |
|
10/12/11 |
|
|
30,786,210 |
|
|
627,866 |
|
|
637,000 |
|
|
9,134 |
|
|
— |
|
|
INR |
|
BRC |
|
11/14/11 |
|
|
13,472,580 |
|
|
273,443 |
|
|
298,000 |
|
|
24,557 |
|
|
— |
|
|
JPY |
|
JPM |
|
10/31/11 |
|
|
72,465,387 |
|
|
939,867 |
|
|
947,000 |
|
|
7,133 |
|
|
— |
|
|
JPY |
|
HSB |
|
11/10/11 |
|
|
5,866,864 |
|
|
76,103 |
|
|
73,000 |
|
|
— |
|
|
3,103 |
|
|
JPY |
|
SCB |
|
12/21/11 |
|
|
134,542,750 |
|
|
1,746,375 |
|
|
1,753,000 |
|
|
6,625 |
|
|
— |
|
|
KRW |
|
CIT |
|
11/10/11 |
|
|
215,874,000 |
|
|
182,829 |
|
|
179,000 |
|
|
— |
|
|
3,829 |
|
|
KRW |
|
JPM |
|
11/23/11 |
|
|
109,059,800 |
|
|
92,300 |
|
|
101,000 |
|
|
8,700 |
|
|
— |
|
|
KZT |
|
CIT |
|
10/11/11 |
|
|
52,800,300 |
|
|
356,217 |
|
|
357,000 |
|
|
783 |
|
|
— |
|
|
KZT |
|
HSB |
|
10/11/11 |
|
|
73,593,000 |
|
|
496,495 |
|
|
503,200 |
|
|
6,705 |
|
|
— |
|
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
Forward Currency Sale Contracts open at September 30, 2011 (concluded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency |
|
Counterparty |
|
Expiration |
|
Foreign |
|
U.S. $ Cost |
|
U.S. $ |
|
Unrealized |
|
Unrealized |
|
|||||
|
KZT |
|
CIT |
|
10/18/11 |
|
|
59,880,000 |
|
$ |
403,790 |
|
$ |
409,156 |
|
$ |
5,366 |
|
$ |
— |
|
|
KZT |
|
BRC |
|
11/04/11 |
|
|
17,133,600 |
|
|
115,405 |
|
|
116,953 |
|
|
1,548 |
|
|
— |
|
|
MXN |
|
HSB |
|
10/11/11 |
|
|
13,928,693 |
|
|
1,003,649 |
|
|
1,051,000 |
|
|
47,351 |
|
|
— |
|
|
MXN |
|
RBC |
|
10/11/11 |
|
|
11,923,939 |
|
|
859,194 |
|
|
956,003 |
|
|
96,809 |
|
|
— |
|
|
MXN |
|
UBS |
|
10/31/11 |
|
|
9,292,418 |
|
|
668,256 |
|
|
694,526 |
|
|
26,270 |
|
|
— |
|
|
MXN |
|
JPM |
|
11/07/11 |
|
|
9,289,075 |
|
|
667,564 |
|
|
694,365 |
|
|
26,801 |
|
|
— |
|
|
NGN |
|
CIT |
|
10/05/11 |
|
|
30,780,000 |
|
|
192,797 |
|
|
192,102 |
|
|
— |
|
|
695 |
|
|
RON |
|
CIT |
|
10/12/11 |
|
|
784,620 |
|
|
241,073 |
|
|
241,155 |
|
|
82 |
|
|
— |
|
|
RSD |
|
CIT |
|
10/11/11 |
|
|
9,359,000 |
|
|
123,153 |
|
|
126,354 |
|
|
3,201 |
|
|
— |
|
|
THB |
|
HSB |
|
10/06/11 |
|
|
10,511,000 |
|
|
338,091 |
|
|
340,493 |
|
|
2,402 |
|
|
— |
|
|
THB |
|
SCB |
|
10/25/11 |
|
|
13,578,090 |
|
|
436,175 |
|
|
438,710 |
|
|
2,535 |
|
|
— |
|
|
THB |
|
JPM |
|
11/07/11 |
|
|
22,279,600 |
|
|
715,089 |
|
|
730,000 |
|
|
14,911 |
|
|
— |
|
|
TRY |
|
BRC |
|
10/06/11 |
|
|
1,214,928 |
|
|
653,446 |
|
|
649,000 |
|
|
— |
|
|
4,446 |
|
|
TRY |
|
BRC |
|
03/29/12 |
|
|
324,485 |
|
|
170,166 |
|
|
171,259 |
|
|
1,093 |
|
|
— |
|
|
TRY |
|
JPM |
|
03/29/12 |
|
|
1,569,269 |
|
|
822,955 |
|
|
828,460 |
|
|
5,505 |
|
|
— |
|
|
TRY |
|
CIT |
|
09/28/12 |
|
|
1,100,468 |
|
|
562,840 |
|
|
568,189 |
|
|
5,349 |
|
|
— |
|
|
TRY |
|
JPM |
|
09/28/12 |
|
|
924,392 |
|
|
472,785 |
|
|
476,172 |
|
|
3,387 |
|
|
— |
|
|
TRY |
|
JPM |
|
09/28/12 |
|
|
1,011,809 |
|
|
517,497 |
|
|
521,310 |
|
|
3,813 |
|
|
— |
|
|
UGX |
|
CIT |
|
10/04/11 |
|
|
550,675,000 |
|
|
193,220 |
|
|
192,881 |
|
|
— |
|
|
339 |
|
|
UGX |
|
CIT |
|
10/05/11 |
|
|
486,590,000 |
|
|
170,637 |
|
|
170,733 |
|
|
96 |
|
|
— |
|
|
UYU |
|
JPM |
|
10/05/11 |
|
|
5,969,656 |
|
|
293,783 |
|
|
294,798 |
|
|
1,015 |
|
|
— |
|
|
ZAR |
|
CIT |
|
06/29/12 |
|
|
5,726,570 |
|
|
685,221 |
|
|
707,263 |
|
|
22,042 |
|
|
— |
|
|
ZMK |
|
BRC |
|
10/12/11 |
|
|
243,800,000 |
|
|
50,281 |
|
|
50,144 |
|
|
— |
|
|
137 |
|
|
ZMK |
|
CIT |
|
10/12/11 |
|
|
1,139,015,000 |
|
|
234,909 |
|
|
233,119 |
|
|
— |
|
|
1,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Total Forward Currency Sale Contracts |
|
$ |
47,694,946 |
|
$ |
49,802,748 |
|
|
2,131,956 |
|
|
24,154 |
|
|||||||
|
|
|
|
|
|
|
|||||||||||||||
|
Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts |
$ |
2,210,492 |
|
$ |
3,088,932 |
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
|
|
|
Currency Abbreviations: |
|
BRL — Brazilian Real |
|
CLP — Chilean Peso |
|
CNY — Chinese Renminbi |
|
COP — Colombian Peso |
|
CZK — Czech Koruna |
|
EUR — Euro |
|
GHS — Ghanaian Cedi |
|
HUF — Hungarian Forint |
|
IDR — Indonesian Rupiah |
|
ILS — Israeli Shekel |
|
INR — Indian Rupee |
|
JPY — Japanese Yen |
|
KES — Kenyan Shilling |
|
KRW — South Korean Won |
|
KZT — Kazakhstan Tenge |
|
MXN — Mexican New Peso |
|
MYR — Malaysian Ringgit |
|
NGN — Nigerian Naira |
|
PLN — Polish Zloty |
|
RON — New Romanian Leu |
|
RSD — Serbian Dinar |
|
RUB — Russian Ruble |
|
THB — Thai Baht |
|
TRY — New Turkish Lira |
|
UAH — Ukranian Hryvnia |
|
UGX — Ugandan Shilling |
|
UYU — Uruguayan Peso |
|
ZAR — South African Rand |
|
ZMK — Zambian Kwacha |
|
|
|
Counterparty Abbreviations: |
|
BNP — BNP Paribas SA |
|
BRC — Barclays Bank PLC |
|
CIT — Citibank NA |
|
CSF — Credit Suisse Group AG |
|
DUB — Deutsche Bank AG |
|
HSB — HSBC Bank USA |
|
ING — ING Bank NV |
|
JPM — JPMorgan Chase Bank |
|
RBC — Royal Bank of Canada |
|
SCB — Standard Chartered Bank |
|
UBS — UBS AG |
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (continued) |
|
September 30, 2011 (unaudited) |
|
|
|
|
(a) |
Non-income producing security. |
|
(b) |
For federal income tax purposes, the aggregate cost was $181,812,242, aggregate gross unrealized appreciation was $10,482,064, aggregate gross unrealized depreciation was $34,717,091 and the net unrealized depreciation was $24,235,027. |
|
(c) |
Segregated security for forward currency contracts. |
|
(d) |
Principal amount denominated in respective country’s currency. |
|
|
|
|
|
|
Portfolio holdings by industry (as percentage of net assets): |
|
|
|
|
Alcohol & Tobacco |
|
2.3 |
% |
|
Banking |
|
9.2 |
|
|
Cable Television |
|
2.4 |
|
|
Computer Software |
|
9.2 |
|
|
Energy Integrated |
|
7.0 |
|
|
Energy Services |
|
1.9 |
|
|
Financial Services |
|
3.1 |
|
|
Food & Beverages |
|
4.0 |
|
|
Gas Utilities |
|
1.6 |
|
|
Housing |
|
1.1 |
|
|
Insurance |
|
2.4 |
|
|
Manufacturing |
|
6.4 |
|
|
Metals & Mining |
|
1.8 |
|
|
Pharmaceutical & Biotechnology |
|
18.2 |
|
|
Retail |
|
8.1 |
|
|
Semiconductor & Components |
|
5.0 |
|
|
Technology Hardware |
|
6.2 |
|
|
Telecommunications |
|
3.7 |
|
|
|
|
||
|
Subtotal |
|
93.6 |
|
|
Foreign Government Obligations |
|
18.7 |
|
|
|
|
||
|
Total Investments |
|
112.3 |
% |
|
|
|
||
|
|
|
Lazard Global Total Return and Income Fund, Inc. |
|
Portfolio of Investments (concluded) |
|
September 30, 2011 (unaudited) |
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. 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. Forward currency contracts are valued at the current cost of offsetting the contracts. Investments in money market funds are valued at the fund’s net asset value.
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 and Income Fund, Inc. (the “Fund”)’s net asset value is calculated, or when current market quotations otherwise are determined not to be readily available or reliable (including restricted or other illiquid securities such as derivative instruments), such securities will be valued at their fair values as determined by, or in accordance with procedures approved by, the Board of Directors (the “Board”). The Valuation Committee of Lazard Asset Management LLC (the “Investment Manager”) may evaluate a variety of factors to determine the fair value of securities for which 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 also will be considered.
Fair Value Measurements:
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. The Fair Value Measurements and Disclosures provisions of accounting principles generally accepted in the United States of America also establish 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’s fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the overall fair value measurement. The three-level hierarchy of inputs is summarized below.
|
|
|
|
• |
Level 1 – unadjusted quoted prices in active markets for identical investments |
|
• |
Level 2 – other significant observable inputs (including unadjusted 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 inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in these securities.
The following table summarizes the valuation of the Fund’s investments by each fair value hierarchy level as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
|
|
Significant
Other |
|
Significant
|
|
Balance
as of |
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
131,387,080 |
|
$ |
— |
|
$ |
— |
|
$ |
131,387,080 |
|
|
Foreign Government Obligations |
|
|
— |
|
|
26,190,135 |
|
|
— |
|
|
26,190,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency Contracts |
|
|
— |
|
|
2,210,492 |
|
|
— |
|
|
2,210,492 |
|
|
|
|
||||||||||||
|
Total |
|
$ |
131,387,080 |
|
$ |
28,400,627 |
|
$ |
— |
|
$ |
159,787,707 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency Contracts |
|
$ |
— |
|
$ |
(3,088,932 |
) |
$ |
— |
|
$ |
(3,088,932 |
) |
|
|
|
||||||||||||
* Other financial instruments are derivative instruments which are valued at the unrealized appreciation/depreciation.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value during the period ended September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Balance
as of |
|
Accrued
|
|
Realized
|
|
Change
in |
|
Purchases |
|
Sales |
|
Net
|
|
Net
|
|
Balance
as of |
|
|
|
||||||||||
|
Foreign Government Obligations |
|
$ |
899,155 |
|
$ |
7,591 |
|
$ |
(137,180 |
) |
$ |
112,111 |
|
$ |
- |
|
$ |
(657,354 |
) |
$ |
- |
|
$ |
(224,323 |
) |
$ |
- |
|
$ |
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
There were no significant transfers into and out of Levels 1, 2 or 3 during the period ended September 30, 2011.
|
|
|
|
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 of the period covered by this report 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 L. Carroll |
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Charles L. Carroll |
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Chief Executive Officer |
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Date: |
November 28, 2011 |
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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.
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By: |
/s/ Charles L. Carroll |
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Charles L. Carroll |
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Chief Executive Officer |
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Date: |
November 28, 2011 |
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By: |
/s/ Stephen St. Clair |
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Stephen St. Clair |
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Chief Financial Officer |
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Date: |
November 28, 2011 |
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