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: 9/30/2015

Item 1. Schedule of Investments.

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments

September 30, 2015 (unaudited)

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2015 (unaudited)

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2015 (unaudited)

Forward Currency Purchase Contracts open at September 30, 2015:

Currency		Counterparty		Expiration Date		Foreign Currency Amount		US $ Cost on Origination Date		US $ Current Value		Unrealized Appreciation		Unrealized Depreciation
CLP		BNP		10/22/15		387,530,000	$	572,000	$	555,750	$	—	$	16,250
CLP		BNP		11/24/15		1,373,786,550		2,001,000		1,963,958		—		37,042
CNH		HSB		04/14/16		8,417,013		1,311,000		1,298,065		—		12,935
CNY		HSB		11/30/15		12,559,663		1,925,000		1,967,481		42,481		—
DOP		CIT		10/07/15		37,388,340		801,809		823,674		21,865		—
DOP		CIT		11/06/15		43,043,000		942,685		945,539		2,854		—
DOP		CIT		11/12/15		13,880,430		302,604		304,588		1,984		—
DOP		CIT		12/11/15		16,344,300		357,019		356,738		—		281
DOP		CIT		06/30/16		20,493,000		426,759		429,137		2,378		—
EGP		BNP		10/07/15		2,539,800		306,000		321,616		15,616		—
EGP		BNP		10/08/15		2,689,200		324,000		339,959		15,959		—
EGP		BNP		12/14/15		3,841,160		436,000		446,078		10,078		—
EGP		BNP		03/08/16		3,900,100		430,000		421,871		—		8,129
EUR		CIT		10/26/15		711,544		816,518		795,364		—		21,154
EUR		CIT		01/13/16		724,348		798,630		810,920		12,290		—
EUR		JPM		11/04/15		565,000		632,884		631,645		—		1,239
EUR		JPM		11/04/15		897,000		1,011,951		1,002,807		—		9,144
HUF		JPM		10/13/15		63,999,600		227,417		228,079		662		—
HUF		JPM		10/13/15		221,783,652		788,073		790,380		2,307		—
IDR		JPM		03/24/16		23,283,700,000		1,651,326		1,491,153		—		160,173
INR		JPM		04/25/16		143,718,960		2,156,000		2,113,930		—		42,070
INR		JPM		07/13/16		83,910,800		1,240,000		1,218,060		—		21,940
INR		SCB		11/13/15		30,042,880		448,000		454,476		6,476		—
JPY		CIT		10/01/15		91,054,601		759,150		759,010		—		140
JPY		UBS		10/01/15		91,310,434		754,569		761,142		6,573		—
KRW		CIT		10/15/15		2,243,551,020		1,882,000		1,891,922		9,922		—
KZT		CIT		12/02/15		109,368,000		388,105		384,483		—		3,622
KZT		CIT		06/06/16		124,544,000		448,000		402,420		—		45,580
KZT		JPM		10/01/15		109,368,000		441,000		402,155		—		38,845
KZT		JPM		03/03/16		111,454,000		419,000		375,295		—		43,705
KZT		JPM		06/06/16		124,544,000		448,000		402,420		—		45,580
MXN		BRC		10/23/15		2,096,913		124,086		123,829		—		257
PHP		SCB		11/25/15		68,009,000		1,447,000		1,450,056		3,056		—
PLN		JPM		11/04/15		5,525,037		1,464,226		1,452,428		—		11,798
RUB		UBS		10/09/15		11,429,930		166,000		174,581		8,581		—
RUB		UBS		10/09/15		97,718,320		1,654,000		1,492,555		—		161,445
RUB		UBS		12/03/15		44,709,750		641,000		671,239		30,239		—
TRY		JPM		10/08/15		2,359,514		854,865		778,196		—		76,669
TRY		JPM		11/04/15		3,226,050		1,086,322		1,055,091		—		31,231
TRY		JPM		11/04/15		4,405,897		1,483,617		1,440,964		—		42,653
TRY		JPM		11/05/15		4,692,930		1,650,000		1,534,372		—		115,628
TRY		JPM		12/03/15		2,175,263		710,000		705,205		—		4,795
TRY		JPM		12/03/15		2,205,768		730,000		715,094		—		14,906
TRY		JPM		12/03/15		2,306,125		757,000		747,629		—		9,371
UGX		SCB		10/19/15		1,061,363,000		284,930		285,572		642		—
UYU		HSB		10/05/15		40,029,660		1,380,000		1,374,960		—		5,040
ZAR		JPM		11/04/15		10,023,368		738,000		719,187		—		18,813

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2015 (unaudited)

Forward Currency Purchase Contracts open at September 30, 2015 (concluded):

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date		US $ Current Value			Unrealized Appreciation		Unrealized Depreciation
ZAR		JPM		11/04/15		20,385,834		$	1,533,000	$	1,462,705		$	—	$	70,295
ZMW		BRC		02/23/16		3,200,176			302,474		249,180			—		53,294
ZMW		BRC		02/23/16		3,822,680			454,000		297,651			—		156,349
Total Forward Currency Purchase Contracts								$	42,907,019	$	41,820,609		$	193,963	$	1,280,373

 

Forward Currency Sale Contracts open at September 30, 2015:

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date		US $ Current Value			Unrealized Appreciation		Unrealized Depreciation
BRL		CIT		02/18/16		1,371,159		$	438,000	$	330,356		$	107,644	$	—
BRL		CIT		09/21/16		2,678,832			624,000		609,689			14,311		—
CLP		BNP		10/22/15		498,533,750			715,000		714,938			62		—
CNH		SCB		04/14/16		8,417,013			1,271,644		1,298,065			—		26,421
COP		SCB		10/23/15		216,864,000			72,072		70,069			2,003		—
EGP		BNP		10/07/15		2,539,800			312,783		321,616			—		8,833
EGP		CIT		10/08/15		2,689,200			331,179		339,959			—		8,780
EUR		JPM		10/26/15		735,898			831,380		822,587			8,793		—
EUR		JPM		10/26/15		4,359,890			4,824,591		4,873,484			—		48,893
EUR		JPM		11/04/15		963,000			1,086,322		1,076,592			9,730		—
EUR		JPM		11/04/15		1,307,000			1,483,617		1,461,169			22,448		—
EUR		JPM		11/04/15		1,302,000			1,464,226		1,455,579			8,647		—
HUF		JPM		10/13/15		403,355,008			1,432,725		1,437,455			—		4,730
JPY		SCB		11/18/15		148,045,476			1,191,954		1,234,770			—		42,816
JPY		UBS		10/01/15		182,365,035			1,477,274		1,520,152			—		42,878
JPY		UBS		11/18/15		91,310,434			755,025		761,573			—		6,548
KZT		CIT		10/01/15		109,368,000			401,350		402,154			—		804
MXN		JPM		10/23/15		32,339,946			1,915,000		1,909,769			5,231		—
RON		JPM		10/08/15		2,839,841			712,235		718,166			—		5,931
RSD		CIT		01/13/16		51,925,520			485,966		477,445			8,521		—
RSD		CIT		01/13/16		89,746,662			798,630		825,204			—		26,574
TRY		JPM		10/08/15		2,359,514			841,061		778,196			62,865		—
TRY		JPM		11/04/15		1,940,577			632,884		634,672			—		1,788
TRY		JPM		11/04/15		3,109,540			1,011,950		1,016,986			—		5,036
TRY		JPM		11/05/15		4,692,930			1,625,708		1,534,372			91,336		—
UGX		SCB		10/19/15		580,289,000			156,412		156,133			279		—
UYU		CIT		10/05/15		26,119,260			898,495		897,158			1,337		—
UYU		JPM		10/05/15		13,910,400			480,000		477,802			2,198		—
ZAR		CIT		11/04/15		4,222,087			310,736		302,939			7,797		—
ZAR		CIT		11/04/15		13,997,807			1,051,663		1,004,357			47,306		—
ZAR		JPM		11/04/15		19,676,288			1,388,000		1,411,794			—		23,794
Total Forward Currency Sale Contracts								$	31,021,882	$	30,875,200			400,508		253,826
Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts													$	594,471	$	1,534,199

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2015 (unaudited)

 

Currency Abbreviations:
BRL		— Brazilian Real		KRW		— South Korean Won		Counterparty Abbreviations:
CLP		— Chilean Peso		KZT		— Kazakhstan Tenge		BNP		— BNP Paribas SA
CNH		— Yuan Renminbi		MXN		— Mexican New Peso		BRC		— Barclays Bank PLC
CNY		— Chinese Renminbi		PHP		— Philippine Peso		CIT		— Citibank NA
COP		— Colombian Peso		PLN		— Polish Zloty		HSB		— HSBC Bank USA NA
DOP		— Dominican Republic Peso		RON		— New Romanian Leu		JPM		— JPMorgan Chase Bank NA
EGP		— Egyptian Pound		RSD		— Serbian Dinar		SCB		— Standard Chartered Bank
EUR		— Euro		RUB		— Russian Ruble		UBS		— UBS AG
HUF		— Hungarian Forint		TRY		— New Turkish Lira
IDR		— Indonesian Rupiah		UGX		— Ugandan Shilling
INR		— Indian Rupee		UYU		— Uruguayan Peso
JPY		— Japanese Yen		ZAR		— South African Rand
				ZMW		— Zambian Kwacha

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2015 (unaudited)

 

(a) Principal amount denominated in respective country’s currency.

(b) For federal income tax purposes, the aggregate cost was $165,473,807, aggregate gross unrealized appreciation was $23,583,940, aggregate gross unrealized depreciation was $26,823,496, and the net unrealized depreciation was $3,239,556.

(c) Lazard Global Total Return and Income Fund, Inc. (the “Fund”), at all times, maintains portfolio securities in sufficient amount to cover its obligations related to investments in forward currency contracts.

 

Security Abbreviations:

ADR	- American Depositary Receipt
NTN-B	- Brazil Sovereign “Nota do Tesouro Nacional” Series B

 

Portfolio holdings by industry* (as a percentage of net assets):

Alcohol & Tobacco			6.2	%
Automotive			2.5
Banking			10.3
Computer Software & Services			2.6
Electric			0.8
Energy Exploration & Production			1.8
Energy Integrated			8.3
Energy Services			2.2
Financial Services			5.9
Food & Beverages			2.7
Household & Personal Products			2.8
Insurance			3.4
Leisure & Entertainment			1.4
Manufacturing			10.7
Metals & Mining			0.8
Pharmaceutical & Biotechnology			17.7
Retail			3.8
Semiconductors & Components			3.1
Technology Hardware			11.7
Telecommunications			2.6
Subtotal			101.3
Foreign Government Obligations			10.3
Short-Term Investment			0.2
Total Investments			111.8	%

 

* Industry classifications may be different than those used for compliance monitoring purposes.

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (concluded)

September 30, 2015 (unaudited)

 

Valuation of Investments:

 

Net asset value (“NAV”) per share for the Fund is determined on each day the New York Stock Exchange (the “NYSE”) is open for business, generally as of the close of regular session trading on the NYSE (normally 4:00 p.m. Eastern time, the “Regular Closing Time”). When trading on the NYSE is unexpectedly closed prior to the Regular Closing Time, or an earlier scheduled close (such as on certain days around holidays when the NYSE is scheduled to close before 4:00 p.m.), and remains closed through the time of the Regular Closing Time (or an earlier scheduled close), the NAV of the Fund may nonetheless be calculated as of the Regular Closing Time (or an earlier scheduled close) if, in the judgment of Lazard Asset Management LLC (the “Investment Manager”), there is sufficient trading in other markets between the unexpected close and the Regular Closing Time (or an earlier scheduled close) for securities for which the NYSE is usually considered the primary market. NAV per share is determined by dividing the value of the total assets of the Fund, less all liabilities, by the total number of Fund shares outstanding.

 

Market values for securities listed on the NYSE, NASDAQ national market or other US or foreign exchanges or markets are generally based on the last reported sales price on the exchange or market on which the security is principally traded on each valuation date; securities not traded on the valuation date are valued at the most recent quoted bid price. The Fund values NASDAQ-traded securities at the NASDAQ Official Closing Price, which may not be the last reported sales price in certain instances. Forward currency contracts generally are valued using quotations from an independent pricing service. Investments in money market funds are valued at the fund’s NAV.

 

Bonds and other fixed-income securities that are not exchange-traded are valued on the basis of prices provided by independent pricing services which are based on, among other things, trading in securities with similar characteristics, brokers’ quotations and/or a matrix system which considers such factors as other security prices, yields and maturities.

 

The Valuation Committee of the Investment Manager, which meets periodically and acts pursuant to delegated authority from the Board of Directors (the “Board”), 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 portfolio managers/analysts also will be considered.

 

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 the Fund’s NAV 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 certain derivative instruments), such securities will be valued at their fair value as determined by, or in accordance with procedures approved by, the Board. Non-US securities may trade on days when the Fund is not open for business, thus affecting the value of the Fund’s assets on days when Fund stockholders may not be able to buy or sell Fund shares.

 

The effect of using fair value pricing is that the NAV of the Fund will reflect the affected securities’ values as determined in the judgment of the Board 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’ NAVs.

 

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)

 

Changes in valuation technique may result in transfer into or out of the current assigned level within the hierarchy.

 

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, 2015:

 

Description		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Balance as of September 30, 2015
Assets:
Common Stocks		$	146,995,492			$	—			$	—			$	146,995,492
Foreign Government Obligations			—				14,889,251				—				14,889,251
Short-Term Investment			349,508				—				—				349,508
Other Financial Instruments*
Forward Currency Contracts			—				594,471				—				594,471
Total		$	147,345,000			$	15,483,722			$	—			$	162,828,722
Liabilities:
Other Financial Instruments*
Forward Currency Contracts		$	—			$	(1,534,199	)		$	—			$	(1,534,199	)

*	Other financial instruments are derivative instruments which are valued at their respective unrealized appreciation/depreciation.

 

The Fund recognizes all transfers between levels as though they were transferred at the beginning of the reporting period. There were no transfers into or out of Levels 1, 2 or 3 during the period ended September 30, 2015.

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
	Charles L. Carroll
	Chief Executive Officer

 

Date: November 27, 2015

 

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 L. Carroll
	Charles L. Carroll
	Chief Executive Officer

 

Date: November 27, 2015

 

By:	/s/ Stephen St. Clair
	Stephen St. Clair
	Chief Financial Officer

 

Date: November 27, 2015