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: 3/31/2016

 

Item 1. Schedule of Investments.

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments

March 31, 2016 (unaudited)

 

Description  Shares   Value 
Common Stocks  |  102.2%          
Australia  |  0.7%          
BHP Billiton, Ltd. Sponsored ADR   38,500   $997,150 
Denmark  |  3.5%          
Novo Nordisk A/S Sponsored ADR   91,500    4,958,385 
Finland  |  1.8%          
Sampo Oyj, A Shares ADR   109,500    2,595,150 
France  |  5.8%          
Engie SA Sponsored ADR   75,981    1,181,505 
Sanofi ADR   105,200    4,224,832 
TOTAL SA Sponsored ADR   64,834    2,944,760 
         8,351,097 
Germany  |  6.0%          
Bayerische Motoren Werke AG ADR   124,900    3,819,442 
SAP SE Sponsored ADR   59,300    4,768,906 
         8,588,348 
Italy  |  1.6%          
Eni SpA Sponsored ADR   74,250    2,243,835 
Japan  |  4.9%          
Canon, Inc. Sponsored ADR   44,700    1,332,954 
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR   712,600    3,270,834 
Sumitomo Mitsui Financial Group, Inc. Sponsored ADR   393,600    2,365,536 
         6,969,324 
Singapore  |  3.0%          
Singapore Telecommunications, Ltd. ADR   151,100    4,279,152 
Sweden  |  3.8%          
Assa Abloy AB ADR   561,300    5,495,127 
Switzerland  |  5.2%          
Novartis AG Sponsored ADR   38,700    2,803,428 
UBS Group AG   158,359    2,536,911 
Zurich Insurance Group AG ADR   92,500    2,156,869 
         7,497,208 
United Kingdom  |  14.5%          
BP PLC Sponsored ADR   103,592    3,126,406 
British American Tobacco PLC Sponsored ADR   37,700    4,407,507 
GlaxoSmithKline PLC Sponsored ADR   80,200    3,252,110 
HSBC Holdings PLC Sponsored ADR   124,399    3,871,297 
Unilever PLC Sponsored ADR   99,100    4,477,338 
Wm Morrison Supermarkets PLC ADR   120,300    1,719,087 
         20,853,745 
United States  |  51.4%          
American Express Co.   43,800    2,689,320 
Description  Shares   Value 
Apple, Inc.   50,200   $5,471,298 
Chevron Corp.   46,000    4,388,400 
Cisco Systems, Inc.   195,100    5,554,497 
Citigroup, Inc.   106,400    4,442,200 
ConocoPhillips   53,100    2,138,337 
Emerson Electric Co.   67,600    3,676,088 
Halliburton Co.   89,900    3,211,228 
Honeywell International, Inc.   37,200    4,168,260 
Intel Corp.   104,100    3,367,635 
International Business Machines Corp.   38,460    5,824,767 
Joy Global, Inc.   66,400    1,067,048 
Merck & Co., Inc.   75,300    3,984,123 
PepsiCo, Inc.   41,100    4,211,928 
Pfizer, Inc.   149,766    4,439,064 
Reynolds American, Inc.   110,000    5,534,100 
United Technologies Corp.   33,400    3,343,340 
Viacom, Inc., Class B   46,800    1,931,904 
Wal-Mart Stores, Inc.   62,800    4,301,172 
         73,744,709 
Total Common Stocks
(Identified cost $147,140,854)
        146,573,230 

 

Description  Principal
Amount
(000) (a)
   Value 
Foreign Government Obligations  |  11.5%          
Brazil  |  1.9%          
Brazil NTN-B:          
6.00%, 08/15/16   503   $395,853 
6.00%, 08/15/18   850    665,352 
Brazil NTN-F,
10.00%, 01/01/18
   6,180          1,630,299 
         2,691,504 
Colombia  |  0.7%          
Colombian Titulos De Tesoreria,
7.00%, 05/04/22
   3,240,000    1,038,157 
Indonesia  |  0.9%          
Indonesia Government Bond,
7.875%, 04/15/19
   16,553,000    1,255,563 
Mexico  |  3.1%          
Mexican Bonos:          
6.50%, 06/10/21   17,440    1,060,212 
5.75%, 03/05/26   13,620    776,007 
Mexican Udibonos,
2.50%, 12/10/20
   45,079    2,628,132 
         4,464,351 
Romania  |  1.7%          
Romania Government Bonds:          
5.85%, 04/26/23   4,730    1,417,434 


 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

March 31, 2016 (unaudited)

Description  Principal
Amount
(000) (a)
   Value 
4.75%, 02/24/25   3,680   $1,034,973 
         2,452,407 
South Africa  |  3.0%          
Republic of South Africa:          
7.25%, 01/15/20   26,370    1,709,815 
6.75%, 03/31/21   15,980    998,459 
10.50%, 12/21/26   20,870    1,544,882 
         4,253,156 
Uganda  |  0.2%          
Uganda Government Bond,
12.875%, 05/19/16
   1,224,300    361,715 
Total Foreign Government Obligations
(Identified cost $17,367,503)
          16,516,853 

 

Description  Shares   Value 
Short-Term Investment  |  0.4%          
State Street Institutional Treasury Money Market Fund
(Identified cost $618,676)
   618,676   $618,676 
Total Investments  |  114.1%
(Identified cost $165,127,033) (b), (c)
       $163,708,759 
Liabilities in Excess of Cash and
 Other Assets  |  (14.1)%
        (20,245,018)
           
Net Assets  |  100.0%       $143,463,741 


 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

March 31, 2016 (unaudited)

Forward Currency Purchase Contracts open at March 31, 2016:

Currency   Counterparty   Settlement
Date
  Quantity   Cost
on Origination
Date^
  Unrealized
Appreciation
  Unrealized
Depreciation
CLP   SCB   04/08/16   474,434,680   687,886     $ 20,123   $
CLP   SCB   05/23/16   489,062,000   724,000       2,901    
CNH   HSB   04/14/16   8,417,013   1,311,000           9,322
CNY   SCB   04/29/16   13,582,950   2,075,000       23,069    
COP   CIT   05/18/16   2,231,984,000   701,000       40,699    
COP   SCB   04/22/16   2,182,509,000   707,000       20,045    
DOP   CIT   04/04/16   85,772,000   1,854,930       10,990    
DOP   CIT   04/11/16   13,880,430   299,664       2,381    
DOP   CIT   05/09/16   16,344,300   355,234       162    
DOP   CIT   06/02/16   21,900,000   472,143       2,181    
DOP   CIT   06/30/16   20,493,000   426,760       15,204    
DOP   CIT   07/01/16   85,772,000   1,865,826           16,343
EGP   BNP   11/30/16   6,288,400   632,000           5,913
EGP   BNP   02/24/17   7,148,700   676,000       9,620    
EUR   JPM   04/04/16   1,816,180   5,848,098  TRY         6,978
EUR   JPM   05/02/16   608,000   2,591,964  PLN         1,929
EUR   JPM   05/20/16   1,182,000   5,031,773  PLN         774
HUF   CIT   04/13/16   386,147,633   1,407,000           7,439
HUF   CIT   04/13/16   603,868,114   2,225,586           36,914
HUF   JPM   06/01/16   207,368,700   657,999  EUR     944    
HUF   JPM   06/30/16   346,071,000   1,099,999  EUR         2,035
IDR   CIT   03/22/17   10,632,400,000   760,000           7,565
IDR   JPM   05/24/16   4,281,004,000   322,365           1,971
INR   JPM   04/25/16   91,949,520   1,352,000       31,152    
INR   JPM   04/25/16   143,718,960   2,156,000       5,894    
INR   JPM   07/13/16   83,910,800   1,240,000       4,714    
JPY   SCB   04/19/16   114,421,376   1,014,293       2,861    
JPY   SCB   04/19/16   115,076,160   1,026,000           3,025
KRW   CIT   04/04/16   1,656,692,000   1,348,000       100,664    
KRW   CIT   04/07/16   834,430,200   687,000       42,595    
KRW   CIT   06/03/16   1,656,692,000   1,448,195           1,786
KRW   HSB   05/18/16   862,790,000   721,999       31,587    
KZT   CIT   04/04/16   133,858,500   382,453       5,436    
KZT   CIT   06/06/16   124,544,000   448,000           94,277
KZT   JPM   06/06/16   124,544,000   448,000           94,277
MYR   JPM   05/23/16   1,530,900   378,000       12,868    
MYR   JPM   06/14/16   4,256,398   1,055,000       29,877    
PHP   CIT   06/14/16   18,393,010   397,000       847    
PHP   HSB   04/25/16   60,121,050   1,295,992       8,003    
PHP   HSB   06/14/16   17,105,870   367,000       3,005    
PHP   HSB   06/14/16   18,079,600   385,000       6,067    
PHP   SCB   05/04/16   51,594,455   1,087,000       31,514    
PLN   CIT   05/20/16   10,673,790   2,812,000       46,685    
PLN   JPM   05/02/16   4,311,450   989,999  EUR     27,513    
RUB   BNP   05/24/16   100,718,720   1,306,000       172,994    
RUB   CIT   04/28/16   41,469,375   540,282       72,552    
 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

March 31, 2016 (unaudited)

Forward Currency Purchase Contracts open at March 31, 2016 (concluded):

 

Currency   Counterparty   Settlement
Date
  Quantity   Cost
on Origination
Date^
  Unrealized
Appreciation
  Unrealized
Depreciation
RUB   CIT   04/28/16   106,400,160   1,332,000     $ 240,381   $
RUB   JPM   06/14/16   58,048,325   810,844       37,371    
THB   CIT   05/23/16   25,208,250   725,000           9,270
THB   CIT   09/12/16   12,538,680   354,000       1,414    
THB   CIT   09/12/16   23,687,280   668,000       3,425    
THB   SCB   09/12/16   49,585,275   1,395,000       10,514    
TRY   JPM   04/04/16   5,848,099   1,805,999  EUR     18,562    
TRY   JPM   05/02/16   6,066,704   1,867,999  EUR     6,810    
UGX   BRC   06/06/16   2,521,950,000   731,000           1,495
UYU   CIT   04/14/16   17,137,080   526,000       11,752    
UYU   HSB   04/11/16   21,656,868   669,000       11,349    
UYU   HSB   04/14/16   11,216,100   343,000       8,955    
UYU   JPM   05/17/16   17,652,830   541,000       5,849    
ZAR   BRC   05/23/16   12,167,496   792,000       24,236    
ZAR   CIT   04/18/16   7,929,166   493,000       42,597    
ZAR   JPM   04/18/16   9,960,408   648,000       24,803    
ZAR   JPM   04/18/16   11,290,988   663,999  EUR     6,793    
ZAR   JPM   04/18/16   11,640,600   750,000       36,296    
ZMW   BRC   04/25/16   4,778,562   415,708       12,636    
ZMW   BRC   04/25/16   9,003,000   778,806       28,210    
Total Forward Currency Purchase Contracts         $ 1,317,100   $ 301,313

 

Forward Currency Sale Contracts open at March 31, 2016:

Currency   Counterparty   Settlement
Date
  Quantity   Cost
on Origination
Date^
  Unrealized
Appreciation
  Unrealized
Depreciation
BRL   CIT   09/21/16   2,678,832   624,000     $   $ 85,842
BRL   UBS   01/20/17   7,827,780   1,698,000           310,456
CNH   SCB   04/14/16   8,417,013   1,271,644           30,034
DOP   CIT   04/04/16   85,772,000   1,895,514       29,594    
EGP   BNP   04/11/16   988,200   122,000       11,326    
EGP   BNP   04/11/16   1,679,600   207,358       19,251    
EGP   BNP   05/09/16   3,062,350   365,000       29,002    
EGP   BNP   05/09/16   5,038,950   603,468       50,599    
EUR   JPM   06/30/16   2,261,393   2,529,956           50,241
HUF   JPM   04/13/16   169,210,950   610,000           3,291
HUF   JPM   04/13/16   434,657,164   1,483,194           92,186
JPY   CIT   04/07/16   77,896,388   687,000           5,214
JPY   SCB   04/19/16   229,497,536   1,953,170           86,959
KRW   CIT   04/04/16   1,656,692,000   1,450,694       2,030    
KZT   CIT   04/04/16   133,858,500   383,000           4,889
KZT   CIT   06/06/16   249,088,000   655,495           51,951
MXN   JPM   05/23/16   7,956,737   452,000           6,501
RON   JPM   06/29/16   9,769,788   2,450,442           39,634
RUB   CIT   04/28/16   7,096,500   95,000           9,872
RUB   JPM   04/28/16   10,662,450   155,000           2,570
UGX   CIT   06/06/16   1,217,650,000   350,000           2,220
ZAR   CIT   04/18/16   10,078,915   658,001           22,807
 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (concluded)

March 31, 2016 (unaudited)

Forward Currency Sale Contracts open at March 31, 2016 (concluded):

 

Currency   Counterparty   Settlement
Date
  Quantity   Cost
on Origination
Date^
  Unrealized
Appreciation
  Unrealized
Depreciation
ZAR   CIT   04/18/16   33,476,489   2,093,000     $   $ 168,260
ZAR   JPM   04/18/16   4,215,580   269,000           15,753
ZAR   JPM   04/18/16   12,375,153   772,674           63,239
Total Forward Currency Sale Contracts       141,802     1,051,919
               
Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts   $ 1,458,902   $ 1,353,232

 

^ In USD unless otherwise indicated.

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

Lazard Global Total Return and Income Fund, Inc.

Notes to Portfolio of Investments

March 31, 2016 (unaudited)

 

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

(b) For federal income tax purposes, the aggregate cost was $165,127,033, aggregate gross unrealized appreciation was $28,107,399, aggregate gross unrealized depreciation was $29,525,673 and the net unrealized depreciation was $1,418,274.

(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
NTN-F - Brazil Sovereign “Nota do Tesouro Nacional” Series F

 

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

Aerospace & Defense   5.2 %
Automobiles   2.7  
Banks   9.7  
Beverages   2.9  
Building Products   3.8  
Capital Markets   1.8  
Communications Equipment   3.9  
Consumer Finance   1.9  
Diversified Telecommunications Services   3.0  
Electrical Equipment   2.6  
Energy Equipment & Services   2.2  
Food & Staples Retailing   4.2  
Insurance   3.3  
IT Services   4.1  
Machinery   0.7  
Media   1.4  
Metals & Mining   0.7  
Multi-Utilities   0.8  
Oil, Gas & Consumable Fuels   10.4  
Personal Products   3.1  
Pharmaceuticals   16.5  
Semiconductors & Semiconductor Equipment   2.4  
Software   3.3  
Technology Hardware, Storage & Peripherals   4.7  
Tobacco   6.9  
Subtotal   102.2  
Foreign Government Obligations   11.5  
Short-Term Investment   0.4  
Total Investments        114.1 %

 

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

 

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to notes to the financial statements.

 

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: May 27, 2016

 

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: May 27, 2016
   
By: /s/ Christopher Snively
  Christopher Snively
  Chief Financial Officer
   
Date: May 27, 2016