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: 9/30/2016

 

Item 1. Schedule of Investments.

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments

September 30, 2016 (unaudited)

 

Description  Shares   Fair
Value
 
Common Stocks  |  101.0%          
Australia  |  0.9%          
BHP Billiton, Ltd. Sponsored ADR   38,500   $1,334,025 
Denmark  |  2.5%          
Novo Nordisk A/S Sponsored ADR   91,500    3,805,485 
Finland  |  1.6%          
Sampo Oyj, A Shares ADR   109,500    2,427,615 
France  |  5.5%          
Engie SA Sponsored ADR   75,981    1,188,343 
Sanofi ADR   105,200    4,017,588 
TOTAL SA Sponsored ADR   64,834    3,092,582 
         8,298,513 
Germany  |  5.9%          
Bayerische Motoren Werke AG Sponsored ADR (a)   124,900    3,503,445 
SAP SE Sponsored ADR   59,300    5,420,613 
         8,924,058 
Italy  |  1.4%          
Eni SpA Sponsored ADR   74,250    2,143,598 
Japan  |  5.0%          
Canon, Inc. Sponsored ADR   44,700    1,297,641 
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR   712,600    3,598,630 
Sumitomo Mitsui Financial Group, Inc. Sponsored ADR   393,600    2,656,800 
         7,553,071 
Singapore  |  3.0%          
Singapore Telecommunications, Ltd. ADR   151,100    4,446,873 
Sweden  |  3.5%          
Assa Abloy AB ADR   523,000    5,279,685 
Switzerland  |  5.1%          
Novartis AG Sponsored ADR   38,700    3,055,752 
UBS Group AG   158,359    2,156,849 
Zurich Insurance Group AG ADR   92,500    2,385,492 
         7,598,093 
United Kingdom  |  15.3%          
BP PLC Sponsored ADR   105,591    3,712,580 
British American Tobacco PLC Sponsored ADR   37,700    4,812,405 
GlaxoSmithKline PLC Sponsored ADR   80,200    3,459,026 
HSBC Holdings PLC Sponsored ADR   124,399    4,678,646 
Unilever PLC Sponsored ADR   99,100    4,697,340 
Wm Morrison Supermarkets PLC ADR   120,300    1,697,433 
         23,057,430 
Description

Shares

  

Fair
Value

 
United States  |  51.3%          
American Express Co.   43,800   $2,804,952 
Apple, Inc.   50,200    5,675,110 
Chevron Corp.   46,000    4,734,320 
Cisco Systems, Inc.   177,700    5,636,644 
Citigroup, Inc.   106,400    5,025,272 
ConocoPhillips   53,100    2,308,257 
Emerson Electric Co.   67,600    3,684,876 
Halliburton Co.   89,900    4,034,712 
Honeywell International, Inc.   37,200    4,337,148 
Intel Corp.   104,100    3,929,775 
International Business Machines Corp.   38,460    6,109,371 
Merck & Co., Inc.   75,300    4,699,473 
PepsiCo, Inc.   41,100    4,470,447 
Pfizer, Inc.   149,766    5,072,574 
Reynolds American, Inc.   110,000    5,186,500 
United Technologies Corp.   33,400    3,393,440 
Viacom, Inc., Class B   46,800    1,783,080 
Wal-Mart Stores, Inc.   62,800    4,529,136 
         77,415,087 
Total Common Stocks
(Cost $142,894,854)
       152,283,533 
Description 

Principal
Amount
(000) (b)

  

Fair
Value

 
Foreign Government Obligations  |  14.2%  
Brazil  |  2.5%          
Brazil NTN-B:          
6.00%, 08/15/20   2,113   $1,909,577 
6.00%, 08/15/26   1,310    1,192,383 
6.00%, 05/15/35   810    745,719 
         3,847,679 
Colombia  |  1.0%          
Colombian Titulos De Tesoreria:          
7.00%, 05/04/22   3,240,000    1,139,402 
10.00%, 07/24/24   951,000    390,951 
         1,530,353 
Hungary  |  1.0%          
Hungary Government Bond,
7.50%, 11/12/20
   321,000    1,445,138 
Indonesia  |  1.6%          
Indonesia Government Bonds:          
7.875%, 04/15/19   16,553,000    1,301,702 
8.375%, 09/15/26   13,313,000    1,113,412 
         2,415,114 
Malaysia  |  1.0%          
Malaysia Government Bond,
3.80%, 08/17/23
   6,450    1,593,065 


 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2016 (unaudited)

Description 

Principal
Amount
(000) (b)

  

Fair
Value

 
Mexico  |  2.6%          
Mexican Bonos:          
6.50%, 06/10/21   39,180   $2,077,191 
5.75%, 03/05/26   13,620    688,622 
Mexican Udibonos,
2.50%, 12/10/20
   22,583    1,164,795 
         3,930,608 
Russia  |  2.1%          
Russia Government Bonds - OFZ:          
7.50%, 08/18/21   102,800    1,590,660 
7.60%, 07/20/22   102,200    1,581,818 
         3,172,478 
Serbia  |  0.5%          
Serbia Treasury Bond,
6.00%, 02/22/19
   80,000    753,311 
South Africa  |  0.3%          
Republic of South Africa,
10.50%, 12/21/26
   5,220    427,131 
Turkey  |  1.0%          
Turkey Government Bond,
4.00%, 04/01/20
   4,193    1,469,799 
Uganda  |  0.6%          
Uganda Government Bonds:          
18.375%, 02/18/21   1,736,200    535,763 
16.50%, 05/13/21   1,097,100    321,999 
         857,762 
Total Foreign Government Obligations
(Cost $21,568,857)
    21,442,438 
Description 

Shares

  


Fair
Value

 
Short-Term Investment  |  0.3%          
State Street Institutional Treasury Money Market Fund, Premier Class, 0.19% (7 day yield)   430,755   $430,755 
Total Investments  |  115.5%
(Cost $164,894,466) (c), (d)
     $174,156,726 
Liabilities in Excess of Cash and Other Assets  |  (15.5)%      (23,324,749) 
Net Assets  |  100.0%     $150,831,977


 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2016 (unaudited)

Forward Currency Contracts open at September 30, 2016:

 

Currency
Purchased
  Quantity  Currency
Sold
  Quantity  Counterparty  Settlement
Date
  Unrealized
Appreciation
   Unrealized
Depreciation
 
ARS  9,304,690  USD  603,417  BNP  10/28/16  $   $4,864 
ARS  17,316,000  USD  1,110,000  BNP  11/02/16   1,138     
ARS  20,016,990  USD  1,288,509  CIT  10/31/16       2,775 
ARS  6,138,000  USD  396,000  CIT  11/09/16       3,540 
BRL  1,009,385  USD  293,000  BNP  10/11/16   16,718     
BRL  2,265,432  USD  689,000  BNP  10/19/16   4,567     
BRL  2,506,439  USD  767,316  JPM  10/11/16   1,754     
BRL  1,523,090  USD  446,000  JPM  01/20/17   7,752     
CLP  505,835,000  USD  748,000  BNP  10/07/16   21,059     
COP  82,220,000  USD  27,961  CIT  10/03/16   554     
COP  1,680,156,000  USD  564,000  CIT  10/03/16   18,710     
COP  3,341,701,000  USD  1,121,000  HSB  11/04/16   30,971     
COP  3,300,000,000  USD  1,100,000  JPM  10/18/16   41,443     
DOP  13,880,430  USD  300,898  CIT  10/06/16       57 
DOP  21,547,820  USD  464,894  CIT  10/07/16   2,147     
DOP  30,682,000  USD  663,538  CIT  10/28/16   2,048     
DOP  37,520,000  USD  805,150  CIT  10/31/16   8,659     
EGP  5,986,920  USD  604,739  BNP  11/30/16       62,776 
EGP  6,288,400  USD  632,000  BNP  11/30/16       62,745 
EGP  7,148,700  USD  676,000  BNP  02/24/17       78,363 
EUR  731,000  PLN  3,146,224  JPM  10/20/16       687 
EUR  993,000  USD  1,117,125  CAB  11/28/16   1,107     
EUR  964,394  USD  1,093,390  JPM  11/01/16       8,629 
EUR  2,006,196  USD  2,260,000  JPM  11/01/16       3,407 
GHS  1,904,175  USD  403,000  BRC  07/17/17   834     
GHS  1,893,900  USD  472,000  CIT  10/11/16   3,988     
GHS  1,638,000  USD  364,000  CIT  04/06/17   4,376     
HUF  314,900,858  USD  1,143,722  CIT  10/07/16   4,770     
IDR  3,254,720,000  USD  224,000  CIT  03/22/17   19,434     
IDR  10,632,400,000  USD  760,000  CIT  03/22/17   35,241     
IDR  9,446,280,000  USD  669,000  CIT  05/02/17   34,517     
IDR  12,118,450,000  USD  901,000  HSB  01/23/17   12,545     
IDR  7,183,120,000  USD  508,000  HSB  05/09/17   26,631     
ILS  5,553,390  USD  1,483,000  JPM  11/28/16   880     
INR  88,478,000  USD  1,300,000  JPM  10/07/16   27,957     
INR  170,624,465  USD  2,519,000  SCB  10/24/16   34,235     
JPY  131,658,641  USD  1,322,000  CIT  10/06/16       23,553 
KES  80,028,000  USD  760,000  CIT  03/13/17   10,265     
KES  73,738,600  USD  718,000  JPM  12/30/16   823     
KRW  1,546,031,280  USD  1,416,000  SCB  10/13/16       12,313 
KZT  393,990,000  USD  1,142,000  CIT  11/14/16   14,929     
KZT  256,200,000  USD  700,000  HSB  03/29/17   25,118     
KZT  265,809,000  USD  753,000  JPM  01/09/17   15,175     
MYR  8,492,695  USD  2,049,000  JPM  10/26/16   2,063     
PEN  2,493,430  USD  740,000  BNP  10/31/16       4,874 
PEN  5,018,342  USD  1,472,000  CIT  11/16/16   4,488     
 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2016 (unaudited)

Forward Currency Contracts open at September 30, 2016 (continued):

 

Currency
Purchased
  Quantity  Currency
Sold
  Quantity  Counterparty  Settlement
Date
  Unrealized
Appreciation
   Unrealized
Depreciation
 
PEN  2,499,764  USD  741,000  HSB  10/05/16  $   $2,168 
PEN  2,559,448  USD  745,000  HSB  12/05/16   6,012     
PHP  66,427,600  USD  1,420,000  JPM  11/02/16       51,269 
PHP  57,726,900  USD  1,190,000  JPM  12/05/16       1,592 
PHP  38,436,560  USD  808,000  SCB  10/13/16       15,608 
PLN  5,995,545  EUR  1,361,000  JPM  10/20/16   37,302     
RON  3,978,566  USD  1,012,950  CIT  04/13/17       2,945 
RSD  82,195,350  EUR  661,000  CIT  12/09/16   321     
RSD  80,527,920  EUR  649,000  CIT  12/15/16       1,927 
RUB  16,538,445  USD  258,000  CAB  10/28/16   3,981     
RUB  90,339,533  USD  1,393,000  CAB  10/28/16   38,046     
THB  26,276,254  USD  758,268  CIT  11/10/16       337 
THB  40,489,665  USD  1,159,000  JPM  10/14/16   9,342     
THB  49,270,167  USD  1,422,000  SCB  11/10/16       817 
TRY  6,651,584  USD  2,235,000  CAB  11/23/16       40,988 
UGX  1,585,160,000  USD  460,000  BRC  11/07/16   2,165     
UGX  1,292,896,000  USD  352,000  CIT  12/23/16   18,554     
UGX  5,188,050,000  USD  1,505,528  JPM  10/17/16   18,770     
USD  157,000  BRL  156,155  BNP  10/11/16   845     
USD  1,698,000  BRL  2,332,018  UBS  01/20/17       634,018 
USD  616,000  COP  611,225  CIT  10/03/16   4,775     
USD  130,000  COP  132,573  CIT  10/18/16       2,573 
USD  680,829  EGP  597,637  BNP  02/24/17   83,192     
USD  548,452  EGP  490,277  CIT  11/30/16   58,174     
USD  688,000  EGP  620,941  HSB  11/30/16   67,059     
USD  169,520  EUR  169,916  CIT  12/09/16       396 
USD  1,158,854  EUR  1,181,515  JPM  10/20/16       22,661 
USD  912,724  EUR  920,096  JPM  11/01/16       7,372 
USD  4,197,809  EUR  4,219,611  JPM  11/01/16       21,802 
USD  469,950  GHS  475,988  CIT  10/11/16       6,038 
USD  367,850  GHS  368,376  CIT  04/06/17       525 
USD  407,362  GHS  403,834  CIT  07/17/17   3,528     
USD  1,135,927  HUF  1,135,603  BNP  08/29/17   323     
USD  1,177,000  IDR  1,176,494  JPM  12/13/16   506     
USD  805,352  IDR  815,654  JPM  01/23/17       10,302 
USD  2,429,328  JPY  2,454,487  CIT  10/06/16       25,159 
USD  1,113,000  MXN  1,124,851  CIT  10/26/16       11,851 
USD  732,531  PEN  738,832  HSB  10/05/16       6,300 
USD  1,006,340  RON  1,010,005  JPM  04/13/17       3,665 
USD  1,167,401  THB  1,168,342  JPM  10/14/16       941 
USD  573,409  UGX  581,232  HSB  10/17/16       7,823 
USD  1,663,000  ZAR  1,686,874  CIT  10/03/16       23,874 
USD  3,472,205  ZAR  3,451,330  CIT  10/03/16   20,875     
USD  1,439,000  ZAR  1,456,233  CIT  11/30/16       17,233 
USD  4,293,000  ZAR  4,213,819  JPM  10/03/16   79,181     
UYU  48,003,120  USD  1,653,000  CIT  11/23/16   10,540     
 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (concluded)

September 30, 2016 (unaudited)

Forward Currency Contracts open at September 30, 2016 (concluded):

 

Currency
Purchased
  Quantity  Currency
Sold
  Quantity  Counterparty  Settlement
Date
  Unrealized
Appreciation
   Unrealized
Depreciation
 
ZAR  9,977,676  USD  711,000  CIT  10/03/16  $16,103   $ 
ZAR  10,342,406  USD  706,000  CIT  10/03/16   47,682     
ZAR  13,865,222  USD  959,000  CIT  10/03/16   51,401     
ZAR  17,987,501  USD  1,325,388  CIT  10/03/16       14,584 
ZAR  34,657,805  USD  2,275,000  CIT  10/03/16   250,619     
ZAR  41,502,533  USD  2,987,556  CIT  10/03/16   36,859     
ZAR  44,423,066  USD  3,221,000  CIT  11/30/16       18,890 
Total gross unrealized appreciation/depreciation on Forward Currency Contracts   $ 1,303,051     $ 1,222,241  
Currency Abbreviations:
ARS — Argentinian Peso
BRL — Brazilian Real
CLP — Chilean Peso
COP — Colombian Peso
DOP — Dominican Republic Peso
EGP — Egyptian Pound
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
PEN — Peruvian New Sol
PHP — Philippine Peso
PLN — Polish Zloty
RON — New Romanian Leu
RSD — Serbian Dinar
RUB — Russian Ruble
THB — Thai Baht
TRY — New Turkish Lira
UGX — Ugandan Shilling
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand
Counterparty Abbreviations:
BNP — BNP Paribas SA
BRC — Barclays Bank PLC
CAB — Credit Agricole Corporate and Investment Bank
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

September 30, 2016 (unaudited)

 

(a) Non-income producing security

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

(c) For federal income tax purposes, the aggregate cost was $164,894,466, aggregate gross unrealized appreciation was $32,940,091, aggregate gross unrealized depreciation was $23,677,831 and the net unrealized appreciation was $9,262,260.

(d) 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):
Aerospace & Defense   2.3%  
Automobiles   2.3   
Banks   10.6   
Beverages   3.0   
Building Products   3.5   
Capital Markets   1.4   
Communications Equipment   3.7   
Consumer Finance   1.9   
Diversified Telecommunication Services   2.9   
Electrical Equipment   2.4   
Energy Equipment & Services   2.7   
Food & Staples Retailing   4.1   
Industrial Conglomerates   2.9   
Insurance   3.2   
IT Services   4.1   
Media   1.2   
Metals & Mining   0.9   
Multi-Utilities   0.8   
Oil, Gas & Consumable Fuels   10.6   
Personal Products   3.1   
Pharmaceuticals   16.0   
Semiconductors & Semiconductor Equipment   2.6   
Software   3.6   
Technology Hardware, Storage & Peripherals   4.6   
Tobacco   6.6   
Subtotal   101.0   
Foreign Government Obligations   14.2   
Short-Term Investment   0.3   
Total Investments   115.5%  
     
*   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: November 28, 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: November 28, 2016

 

By: /s/ Christopher Snively
  Christopher Snively
  Chief Financial Officer
   
Date: November 28, 2016