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: 9/30/2014

Item 1. Schedule of Investments

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments

September 30, 2014 (unaudited)

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

Forward Currency Purchase Contracts open at September 30, 2014:

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount				US $ Cost on Origination Date				US $ Current Value				Unrealized Appreciation				Unrealized Depreciation
AMD		JPM		10/28/14			189,302,400			$	432,000			$	462,086			$	30,086			$	—
AMD		JPM		02/18/15			195,657,000				462,000				467,514				5,514				—
BRL		BRC		10/02/14			1,903,628				776,674				777,705				1,031				—
BRL		CIT		10/02/14			4,963,339				2,189,000				2,027,715				—				161,285
BRL		CIT		11/04/14			3,108,716				1,252,000				1,258,795				6,795				—
CLP		CIT		10/27/14			184,540,450				315,076				307,862				—				7,214
CLP		UBS		10/27/14			561,184,800				957,000				936,205				—				20,795
CLP		UBS		11/17/14			935,239,850				1,577,000				1,557,450				—				19,550
CNH		BRC		02/26/15			6,075,225				975,000				972,508				—				2,492
CNH		HSB		10/14/14			5,548,749				896,000				897,102				1,102				—
CNH		HSB		11/18/14			5,766,284				932,000				929,622				—				2,378
CNH		HSB		03/03/15			5,935,545				953,808				949,837				—				3,971
CNY		SCB		10/08/14			5,849,078				945,000				952,611				7,611				—
CNY		SCB		11/10/14			11,333,812				1,836,625				1,840,531				3,906				—
CNY		SCB		12/08/14			5,791,810				940,000				938,553				—				1,447
COP		SCB		10/16/14			3,756,270,400				1,888,000				1,852,915				—				35,085
COP		SCB		10/22/14			1,503,123,900				789,000				741,121				—				47,879
CZK		JPM		10/07/14			21,194,934				999,000				973,816				—				25,184
CZK		JPM		10/07/14			37,694,938				1,878,875				1,731,920				—				146,955
EUR		JPM		10/10/14			742,000				960,853				937,232				—				23,621
EUR		JPM		10/24/14			629,000				814,918				794,571				—				20,347
EUR		JPM		10/24/14			1,247,818				1,648,000				1,576,281				—				71,719
EUR		JPM		10/24/14			2,247,000				2,910,155				2,838,476				—				71,679
EUR		JPM		11/19/14			277,295				379,339				350,352				—				28,987
HUF		BNP		10/08/14			334,769,710				1,409,675				1,360,529				—				49,146
HUF		JPM		11/12/14			124,079,191				507,419				503,907				—				3,512
HUF		UBS		10/20/14			222,482,340				954,000				903,957				—				50,043
IDR		JPM		10/07/14			3,813,009,750				323,548				312,664				—				10,884
IDR		JPM		10/31/14			10,293,030,000				843,000				840,634				—				2,366
IDR		SCB		10/07/14			14,496,120,000				1,202,000				1,188,671				—				13,329
IDR		SCB		12/04/14			11,676,150,000				961,000				947,952				—				13,048
ILS		CIT		11/10/14			3,489,893				977,000				947,812				—				29,188
ILS		JPM		10/08/14			3,218,281				897,870				873,857				—				24,013
ILS		UBS		10/17/14			3,499,573				965,000				950,276				—				14,724
INR		BRC		11/21/14			49,039,410				797,000				785,460				—				11,540
INR		JPM		10/22/14			134,156,265				2,183,000				2,163,096				—				19,904
INR		JPM		01/27/15			61,272,100				995,000				967,908				—				27,092
INR		SCB		01/12/15			40,211,740				653,000				637,253				—				15,747
KRW		CIT		11/26/14			1,046,702,910				1,023,000				989,517				—				33,483
KRW		JPM		11/24/14			1,487,211,800				1,424,491				1,406,074				—				18,417
KRW		UBS		10/22/14			1,860,677,000				1,820,000				1,761,640				—				58,360
KWD		BNP		08/06/15			291,676				1,017,000				1,002,651				—				14,349
KWD		CIT		08/18/15			241,629				842,000				830,315				—				11,685
KZT		CIT		11/14/14			95,691,000				501,000				521,874				20,874				—
KZT		CIT		02/13/15			112,132,000				578,000				601,731				23,731				—
KZT		CIT		06/11/15			47,706,010				251,481				250,838				—				643

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

Forward Currency Purchase Contracts open at September 30, 2014 (concluded):

Currency		Counterparty		Expiration Date		Foreign Currency Amount				US $ Cost on Origination Date				US $ Current Value				Unrealized Appreciation				Unrealized Depreciation
KZT		CIT		06/12/15			108,679,000			$	572,899			$	571,349			$	—			$	1,550
KZT		HSB		02/17/15			51,544,200				271,000				276,368				5,368				—
KZT		JPM		05/18/15			59,251,000				307,000				312,647				5,647				—
MXN		CIT		10/15/14			27,354,433				2,059,000				2,034,893				—				24,107
MYR		HSB		10/17/14			3,116,561				965,478				949,057				—				16,421
MYR		JPM		10/17/14			7,514,470				2,343,000				2,288,310				—				54,690
NGN		BRC		11/03/14			62,040,000				376,000				375,103				—				897
NGN		CIT		12/12/14			61,605,200				372,800				367,758				—				5,042
NGN		CIT		12/22/14			220,222,760				1,319,489				1,310,717				—				8,772
NGN		JPM		11/10/14			91,792,680				559,200				553,688				—				5,512
NGN		JPM		12/08/14			7,304,850				44,125				43,660				—				465
PEN		CIT		10/09/14			1,673,478				583,500				578,388				—				5,112
PEN		SCB		10/23/14			1,669,394				581,306				575,445				—				5,861
PEN		SCB		11/17/14			3,418,560				1,187,000				1,173,421				—				13,579
PHP		BRC		10/14/14			38,153,850				870,000				849,928				—				20,072
PHP		BRC		11/17/14			63,785,500				1,450,000				1,419,688				—				30,312
PHP		BRC		12/15/14			63,807,250				1,450,000				1,419,008				—				30,992
PLN		JPM		10/10/14			5,279,694				1,668,435				1,594,105				—				74,330
PLN		JPM		10/10/14			6,959,014				2,154,000				2,101,144				—				52,856
RSD		CIT		11/19/14			44,333,460				526,432				473,040				—				53,392
RSD		CIT		11/19/14			116,718,226				1,330,350				1,245,389				—				84,961
RSD		HSB		10/20/14			46,038,220				499,059				494,177				—				4,882
RUB		BRC		10/15/14			18,337,576				476,517				461,902				—				14,615
RUB		BRC		10/15/14			23,219,643				603,398				584,877				—				18,521
RUB		BRC		10/30/14			41,557,219				1,070,593				1,043,621				—				26,972
RUB		CIT		12/09/14			25,742,535				682,998				641,008				—				41,990
RUB		JPM		10/17/14			40,486,845				1,050,000				1,019,406				—				30,594
RUB		JPM		11/17/14			40,486,845				1,039,657				1,012,896				—				26,761
THB		SCB		10/22/14			44,173,020				1,383,000				1,361,028				—				21,972
THB		SCB		11/17/14			16,158,500				500,000				497,268				—				2,732
TRY		JPM		10/08/14			402,423				184,235				176,453				—				7,782
TRY		JPM		02/17/15			2,107,004				954,000				893,786				—				60,214
TWD		BRC		10/15/14			56,120,645				1,871,000				1,845,026				—				25,974
UGX		BRC		12/09/14			742,742,000				278,703				275,388				—				3,315
UGX		CIT		10/08/14			1,224,559,000				461,228				462,177				949				—
UGX		CIT		11/17/14			1,653,723,000				621,000				617,107				—				3,893
UYU		HSB		10/22/14			21,381,408				876,000				860,430				—				15,570
UYU		HSB		11/10/14			27,021,996				1,123,576				1,082,251				—				41,325
ZAR		BRC		10/06/14			6,358,252				589,169				563,168				—				26,001
ZAR		BRC		10/06/14			6,406,548				598,928				567,446				—				31,482
ZMW		CIT		11/24/14			10,653,795				1,489,000				1,656,889				167,889				—
Total Forward Currency Purchase Contracts										$	86,175,882			$	84,450,806			$	280,503			$	2,005,579
Forward Currency Sale Contracts open at September 30, 2014:
Currency		Counterparty		Expiration Date		Foreign Currency Amount				US $ Cost on Origination Date				US $ Current Value				Unrealized Appreciation				Unrealized Depreciation
BRL		BRC		10/02/14			1,903,628			$	795,000			$	777,705			$	17,295			$	—

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

Forward Currency Sale Contracts open at September 30, 2014 (concluded):

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount				US $ Cost on Origination Date				US $ Current Value				Unrealized Appreciation				Unrealized Depreciation
BRL		CIT		10/02/14			1,903,628			$	776,674			$	777,705			$	—			$	1,031
BRL		CIT		10/02/14			3,059,711				1,243,280				1,250,010				—				6,730
CNY		SCB		10/08/14			5,849,078				950,606				952,611				—				2,005
CZK		JPM		10/07/14			18,846,525				878,000				865,917				12,083				—
EUR		BNP		10/24/14			4,047,351				5,451,357				5,112,732				338,625				—
EUR		BRC		11/19/14			385,000				517,435				486,434				31,001				—
EUR		CIT		11/19/14			372,500				526,432				470,641				55,791				—
EUR		CIT		11/19/14			977,540				1,330,350				1,235,087				95,263				—
EUR		HSB		10/20/14			386,000				499,059				487,594				11,465				—
EUR		JPM		10/07/14			1,375,000				1,878,875				1,736,750				142,125				—
EUR		JPM		10/24/14			776,000				1,000,357				980,266				20,091				—
EUR		JPM		10/24/14			1,207,000				1,621,899				1,524,718				97,181				—
EUR		JPM		10/24/14			1,277,000				1,649,710				1,613,143				36,567				—
IDR		JPM		10/07/14			11,160,206,942				950,210				915,129				35,081				—
ILS		CIT		05/04/15			3,038,855				862,086				827,876				34,210				—
JPY		CIT		11/12/14			215,183,645				2,017,000				1,962,554				54,446				—
JPY		SCB		10/23/14			281,986,448				2,781,000				2,571,472				209,528				—
KRW		CIT		10/22/14			1,016,493,100				973,000				962,389				10,611				—
KRW		JPM		10/22/14			998,359,800				951,000				945,221				5,779				—
MYR		JPM		10/17/14			1,612,416				494,000				491,014				2,986				—
PHP		JPM		10/14/14			21,563,230				481,000				480,350				650				—
PLN		JPM		10/10/14			3,126,169				960,852				943,888				16,964				—
RON		JPM		12/10/14			2,769,401				805,674				789,202				16,472				—
RON		JPM		12/10/14			7,664,700				2,246,000				2,184,224				61,776				—
RSD		JPM		11/19/14			33,025,800				379,340				352,387				26,953				—
RUB		BRC		10/15/14			41,557,219				1,073,830				1,046,779				27,051				—
RUB		BRC		10/30/14			36,125,190				927,000				907,207				19,793				—
RUB		JPM		10/17/14			40,486,845				1,046,442				1,019,406				27,036				—
TRY		JPM		02/11/15			1,980,342				868,000				841,329				26,671				—
TRY		JPM		02/17/15			15,579				7,036				6,608				428				—
TRY		JPM		02/17/15			929,093				416,447				394,119				22,328				—
TRY		JPM		02/17/15			1,162,332				522,772				493,058				29,714				—
UGX		SCB		10/08/14			862,455,144				328,242				325,510				2,732				—
UYU		CIT		10/22/14			3,901,020				158,000				156,985				1,015				—
ZAR		BRC		10/06/14			12,764,799				1,200,393				1,130,614				69,779				—
ZMW		JPM		11/24/14			3,630,082				571,486				564,554				6,932				—
Total Forward Currency Sale Contracts										$	40,139,844			$	38,583,188				1,566,422				9,766
Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts																		$	1,846,925			$	2,015,345

Currency Abbreviations:			CZK	— Czech Koruna
AMD	— Armenian Dram		EUR	— Euro
BRL	— Brazilian Real		HUF	— Hungarian Forint
CLP	— Chilean Peso		IDR	— Indonesian Rupiah
CNH	— Yuan Renminbi		ILS	— Israeli Shekel
CNY	— Chinese Renminbi		INR	— Indian Rupee
COP	— Colombian Peso		JPY	— Japanese Yen
			KRW	— South Korean Won

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

KWD	— Kuwaiti Dinar
KZT	— Kazakhstan Tenge
MXN	— Mexican New Peso
MYR	— Malaysian Ringgit
NGN	— Nigerian Naira
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
TWD	— New Taiwan Dollar
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
JPM	— JPMorgan Chase Bank
SCB	— Standard Chartered Bank
UBS	— UBS AG

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2014 (unaudited)

 

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

(b) For federal income tax purposes, the aggregate cost was $178,317,577, aggregate gross unrealized appreciation was $45,490,734, aggregate gross unrealized depreciation was $13,874,482, and the net unrealized appreciation was $31,616,252.

(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):

Agriculture			0.5	%
Alcohol & Tobacco			2.3
Automotive			2.5
Banking			8.4
Cable Television			3.1
Computer Software			4.4
Energy Exploration & Production			2.2
Energy Integrated			9.6
Energy Services			3.2
Financial Services			6.6
Food & Beverages			2.1
Gas Utilities			1.0
Household & Personal Products			2.3
Insurance			2.9
Leisure & Entertainment			2.0
Manufacturing			12.9
Metals & Mining			1.2
Pharmaceutical & Biotechnology			16.9
Retail			3.5
Semiconductors & Components			3.8
Technology Hardware			9.4
Telecommunications			2.5
Subtotal			103.3
Foreign Government Obligations			8.9
Short-Term Investment			2.2
Total Investments			114.4	%

 

*	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, 2014 (unaudited)

 

Valuation of Investments:

 

Net asset value (“NAV”) per share is determined by State Street Bank and Trust Company for the Fund on each day the New York Stock Exchange (“NYSE”) is open for business. 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, generally as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern time) 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 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 primarily on institutional trading in similar groups of securities, or by using brokers’ quotations or a matrix system which considers such factors as other security prices, yields and maturities. Debt securities maturing in 60 days or less are valued at amortized cost, except where to do so would not accurately reflect their fair value, in which case such securities are valued at fair value 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”), which meets periodically under the direction of 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)

 

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, 2014:

 

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, 2014
Assets:
Common Stocks		$	189,519,140			$	—			$	—			$	189,519,140
Foreign Government Obligations			—				16,408,182				—				16,408,182
Short-Term Investment			4,006,507				—				—				4,006,507
Other Financial Instruments*
Forward Currency Contracts			—				1,846,925				—				1,846,925
Total		$	193,525,647			$	18,255,107			$	—			$	211,780,754
Liabilities:
Other Financial Instruments*
Forward Currency Contracts		$	—			$	(2,015,345	)		$	—			$	(2,015,345	)

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

 

The foreign government obligations included in Level 2 were valued on the basis of prices provided by independent pricing services. The forward currency contracts included in Level 2 were valued using quotations provided by an independent pricing service.

 

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, 2014.

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, 2014

 

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, 2014

 

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

 

Date: November 28, 2014