Form N-Q LAZARD GLOBAL TOTAL RETU For: Mar 31

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)

 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

March 31, 2016 (unaudited)

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

 

EXHIBIT 99.CERT

 

Rule 30a-2(a) CERTIFICATIONS

 

I, Charles L. Carroll, certify that:

 

1. I have reviewed this report on Form N-Q of Lazard Global Total Return and Income Fund, Inc.;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

	By:	/s/ Charles L. Carroll
		Charles L. Carroll
		Chief Executive Officer
	Date: May 27, 2016

Rule 30a-2(a) CERTIFICATIONS

 

I, Christopher Snively, certify that:

 

1. I have reviewed this report on Form N-Q of Lazard Global Total Return and Income Fund, Inc.;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

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

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