UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT 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:


12/31/11



ITEM 1. REPORTS TO STOCKHOLDERS.


(FRONT COVER)

LAZARD ASSET MANAGEMENT

Lazard Global Total

Return and Income

Fund, Inc.

Annual Report

D E C E M B E R  3 1 ,  2 0 1 1

LAZARD





 

 

 

 

Lazard Global Total Return and Income Fund, Inc.

 

 

 

 

 

Table of Contents

Page

 

 

 

Investment Overview

2

 

 

 

 

Portfolio of Investments

8

 

 

 

 

Notes to Portfolio of Investments

14

 

 

 

 

Statements of

 

 

 

 

 

Assets and Liabilities

15

 

 

 

 

Operations

16

 

 

 

 

Changes in Net Assets

17

 

 

 

 

Cash Flows

18

 

 

 

 

Financial Highlights

19

 

 

 

 

Notes to Financial Statements

20

 

 

 

 

Report of Independent Registered Public Accounting Firm

27

 

 

 

 

Proxy Voting Results

28

 

 

 

 

Dividend Reinvestment Plan

29

 

 

 

 

Board of Directors and Officers Information

30

 

 

 

 

Other Information

32

 




 

 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview

 

 

Dear Stockholders,

We are pleased to present this report for Lazard Global Total Return and Income Fund, Inc. (“LGI” or the “Fund”), for the year ended December 31, 2011. LGI is a diversified, closed-end management investment company that began trading on the New York Stock Exchange (“NYSE”) on April 28, 2004. Its ticker symbol is “LGI.”

For the fourth quarter, and full year, of 2011, the Fund’s net asset value (“NAV”) performance was ahead of its benchmark, the Morgan Stanley Capital International (MSCI®) World® Index (the “Index”). We are pleased with LGI’s favorable NAV performance since inception. We believe that the Fund has provided investors with an attractive yield and diversification, backed by the extensive experience, commitment, and professional management of Lazard Asset Management LLC (the “Investment Manager” or “Lazard”).

Portfolio Update (as of December 31, 2011)

For the fourth quarter of 2011, the Fund’s NAV rose 7.9%, outperforming the Index return of 7.6%. In 2011, the Fund’s NAV decreased 1.9%, outperforming the Index decline of 5.5%. While the Fund’s NAV performance underperformed the Index for a three-year period, it outperformed the Index for the longer time-periods, including the last five-year and since inception periods. Shares of LGI ended the fourth quarter of 2011 with a market price of $13.39, representing a 13.6% discount to the Fund’s NAV of $15.49.

The Fund’s net assets were $148.8 million as of December 31, 2011, with total leveraged assets of $186.5 million, representing a 20.2% leverage rate. This leverage rate is higher than that at the end of last quarter’s (17.4%), and below the maximum permitted leverage rate of 33⅓%.

Within the global equity portfolio, stock selection in the consumer discretionary and consumer staples sectors contributed to performance. In contrast, stock selection in the information technology and financials sectors detracted from performance.

Performance for the smaller, short-duration1 emerging market currency and debt portion of the Fund was moderately negative in 2011, but has been a

positive contributor to performance for the Fund since inception.

As of December 31, 2011, 74.7% of the Fund’s total leveraged assets consisted of global equities, 24.0% consisted of emerging market currency and debt instruments, and 1.3% consisted of cash and other net assets.

Declaration of Distributions

Pursuant to LGI’s Level Distribution Policy, the Fund declares, monthly, a distribution equal to 6.25% (on an annualized basis) of the Fund’s NAV on the last business day of the previous year (December 31, 2010). The current monthly distribution rate per share of $0.08766 represents a distribution yield of 7.9% based on the Fund’s $13.39 market price as of the close of trading on the NYSE on December 31, 2011. Of the $1.0519 distributed per share in the 2011 calendar year, $0.1091 represented a return of capital.

Additional Information

Please note that, available on www.LazardNet.com, are frequent updates on the Fund’s performance, press releases, distribution information, and a monthly fact sheet that provides information about the Fund’s major holdings, sector weightings, regional exposures, and other characteristics, including the notices required by Section 19(a) of the Investment Company Act of 1940, as amended. You may also reach Lazard by phone at 1-800-823-6300.

On behalf of Lazard, we thank you for your investment in Lazard Global Total Return and Income Fund, Inc. and look forward to continuing to serve your investment needs in the future.

Message from the Portfolio Managers

Global Equity Portfolio
(74.7% of total leveraged assets)

The Fund’s global equity portfolio is invested primarily in equity securities of large, well-known global companies with, we believe, strong financial productivity at attractive valuations. Examples include GlaxoSmithKline, a global research-based pharmaceutical company based in the United Kingdom; The Bank of New York Mellon, a U.S.-based company that provides financial products and services for institutions



2



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview (continued)

 

 

and individuals worldwide; Canon Inc., a Japanese manufacturer and distributor of network digital multi-function devices, copying machines, printers and cameras; and Total SA, a French energy supplier that explores for, produces, refines, transports, and markets oil and natural gas.

Companies held in the global equity portfolio are all based in developed-market regions around the world. As of December 31, 2011, 48.3% of these stocks were based in North America, 22.0% were based in Continental Europe (not including the United Kingdom), 16.0% were from the United Kingdom, 8.0% were from Japan, and 5.7% were from the rest of Asia (not including Japan). The global equity portfolio is similarly well diversified across a number of industry sectors. The top two sectors, by weight, at December 31, 2011, were information technology (20.5%), which includes semiconductors & semiconductor equipment, software & services, and technology hardware & equipment, and health care (19.0%), which includes health care equipment & services and pharmaceuticals biotechnology & life sciences companies. Other sectors in the portfolio include consumer discretionary, consumer staples, energy, industrials, materials, financials and telecom services. The average dividend yield on the securities held in the global equity portfolio was approximately 3.4% as of December 31, 2011.

Global Equity Markets Review
Global stock market indices, including the Index, posted positive returns for the fourth quarter. However, on a year-to-date basis, global indices closed in negative territory as 2011 was marked by political and macroeconomic uncertainty. U.S. equities led globally, while Chinese stocks lagged. During the fourth quarter, global markets rose amid greater optimism for a resolution to the European sovereign debt crisis. Although the outcome of the European Union summit lacked full details, it appeared to be a step toward greater economic integration, which in our view is vital for a comprehensive solution to the sovereign debt crisis. Additionally, investors were heartened as U.S. economic data strengthened over the last several weeks of the year. Claims for new unemployment benefits fell, and both industrial production and consumer spending increased. Corporate earnings continued to be a bright spot in the uncertain market environment,

as companies around the world have been actively reducing costs and capital expenditures to ensure strong profitability and cash generation, even in a lack-luster economic environment. However, the markets’ performance throughout the quarter remained volatile as a number of events in the Eurozone drove turmoil, including a proposed Greek referendum on its bailout package, disagreement in the Eurozone about the role of the European Central Bank in solving the crisis, a German Bund auction which drew low demand, the escalation of Italian bond yields, and the formation of new governments in Greece and Italy. Investors additionally worried about economic activity in China weakening. During the quarter, developed market stocks outperformed emerging market equities. Sector leadership in the Index was led by the traditionally more cyclical energy and industrials sectors. Defensive sectors, utilities and telecom services, had shown resilience during the summer sell-off but were left behind in the rally, rising substantially less than the broad market.

What Helped and What Hurt LGI
Stock selection in the consumer discretionary sector contributed to performance. Shares of home improvement retailer Home Depot rose as the company reported earnings which exceeded expectations. During the quarter, the company saw strong operating leverage and free cash flow. Additionally, the market was heartened as the retailer reported positive same-store sales growth for the last several months. Stock selection in the consumer staples sector also helped returns. Shares of retailer Wal-Mart rose as the company reported that its U.S. business experienced comparable same-store sales growth, and guided for margin expansion as well as higher returns. In our view, the company’s steady improvement on its return on capital in recent years has been underappreciated by the market, which has been almost exclusively focused on sales growth in the United States.

In contrast, stock selection in the information technology sector detracted from performance. Shares of Oracle declined as the company announced earnings which were below expectations. Weaker earnings can be attributed to both company-specific issues, such as sales execution and product transition, as well as the broader macroeconomic environment. Stock selection in the financials sector also hurt returns. Shares of



3



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview (continued)

 

 

Mitsubishi UFJ Financial Group declined on concerns over rising credit costs amid a weak domestic economy, as well as fears over losses on loans to TEPCO, the operator of the Fukushima nuclear plant.

Emerging Market Currency and Debt Portfolio
(24.0% of total leveraged assets)

The Fund also seeks enhanced income through investing in primarily high-yielding, short-duration emerging market forward currency contracts and local currency debt instruments. As of December 31, 2011, this portfolio consisted of forward currency contracts (50.4%) and sovereign debt obligations (49.6%). The average duration of the emerging market currency and debt portfolio increased from approximately 9 months to approximately 11 months during the fourth quarter, with an average yield of 7.8%2 as of December 31, 2011.

Emerging Market Currency and Debt Market Review
During the fourth quarter of 2011, many emerging market currencies sold off substantially (some by as much as 15%) due to a confluence of non-emerging market related events, such as the European debt crisis, growth and ratings downgrades in the United States, and growth concerns in China. Following this decline, most of the currencies rallied in October. However, emerging market policymakers’ failure to achieve noteworthy progress in addressing the European debt and banking crisis led to a renewed currency slump in those regions for the balance of the quarter.

We believe the market sentiment has been strongly influenced by growth concerns and fears of a double-dip recession in the United States, as well as worries of a hard landing in China, and worsening Eurozone sol-

vency stress with contagious linkages across banking channels. However, recent U.S. data (notably lower unemployment and healthier consumer spending) has improved marginally, and macro data out of China (such as strong retail sales and slower inflation, among others) continues to support our anticipation of a soft, policy-engineered landing amid Europe’s continued domination of headlines and global capital market influence. A lack of progress toward addressing Italian, Greek, or other peripheral European debt underscored the market’s reticence to deploy capital despite substantially lower valuations and lighter foreign investor positioning in local emerging market currencies.

What Helped and What Hurt LGI
The top quarterly performers tended to come from off-the-run frontier countries with lower foreign portfolio capital presence. In these countries, which included Uganda, Kenya, Uruguay, Romania, and Nigeria, country-specific idiosyncratic drivers helped these markets differentiate themselves from some of the larger, more liquid markets, where the influence of portfolio capital flows and sentiment led many to underperform. Other positive contributors included Russia, where our tactical position shifts abetted performance, as well as South Korea.

India was the largest detractor during the quarter, as the currency of this large, liquid market fell by 7.8%. Poland also detracted, as the market was used by many investors as a proxy for Europe, and its currency fell by 4.2% during the quarter. In frontier markets, the Ghana cedi experienced uncharacteristically sharp monthly depreciation (-3%) in November, due to falling interbank interest rates and a seasonally-high import surge ahead of year end, which caused high demand for the U.S. dollar.



4



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview (continued)

 

 

Notes to Investment Overview:

 

 

1

A measure of the average cash weighted term-to-maturity of the investment holdings. Duration is a measure of the price sensitivity of a bond to interest rate movements. Duration for a forward currency contract is equal to its term-to-maturity.

2

The quoted yield does not account for the implicit cost of borrowing on the forward currency contracts, which would reduce the yield shown.

All returns reflect reinvestment of all dividends and distributions. Past performance is not indicative, or a guarantee, of future results.

The performance data of the Index and other market data have been prepared from sources and data that the Investment Manager believes to be reliable, but no representation is made as to their accuracy. The Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Index is unmanaged, has no fees or costs and is not available for investment.

The views of the Fund’s Investment Manager and the securities described in this report are as of December 31, 2011; these views and portfolio holdings may have changed subsequent to this date. Nothing herein should be construed as a recommendation to buy, sell, or hold a particular security. There is no assurance that the securities discussed herein will remain in the Fund at the time you receive this report, or that securities sold will not have been repurchased. The specific securities discussed may, in aggregate, represent only a small percentage of the Fund’s holdings. It should not be assumed that securities identified and discussed were, or will be, profitable, or that the investment decisions made in the future will be profitable, or equal the investment performance of the securities discussed herein.

The views and opinions expressed are provided for general information only, and do not constitute specific tax, legal, or investment advice to, or recommendations for, any person. There can be no guarantee as to the accuracy of the outlooks for markets, sectors and securities as discussed herein.

5



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview (continued)

 

Comparison of Changes in Value of $10,000 Investment in
LGI and MSCI World Index*

(LINE GRAPH)

 

 

 

 

 

 

 

 

 

Value at
12/31/11

 

(GRAPHIC)

LGI at Market Price

 

$

12,251

 

 

 

 

 

 

 

(GRAPHIC)

LGI at Net Asset Value

 

 

13,904

 

 

 

 

 

 

 

(GRAPHIC)

MSCI World Index

 

 

12,962

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Average Annual Total Returns*
Periods Ended December 31, 2011

 

 

 

 

 

 

 

 

 

 

 

 

 

One
Year

 

Five
Years

 

Since
Inception**

 

 


Market Price

 

-4.48

%

 

-2.53

%

 

2.68

%

 

 

Net Asset Value

 

-1.85

%

 

-1.64

%

 

4.39

%

 

 

MSCI World Index

 

-5.54

%

 

-2.37

%

 

3.43

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

All returns reflect reinvestment of all dividends and distributions. The performance quoted represents past performance. Current performance may be lower or higher than the performance quoted. Past performance is not indicative, or a guarantee, of future results; the investment return, market price and net asset value of the Fund will fluctuate, so that an investor’s shares in the Fund, when sold, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a stockholder would pay on the Fund’s distributions or on the sale of Fund shares.

 

 

 

 

 

The performance data of the Index has been prepared from sources and data that the Investment Manager believes to be reliable, but no representation is made as to its accuracy. The Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Index is unmanaged, has no fees or costs and is not available for investment.

 

 

 

 

**

The Fund’s inception date was April 28, 2004.

6



 

Lazard Global Total Return and Income Fund, Inc.

 

Investment Overview (concluded)

 


 

 

 

 

 

 

 

 

 

 

 

Ten Largest Equity Holdings
December 31, 2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Security

 

 

Value

 

Percentage of
Net Assets

 

 

The Home Depot, Inc.

 

$

6,957,620

 

4.7

%

 

 

Microsoft Corp.

 

 

5,882,536

 

4.0

 

 

 

Johnson & Johnson

 

 

5,826,127

 

3.9

 

 

 

Singapore Telecommunications, Ltd. ADR

 

 

5,193,686

 

3.5

 

 

 

Novartis AG ADR

 

 

4,510,713

 

3.0

 

 

 

International Business Machines Corp.

 

 

4,497,705

 

3.0

 

 

 

Mitsubishi UFJ Financial Group, Inc. ADR

 

 

4,403,271

 

3.0

 

 

 

HSBC Holdings PLC Sponsored ADR

 

 

4,371,746

 

2.9

 

 

 

BP PLC Sponsored ADR

 

 

4,310,543

 

2.9

 

 

 

Cisco Systems, Inc.

 

 

3,984,832

 

2.7

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Portfolio Holdings Presented by Sector
December 31, 2011

 

 

 

 

 

 

 

 

 

 

 

Sector

 

 

Percentage of
Total Investments

 

 

Consumer Discretionary

 

6.4

%

 

 

Consumer Staples

 

9.7

 

 

 

Emerging Markets Debt Obligations

 

16.0

 

 

 

Energy

 

9.8

 

 

 

Financials

 

12.1

 

 

 

Health Care

 

15.7

 

 

 

Industrials

 

6.0

 

 

 

Information Technology

 

16.9

 

 

 

Materials

 

2.8

 

 

 

Telecommunication Services

 

3.1

 

 

 

Short-Term Investment

 

1.5

 

 

 

Total Investments

 

100.0

%

 

 

 

 

 

 

 

7



 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments

December 31, 2011

 

 

 

 

 

 

 

 

 

Description

 

Shares

 

Value

 

           

Common Stocks—93.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Australia—1.8%

 

 

 

 

 

 

 

BHP Billiton, Ltd. Sponsored ADR

 

 

38,500

 

$

2,719,255

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Finland—0.9%

 

 

 

 

 

 

 

Sampo Oyj, A Shares ADR

 

 

109,500

 

 

1,350,135

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

France—6.2%

 

 

 

 

 

 

 

GDF Suez Sponsored ADR

 

 

75,981

 

 

2,064,404

 

Sanofi SA ADR

 

 

105,200

 

 

3,844,008

 

Total SA Sponsored ADR

 

 

64,000

 

 

3,271,040

 

 

 

 

 

 

   

 

 

 

 

 

 

 

9,179,452

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Germany—2.1%

 

 

 

 

 

 

 

SAP AG Sponsored ADR

 

 

59,300

 

 

3,139,935

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Ireland—1.3%

 

 

 

 

 

 

 

CRH PLC Sponsored ADR

 

 

98,300

 

 

1,948,306

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Italy—1.0%

 

 

 

 

 

 

 

Eni SpA Sponsored ADR

 

 

36,350

 

 

1,500,165

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Japan—7.5%

 

 

 

 

 

 

 

Canon, Inc. Sponsored ADR

 

 

44,700

 

 

1,968,588

 

Hoya Corp. Sponsored ADR (a)

 

 

73,500

 

 

1,586,130

 

Mitsubishi UFJ Financial Group, Inc.

 

 

 

 

 

 

 

ADR

 

 

1,050,900

 

 

4,403,271

 

Nomura Holdings, Inc. ADR

 

 

332,600

 

 

991,148

 

Sumitomo Mitsui Financial Group, Inc.

 

 

 

 

 

 

 

Sponsored ADR

 

 

393,600

 

 

2,168,736

 

 

 

 

 

 

   

 

 

 

 

 

 

 

11,117,873

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Singapore—3.5%

 

 

 

 

 

 

 

Singapore Telecommunications, Ltd.

 

 

 

 

 

 

 

ADR

 

 

217,400

 

 

5,193,686

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Spain—1.1%

 

 

 

 

 

 

 

Banco Santander SA Sponsored

 

 

 

 

 

 

 

ADR

 

 

225,196

 

 

1,693,474

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Switzerland—7.9%

 

 

 

 

 

 

 

Novartis AG ADR

 

 

78,900

 

 

4,510,713

 

Roche Holding AG Sponsored ADR

 

 

92,400

 

 

3,931,620

 

UBS AG (b)

 

 

107,587

 

 

1,272,754

 

Zurich Financial Services AG ADR

 

 

92,500

 

 

2,097,900

 

 

 

 

 

 

   

 

 

 

 

 

 

 

11,812,987

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Description

 

Shares

 

Value

 

           

United Kingdom—15.0%

 

 

 

 

 

 

 

BP PLC Sponsored ADR (a)

 

 

100,855

 

$

4,310,543

 

British American Tobacco PLC

 

 

 

 

 

 

 

Sponsored ADR

 

 

37,700

 

 

3,576,976

 

GlaxoSmithKline PLC Sponsored

 

 

 

 

 

 

 

ADR (a)

 

 

80,200

 

 

3,659,526

 

HSBC Holdings PLC Sponsored

 

 

 

 

 

 

 

ADR (a)

 

 

114,744

 

 

4,371,746

 

Unilever PLC Sponsored ADR

 

 

99,100

 

 

3,321,832

 

Wm Morrison Supermarkets PLC

 

 

 

 

 

 

 

ADR

 

 

120,300

 

 

3,025,545

 

 

 

 

 

 

   

 

 

 

 

 

 

 

22,266,168

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

United States—45.3%

 

 

 

 

 

 

 

Cisco Systems, Inc. (a)

 

 

220,400

 

 

3,984,832

 

Comcast Corp., Class A

 

 

160,900

 

 

3,790,804

 

ConocoPhillips

 

 

32,900

 

 

2,397,423

 

Emerson Electric Co.

 

 

67,600

 

 

3,149,484

 

Halliburton Co.

 

 

89,900

 

 

3,102,449

 

Honeywell International, Inc. (a)

 

 

64,700

 

 

3,516,445

 

Intel Corp.

 

 

155,400

 

 

3,768,450

 

International Business Machines

 

 

 

 

 

 

 

Corp. (a)

 

 

24,460

 

 

4,497,705

 

Johnson & Johnson

 

 

88,840

 

 

5,826,127

 

Merck & Co., Inc.

 

 

75,300

 

 

2,838,810

 

Microsoft Corp.

 

 

226,600

 

 

5,882,536

 

Oracle Corp.

 

 

147,340

 

 

3,779,271

 

PepsiCo, Inc.

 

 

41,100

 

 

2,726,985

 

Pfizer, Inc.

 

 

87,566

 

 

1,894,928

 

The Bank of New York Mellon

 

 

 

 

 

 

 

Corp. (a)

 

 

103,600

 

 

2,062,676

 

The Home Depot, Inc. (a)

 

 

165,500

 

 

6,957,620

 

United Technologies Corp.

 

 

47,200

 

 

3,449,848

 

Wal-Mart Stores, Inc.

 

 

62,800

 

 

3,752,928

 

 

 

 

 

 

   

 

 

 

 

 

 

 

67,379,321

 

 

 

 

 

 

   

 

Total Common Stocks

 

 

 

 

 

 

 

(Identified cost $152,498,288)

 

 

 

 

 

139,300,757

 

 

 

 

 

 

   

 



The accompanying notes are an integral part of these financial statements.

8



 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments (continued)

December 31, 2011

 

 

 

 

 

 

 

 

 

Description

 

Principal
Amount
(000) (c)

 

Value

 

           

Foreign Government

 

 

 

 

 

 

 

Obligations—18.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Brazil—3.8%

 

 

 

 

 

 

 

Brazil NTN-B,

 

 

 

 

 

 

 

6.00%, 05/15/15

 

 

4,330

 

$

5,061,337

 

Brazil NTN-F,

 

 

 

 

 

 

 

10.00%, 01/01/13

 

 

1,195

 

 

640,338

 

 

 

 

 

 

   

 

 

 

 

 

 

 

5,701,675

 

 

 

 

 

 

   

 

Colombia—0.1%

 

 

 

 

 

 

 

Republic of Colombia,

 

 

 

 

 

 

 

12.00%, 10/22/15

 

 

305,000

 

 

201,802

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Ghana—0.5%

 

 

 

 

 

 

 

Ghana Government Bonds:

 

 

 

 

 

 

 

13.67%, 06/11/12

 

 

790

 

 

484,992

 

15.00%, 12/10/12

 

 

320

 

 

199,392

 

 

 

 

 

 

   

 

 

 

 

 

 

 

684,384

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Israel—1.4%

 

 

 

 

 

 

 

Israel Fixed Bonds:

 

 

 

 

 

 

 

4.00%, 03/30/12

 

 

3,888

 

 

1,054,177

 

5.00%, 03/31/13

 

 

3,392

 

 

948,621

 

Israel Government Bond—Shahar,

 

 

 

 

 

 

 

10.00%, 05/31/12

 

 

413

 

 

117,972

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,120,770

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Malaysia—1.1%

 

 

 

 

 

 

 

Bank Negara Monetary Note,

 

 

 

 

 

 

 

0.00%, 03/13/12

 

 

5,000

 

 

1,568,399

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Mexico—4.2%

 

 

 

 

 

 

 

Mexican Bonos,

 

 

 

 

 

 

 

9.50%, 12/18/14

 

 

16,100

 

 

1,290,450

 

Mexican Cetes:

 

 

 

 

 

 

 

0.00%, 03/08/12

 

 

82,000

 

 

582,709

 

0.00%, 05/03/12

 

 

121,000

 

 

853,721

 

0.00%, 06/14/12

 

 

112,300

 

 

787,445

 

0.00%, 08/23/12

 

 

105,000

 

 

729,485

 

Mexican Udibonos:

 

 

 

 

 

 

 

4.50%, 12/18/14

 

 

3,890

 

 

1,415,539

 

5.00%, 06/16/16

 

 

1,480

 

 

565,138

 

 

 

 

 

 

   

 

 

 

 

 

 

 

6,224,487

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Poland—0.7%

 

 

 

 

 

 

 

Poland Government Bonds:

 

 

 

 

 

 

 

0.00%, 01/25/12

 

 

2,674

 

 

772,956

 

3.00%, 08/24/16

 

 

847

 

 

251,045

 

 

 

 

 

 

   

 

 

 

 

 

 

1,024,001

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Description

 

Principal
Amount
(000) (c)

 

Value

 

           

Romania—1.6%

 

 

 

 

 

 

 

Romania Government Bonds:

 

 

 

 

 

 

 

6.25%, 10/25/14

 

 

1,290

 

$

375,899

 

6.00%, 04/30/15

 

 

560

 

 

160,641

 

6.00%, 04/30/16

 

 

530

 

 

149,828

 

6.75%, 06/11/17

 

 

600

 

 

173,208

 

Romania Treasury Bills:

 

 

 

 

 

 

 

0.00%, 02/08/12

 

 

2,280

 

 

678,051

 

0.00%, 04/04/12

 

 

1,140

 

 

335,591

 

0.00%, 06/06/12

 

 

1,930

 

 

561,739

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,434,957

 

 

 

 

 

 

   

 

South Africa—1.4%

 

 

 

 

 

 

 

Republic of South Africa:

 

 

 

 

 

 

 

13.50%, 09/15/15

 

 

4,602

 

 

694,187

 

7.25%, 01/15/20

 

 

11,983

 

 

1,427,263

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,121,450

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Turkey—2.8%

 

 

 

 

 

 

 

Turkey Government Bonds:

 

 

 

 

 

 

 

0.00%, 11/07/12

 

 

3,321

 

 

1,597,658

 

0.00%, 02/20/13

 

 

1,310

 

 

613,443

 

9.00%, 05/21/14

 

 

281

 

 

168,421

 

4.50%, 02/11/15

 

 

1,749

 

 

956,926

 

4.00%, 04/29/15

 

 

1,526

 

 

821,837

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,158,285

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Uruguay—0.6%

 

 

 

 

 

 

 

Uruguay Treasury Bills:

 

 

 

 

 

 

 

0.00%, 06/22/12

 

 

5,472

 

 

263,819

 

0.00%, 05/09/13

 

 

2,350

 

 

103,163

 

0.00%, 06/27/13

 

 

4,650

 

 

201,773

 

0.00%, 08/15/13

 

 

6,000

 

 

255,205

 

 

 

 

 

 

   

 

 

 

 

 

 

 

823,960

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Total Foreign Government

 

 

 

 

 

 

 

Obligations

 

 

 

 

 

 

 

(Identified cost $28,752,140)

 

 

 

 

 

27,064,170

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Description

 

Shares

 

Value

 

           

Short-Term Investment—1.7%

 

 

 

 

 

 

 

State Street Institutional Treasury

 

 

 

 

 

 

 

Money Market Fund

 

 

 

 

 

 

 

(Identified cost $2,587,939)

 

 

2,587,939

 

$

2,587,939

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

Total Investments—113.5%

 

 

 

 

 

 

 

(Identified cost $183,838,367) (d)

 

 

 

 

$

168,952,866

 

Liabilities in Excess of Cash and

 

 

 

 

 

 

 

Other Assets—(13.5)%

 

 

 

 

 

(20,130,559

)

 

 

 

 

 

   

 

Net Assets—100.0%

 

 

 

 

$

148,822,307

 

 

 

 

 

 

   

 



The accompanying notes are an integral part of these financial statements.

9



 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments (continued)

December 31, 2011

 

Forward Currency Purchase Contracts open at December 31, 2011:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency

 

Counterparty

 

Expiration
Date

 

Foreign
Currency
Amount

 

U.S. $ Cost
on Origination
Date

 

U.S. $
Current
Value

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BRL

 

HSB

 

01/04/12

 

6,208,230

 

$

3,367,632

 

$

3,328,363

 

$

 

$

39,269

 

BRL

 

HSB

 

01/17/12

 

1,573,341

 

 

834,000

 

 

840,926

 

 

6,926

 

 

 

BRL

 

UBS

 

02/02/12

 

2,307,536

 

 

1,232,000

 

 

1,228,725

 

 

 

 

3,275

 

CLP

 

HSB

 

01/17/12

 

443,943,850

 

 

853,000

 

 

852,995

 

 

 

 

5

 

CLP

 

JPM

 

01/17/12

 

90,792,150

 

 

177,000

 

 

174,448

 

 

 

 

2,552

 

CLP

 

JPM

 

01/17/12

 

311,653,100

 

 

622,000

 

 

598,811

 

 

 

 

23,189

 

CLP

 

BNP

 

02/13/12

 

476,500,200

 

 

989,000

 

 

912,351

 

 

 

 

76,649

 

CNY

 

HSB

 

06/13/12

 

1,880,330

 

 

295,000

 

 

298,081

 

 

3,081

 

 

 

CNY

 

JPM

 

06/13/12

 

10,364,580

 

 

1,622,000

 

 

1,643,052

 

 

21,052

 

 

 

CNY

 

BRC

 

08/13/12

 

3,377,088

 

 

528,000

 

 

535,024

 

 

7,024

 

 

 

CNY

 

JPM

 

09/24/12

 

9,237,380

 

 

1,457,000

 

 

1,462,949

 

 

5,949

 

 

 

COP

 

CIT

 

01/10/12

 

1,393,194,000

 

 

717,771

 

 

719,338

 

 

1,567

 

 

 

EUR

 

CIT

 

01/03/12

 

570,000

 

 

770,184

 

 

737,723

 

 

 

 

32,461

 

EUR

 

ING

 

01/03/12

 

256,794

 

 

332,279

 

 

332,356

 

 

77

 

 

 

EUR

 

JPM

 

01/03/12

 

260,722

 

 

337,987

 

 

337,440

 

 

 

 

547

 

EUR

 

UBS

 

01/09/12

 

286,202

 

 

374,000

 

 

370,428

 

 

 

 

3,572

 

EUR

 

UBS

 

01/09/12

 

504,501

 

 

691,000

 

 

652,971

 

 

 

 

38,029

 

EUR

 

BNP

 

01/23/12

 

850,069

 

 

1,104,843

 

 

1,100,329

 

 

 

 

4,514

 

EUR

 

BRC

 

01/23/12

 

80,000

 

 

103,516

 

 

103,552

 

 

36

 

 

 

EUR

 

CIT

 

02/14/12

 

334,589

 

 

446,000

 

 

433,166

 

 

 

 

12,834

 

EUR

 

JPM

 

02/14/12

 

140,174

 

 

181,938

 

 

181,472

 

 

 

 

466

 

GHS

 

CIT

 

01/06/12

 

315,000

 

 

189,759

 

 

192,045

 

 

2,286

 

 

 

GHS

 

SCB

 

01/09/12

 

581,000

 

 

354,312

 

 

353,976

 

 

 

 

336

 

GHS

 

JPM

 

01/10/12

 

376,500

 

 

228,945

 

 

229,331

 

 

386

 

 

 

GHS

 

SCB

 

01/12/12

 

391,000

 

 

237,214

 

 

238,056

 

 

842

 

 

 

GHS

 

CIT

 

01/19/12

 

542,377

 

 

328,873

 

 

329,698

 

 

825

 

 

 

GHS

 

SCB

 

01/19/12

 

974,000

 

 

590,231

 

 

592,071

 

 

1,840

 

 

 

GHS

 

SCB

 

01/20/12

 

152,000

 

 

92,205

 

 

92,376

 

 

171

 

 

 

GHS

 

SCB

 

02/21/12

 

610,000

 

 

367,249

 

 

368,358

 

 

1,109

 

 

 

IDR

 

JPM

 

01/19/12

 

3,182,625,000

 

 

345,000

 

 

350,483

 

 

5,483

 

 

 

IDR

 

BRC

 

02/14/12

 

10,230,530,000

 

 

1,123,000

 

 

1,123,661

 

 

661

 

 

 

ILS

 

CIT

 

01/09/12

 

303,685

 

 

81,000

 

 

79,678

 

 

 

 

1,322

 

INR

 

BRC

 

01/13/12

 

8,434,790

 

 

169,000

 

 

158,543

 

 

 

 

10,457

 

INR

 

BRC

 

03/27/12

 

80,082,940

 

 

1,477,000

 

 

1,484,662

 

 

7,662

 

 

 

INR

 

BNP

 

05/21/12

 

18,207,540

 

 

379,838

 

 

334,723

 

 

 

 

45,115

 

INR

 

BRC

 

05/21/12

 

42,264,610

 

 

884,567

 

 

776,984

 

 

 

 

107,583

 

INR

 

JPM

 

05/25/12

 

18,698,400

 

 

392,000

 

 

343,539

 

 

 

 

48,461

 

INR

 

UBS

 

05/25/12

 

42,064,980

 

 

878,000

 

 

772,844

 

 

 

 

105,156

 

INR

 

BRC

 

11/15/12

 

25,131,060

 

 

486,000

 

 

452,384

 

 

 

 

33,616

 

JPY

 

HSB

 

02/21/12

 

105,749,016

 

 

1,358,692

 

 

1,374,955

 

 

16,263

 

 

 

KES

 

SCB

 

01/05/12

 

9,920,000

 

 

108,108

 

 

116,568

 

 

8,460

 

 

 

KES

 

JPM

 

01/09/12

 

13,850,000

 

 

152,617

 

 

162,746

 

 

10,129

 

 

 

KES

 

CIT

 

01/17/12

 

10,119,200

 

 

112,000

 

 

118,902

 

 

6,902

 

 

 

KES

 

CIT

 

01/19/12

 

23,843,640

 

 

276,000

 

 

280,163

 

 

4,163

 

 

 

KES

 

JPM

 

01/23/12

 

6,738,700

 

 

79,000

 

 

79,178

 

 

178

 

 

 

KRW

 

SCB

 

01/13/12

 

1,733,570,300

 

 

1,511,000

 

 

1,503,892

 

 

 

 

7,108

 

KRW

 

JPM

 

01/25/12

 

800,800,200

 

 

690,000

 

 

694,123

 

 

4,123

 

 

 

MYR

 

BRC

 

01/03/12

 

2,221,455

 

 

705,000

 

 

700,774

 

 

 

 

4,226

 

The accompanying notes are an integral part of these financial statements.

10



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments (continued)

December 31, 2011

 

 

Forward Currency Purchase Contracts open at December 31, 2011 (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency

 

Counterparty

 

Expiration
Date

 

Foreign
Currency
Amount

 

U.S. $ Cost
on Origination
Date

 

U.S. $
Current
Value

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MYR

 

SCB

 

01/03/12

 

 

2,221,455

 

 

$

699,362

 

 

$

700,774

 

 

$

1,412

 

 

$

 

MYR

 

SCB

 

01/31/12

 

 

4,043,432

 

 

 

1,271,000

 

 

 

1,273,230

 

 

 

2,230

 

 

 

 

NGN

 

CIT

 

01/05/12

 

 

68,752,000

 

 

 

425,841

 

 

 

423,611

 

 

 

 

 

 

2,230

 

NGN

 

SCB

 

01/06/12

 

 

24,834,000

 

 

 

153,249

 

 

 

153,073

 

 

 

 

 

 

176

 

NGN

 

JPM

 

01/09/12

 

 

45,119,400

 

 

 

278,000

 

 

 

278,108

 

 

 

108

 

 

 

 

NGN

 

CIT

 

01/17/12

 

 

35,600,000

 

 

 

218,915

 

 

 

219,432

 

 

 

517

 

 

 

 

NGN

 

CIT

 

01/19/12

 

 

34,000,000

 

 

 

206,687

 

 

 

209,570

 

 

 

2,883

 

 

 

 

NGN

 

CIT

 

01/23/12

 

 

31,047,400

 

 

 

189,660

 

 

 

191,371

 

 

 

1,711

 

 

 

 

NGN

 

CIT

 

02/06/12

 

 

34,000,000

 

 

 

205,811

 

 

 

207,202

 

 

 

1,391

 

 

 

 

PEN

 

RBC

 

01/17/12

 

 

2,155,568

 

 

 

796,000

 

 

 

798,531

 

 

 

2,531

 

 

 

 

PHP

 

JPM

 

01/24/12

 

 

31,565,380

 

 

 

721,000

 

 

 

719,171

 

 

 

 

 

 

1,829

 

PLN

 

CIT

 

01/03/12

 

 

2,868,000

 

 

 

947,348

 

 

 

831,112

 

 

 

 

 

 

116,236

 

PLN

 

ING

 

01/03/12

 

 

832,093

 

 

 

246,850

 

 

 

241,131

 

 

 

 

 

 

5,719

 

PLN

 

JPM

 

01/03/12

 

 

1,158,910

 

 

 

382,807

 

 

 

335,838

 

 

 

 

 

 

46,969

 

PLN

 

JPM

 

02/03/12

 

 

615,785

 

 

 

182,992

 

 

 

177,972

 

 

 

 

 

 

5,020

 

PLN

 

JPM

 

02/03/12

 

 

940,849

 

 

 

276,720

 

 

 

271,919

 

 

 

 

 

 

4,801

 

PLN

 

CIT

 

02/14/12

 

 

616,823

 

 

 

184,000

 

 

 

178,078

 

 

 

 

 

 

5,922

 

PLN

 

CIT

 

02/14/12

 

 

4,162,647

 

 

 

1,227,521

 

 

 

1,201,765

 

 

 

 

 

 

25,756

 

RON

 

BRC

 

01/23/12

 

 

1,101,000

 

 

 

333,687

 

 

 

328,589

 

 

 

 

 

 

5,098

 

RSD

 

BRC

 

01/09/12

 

 

29,860,000

 

 

 

388,221

 

 

 

359,730

 

 

 

 

 

 

28,491

 

RUB

 

CSF

 

01/11/12

 

 

23,068,500

 

 

 

699,575

 

 

 

716,324

 

 

 

16,749

 

 

 

 

RUB

 

BRC

 

01/13/12

 

 

22,681,764

 

 

 

718,000

 

 

 

704,128

 

 

 

 

 

 

13,872

 

RUB

 

UBS

 

04/06/12

 

 

25,689,500

 

 

 

764,000

 

 

 

787,946

 

 

 

23,946

 

 

 

 

SGD

 

BRC

 

01/17/12

 

 

1,825,442

 

 

 

1,416,807

 

 

 

1,407,325

 

 

 

 

 

 

9,482

 

SGD

 

HSB

 

02/13/12

 

 

1,130,984

 

 

 

872,000

 

 

 

871,876

 

 

 

 

 

 

124

 

SGD

 

SCB

 

03/22/12

 

 

864,733

 

 

 

662,377

 

 

 

666,691

 

 

 

4,314

 

 

 

 

THB

 

HSB

 

01/06/12

 

 

24,582,240

 

 

 

794,000

 

 

 

779,043

 

 

 

 

 

 

14,957

 

TRY

 

BRC

 

01/06/12

 

 

1,520,752

 

 

 

802,000

 

 

 

802,457

 

 

 

457

 

 

 

 

TRY

 

JPM

 

01/19/12

 

 

792,152

 

 

 

418,000

 

 

 

416,691

 

 

 

 

 

 

1,309

 

TRY

 

BRC

 

03/29/12

 

 

1,893,754

 

 

 

977,674

 

 

 

980,606

 

 

 

2,932

 

 

 

 

UGX

 

SCB

 

01/06/12

 

 

837,000,000

 

 

 

317,045

 

 

 

337,023

 

 

 

19,978

 

 

 

 

UGX

 

CIT

 

01/18/12

 

 

398,918,000

 

 

 

146,446

 

 

 

159,276

 

 

 

12,830

 

 

 

 

UGX

 

CIT

 

01/18/12

 

 

547,000,000

 

 

 

183,403

 

 

 

218,401

 

 

 

34,998

 

 

 

 

UGX

 

CIT

 

02/14/12

 

 

343,711,000

 

 

 

134,262

 

 

 

134,978

 

 

 

716

 

 

 

 

UGX

 

CIT

 

02/22/12

 

 

423,361,000

 

 

 

158,000

 

 

 

165,704

 

 

 

7,704

 

 

 

 

UGX

 

CIT

 

02/22/12

 

 

1,199,696,000

 

 

 

400,968

 

 

 

469,563

 

 

 

68,595

 

 

 

 

UGX

 

CIT

 

03/19/12

 

 

1,179,600,000

 

 

 

418,981

 

 

 

455,091

 

 

 

36,110

 

 

 

 

UGX

 

CIT

 

04/16/12

 

 

268,772,000

 

 

 

84,387

 

 

 

102,088

 

 

 

17,701

 

 

 

 

UGX

 

SCB

 

06/25/12

 

 

294,000,000

 

 

 

107,182

 

 

 

108,563

 

 

 

1,381

 

 

 

 

UYU

 

JPM

 

01/31/12

 

 

13,176,887

 

 

 

653,000

 

 

 

651,805

 

 

 

 

 

 

1,195

 

ZAR

 

BRC

 

01/30/12

 

 

5,485,090

 

 

 

671,000

 

 

 

676,605

 

 

 

5,605

 

 

 

 

ZAR

 

JPM

 

01/30/12

 

 

6,503,699

 

 

 

795,559

 

 

 

802,253

 

 

 

6,694

 

 

 

 

ZAR

 

JPM

 

06/29/12

 

 

5,804,269

 

 

 

705,987

 

 

 

700,808

 

 

 

 

 

 

5,179

 

ZMK

 

SCB

 

01/19/12

 

 

320,101,000

 

 

 

61,617

 

 

 

62,003

 

 

 

386

 

 

 

 

ZMK

 

SCB

 

01/20/12

 

 

1,719,000,000

 

 

 

330,959

 

 

 

332,812

 

 

 

1,853

 

 

 

 

ZMK

 

SCB

 

01/30/12

 

 

1,118,700,000

 

 

 

215,757

 

 

 

215,543

 

 

 

 

 

 

214

 

 

 

 

 

 

 

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

Total Forward Currency Purchase Contracts

 

 

 

 

$

53,477,417

 

 

$

52,975,023

 

 

$

392,927

 

 

$

895,321

 

 

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

The accompanying notes are an integral part of these financial statements.

11



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments (continued)

December 31, 2011

 

 

Forward Currency Sale Contracts open at December 31, 2011:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency

 

Counterparty

 

Expiration
Date

 

Foreign
Currency
Amount

 

U.S. $ Cost
on Origination
Date

 

U.S. $
Current
Value

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BRL

 

UBS

 

01/04/12

 

 

6,208,230

 

 

$

3,290,000

 

 

$

3,328,363

 

 

$

 

 

$

38,363

 

BRL

 

HSB

 

02/02/12

 

 

6,316,649

 

 

 

3,403,000

 

 

 

3,363,511

 

 

 

39,489

 

 

 

 

CNY

 

JPM

 

06/13/12

 

 

1,072,008

 

 

 

168,000

 

 

 

169,941

 

 

 

 

 

 

1,941

 

COP

 

BNP

 

04/16/12

 

 

347,339,000

 

 

 

181,000

 

 

 

179,125

 

 

 

1,875

 

 

 

 

EUR

 

CIT

 

01/03/12

 

 

658,100

 

 

 

947,347

 

 

 

851,746

 

 

 

95,601

 

 

 

 

EUR

 

ING

 

01/03/12

 

 

185,000

 

 

 

246,849

 

 

 

239,436

 

 

 

7,413

 

 

 

 

EUR

 

JPM

 

01/03/12

 

 

265,848

 

 

 

382,806

 

 

 

344,073

 

 

 

38,733

 

 

 

 

EUR

 

BRC

 

01/09/12

 

 

288,085

 

 

 

388,220

 

 

 

372,865

 

 

 

15,355

 

 

 

 

EUR

 

UBS

 

01/09/12

 

 

244,265

 

 

 

329,000

 

 

 

316,149

 

 

 

12,851

 

 

 

 

EUR

 

UBS

 

01/09/12

 

 

258,109

 

 

 

344,000

 

 

 

334,068

 

 

 

9,932

 

 

 

 

EUR

 

BRC

 

01/23/12

 

 

254,790

 

 

 

333,687

 

 

 

329,801

 

 

 

3,886

 

 

 

 

EUR

 

CSF

 

01/23/12

 

 

1,133,780

 

 

 

1,479,786

 

 

 

1,467,565

 

 

 

12,221

 

 

 

 

EUR

 

HSB

 

01/23/12

 

 

757,291

 

 

 

1,025,846

 

 

 

980,238

 

 

 

45,608

 

 

 

 

EUR

 

BRC

 

01/30/12

 

 

307,154

 

 

 

401,000

 

 

 

397,597

 

 

 

3,403

 

 

 

 

EUR

 

ING

 

01/30/12

 

 

1,077,819

 

 

 

1,456,499

 

 

 

1,395,188

 

 

 

61,311

 

 

 

 

EUR

 

JPM

 

02/03/12

 

 

139,761

 

 

 

182,991

 

 

 

180,918

 

 

 

2,073

 

 

 

 

EUR

 

JPM

 

02/03/12

 

 

211,000

 

 

 

276,721

 

 

 

273,137

 

 

 

3,584

 

 

 

 

EUR

 

CIT

 

02/14/12

 

 

551,496

 

 

 

751,001

 

 

 

713,978

 

 

 

37,023

 

 

 

 

EUR

 

HSB

 

02/16/12

 

 

932,000

 

 

 

1,212,644

 

 

 

1,206,610

 

 

 

6,034

 

 

 

 

EUR

 

HSB

 

03/06/12

 

 

2,589,000

 

 

 

3,489,791

 

 

 

3,352,511

 

 

 

137,280

 

 

 

 

GHS

 

SCB

 

01/09/12

 

 

175,000

 

 

 

106,086

 

 

 

106,619

 

 

 

 

 

 

533

 

ILS

 

BRC

 

01/09/12

 

 

1,229,053

 

 

 

325,000

 

 

 

322,467

 

 

 

2,533

 

 

 

 

ILS

 

BRC

 

01/09/12

 

 

1,674,850

 

 

 

443,000

 

 

 

439,431

 

 

 

3,569

 

 

 

 

JPY

 

SCB

 

01/23/12

 

 

134,542,750

 

 

 

1,728,231

 

 

 

1,748,447

 

 

 

 

 

 

20,216

 

JPY

 

JPM

 

01/31/12

 

 

88,598,510

 

 

 

1,169,000

 

 

 

1,151,514

 

 

 

17,486

 

 

 

 

KES

 

SCB

 

01/05/12

 

 

9,920,000

 

 

 

117,327

 

 

 

116,568

 

 

 

759

 

 

 

 

MXN

 

UBS

 

01/06/12

 

 

9,295,643

 

 

 

661,000

 

 

 

666,023

 

 

 

 

 

 

5,023

 

MXN

 

JPM

 

01/13/12

 

 

5,602,482

 

 

 

409,000

 

 

 

401,187

 

 

 

7,813

 

 

 

 

MXN

 

HSB

 

03/13/12

 

 

11,789,367

 

 

 

855,418

 

 

 

840,143

 

 

 

15,275

 

 

 

 

MYR

 

BRC

 

01/03/12

 

 

2,221,455

 

 

 

699,362

 

 

 

700,774

 

 

 

 

 

 

1,412

 

MYR

 

SCB

 

01/03/12

 

 

2,221,455

 

 

 

699,670

 

 

 

700,774

 

 

 

 

 

 

1,104

 

NGN

 

CIT

 

01/05/12

 

 

68,752,000

 

 

 

419,604

 

 

 

423,611

 

 

 

 

 

 

4,007

 

PLN

 

CIT

 

01/03/12

 

 

2,573,151

 

 

 

770,184

 

 

 

745,668

 

 

 

24,516

 

 

 

 

PLN

 

ING

 

01/03/12

 

 

1,126,942

 

 

 

332,279

 

 

 

326,574

 

 

 

5,705

 

 

 

 

PLN

 

JPM

 

01/03/12

 

 

1,158,910

 

 

 

337,987

 

 

 

335,838

 

 

 

2,149

 

 

 

 

RON

 

BRC

 

01/23/12

 

 

344,936

 

 

 

103,516

 

 

 

102,945

 

 

 

571

 

 

 

 

RUB

 

UBS

 

01/11/12

 

 

23,068,500

 

 

 

714,637

 

 

 

716,324

 

 

 

 

 

 

1,687

 

RUB

 

UBS

 

01/13/12

 

 

3,744,480

 

 

 

115,964

 

 

 

116,243

 

 

 

 

 

 

279

 

THB

 

HSB

 

01/06/12

 

 

1,388,925

 

 

 

45,000

 

 

 

44,017

 

 

 

983

 

 

 

 

TRY

 

BRC

 

03/29/12

 

 

324,485

 

 

 

171,260

 

 

 

168,022

 

 

 

3,238

 

 

 

 

TRY

 

JPM

 

03/29/12

 

 

1,569,269

 

 

 

828,460

 

 

 

812,584

 

 

 

15,876

 

 

 

 

TRY

 

BRC

 

09/28/12

 

 

1,893,754

 

 

 

939,828

 

 

 

942,933

 

 

 

 

 

 

3,105

 

TRY

 

CIT

 

09/28/12

 

 

1,100,468

 

 

 

568,189

 

 

 

547,942

 

 

 

20,247

 

 

 

 

TRY

 

JPM

 

09/28/12

 

 

924,392

 

 

 

476,172

 

 

 

460,271

 

 

 

15,901

 

 

 

 

TRY

 

JPM

 

09/28/12

 

 

1,011,809

 

 

 

521,309

 

 

 

503,797

 

 

 

17,512

 

 

 

 

ZAR

 

CIT

 

01/19/12

 

 

497,850

 

 

 

60,000

 

 

 

61,521

 

 

 

 

 

 

1,521

 

ZAR

 

CIT

 

06/29/12

 

 

5,726,570

 

 

 

707,264

 

 

 

691,427

 

 

 

15,837

 

 

 

 

ZAR

 

CIT

 

10/29/12

 

 

5,835,215

 

 

 

710,270

 

 

 

693,618

 

 

 

16,652

 

 

 

 

ZAR

 

CIT

 

10/29/12

 

 

5,994,569

 

 

 

714,278

 

 

 

712,560

 

 

 

1,718

 

 

 

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

Total Forward Currency Sale Contracts

 

 

$

36,039,483

 

 

$

35,396,662

 

 

 

722,012

 

 

 

79,191

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts

 

$

1,114,939

 

 

$

974,512

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

   

 

The accompanying notes are an integral part of these financial statements.

12



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Portfolio of Investments (concluded)

December 31, 2011

 

 

 

 

 

 

 

 

 

Currency Abbreviations:

 

 

 

BRL

Brazilian Real

 

NGN  

  Nigerian Naira

CLP

Chilean Peso

 

PEN

  Peruvian Nuevo Sol

CNY

Chinese Renminbi

 

PHP

  Philippine Peso

COP

Colombian Peso

 

PLN

  Polish Zloty

EUR

Euro

 

RON

  New Romanian Leu

GHS

Ghanaian Cedi

 

RSD

  Serbian Dinar

IDR

Indonesian Rupiah

 

RUB

  Russian Ruble

ILS

Israeli Shekel

 

SGD

  Singapore Dollar

INR

Indian Rupee

 

THB

  Thai Baht

JPY

Japanese Yen

 

TRY

  New Turkish Lira

KES

Kenyan Shilling

 

UGX

  Ugandan Shilling

KRW

South Korean Won

 

UYU

  Uruguayan Peso

MXN

Mexican New Peso

 

ZAR

  South African Rand

MYR

Malaysian Ringgit

 

ZMK

  Zambian Kwacha

 

 

 

 

Counterparty Abbreviations:

 

 

 

BNP

BNP Paribas SA

BRC

Barclays Bank PLC

CIT

Citibank NA

CSF

Credit Suisse Group AG

HSB

HSBC Bank USA

ING

ING Bank NV

JPM

JPMorgan Chase Bank

RBC

Royal Bank of Canada

SCB

Standard Chartered Bank

UBS

UBS AG



The accompanying notes are an integral part of these financial statements.

13



 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Portfolio of Investments

December 31, 2011

 

 

 

(a)

Segregated security for forward currency contracts.

(b)

Non-income producing security.

(c)

Principal amount denominated in respective country’s currency.

(d)

For federal income tax purposes, the aggregate cost was $183,858,798, aggregate gross unrealized appreciation was $15,185,136, aggregate gross unrealized depreciation was $30,091,068 and the net unrealized depreciation was $14,905,932.


 

 

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 percentage of net assets):

 

 

 

 

 

Alcohol & Tobacco

 

 

2.4

%

 

Banking

 

 

8.5

 

 

Cable Television

 

 

2.6

 

 

Computer Software

 

 

8.6

 

 

Energy Integrated

 

 

7.7

 

 

Energy Services

 

 

2.1

 

 

Financial Services

 

 

2.9

 

 

Food & Beverages

 

 

4.1

 

 

Gas Utilities

 

 

1.4

 

 

Housing

 

 

1.3

 

 

Insurance

 

 

2.3

 

 

Manufacturing

 

 

6.8

 

 

Metals & Mining

 

 

1.8

 

 

Pharmaceutical & Biotechnology

 

 

17.8

 

 

Retail

 

 

9.2

 

 

Semiconductors & Components

 

 

4.9

 

 

Technology Hardware

 

 

5.7

 

 

Telecommunications

 

 

3.5

 

 

 

 

     

 

Subtotal

 

 

93.6

 

 

Foreign Government Obligations

 

 

18.2

 

 

Short-Term Investment

 

 

1.7

 

 

 

 

     

 

Total Investments

 

 

113.5

%

 

 

 

     

 

The accompanying notes are an integral part of these financial statements.

14



 

Lazard Global Total Return and Income Fund, Inc.

 

Statement of Assets and Liabilities

December 31, 2011

 

 

 

 

 

 

ASSETS

 

 

 

 

Investments in securities, at value (cost $183,838,367)

 

$

168,952,866

 

Foreign currency, at value (cost $186,082)

 

 

184,200

 

Receivable for investments sold

 

 

1,761,679

 

Dividends and interest receivable

 

 

659,865

 

Gross unrealized appreciation on forward currency contracts

 

 

1,114,939

 

 

 

   

 

Total assets

 

 

172,673,549

 

 

 

   

 

 

 

 

 

 

LIABILITIES

 

 

 

 

Payables for:

 

 

 

 

Management fees

 

 

134,654

 

Accrued directors’ fees

 

 

275

 

Investments purchased

 

 

2,356,988

 

Line of credit outstanding

 

 

20,210,000

 

Gross unrealized depreciation on forward currency contracts

 

 

974,512

 

Other accrued expenses and payables

 

 

174,813

 

 

 

   

 

Total liabilities

 

 

23,851,242

 

 

 

   

 

Net assets

 

$

148,822,307

 

 

 

   

 

 

 

 

 

 

NET ASSETS

 

 

 

 

Paid in capital (Note 2(f))

 

$

164,088,241

 

Distributions in excess of net investment income (Note 2(f))

 

 

(501,265

)

Accumulated net realized loss

 

 

(10,994

)

Net unrealized appreciation (depreciation) on:

 

 

 

 

Investments

 

 

(14,885,501

)

Foreign currency and forward currency contracts

 

 

131,826

 

 

 

   

 

Net assets

 

$

148,822,307

 

 

 

   

 

 

 

 

 

 

Shares of common stock outstanding*

 

 

9,605,237

 

Net asset value per share

 

$

15.49

 

Market value per share

 

$

13.39

 

 

 

 

 

 

*   $0.001 par value, 500,000,000 shares authorized for the Fund.

 

 

 

 

The accompanying notes are an integral part of these financial statements.

15



 

Lazard Global Total Return and Income Fund, Inc.

 

Statement of Operations

For the Year Ended December 31, 2011

 

INVESTMENT INCOME


 

 

 

 

 

Income:

 

 

 

 

Dividends (net of foreign withholding taxes of $190,871)

 

$

4,903,643

 

Interest

 

 

1,860,174

 

 

 

   

 

Total investment income

 

 

6,763,817

 

 

 

   

 

 

 

 

 

 

Expenses:

 

 

 

 

Management fees (Note 3)

 

 

1,697,799

 

Professional services

 

 

165,334

 

Custodian fees

 

 

109,489

 

Shareholders’ reports

 

 

105,309

 

Administration fees

 

 

74,176

 

Shareholders’ services

 

 

43,600

 

Shareholders’ meeting

 

 

35,627

 

Directors’ fees and expenses

 

 

19,063

 

Other

 

 

65,825

 

 

 

   

 

Total expenses before interest expense

 

 

2,316,222

 

Interest expense

 

 

127,493

 

 

 

   

 

Total expenses

 

 

2,443,715

 

 

 

   

 

Net investment income

 

 

4,320,102

 

 

 

   

 

 

 

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND FORWARD CURRENCY CONTRACTS

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

Investments (net of foreign capital gains taxes of $26,847)

 

 

4,191,406

 

Foreign currency and forward currency contracts

 

 

(19,519

)

 

 

   

 

Total net realized gain on investments, foreign currency and forward currency contracts

 

 

4,171,887

 

 

 

   

 

Net change in unrealized depreciation on:

 

 

 

 

Investments

 

 

(11,114,788

)

Foreign currency and forward currency contracts

 

 

(102,991

)

 

 

   

 

Total net change in unrealized depreciation on investments, foreign currency and forward currency contracts

 

 

(11,217,779

)

 

 

   

 

Net realized and unrealized loss on investments, foreign currency and forward currency contracts

 

 

(7,045,892

)

 

 

   

 

Net decrease in net assets resulting from operations

 

$

(2,725,790

)

 

 

   

 

The accompanying notes are an integral part of these financial statements.

16



 

Lazard Global Total Return and Income Fund, Inc.

 

Statements of Changes in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
December 31,
2011

 

Year Ended
December 31,
2010

 

 

 

 

 

 

 

INCREASE (DECREASE) IN NET ASSETS

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

Net investment income

 

$

4,320,102

 

$

3,711,236

 

Net realized gain on investments, foreign currency and forward currency contracts

 

 

4,171,887

 

 

3,348,737

 

Net change in unrealized depreciation on investments, foreign currency and forward currency contracts

 

 

(11,217,779

)

 

(938,139

)

 

 

   

 

   

 

Net increase (decrease) in net assets resulting from operations

 

 

(2,725,790

)

 

6,121,834

 

 

 

   

 

   

 

 

Distributions to Stockholders (Note 2(f)):

 

 

 

 

 

 

 

From net investment income

 

 

(7,497,933

)

 

(6,474,272

)

From net realized gains

 

 

(1,558,119

)

 

 

Return of capital

 

 

(1,047,889

)

 

(3,893,621

)

 

 

   

 

   

 

Net decrease in net assets resulting from distributions

 

 

(10,103,941

)

 

(10,367,893

)

 

 

   

 

   

 

Total decrease in net assets

 

 

(12,829,731

)

 

(4,246,059

)

Net assets at beginning of year

 

 

161,652,038

 

 

165,898,097

 

 

 

   

 

   

 

Net assets at end of year*

 

$

148,822,307

 

$

161,652,038

 

 

 

   

 

   

 

*   Includes undistributed (distributions in excess of) net investment Income of (Note 2(f))

 

$

(501,265

)

$

61,791

 

 

 

   

 

   

 

 

 

 

 

 

 

 

 

Transactions in Capital Shares:

 

 

 

 

 

 

 

Common shares outstanding at beginning of year

 

 

9,605,237

 

 

9,605,237

 

 

 

   

 

   

 

Common shares outstanding at end of year

 

 

9,605,237

 

 

9,605,237

 

 

 

   

 

   

 

The accompanying notes are an integral part of these financial statements.

17



 

Lazard Global Total Return and Income Fund, Inc.

 

Statement of Cash Flows

For the Year Ended December 31, 2011

 

INCREASE (DECREASE) IN CASH AND FOREIGN CURRENCY


 

 

 

 

 

Cash flows from operating activities:

 

 

 

 

Net decrease in net assets from operations

 

$

(2,725,790

)

Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities

 

 

 

 

Decrease in dividends and interest receivable

 

 

192,990

 

Accretion of bond discount and amortization of bond premium

 

 

(486,133

)

Inflation index adjustment

 

 

(129,324

)

Increase in other accrued expenses and payables

 

 

26,418

 

Net realized gain on investments, foreign currency and forward currency contracts

 

 

(4,171,887

)

Net change in unrealized depreciation on investments, foreign currency and forward currency contracts

 

 

11,217,779

 

Purchase of long-term investments

 

 

(62,701,289

)

Proceeds from disposition of long-term investments

 

 

54,791,029

 

Purchase of short-term investments, net

 

 

(2,587,939

)

 

 

   

 

Net cash used in operating activities

 

 

(6,574,146

)

 

 

   

 

 

 

 

 

 

Cash flows from financing activities:

 

 

 

 

Cash distribution paid (Note 2(f))

 

 

(10,103,941

)

Gross drawdowns in line of credit balance

 

 

20,210,000

 

Gross paydowns in line of credit balance

 

 

(3,790,000

)

 

 

   

 

Net cash provided by financing activities

 

 

6,316,059

 

 

 

   

 

 

 

 

 

 

Effect of exchange rate changes on cash

 

 

(45,298

)

 

 

   

 

Net decrease in cash and foreign currency

 

 

(303,385

)

 

 

 

 

 

Cash and foreign currency:

 

 

 

 

Beginning balance

 

 

487,585

 

 

 

   

 

Ending balance

 

$

184,200

 

 

 

   

 

 

 

 

 

 

Supplemental disclosure of cash flow information:

 

 

 

 

Cash paid during the year for interest

 

$

(120,878

)

 

 

   

 

The accompanying notes are an integral part of these financial statements.

18



 

Lazard Global Total Return and Income Fund, Inc.

 

Financial Highlights

Selected data for a share of common stock outstanding throughout each year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended

 

 

 

 

 

 

 

12/31/11

 

12/31/10

 

12/31/09

 

12/31/08

 

12/31/07

 

 

 

   

 

   

 

   

 

   

 

   

 

Net asset value, beginning of year

 

$

16.83

 

$

17.27

 

$

14.58

 

$

24.37

 

$

23.77

 

 

 

   

 

   

 

   

 

   

 

   

 

Income (loss) from investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.44

 

 

0.39

 

 

0.48

 

 

0.66

 

 

0.42

 

Net realized and unrealized gain (loss)

 

 

(0.73

)

 

0.25

 

 

3.21

 

 

(9.02

)

 

1.84

 

 

 

   

 

   

 

   

 

   

 

   

 

Total from investment operations

 

 

(0.29

)

 

0.64

 

 

3.69

 

 

(8.36

)

 

2.26

 

 

 

   

 

   

 

   

 

   

 

   

 

Less distributions from (Note 2(f)):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.78

)

 

(0.67

)

 

(0.08

)

 

(1.03

)

 

(1.15

)

Net realized gains

 

 

(0.16

)

 

 

 

 

 

(0.33

)

 

(0.51

)

Return of capital

 

 

(0.11

)

 

(0.41

)

 

(0.92

)

 

(0.07

)

 

 

 

 

   

 

   

 

   

 

   

 

   

 

Total distributions

 

 

(1.05

)

 

(1.08

)

 

(1.00

)

 

(1.43

)

 

(1.66

)

 

 

   

 

   

 

   

 

   

 

   

 

Net asset value, end of year

 

$

15.49

 

$

16.83

 

$

17.27

 

$

14.58

 

$

24.37

 

 

 

   

 

   

 

   

 

   

 

   

 

Market value, end of year

 

$

13.39

 

$

15.06

 

$

14.89

 

$

11.83

 

$

23.34

 

 

 

   

 

   

 

   

 

   

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return based upon:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value (a)

 

 

–1.85

%

 

4.14

%

 

26.90

%

 

–35.33

%

 

9.74

%

Market value (a)

 

 

–4.48

%

 

8.90

%

 

36.72

%

 

–44.43

%

 

11.35

%

 

Ratios and Supplemental Data:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of year (in thousands)

 

$

148,822

 

$

161,652

 

$

165,898

 

$

140,026

 

$

234,125

 

Ratios to average net assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net expenses

 

 

1.54

%

 

1.59

%

 

1.61

%

 

1.83

%

 

1.58

%

Gross expenses

 

 

1.54

%

 

1.59

%

 

1.61

%

 

1.83

%

 

1.58

%

Gross expenses excluding interest expense

 

 

1.46

%

 

1.47

%

 

1.42

%

 

1.45

%

 

1.42

%

Net investment income

 

 

2.73

%

 

2.37

%

 

3.28

%

 

3.26

%

 

1.71

%

Portfolio turnover rate

 

 

33

%

 

32

%

 

25

%

 

25

%

 

28

%


 

 

(a)

Total return based on per share market price assumes the purchase of common shares at the closing market price on the business day immediately preceding the first day, and sales of common shares at the closing market price on the last day, of each year indicated; dividends and distributions are assumed to be reinvested in accordance with the Fund’s Dividend Reinvestment Plan. The total return based on net asset value, or NAV, assumes the purchase of common shares at the “net asset value, beginning of year” and sales of common shares at the “net asset value, end of year”, for each of the years indicated; distributions are assumed to be reinvested at NAV. Past performance is not indicative, or a guarantee, of future results; the investment return, market price and net asset value of the Fund will fluctuate, so that an investor’s shares in the Fund, when sold, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a stockholder would pay on the Fund’s distributions or on the sale of Fund shares.

The accompanying notes are an integral part of these financial statements.

19



 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements

December 31, 2011

 

1. Organization

Lazard Global Total Return and Income Fund, Inc. (the “Fund”) was incorporated in Maryland on January 27, 2004 and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, closed-end management investment company. The Fund trades on the NYSE under the ticker symbol LGI and commenced operations on April 28, 2004. The Fund’s investment objective is total return, consisting of capital appreciation and income.

2. Significant Accounting Policies

The accompanying financial statements are presented in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The following is a summary of significant accounting policies:

(a) Valuation of Investments—Market values for securities are generally based on the last reported sales price on the principal exchange or market on which the security is traded, generally as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern time) on each valuation date. Any securities not listed, for which current over-the-counter market quotations or bids are readily available, are valued at the last quoted bid price or, if available, the mean of two such prices. Securities listed on foreign exchanges are valued at the last reported sales price except as described below; securities listed on foreign exchanges that are not traded on the valuation date are valued at the last quoted bid price. Forward currency contracts are valued at the current cost of offsetting the contracts. Investments in money market funds are valued at the fund’s net asset value.

Bonds and other fixed-income securities that are not exchange-traded are valued on the basis of prices provided by pricing services which are based primarily on institutional trading in similar groups of securities, or by using brokers’ quotations.

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 net asset value 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 values as determined by, or in accordance with procedures approved by, the Board of Directors (the “Board”). The Valuation Committee of the Investment Manager 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 analysts also will be considered.

(b) Portfolio Securities Transactions and Investment Income—Portfolio securities transactions are accounted for on trade date. Realized gain (loss) on sales of investments are recorded on a specific identification basis. Dividend income is recorded on the ex-dividend date and interest income is accrued daily. The Fund amortizes premiums and accretes discounts on fixed-income securities using the effective yield method.

The Fund may be subject to taxes imposed by foreign countries in which it invests. Such taxes are generally based upon income earned or capital gains (realized or unrealized). The Fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains concurrent with the recognition of income or capital gains (realized and unrealized) from the applicable portfolio securities.

(c) Leveraging—The Fund uses leverage to invest Fund assets in currency investments, primarily using forward currency contracts and by borrowing under a credit facility with State Street Bank and Trust Company (“State Street”), up to a maximum of 33⅓% of the Fund’s total leveraged assets. If the assets of the Fund decline due to market conditions such that this 33⅓% threshold will be exceeded, leverage risk will increase.

If the Fund is able to realize a higher return on the leveraged portion of its investment portfolio than the cost of such leverage together with other related expenses, the effect of the leverage will be to cause the Fund to realize a higher net return than if the Fund were not so leveraged. There is no assurance that any leveraging strategy the Fund employs will be successful.

Using leverage is a speculative investment technique and involves certain risks. These include higher volatility of net asset value, the likelihood of more volatility in the market value of the Fund’s common stocks and, with respect to borrowings, the possibility either that the Fund’s return will fall if the interest rate on any borrowings rises, or that income will fluctuate because the interest rate of borrowings varies.

If the market value of the Fund’s leveraged currency investments declines, the leverage will result in a greater decrease in net asset value, or less of an increase in net asset value, than if the Fund were not leveraged. Such results also will tend to have a similar effect on the market price of the Fund’s common stocks. To the extent that the Fund is required or elects to prepay any borrowings, the Fund may need to liquidate investments to fund such pre-



20



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (continued)

December 31, 2011

 

payments. Liquidation at times of adverse economic conditions may result in capital losses and may reduce returns.

(d) Foreign Currency Translation and Forward Currency Contracts—The accounting records of the Fund are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated daily into U.S. dollars at the prevailing rates of exchange. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rates on the respective transaction dates.

The Fund does not isolate the portion of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in their market prices. Such fluctuations are included in net realized and unrealized gain (loss) on investments. Net realized gain (loss) on foreign currency and forward currency contracts represents net foreign currency gain (loss) from forward currency contracts, disposition of foreign currencies, currency gain (loss) realized between the trade and settlement dates on securities transactions, and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid. Net change in unrealized appreciation (depreciation) on foreign currency reflects the impact of changes in exchange rates on the value of assets and liabilities, other than investments in securities, during the year.

A forward currency contract is an agreement between two parties to buy or sell currency at a set price on a future date. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

The U.S. dollar value of forward currency contracts is determined using forward exchange rates provided by quotation services. Daily fluctuations in the value of such contracts are recorded as unrealized appreciation (depreciation) on forward currency contracts. When the contract is closed, the Fund records a realized gain (loss) equal to the difference between the value at the time it was opened and the value at the time it was closed.

(e) Federal Income Tax Policy—It is the Fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its stockholders. Therefore, no provision for federal income taxes is required. The Fund files tax returns with the U.S. Internal Revenue Service and various states.


Under current tax law, certain capital and net foreign currency losses realized after October 31 within the taxable year may be deferred and treated as occurring on the first day of the following tax year. For the tax year ended December 31, 2011, the Fund had $89,967 net capital and foreign currency losses arising between November 1, 2011 and December 31, 2011.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC Modernization Act”) was signed into law. The RIC Modernization Act includes numerous provisions that generally become effective for taxable years beginning after the date of enactment. Among the new provisions, net capital losses may be carried forward indefinitely, and their character is retained as short-term or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. The RIC Modernization Act also requires that post-enactment net capital losses be used before pre-enactment net capital losses. As a result, pre-enactment capital loss carryforwards may now expire unused.

Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years (2008-2010), or expected to be taken in the Fund’s 2011 tax returns.

(f) Dividends and Distributions—The Fund intends to declare and to pay dividends monthly from net investment income. Distributions to stockholders are recorded on the ex-dividend date. During any particular year, net realized gains from investment transactions in excess of available capital loss carryforwards would be taxable to the Fund, if not distributed. The Fund intends to declare and distribute these amounts, at least annually, to stockholders; however, to avoid taxation, a second distribution may be required.

Income dividends and capital gains distributions are determined in accordance with federal income tax regulations which may differ from GAAP. These book/tax differences, which may result in distribution reclassifications, are primarily due to differing treatments of foreign currency transactions and wash sales. The book/tax differences relating to stockholder distributions resulted in reclassifications among certain capital accounts as follows:

 

 

 

 

 

Paid in Capital

 

Distribution in excess of
Net Investment Income

 

Accumulated Net
Realized Loss

 

 

 

 

 

$(3,670,694)

 

$5,220,783

 

$(1,550,089)



21



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (continued)

December 31, 2011

 

The Fund has implemented a level distribution policy to seek to maintain a stable monthly distribution, subject to oversight of the Fund’s Board. Under the Fund’s level distribution policy, the Fund intends to make regular monthly distributions at a fixed rate per share. If for any monthly distribution, net investment income and net realized short-term capital gain were less than the amount of the distribution, the difference would generally be distributed from the Fund’s assets. In addition, in order to make such distributions, the Fund might have to sell a portion of its investment portfolio at a time when independent investment judgment might not dictate such actions.

In July 2010, the Investment Manager, on behalf of itself and the Fund, received an exemptive order from the Securities and Exchange Commission (the “SEC”) facilitating the implementation of a distribution policy that may include multiple long-term capital gains distributions (“Managed Distribution Policy”). As a result, the Fund may, subject to the determination of its Board, implement a Managed Distribution Policy.

Concurrent with the monthly distributions paid from February 2011 through December 2011, the Fund issued notices pursuant to Section 19(a) of the Act (the “Section 19(a) Notices”) each stating that the Fund had currently estimated that it had distributed more than its net investment income and realized capital gains. For 2011, $0.1091 of the $1.0519 distributed per share represented a return of capital. The Section 19(a) Notices may also be viewed at www.LazardNet.com.

The amounts and sources of distributions shown on the Section 19(a) Notices are only estimates and are not provided for tax reporting purposes. The actual amounts and sources of the cumulative distributions for tax reporting purposes will depend upon the Fund’s investment experience during the year and may be subject to changes based on tax regulations. The Fund will send stockholders a Form 1099-DIV for the calendar year explaining how to report these distributions for federal income tax purposes.

The tax character of dividends and distributions paid during the years ended December 31, was as follows:

 

 

 

 

 

 

 

 

 

 

2011

 

2010

 

 

 

 

 

 

 

Ordinary Income

 

$

7,497,933

 

$

6,474,272

 

Long-Term Capital Gain

 

 

1,558,119

 

 

 

Return of Capital

 

 

1,047,889

 

 

3,893,621

 

 

 

   

 

   

 

Total

 

$

10,103,941

 

$

10,367,893

 

 

 

   

 

   

 

At December 31, 2011, the components of accumulated losses on a tax basis were $0 of undistributed ordinary


income, $0 of undistributed long-term capital gain and $15,185,402 of net unrealized depreciation.

(g) Estimates—The preparation of financial statements in conformity with GAAP requires the Fund to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting year. Actual results could differ from those estimates.

(h) Subsequent Events—Management has performed its evaluation of subsequent events and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

3. Investment Management Agreement

The Fund has entered into an investment management agreement (the “Management Agreement”) with the Investment Manager. Pursuant to the Management Agreement, the Investment Manager regularly provides the Fund with investment research, advice and supervision and furnishes continuously an investment program for the Fund consistent with its investment objective and policies, including the purchase, retention and disposition of securities.

The Fund has agreed to pay the Investment Manager an annual investment management fee of 0.85% of the Fund’s average daily “Total Leveraged Assets” (the Fund’s total assets including Financial Leverage (defined below)) for the services and facilities provided by the Investment Manager, payable on a monthly basis. The fee paid to the Investment Manager will be higher when the Investment Manager uses Currency Commitments and Borrowings (“Financial Leverage”) to make Currency Investments, rather than by reducing the percentage of “Net Assets” (the Fund’s assets without taking into account Financial Leverage) invested in Global Equity Investments for the purposes of making Currency Investments. “Global Equity Investments” refers to investments in the Fund’s global equity strategy consisting of equity securities of companies with market capitalizations of $5 billion or greater domiciled in those countries that comprise the Morgan Stanley Capital International (MSCI®) World® Index. “Currency Investments” refers to investments in the Fund’s emerging income strategy, consisting of emerging market currencies (primarily by entering into forward currency contracts), or instruments whose value is derived from the performance of an underlying emerging market currency, but also may invest in debt obligations, including government, government agency and corporate obligations and structured notes denominated in emerging market currencies.



22



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (continued)

December 31, 2011

 

“Currency Commitments” are the aggregate financial exposures created by forward currency contracts in excess of that represented in the Fund’s Net Assets, and “Borrowings” refers to the borrowings under the Fund’s credit facility. Assuming Financial Leverage in the amount of 33⅓% of the Fund’s Total Leveraged Assets, the annual fee payable to the Investment Manager would be 1.28% of Net Assets (i.e., not including amounts attributable to Financial Leverage).

The following is an example of this calculation of the Investment Manager’s fee, using very simple illustrations. If the Fund had assets of $1,000, it could invest $1,000 in Global Equity Investments and enter into $500 in forward currency contracts (because the Fund would not have to pay money at the time it enters into the currency contracts). Similarly, the Fund could invest $1,000 in Global Equity Investments, borrow $500 and invest the $500 in foreign currency denominated bonds. In either case, the Investment Manager’s fee would be calculated based on $1,500 of assets, because the fee is calculated based on Total Leveraged Assets (Net Assets plus Financial Leverage). In our example, the Financial Leverage is in the form of either the forward currency contracts (Currency Commitments) or investments from Borrowings. The amount of the Financial Leverage outstanding, and therefore the amount of Total Leveraged Assets on which the Investment Manager’s fee is based, fluctuates daily based on changes in value of the Fund’s portfolio holdings, including changes in value of the currency involved in the forward currency contracts and foreign currency denominated bonds acquired with the proceeds of Borrowings. However, the Investment Manager’s fee will be the same regardless of whether Currency Investments are made with Currency Commitments or with Borrowings (without taking into account the cost of Borrowings).

This method of calculating the Investment Manager’s fee is different than the way closed-end investment companies typically calculate management fees. Traditionally, closed-end investment companies calculate management fees based on Net Assets plus Borrowings (excluding Financial Leverage obtained through Currency Commitments). The Investment Manager’s fee is different because the Fund’s leverage strategy is different than the leverage strategy employed by many other closed-end investment companies. Although the Fund may employ Borrowings in making Currency Investments, the Fund’s leverage strategy relies primarily on Currency Commitments, rather than relying exclusively on borrowing money and/or issuing preferred stock, as is the strategy employed by most closed-end investment companies. The Investment Manager’s fee would be lower if its fee were


calculated only on Net Assets plus Borrowings, because the Investment Manager would not earn fees on Currency Investments made with Currency Commitments (forward currency contracts). Using the example above, where the Fund has assets of $1,000 and invests $1,000 in Global Equity Investments and $500 in forward currency contracts, the following table illustrates how the Investment Manager’s fee would be different if it did not earn management fees on these types of Currency Investments. A discussion of the most recent review and approval by the Fund’s Board of the Management Agreement (including the method of calculating the Investment Manager’s fee) is included under “Other Information—Board Consideration of Management Agreement” in the Fund’s semi-annual report for the period ended June 30, 2011.

 

 

 

 

 

 

 

 

Beginning assets of $1,000

 

Fund’s management
fee based on
Total Leveraged
Assets (includes
Currency
Commitments)

 

Typical
management
fee formula,
calculated excluding
Currency
Commitments

 

Global Equity Investments
(Net Assets)

 

$

1,000

 

$

1,000

 

Currency Commitments

 

$

500

 

$

500

 

Assets used to calculate

 

 

 

 

 

 

 

management fee

 

$

1,500

 

$

1,000

 

Management fee (0.85%)

 

$

12.75

 

$

8.50

 

Investment Manager Fee Conflict Risk—The fee paid to the Investment Manager for investment management services will be higher when the Fund uses Financial Leverage, whether through forward currency contracts or Borrowings, because the fee paid will be calculated on the basis of the Fund’s assets including this Financial Leverage. Consequently, the Investment Manager may have a financial interest for the Fund to utilize such Financial Leverage, which may create a conflict of interest between the Investment Manager and the stockholders of the Fund.

The Fund has implemented procedures to monitor this potential conflict.

4. Administration Agreement

The Fund has entered into an administration agreement with State Street to provide certain administrative services. The Fund bears the cost of such services at a fixed annual rate of $42,500, plus 0.02% of average daily net assets up to $1 billion and 0.01% of average daily net assets over $1 billion.

5. Directors’ Compensation

Certain Directors of the Fund are officers of the Investment Manager. Each Director who is not an affiliated person of the Investment Manager or any of its affiliates is paid by



23



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (continued)

December 31, 2011

 

the Fund, The Lazard Funds, Inc., Lazard Retirement Series, Inc. and Lazard World Dividend & Income Fund, Inc. (collectively with the Fund, the “Lazard Funds”), each a registered management investment company advised by the Investment Manager: (1) an annual retainer of $80,000 ($100,000 effective January 1, 2012), (2) a per meeting in person regular or special meeting fee of $5,000 ($1,500 for telephonic participation), including Board, committee, subcommittee or other special meetings specifically authorized by the Board and held in connection with delegated Fund business, and (3) a telephone Audit Committee or special Board meeting fee of $1,500, with an additional annual fee for the Audit Committee Chairman of $5,000. Such Directors also are reimbursed for travel and other out-of-pocket expenses for attending Board and committee meetings. No additional compensation is provided in respect of committee meetings held in conjunction with a meeting of the Board. Compensation is divided among the Lazard Funds based on relative net assets. The Directors do not receive benefits from the Fund pursuant to any pension, retirement or similar arrangement.

6. Securities Transactions and Transactions with Affiliates

Purchases and sales of portfolio securities (excluding short-term investments) for the year ended December 31, 2011 were $65,058,277 and $56,615,578, respectively.

For the year ended December 31, 2011, no brokerage commissions were paid to affiliates of the Investment Manager or other affiliates of the Fund for portfolio transactions executed on behalf of the Fund.

7. Line of Credit

The Fund has a $30 million Line of Credit Agreement (the “Agreement”) with State Street primarily to borrow to invest Fund assets in Currency Investments. The Fund may borrow the lesser of $30 million or 331/3% of its Total Leveraged Assets. Interest on borrowings was payable at the higher of the Federal Funds rate or Overnight LIBOR rate plus 1.25% from January 1, 2011 to April 20, 2011 and plus 0.75% from April 21, 2011 to December 31, 2011, on an annualized basis. Under the Agreement, the Fund has also agreed to pay a 0.15% per annum fee on the unused portion of the commitment, payable quarterly in arrears. During the year ended December 31, 2011, the Fund had borrowings under the Agreement as follows:

 

 

 

 

 

Average Daily

 

Maximum Daily

 

Weighted Average

Loan Balance*

 

Loan Outstanding

 

Interest Rate

 

 

 

 

 

$12,823,767

 

$20,210,000

 

0.98%

* A loan balance was outstanding on each day during 2011.


8. Foreign Securities Investment Risks

The Fund invests in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities. Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. The Fund’s investments in emerging market countries are exposed to additional risks. The Fund’s performance will be influenced by political, social and economic factors affecting companies in emerging market countries. Emerging market countries generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries.

9. Contractual Obligations

The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

10. 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 GAAP 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



24



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (continued)

December 31, 2011

 

 

 

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 December 31, 2011:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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
December 31, 2011

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks*

 

$

139,300,757

 

$

 

$

 

$

139,300,757

 

Foreign Government Obligations*

 

 

 

 

27,064,170

 

 

 

 

27,064,170

 

Short-Term Investment

 

 

 

 

2,587,939

 

 

 

 

2,587,939

 

Other Financial Instruments**

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Currency Contracts

 

 

 

 

1,114,939

 

 

 

 

1,114,939

 

 

 

   

 

   

 

   

 

   

 

Total

 

$

139,300,757

 

$

30,767,048

 

$

 

$

170,067,805

 

 

 

   

 

   

 

   

 

   

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments**

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Currency Contracts

 

$

 

$

(974,512

)

$

 

$

(974,512

)

 

 

   

 

   

 

   

 

   

 


 

 

*

Please refer to Portfolio of Investments (pages 8 through 9) and Notes to Portfolio of Investments (page 14) for portfolio holdings by country and industry.

 

 

**

Other financial instruments are derivative instruments which are valued at the unrealized appreciation/depreciation.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value during the year ended December 31, 2011:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Balance as of
December 31,
2010

 

Accrued
Discounts

 

Realized
Loss

 

Change in
Unrealized
Appreciation

 

Purchases

 

Sales

 

Net
Transfers
Into
Level 3

 

Net
Transfer
Out of
Level 3

 

Balance
as of
December 31,
2011

 

Net Change in
Unrealized
Appreciation
from Investments
Still Held at
December 31, 2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Government

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations

 

$

899,155

 

$

7,591

 

$

(137,180

)

$

112,111

 

$

 

$

(657,354

)

$

 

$

(224,323

)

$

 

$

 

 

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

There were no significant transfers into or out of Levels 1, 2 or 3 during the year ended December 31, 2011.

25



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Notes to Financial Statements (concluded)

December 31, 2011

 

11. Derivative Instruments

The Fund may use derivative instruments, including forward currency contracts, to gain exposure to the local currency and interest rates of emerging markets or to hedge certain types of currency exposure.

For the year ended December 31, 2011, the cost of purchases and the proceeds from sales of forward currency contracts were $729,543,431 and $736,155,590, respectively.

The following table summarizes the fair value of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2011:

 

 

 

 

 

 

 

Fair Value

 

 

 

 

 

Asset Derivatives

 

 

 

 

Foreign Exchange Risk:

 

 

 

 

Gross unrealized appreciation on forward currency contracts

 

$

1,114,939

 

 

 

   

 

 

Liability Derivatives

 

 

 

 

Foreign Exchange Risk:

 

 

 

 

Gross unrealized depreciation on forward currency contracts

 

$

974,512

 

 

 

   

 

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2011 was:

 

 

 

 

 

 

 

Amount

 

 

 

   

 

Realized Gain (Loss) on Derivatives Recognized in Income

 

 

 

 

Foreign Exchange Risk:

 

 

 

 

Net realized gain on forward currency contracts

 

$

23,552

 

 

 

   

 

 

 

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Derivatives
Recognized in Income

 

 

 

 

Foreign Exchange Risk:

 

 

 

 

Net change in unrealized depreciation on forward currency contracts

 

$

(77,960

)

 

 

   

 

12. Accounting Pronouncement

In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update No. 2011-04 (“ASU 2011-04”), “Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in US GAAP and International Financial Reporting Standards.” The ASU 2011-04 changes certain fair value measurement principles and disclosure requirements.

The ASU 2011-04 is effective for annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU 2011-04 will have on the Fund’s financial statements and related disclosures.



26



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Report of Independent Registered Public Accounting Firm

 

 

To the Stockholders and Board of Directors of
Lazard Global Total Return and Income Fund, Inc.:

We have audited the accompanying statement of assets and liabilities of Lazard Global Total Return and Income Fund, Inc. (the “Fund”), including the portfolio of investments, as of December 31, 2011, and the related statement of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Lazard Global Total Return and Income Fund, Inc. as of December 31, 2011, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP
New York, New York
February 29, 2012

27



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Proxy Voting Results

(unaudited)

 

The Annual Meeting of Stockholders was held on April 29, 2011, to vote on the following proposal. The proposal received the required number of votes of stockholders and was adopted.

Election of the following Directors:

 

 

Two Class III Directors (Ashish Bhutani and Richard Reiss, Jr.) each to serve for a three-year term expiring at the 2014 Annual Meeting and/or until his successor is duly elected and qualified.


 

 

 

 

 

 

Director

 

 

For

 

Withhold Authority

 

 

 

 

 

 

Ashish Bhutani

 

8,154,734

 

146,899

Richard Reiss, Jr.

 

7,938,112

 

363,521

28



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Dividend Reinvestment Plan

(unaudited)

 

Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain distributions, on your common stock will be automatically reinvested by Computershare, Inc., as dividend disbursing agent (the “Plan Agent”), in additional common stock under the Fund’s Dividend Reinvestment Plan (the “Plan”). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all distributions in cash, paid by check mailed directly to you by the Plan Agent.

Under the Plan, the number of shares of common stock you will receive will be determined on the dividend or distribution payment date, as follows:

 

 

(1)

If the common stock is trading at or above net asset value at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) net asset value per common share on that date or (ii) 95% of the common stock’s market price on that date.

 

 

(2)

If the common stock is trading below net asset value at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase common stock in the open market, on the NYSE or elsewhere, for the participants’ accounts. It is possible that the market price for the common stock may increase before the Plan Agent has completed its purchases. Therefore, the average purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in common stock issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase common stock in the open market within 30 days of the valuation date. Interest will not be paid on any uninvested cash payments.

You may withdraw from the Plan at any time by giving written notice to the Plan Agent. If you withdraw or the

Plan is terminated, you will receive whole shares in your account under the Plan and you will receive a cash payment for any fraction of a share in your account. If you wish, the Plan Agent will sell your shares and send you the proceeds, minus an initial $15 service fee plus $0.12 per share being liquidated (for processing and brokerage expenses).

The Plan Agent maintains all stockholders’ accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Shares of common stock in your account will be held by the Plan Agent in non-certificated form. Any proxy you receive will include all common stock you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions in newly-issued shares of common stock. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases.

Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions.

If you hold your common stock with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above. Consult your financial advisor for more information.

The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board, the change is warranted. There is no direct service charge to participants in the Plan (other than the service charge when you direct the Plan Agent to sell your common stock held in a dividend reinvestment account); however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained from the Plan Agent at P.O. Box 43010, Providence, Rhode Island 02940-3010.



29



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Board of Directors and Officers Information

(unaudited)

 

 

 

 

 

 

Name (Age)
Address(1)

 

Position(s) with the Fund
(Since) and Term(2)

 

Principal Occupation(s) and Other Public Company
Directorships Held During the Past Five Years(2)

         

Board of Directors:

 

 

 

 

 

 

 

 

 

Class I — Directors with Term Expiring in 2012

 

 

 

 

 

 

Independent Directors(3):

 

 

 

 

 

 

Leon M. Pollack (71)

 

Director
(August 2006)

 

Private Investor

 

 

 

 

 

Robert M. Solmson (64)

 

Director
(September 2004)

 

Fairwood Capital, LLC, a private investment corporation engaged primarily in real estate and hotel investments, President (2008 - present)

 

 

 

 

 

Interested Director(4):

 

 

 

 

 

 

 

 

 

Charles L. Carroll (51)

 

Chief Executive Officer,
President and Director
(June 2004)

 

Investment Manager, Deputy Chairman and Head of Global Marketing (2004 - present)

 

 

 

 

 

Class II — Directors with Term Expiring in 2013

 

 

 

 

 

Independent Directors(3):

 

 

 

 

 

 

 

 

 

Kenneth S. Davidson (66)(5)

 

Director
(February 2004)

 

Davidson Capital Management Corporation, an investment manager, President (1978 - present)

Aquiline Holdings LLC, an investment manager, Partner (2006 - present)

 

 

 

 

 

Nancy A. Eckl (49)

 

Director
(February 2007)

 

American Beacon Advisors, Inc. (“American Beacon”) and certain funds advised by American Beacon, Vice President (1990 - 2006)

College Retirement Equities Fund (eight accounts), Trustee (2007 - present)

TIAA-CREF Funds (57 funds) and TIAA-CREF Life Funds (10 funds), Trustee (2007 - present)

TIAA Separate Account VA-1, Member of the Management Committee (2007 - present)

 

 

 

 

 

Lester Z. Lieberman (81)

 

Director
(February 2004)

 

Private Investor

 

 

 

 

 

Class III — Directors with Term Expiring in 2014

 

 

 

 

 

Independent Director(3):

 

 

 

 

 

 

 

 

 

Richard Reiss, Jr. (67)

 

Director
(February 2004)

 

Georgica Advisors LLC, an investment manager, Chairman (1997 - present)

O’Charley’s, Inc., a restaurant chain, Director (1984 - present)

 

 

 

 

 

Interested Director(4):

 

 

 

 

 

 

 

 

 

Ashish Bhutani (51)

 

Director
(July 2005)

 

Investment Manager, Chief Executive Officer (2004 - present)

Lazard Ltd, Vice Chairman and Director (2010 - present)


 

 

(1)

The address of each Director is Lazard Asset Management LLC, 30 Rockefeller Plaza, New York, New York 10112-6300.

(2)

Each Director also serves as a Director for each of the Lazard Funds (currently comprised of 26 active investment portfolios). All of the Independent Directors, except Mr. Lieberman, are also board members of Lazard Alternative Strategies Fund, L.L.C. and Lazard Alternative Strategies 1099 Fund, closed-end registered management investment companies advised by an affiliate of the Investment Manager.

(3)

“Independent Directors” are not “interested persons” (as defined in the Act) of the Fund.

(4)

Messrs. Bhutani and Carroll are “interested persons” (as defined in the Act) of the Fund because of their positions with the Investment Manager.

(5)

It is possible that Mr. Davidson could be deemed to be an affiliate of a company that has an indirect ownership interest in a broker-dealer that the Investment Manager may use to execute portfolio transactions for clients other than the Fund, and thus an “interested person” (as defined in the Act) of the Fund. However, due to the structure of Mr. Davidson’s relationship with the company and the remote nature of any deemed affiliation with the broker-dealer, Mr. Davidson is not identified as an “interested person” (as defined in the Act) of the Fund. Mr. Davidson participates in Fund Board meetings as if his status were that of an “interested person” (as defined in the Act) of the Fund.

30



 

 

Lazard Global Total Return and Income Fund, Inc.

 

Board of Directors and Officers Information (concluded)

(unaudited)

 

 

 

 

 

 

Name (Age)
Address(1)

 

Position(s) with the Fund
(Since) and Term(2)

 

Principal Occupation(s) During the Past Five Years

         

Officers(3):

 

 

 

 

 

 

 

 

 

Nathan A. Paul (39)

 

Vice President
and Secretary
(February 2004)

 

Managing Director and General Counsel of the Investment Manager

 

 

 

 

 

Stephen St. Clair (53)

 

Treasurer
(February 2004)

 

Vice President of the Investment Manager

 

 

 

 

 

Brian D. Simon (49)

 

Chief Compliance Officer
(January 2009) and
Assistant Secretary
(February 2004)

 

Managing Director (since February 2011, previously Director) of the Investment Manager and Chief Compliance Officer (since January 2009) of the Investment Manager and the Fund

 

 

 

 

 

Tamar Goldstein (36)

 

Assistant Secretary
(February 2009)

 

Vice President (since March 2009, previously Counsel) of the Investment Manager

 

 

 

 

 

Cesar A. Trelles (37)

 

Assistant Treasurer
(December 2004)

 

Vice President (since February 2011, previously Fund Administration Manager) of the Investment Manager


 

 

(1)

The address of each officer is Lazard Asset Management LLC, 30 Rockefeller Plaza, New York, New York 10112-6300.

(2)

Each officer serves for an indefinite term, until his or her successor is elected and qualifies or until his or her earlier resignation or removal. Each officer serves in the same capacity for the other Lazard Funds.

(3)

In addition to Charles L. Carroll, President, whose information is included in the Class I Interested Director section.

31




 

 

Lazard Global Total Return and Income Fund, Inc.

 

Other Information

(unaudited)

 

Tax Information
Year Ended December 31, 2011

The following tax information represents year end disclosures of the tax benefits passed through to stockholders for 2011:

Of the dividends paid by the Fund, 45.13% of each dividend will be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The same information will be reported in conjunction with your 2011 Form 1099-DIV.

Of the dividends paid by the Fund, 34.22% of the dividends qualify for the dividends received deduction available to corporate shareholders.

Pursuant to Section 871 of the Code, the Fund has no designated qualified short-term gains for purposes of exempting withholding of tax on such distributions to U.S. nonresident shareholders.

Proxy Voting

A description of the policies and procedures used to determine how proxies relating to Fund portfolio securities are voted is available (1) without charge, upon request, by calling (800) 823-6300 or (2) on the SEC’s website at http://www.sec.gov.

The Fund’s proxy voting record for the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 823-6300 or (2) on the SEC’s website at http://www.sec.gov. Information as of June 30 each year will generally be available by the following August 31.

Form N-Q

The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.



32



 

Lazard Global Total Return and Income Fund, Inc.

30 Rockefeller Plaza

New York, New York 10112-6300

Telephone: 800-823-6300

http://www.LazardNet.com

 

Investment Manager

Lazard Asset Management LLC

30 Rockefeller Plaza

New York, New York 10112-6300

Telephone: 800-823-6300

 

Custodian

State Street Bank and Trust Company

One Lincoln Street

Boston, Massachusetts 02111

 

Transfer Agent and Registrar

Computershare Trust Company, N.A.

P.O. Box 43010

Providence, Rhode Island 02940-3010

 

Dividend Disbursing Agent

Computershare, Inc.

P.O. Box 43010

Providence, Rhode Island 02940-3010

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Two World Financial Center

New York, New York 10281-1414

 

Legal Counsel

Stroock & Stroock & Lavan LLP

180 Maiden Lane

New York, New York 10038-4982

http://www.stroock.com




(BACK COVER)

This report is intended only for the information of stockholders of common stock of Lazard Global Total Return and Income Fund, Inc.

Lazard Asset Management LLC

30 Rockefeller Plaza

www.LazardNet.com

New York, NY 10112-6300




ITEM 2. CODE OF ETHICS.

          The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

          The Registrant’s Board of Directors (the “Board”) has determined that Lester Z. Lieberman, Robert M. Solmson and Nancy A. Eckl, members of the Audit Committee of the Board, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Mr. Lieberman, Mr. Solmson and Ms. Eckl are “independent” as defined by the SEC for purposes of audit committee financial expert determinations.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $62,000 in 2010 and $62,000 in 2011.

(b) Audit-Related Fees. There were no fees billed in the Reporting Periods by the Auditor to the Registrant for assurance and related services that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item 4. There were no fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to Lazard Asset Management LLC, the Registrant’s investment manager (“Lazard”), and any entity controlling, controlled by or under common control with Lazard that provides ongoing services to the Registrant (“Service Affiliates”).

(c) Tax Fees. The aggregate fees billed in the Reporting Periods by the Auditor to the Registrant for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $6,750 in 2010 and $8,703 in 2011. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; and (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments. There were no fees billed for the Reporting Periods for Tax Services by the Auditor to Service Affiliates.

(d) All Other Fees. There were no fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) above. There were no fees billed in the Reporting Periods for non-audit services by the Auditor to Service Affiliates, other than the services reported in paragraphs (a) through (c) above.

(e) Audit Committee Pre-Approval Policies and Procedures. The Registrant’s Audit Committee pre-approves the Auditor’s engagements for audit and non-audit services to the Registrant and, as required, non-audit services to Service Affiliates on a case-by-case basis. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor’s independence. There were no services provided by the Auditor that were approved pursuant to (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) None.


(g) Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and rendered to Service Affiliates for the Reporting Periods were $935,847 in 2010 and $1,214,012 in 2011.

(h) Auditor Independence. The Audit Committee considered whether provision of non-audit services to Service Affiliates that were not required to be pre-approved is compatible with maintaining the Auditor’s independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

 

 

          The Registrant has a separately-designated standing Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. It is composed of the following Directors, each of whom is not an “interested person” (as defined in the Investment Company Act of 1940) of the Registrant (“Independent Directors”):

 

 

 

Lester Z. Lieberman, Audit Committee Chairman

 

Nancy A. Eckl

 

Leon M. Pollack

 

Richard Reiss, Jr.

 

Robert M. Solmson

ITEM 6. INVESTMENTS

          Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED END MANAGEMENT INVESTMENTCOMPANIES.

 

 

 

          The Registrant has delegated voting of proxies in respect of portfolio holdings to Lazard, to vote the Registrant’s proxies in accordance with Lazard’s proxy voting policy and guidelines (the “Voting Guidelines”) that provide as follows:


 

 

 

 

 

 

Lazard votes proxies in the best interests of its clients.

 

 

 

 

 

 

Unless Lazard’s Proxy Committee otherwise determines, Lazard votes proxies in a manner consistent with the Voting Guidelines.

 

 

 

 

 

 

To avoid conflicts of interest, Lazard votes proxies where a material conflict has been deemed to exist in accordance with specific proxy voting guidelines regarding various standard proxy proposals (“Approved Guidelines”) or, if the Approved Guideline is to vote case-by-case, in accordance with the recommendation of an independent source.

 

 

 

 

 

 

Lazard also may determine not to vote proxies in respect of securities of any issuer if it determines that it would be in the client’s overall best interests not to vote.

 

 

 

 

 

          The Voting Guidelines address how it will vote proxies on particular types of matters such as the election for directors, adoption of option plans and anti-takeover proposals. For example, Lazard generally will:

 

 

 

 

 

 

vote as recommended by management in routine election or re-election of directors;

 

 

 

 

 

 

favor programs intended to reward management and employees for positive, long-term performance, evaluating whether Lazard believes, under the circumstances, that the level of compensation is appropriate or excessive; and

 

 

 

 

 

 

vote against anti-takeover measures, such as adopting supermajority voting requirements, shareholder rights plans and fair price provisions.



ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

 

 

Principal Portfolio Managers

 

 

 

As of the date of the filing of this Report on Form N-CSR, the following persons are responsible for the management of the Registrant’s portfolio:

 

 

 

James Donald is responsible for allocation of the Registrant’s assets between Global Equity Investments and Currency Investments (each, as defined in the notes to the Registrant’s annual report to shareholders contained in Item 1) and overall management of the Registrant’s portfolio. Global Equity Investments and Currency Investments are each managed on a team basis, with each member of the team involved at all levels of the investment process.

 

 

 

Mr. Donald, a Managing Director of Lazard, is a portfolio manager/analyst on Lazard’s Emerging Markets Equity team and Head of the Emerging Markets Group. Prior to joining Lazard in 1996, Mr. Donald was a portfolio manager with Mercury Asset Management. Mr. Donald is a CFA Charterholder.

 

 

 

Global Equity Investments. Michael G. Fry, Michael Powers, Ronald Temple and Andrew Lacey are the portfolio managers responsible for investing the Registrant’s assets allocated to Global Equity Investments.

 

 

 

Michael G. Fry, a Managing Director of the Investment Manager, is a portfolio manager/analyst on the Investment Manager’s Global Equity and International Equity teams. Prior to joining the Investment Manager in 2005, Mr. Fry held several positions at UBS Global Asset Management, including Head of Global Equity Portfolio Management, Global Head of Equity Research and Head of Australian Equities. Mr. Fry began working in the investment field in 1981.

 

 

 

Ronald Temple, a Managing Director of the Investment Manager, is a portfolio manager/analyst on various of the Investment Manager’s U.S. Equity teams and the Global Equity Select team. Mr. Temple is a Co-Director of Research and has primary research coverage of the financials sector. Mr. Temple joined the Investment Manager in 2001 and had been working in the investment field since 1991.

 

 

 

Mr. Lacey, a Deputy Chairman of Lazard, is responsible for oversight of U.S. and Global strategies. He also is a portfolio manager/analyst on various of Lazard’s U.S. Equity and Global Equity teams. Mr. Lacey joined Lazard in 1996, and has been working in the investment field since 1995.

 

 

 

Mr. Powers, a Managing Director of Lazard, is a portfolio manager/analyst on Lazard’s Global Equity and International Equity teams. He began working in the investment field in 1990 when he joined Lazard.

 

 

 

Currency Investments. Ardra Belitz and Ganesh Ramachandran are jointly responsible for investment of the Registrant’s assets allocated to Currency Investments.

 

 

 

Ms. Belitz is a Managing Director of Lazard and a portfolio manager/analyst specializing in emerging market currency and debt. She has been working in the investment field since 1994 and joined Lazard in 1996.

 

 

 

Mr. Ramachandran is a Managing Director of Lazard and a portfolio manager/analyst specializing in emerging market currency and debt. He joined Lazard in 1997.

 

 

 

Portfolio Management

 

 

 

Team Management. Portfolio managers at Lazard manage multiple accounts for a diverse client base, including private clients, institutions and investment funds. Lazard manages all portfolios on a team basis. The team is involved at all levels of the investment process. This team approach allows for every portfolio manager to benefit from his/her peers, and for clients to receive the firm’s best thinking, not that of a single portfolio manager. Lazard manages all like investment mandates against a model portfolio. Specific client objectives, guidelines or limitations then are applied against the model, and any necessary adjustments are made.

 

 

 

Material Conflicts Related to Management of Similar Accounts. Although the potential for conflicts of interest exist when an investment adviser and portfolio managers manage other accounts that invest in securities in which the Registrant may invest or that may pursue a strategy similar to one of the Registrant’s component strategies (collectively, “Similar Accounts”), Lazard has procedures in place that are designed to ensure that all accounts are treated fairly and that the Registrant is not disadvantaged, including procedures regarding trade allocations and “conflicting trades” (e.g., long and short positions in the same security, as described below). In addition, the Registrant, as a registered investment company, is subject to




 

 

 

different regulations than certain of the Similar Accounts, and, consequently, may not be permitted to engage in all the investment techniques or transactions, or to engage in such techniques or transactions to the same degree, as the Similar Accounts.

 

 

 

Potential conflicts of interest may arise because of Lazard’s management of the Registrant and Similar Accounts. For example, conflicts of interest may arise with both the aggregation and allocation of securities transactions and allocation of limited investment opportunities, as Lazard may be perceived as causing accounts it manages to participate in an offering to increase Lazard’s overall allocation of securities in that offering, or to increase Lazard’s ability to participate in future offerings by the same underwriter or issuer. Allocations of bunched trades, particularly trade orders that were only partially filled due to limited availability, and allocation of investment opportunities generally, could raise a potential conflict of interest, as Lazard may have an incentive to allocate securities that are expected to increase in value to preferred accounts. Initial public offerings, in particular, are frequently of very limited availability. Additionally, portfolio managers may be perceived to have a conflict of interest because of the large number of Similar Accounts, in addition to the Registrant, that they are managing on behalf of Lazard. In addition, Lazard could be viewed as having a conflict of interest to the extent that Lazard and/or portfolio managers have a materially larger investment in a Similar Account than their investment in the Registrant. Although Lazard does not track each individual portfolio manager’s time dedicated to each account, Lazard periodically reviews each portfolio manager’s overall responsibilities to ensure that he or she is able to allocate the necessary time and resources to effectively manage the Registrant.

 

 

 

A potential conflict of interest may be perceived to arise if transactions in one account closely follow related transactions in a different account, such as when a purchase increases the value of securities previously purchase by the other account, or when a sale in one account lowers the sale price received in a sale by a second account. Lazard and certain of the Registrant’s portfolio managers manage hedge funds that are subject to performance/incentive fees. Certain hedge funds managed by Lazard may also be permitted to sell securities short. However, Lazard currently does not have any portfolio managers that manage both hedge funds that engage in short sales and long-only accounts, including open-end and closed-end registered investment companies. When Lazard engages in short sales of securities of the type in which the Registrant invests, Lazard could be seen as harming the performance of the Registrant for the benefit of the account engaging in short sales if the short sales cause the market value of the securities to fall. As described above, Lazard has procedures in place to address these conflicts.

 

 

 

Accounts Managed by the Portfolio Managers. The chart below includes information regarding the members of the portfolio management team responsible for managing the Registrant. Specifically, it shows the number of portfolios and assets managed by management teams of which each of the Registrant’s portfolio managers is a member. Regardless of the number of accounts, the portfolio management team still manages each account based on a model portfolio as described above.


 

 

 

 

   Portfolio Manager

Registered Investment
Companies ($*)#

Other Pooled Investment
Vehicles ($*)#

Other Accounts ($*)#, +

       

   Ardra Belitz

2 (233.1 million)

6 (2.8 billion)

4 (313.3 million)

   Michael G. Fry

8 (3.0 billion)

5 (164.8 million)

225 (7.5 billion)

   Ronald Temple

11 (8.9 billion)

10 (1.1 billion)

183 (5.0 billion)

   James M. Donald

11(18.2 billion)

21 (6.2 billion)

208 (11.1 billion)

   Andrew D. Lacey

17 (11.6 billion)

13 (1.4 billion)

194 (5.4 billion)

   Ganesh Ramachandran

2 (233.1 million)

6 (2.8 billion)

4 (313.3 million)

   Michael Powers

8 (3.0 billion)

4 (94.1 million)

225 (7.5 billion)

       

 

 

 

*          Total assets in accounts as of December 31, 2011.

 

#          The following portfolio managers manage accounts with respect to which the advisory fee is based on the performance of the account:

 

(1)   Mr. Donald manages one other pooled vehicle, three other accounts and one registered investment company with assets under management of approximately $3.7 million, $1.2 billion and $1.8 billion, respectively.

 

(2)   Mr. Fry and Mr. Powers manage one registered investment company with assets under management of approximately $1.8 billion.

 

(3)   Mr. Lacey and Mr. Temple manage one registered investment company with assets under management of approximately $5.9 billion.

 

(4)   Ms. Belitz and Mr. Ramachandran manage four other pooled investment vehicles with assets under management of approximately $2.4 billion.




 

 

 

+          Includes an aggregation of any Similar Accounts within managed account programs where the third party program sponsor is responsible for applying specific client objectives, guidelines and limitations against the model portfolio managed by the portfolio management team.

 

 

 

Compensation for Portfolio Managers

 

 

 

Lazard’s portfolio managers are generally responsible for managing multiple types of accounts that may, or may not, invest in securities in which the Registrant may invest or pursue a strategy similar to one of the Registrant’s component strategies. Portfolio managers responsible for managing the Registrant may also manage sub-advised registered investment companies, collective investment trusts, unregistered funds and/or other pooled investment vehicles, separate accounts, separately managed account programs (often referred to as “wrap accounts”) and model portfolios.

 

 

 

During the fiscal year covered by this Report on Form N-CSR, Lazard compensates portfolio managers by a competitive salary and bonus structure, which is determined both quantitatively and qualitatively. Salary and bonus are paid in cash, stock and restricted fund interests. Portfolio managers are compensated on the performance of the aggregate group of portfolios managed by the teams of which they are a member rather than for a specific fund or account. Various factors are considered in the determination of a portfolio manager’s compensation. All of the portfolios managed by a portfolio manager are comprehensively evaluated to determine his or her positive and consistent performance contribution over time. Further factors include the amount of assets in the portfolios as well as qualitative aspects that reinforce Lazard’s investment philosophy.

 

 

 

Total compensation is generally not fixed, but rather is based on the following factors: (i) leadership, teamwork and commitment, (ii) maintenance of current knowledge and opinions on companies owned in the portfolio; (iii) generation and development of new investment ideas, including the quality of security analysis and identification of appreciation catalysts; (iv) ability and willingness to develop and share ideas on a team basis; and (v) the performance results of the portfolios managed by the investment teams of which the portfolio manager is a member.

 

 

 

Variable bonus is based on the portfolio manager’s quantitative performance as measured by his or her ability to make investment decisions that contribute to the pre-tax absolute and relative returns of the accounts managed by the teams of which the portfolio manager is a member, by comparison of each account to a predetermined benchmark (as set forth in the prospectus or other governing document) over the current fiscal year and the longer-term performance (3-, 5- or 10-year, if applicable) of such account, as well as performance of the account relative to peers. The variable bonus for the Registrant’s portfolio management team in respect of its management of the Registrant is determined by reference to the Morgan Stanley Capital International (MSCI®) World Index. The portfolio manager’s bonus also can be influenced by subjective measurement of the manager’s ability to help others make investment decisions. Portfolio managers managing accounts that pay performance fees may receive a portion of the performance fee as part of their compensation.

 

 

 

Ownership of Registrant Securities

 

 

 

As of December 31, 2011, the portfolio managers of the Registrant owned the following shares of Common Stock of the Registrant.


 

 

 

 

Portfolio Manager

 

Market Value of Shares

 

 

 

 

 

 

Ardra Belitz

None

James M. Donald

$100,001-$500,000

Andrew D. Lacey

$50,001-$100,000

Ganesh Ramachandran

$10,001-$50,000

Michael Powers

None

Michael G. Fry

None

Ronald Temple

$100,001-$500,000

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

          Not applicable.


ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

          On February 24, 2011, the Board of Directors (the “Board”) of the Fund approved and adopted Amended and Restated Bylaws of the Fund (the “Bylaws”). The Bylaws provide that, with respect to an annual meeting of stockholders, nominations of persons for election to the Board and the proposal of other business to be considered by stockholders may be made only: (a) pursuant to the Fund’s notice of the meeting, (b) by the Board or (c) by a stockholder who is a stockholder of record at the time of the giving of the notice and at the time of the annual meeting, who is entitled to vote at the meeting and who has complied with the advance notice procedures of the Bylaws. With respect to special meetings of stockholders, only the business specified in the Fund’s notice of the meeting may be brought before the meeting. Nominations of persons for election to the Board at a special meeting may be made only: (1) by or at the direction of the Board or (2) provided that the special meeting has been called, in accordance with the Bylaws, for the purpose of electing directors, by a stockholder who is entitled to vote at the meeting and who has complied with the advance notice provisions of the Bylaws.

The advance notice provisions of the Bylaws: (a) expand the information required to be disclosed by the stockholder and certain other persons, including any person acting in concert with such stockholder, any beneficial owner of shares of stock of the Fund owned of record or beneficially by such stockholder and any person that controls, or is controlled by, or is under common control with, such stockholder (collectively, the “Proponents”), including, among other items, (i) detailed information about each Proponent’s ownership interests in the Fund, (ii) information regarding hedging activities of the Proponents and (iii) each Proponent’s investment strategy or objective and any related disclosure document the Proponent has provided to its investors and (b) establish procedures for the verification of information provided by the stockholder making the proposal. Previously, the Fund’s bylaws did not require this information nor did the bylaws include procedures to verify the information.

ITEM 11. 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-CSR 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-CSR 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 second 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 12. EXHIBITS.

(a)(1)   Code of Ethics referred to in Item 2.

(a)(2)   Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3)   Not applicable.

(b)     Certifications of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.


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

March 12, 2012

 

 

 

 

 

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

March 12, 2012

 

 

 

 

 

By

/s/ Stephen St. Clair

 

 

 

 

 

 

 

Stephen St. Clair

 

 

Chief Financial Officer

 


Date


March 12, 2012