GLV Clough Global Dividend and Income Fund

 

 

CLOUGH GLOBAL DIVIDEND AND INCOME FUND

CLOUGH GLOBAL EQUITY FUND

CLOUGH GLOBAL OPPORTUNITIES FUND

 

Schedules of Investments

July 31, 2023

Clough Global Dividend and Income Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Dividend and Income Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Dividend and Income Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

See Notes to Schedules of Investments

Clough Global Dividend and Income Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

 

See Notes to Schedules of Investments

Clough Global Dividend and Income Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Futures Contracts

 

Description		Counterparty		Position				Contracts				Expiration Date		Notional Value				Value				Unrealized Depreciation
3 Month SOFR		Morgan Stanley			Long				99			December 2023		$	23,419,688			$	(256,346	)		$	(256,346	)
3 Month SOFR		Morgan Stanley			Long				13			December 2024			3,115,775				(45,072	)			(45,072	)
3 Month SOFR		Morgan Stanley			Long				45			September 2023			10,641,375				(71,618	)			(71,618	)
														$	37,176,838			$	(373,036	)		$	(373,036	)

 

Call Options Written

 

Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
3 Month SOFR Future		Morgan Stanley		12/15/2023		$	98				(3,200	)		$	(757,000,000	)		$	(80,000	)
														$	(757,000,000	)		$	(80,000	)

 

Put Options Written

 

Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
S&P 500 Index		Morgan Stanley		9/15/2023		$	4,050				(170	)		$	(78,012,320	)		$	(106,250	)
														$	(78,012,320	)		$	(106,250	)

 

Total Return Swap Contracts

 

Reference Entity/Obligation		Counterparty		Floating Rate Received by the Fund(a)		Termination Date		Notional Amount				Value				Net Unrealized Depreciation
Banco Bilbao Vizcaya Argenta		Morgan Stanley		1D FEDEF - 50 bps		10/2/2024		$	(118,014	)		$	(207,025	)		$	(89,011	)
								$	(118,014	)		$	(207,025	)		$	(89,011	)

 

(a)

Payment received when swap contract closes.

 

See Notes to Schedules of Investments

Clough Global Equity Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Equity Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Equity Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Equity Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Equity Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Futures Contracts
Description		Counterparty		Position				Contracts				Expiration Date		Notional Value				Value				Unrealized Depreciation
3 Month SOFR		Morgan Stanley			Long				189			December 2023		$	44,710,313			$	(489,388	)		$	(489,388	)
3 Month SOFR		Morgan Stanley			Long				20			December 2024			4,793,500				(69,341	)			(69,341	)
3 Month SOFR		Morgan Stanley			Long				85			September 2023			20,100,375				(135,279	)			(135,279	)
														$	69,604,188			$	(694,008	)		$	(694,008	)

 

Call Options Written
Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
3 Month SOFR Future		Morgan Stanley		12/15/2023		$	98				(5,000	)		$	(1,182,812,500	)		$	(125,000	)
														$	(1,182,812,500	)		$	(125,000	)

 

Put Options Written
Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
S&P 500 Index		Morgan Stanley		9/15/2023		$	4,050				(280	)		$	(128,490,880	)		$	(175,000	)
S&P 500 Index		Morgan Stanley		10/20/2023			4,175				(180	)			(82,601,280	)			(404,100	)
														$	(211,092,160	)		$	(579,100	)

 

Total Return Swap Contracts
Reference Entity/Obligation		Counterparty		Floating Rate Received by the Fund(a)		Termination Date		Notional Amount				Value				Net Unrealized Depreciation
Banco Bilbao Vizcaya Argenta		Morgan Stanley		1D FEDEF - 50 bps		10/2/2024		$	(213,058	)		$	(373,755	)		$	(160,697	)
								$	(213,058	)		$	(373,755	)		$	(160,697	)

 

(a)

Payment received when swap contract closes.

 

See Notes to Schedules of Investments

Clough Global Opportunities Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Opportunities Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Opportunities Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

See Notes to Schedules of Investments

Clough Global Opportunities Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

 

See Notes to Schedules of Investments

Clough Global Opportunities Fund

 

SCHEDULE OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Futures Contracts
Description		Counterparty		Position				Contracts				Expiration Date		Notional Value				Value				Unrealized Depreciation
3 Month SOFR		Morgan Stanley			Long				344			December 2023		$	81,377,500			$	(890,738	)		$	(890,738	)
3 Month SOFR		Morgan Stanley			Long				36			December 2024			8,628,300				(124,814	)			(124,814	)
3 Month SOFR		Morgan Stanley			Long				155			September 2023			36,653,625				(246,686	)			(246,686	)
														$	126,659,425			$	(1,262,238	)		$	(1,262,238	)

 

Call Options Written
Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
3 Month SOFR Future		Morgan Stanley		12/15/2023		$	98				(9,000	)		$	(2,129,062,500	)		$	(225,000	)
														$	(2,129,062,500	)		$	(225,000	)

 

Put Options Written
Underlying Security		Counterparty		Expiration Date		Strike Price				Contracts				Notional Amount				Value
S&P 500 Index		Morgan Stanley		9/15/2023		$	4,050				(520	)		$	(238,625,920	)		$	(325,000	)
S&P 500 Index		Morgan Stanley		10/20/2023			4,175				(170	)			(78,012,320	)			(381,650	)
														$	(316,638,240	)		$	(706,650	)

 

Total Return Swap Contracts
Reference Entity/Obligation		Counterparty		Floating Rate Received by the Fund(a)		Termination Date		Notional Amount				Value				Net Unrealized Depreciation
Banco Bilbao Vizcaya Argenta		Morgan Stanley		1D FEDEF - 50 bps		10/2/2024		$	(392,974	)		$	(689,370	)		$	(296,396	)
								$	(392,974	)		$	(689,370	)		$	(296,396	)

 

(a)

Payment received when swap contract closes.

 

See Notes to Schedules of Investments

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Unaudited)

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING AND OPERATING POLICIES

 

Clough Global Dividend and Income Fund, Clough Global Equity Fund, and Clough Global Opportunities Fund (each a “Fund”, collectively the “Funds”), are closed-end management investment companies registered under the Investment Company Act of 1940 (the “1940 Act”). The Funds were organized under the laws of the state of Delaware on April 27, 2004, January 25, 2005, and January 12, 2006, respectively for Clough Global Dividend and Income Fund, Clough Global Equity Fund, and Clough Global Opportunities Fund. The Funds were previously registered as non-diversified investment companies. As a result of ongoing operations, each of the Funds became a diversified company. The Funds may not resume operating in a non-diversified manner without first obtaining shareholder approval. Each Fund’s investment objective is to provide a high level of total return. Each Declaration of Trust provides that the Board of Trustees (the “Board”) may authorize separate classes of shares of beneficial interest. The common shares of Clough Global Dividend and Income Fund, Clough Global Equity Fund, and Clough Global Opportunities Fund are listed on the NYSE American LLC and trade under the ticker symbols “GLV”, “GLQ” and “GLO” respectively.

 

The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures, including the disclosure of contingent assets and liabilities, in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Funds ultimately realize upon sale of the securities. Each Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance applicable to investment companies as codified in Accounting Standards Codification (“ASC”) Topic 946, Financial Services - Investment Companies.

 

The net asset value (“NAV”) per share of each Fund is determined no less frequently than daily, on each day that the New York Stock Exchange (“NYSE” or the “Exchange”) is open for trading, as of the close of regular trading on the Exchange (normally 4:00 p.m. New York time). Trading may take place in foreign issues held by a Fund at times when the Fund is not open for business. As a result, each Fund’s NAV may change at times when it is not possible to purchase or sell shares of that Fund.

 

Investment Valuation Securities, held by each Fund, for which exchange quotations are readily available, are valued at the last sale price, or if no sale price or if traded on the over-the-counter market, at the mean of the bid and asked prices on such day. Money market funds are valued based on the closing NAV. Most securities listed on a foreign exchange are valued at the last sale price at the close of the exchange on which the security is primarily traded. In certain countries market maker prices are used since they are the most representative of the daily trading activity. Market maker prices are usually the mean between the bid and ask prices. Certain markets are not closed at the time that the Funds price their portfolio securities. In these situations, snapshot prices are provided by the individual pricing services or other alternate sources at the close of the NYSE as appropriate. Securities not traded on a particular day are valued at the mean between the last reported bid and the asked quotes, or the last sale price when appropriate; otherwise fair value will be determined by the Board-appointed fair valuation committee. Debt securities for which the over-the-counter market is the primary market are normally valued on the basis of prices furnished by one or more pricing services or dealers at the mean between the latest available bid and asked prices. As authorized by the Board, debt securities (including short-term obligations that will mature in 60 days or less) may be valued on the basis of valuations furnished by a pricing service which determines valuations based upon market transactions for normal, institutional-size trading units of securities or a matrix method which considers yield or price of comparable bonds provided by a pricing service. Over-the-counter options are valued at the mean between bid and asked prices provided by dealers. Exchange-traded options are valued at closing settlement prices. Total return swaps are priced based on valuations provided by a Board approved independent third party pricing agent. If a total return swap price cannot be obtained from an independent third party pricing agent the Fund shall seek to obtain a bid price from at least one independent and/or executing broker. Futures are valued at settlement prices.

 

If the price of a security is unavailable, or the price of a security is unreliable, e.g., due to the occurrence of a significant event, the security may be valued at its fair value determined the valuation designee. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated the Fund's investment adviser, Clough Capital Partners L.P. ("Clough" or the "Adviser"), as the valuation designee with respect to the fair valuation of each Fund's portfolio securities, subject to oversight by and periodic reporting to the Board. For this purpose, fair value is the price that a Fund reasonably expects to receive on a current sale of the security. Due to the number of variables affecting the price of a security, however; it is possible that the fair value of a security may not accurately reflect the price that a Fund could actually receive on a sale of the security.

 

A three-tier hierarchy has been established to classify fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

 

Various inputs are used in determining the value of each Fund’s investments as of the reporting period end. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;

 

Level 2 - Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

 

Level 3 - Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

The following is a summary of the inputs used as of July 31, 2023, in valuing each Fund’s investments carried at value.

 

Clough Global Dividend and Income Fund

 

Investments in Securities at Value(a)		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Common Stocks		$	101,716,892			$	-			$	-			$	101,716,892
Closed-End Funds			2,264,962				-				-				2,264,962
Preferred Stocks			1,034,856				-				-				1,034,856
Purchased Options			344,000				-				-				344,000
Corporate Bonds							14,118,100				-				14,118,100
Asset-Backed Securities							21,596				-				21,596
U.S. Treasury Obligations							3,782,961				-				3,782,961
Money Market Funds			963,374								-				963,374
Total		$	106,324,084	$			17,922,657	$			-			$	124,246,741
Other Financial Instruments(b)
Liabilities
Securities Sold Short
Common Stocks			(10,614,199	)			-				-				(10,614,199	)
Exchange-Traded Funds			(5,270,136	)			-				-				(5,270,136	)
Written Options			(186,250	)			-				-				(186,250	)
Futures(c)			(373,036	)			-				-				(373,036	)
Total Return Swaps(c)							(89,011	)			-				(89,011	)
Total		$	(16,443,621	)		$	(89,011	)		$	-			$	(16,532,632	)

 

Clough Global Equity Fund

 

Investments in Securities at Value		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Common Stocks
Communication Services		$	9,031,630			$	-			$	-			$	9,031,630
Consumer Discretionary			35,859,817				-				-				35,859,817
Consumer Staples			5,133,575				-				-				5,133,575
Energy			15,646,213				-				-				15,646,213
Financials			22,562,868				-				-				22,562,868
Health Care			25,986,278				-				404,876				26,391,154
Industrials			23,236,761				-				-				23,236,761
Information Technology			30,930,653				-				-				30,930,653
Materials			5,167,222				-				-				5,167,222
Real Estate			1,525,059				-				-				1,525,059
Technology			3,419,027				-				-				3,419,027
Utilities			2,768,312				-				-				2,768,312
Closed-End Funds			2,688,683				-				-				2,688,683
Preferred Stocks							-				144,914				144,914
Warrants			790,984				-				-				790,984
Purchased Options			1,342,250				-				-				1,342,250
Corporate Bonds							8,475,548				-				8,475,548
Convertible Corporate Bonds											32,625				32,625
U.S. Treasury Obligations							5,951,684				-				5,951,684
Money Market Funds			10,504,276				-				-				10,504,276
Total		$	196,593,608			$	14,427,232			$	582,415			$	211,603,255
Other Financial Instruments(b)
Liabilities
Securities Sold Short
Common Stocks			(20,489,708	)			-				-				(20,489,708	)
Written Options			(704,100	)			-				-				(704,100	)
Futures(c)			(694,008	)			-				-				(694,008	)
Total Return Swaps(c)			-				(160,697	)			-				(160,697	)
Total		$	(21,887,816	)		$	(160,697	)		$	-			$	(22,048,513	)

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Clough Global Opportunities Fund

 

Investments in Securities at Value		Level 1 - Unadjusted Quoted Prices				Level 2 - Other Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Common Stocks
Communication Services		$	16,593,611			$	-			$	-			$	16,593,611
Consumer Discretionary			61,659,550				-				-				61,659,550
Consumer Staples			9,389,400				-				-				9,389,400
Energy			23,748,866				-				-				23,748,866
Financials			39,102,979				-				-				39,102,979
Health Care			41,161,791				-				953,505				42,115,296
Industrials			42,939,682				-				-				42,939,682
Information Technology			54,158,791				-				-				54,158,791
Materials			9,450,919				-				-				9,450,919
Real Estate			2,797,100				-				-				2,797,100
Technology			6,249,216				-				-				6,249,216
Utilities			5,073,108				-				-				5,073,108
Closed-End Funds			4,934,315				-				-				4,934,315
Preferred Stocks							-				473,392				473,392
Warrants			1,466,294				-				-				1,466,294
Purchased Options			1,761,500				-				-				1,761,500
Corporate Bonds							30,384,984				-				30,384,984
Convertible Corporate Bonds							-				76,125				76,125
U.S. Treasury Obligations							14,676,248				-				14,676,248
Money Market Funds			3,886,367				-				-				3,886,367
Total		$	324,373,489			$	45,061,232			$	1,503,022			$	370,937,743
Other Financial Instruments(b)
Liabilities
Securities Sold Short
Common Stocks			(37,421,299	)			-				-				(37,421,299	)
Written Options			(931,650	)			-				-				(931,650	)
Futures(c)			(1,262,238	)			-				-				(1,262,238	)
Total Return Swaps(c)							(296,396	)			-				(296,396	)
Total		$	(39,615,187	)		$	(296,396	)		$	-			$	(39,911,583	)

 

(a)

For detailed descriptions and other security classifications, see the accompanying Schedules of Investments.

(b)

Other financial instruments are derivative instruments reflected in the Schedules of Investments.

(c)

Futures contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date.

 

In the event an independent pricing service is unable to provide an evaluated price for a security or the Adviser believes the price provided is not reliable, securities of each Fund may be valued at fair value as described above. In these instances the Adviser may seek to find an alternative independent source, such as a broker/ dealer to provide a price quote, or by using evaluated pricing models similar to the techniques and models used by the independent pricing service. These fair value measurement techniques may utilize unobservable inputs (Level 3).

 

Foreign Securities - Each Fund may invest a portion of its assets in foreign securities. In the event that a Fund executes a foreign security transaction, the Fund will generally enter into a foreign currency spot contract to settle the foreign security transaction. Foreign securities may carry more risk than U.S. securities, such as political, market and currency risks.

 

The accounting records of each Fund are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange at period end. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets and the values are presented at the foreign exchange rates at market close, the Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in prices of securities held.

 

A foreign currency spot contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. Each Fund may enter into foreign currency spot contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to a Fund include the potential inability of the counterparty to meet the terms of the contract.

 

Exchange Traded Funds - Each Fund may invest in Exchange Traded Funds (“ETFs”), which are funds whose shares are traded on a national exchange. ETFs may be based on underlying equity or fixed income securities, as well as commodities or currencies. ETFs do not sell individual shares directly to investors and only issue their shares in large blocks known as “creation units.” The investor purchasing a creation unit then sells the individual shares on a secondary market. Although similar diversification benefits may be achieved through an investment in another investment company, ETFs generally offer greater liquidity and lower expenses. Because an ETF incurs its own fees and expenses, shareholders of a Fund investing in an ETF will indirectly bear those costs. Such Funds will also incur brokerage commissions and related charges when purchasing or selling shares of an ETF. Unlike typical investment company shares, which are valued once daily, shares in an ETF may be purchased or sold on a securities exchange throughout the trading day at market prices that are generally close to the NAV of the ETF.

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Short Sales Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of the short sale.

 

Each Fund's obligation to replace the borrowed security will be secured by collateral deposited with the broker-dealer, usually cash, U.S. government securities or other liquid securities. Each Fund will also be required to designate on its books and records similar collateral with its custodian to the extent, if any, necessary so that the aggregate collateral value is at all times at least equal to the current value of the security sold short. The cash amount is reported on the Statements of Assets and Liabilities as Deposit with broker for securities sold short which is held with one counterparty. Each Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to short sales. The interest incurred by the Funds is reported on the Statements of Operations as Interest expense - margin account. Interest amounts payable, if any, are reported on the Statements of Assets and Liabilities as Interest payable - margin account.

 

Each Fund may also sell a security short if it owns at least an equal amount of the security sold short or another security convertible or exchangeable for an equal amount of the security sold short without payment of further compensation (a short sale against-the-box). In a short sale against-the-box, the short seller is exposed to the risk of being forced to deliver stock that it holds to close the position if the borrowed stock is called in by the lender, which would cause gain or loss to be recognized on the delivered stock. Each Fund expects normally to close its short sales against-the-box by delivering newly acquired stock.

 

Derivatives Instruments and Hedging Activities - The following discloses the Funds’ use of derivative instruments and hedging activities.

 

The Funds’ investment objectives not only permit the Funds to purchase investment securities, they also allow the Funds to enter into various types of derivative contracts, including, but not limited to, purchased and written options, swaps, futures and warrants. In doing so, the Funds will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.

 

Risk of Investing in Derivatives - The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease or hedge exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected, resulting in losses for the combined or hedged positions.

 

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds’ performance.

 

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

 

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

 

Each Fund may acquire put and call options and options on stock indices and enter into stock index futures contracts, certain credit derivatives transactions and short sales in connection with its equity investments. In connection with a Fund's investments in debt securities, it may enter into related derivatives transactions such as interest rate futures, swaps and options thereon and certain credit derivatives transactions. Derivatives transactions of the types described above subject a Fund to increased risk of principal loss due to imperfect correlation or unexpected price or interest rate movements. Each Fund also will be subject to credit risk with respect to the counterparties to the derivatives contracts purchased by a Fund. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivatives contract due to financial difficulties, each Fund may experience significant delays in obtaining any recovery under the derivatives contract in a bankruptcy or other reorganization proceeding. Each Fund may obtain only a limited recovery or may obtain no recovery in such circumstances.

 

Market Risk Factors - In addition, in pursuit of their investment objectives, certain Funds may seek to use derivatives, which may increase or decrease exposure to the following market risk factors:

 

Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

 

Foreign Exchange Rate Risk: Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the value of the foreign currency denominated security will increase as the dollar depreciates against the currency.

 

Option Writing/Purchasing - Each Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option among others, is that a Fund pays a premium whether or not the option is exercised. Additionally, a Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Each Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to options. Each Fund pledges cash or liquid assets as collateral to satisfy the current obligations with respect to written options.

 

When a Fund writes an option, an amount equal to the premium received by a Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by a Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is recorded as a realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether a Fund has realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by a Fund. Each Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. The Funds engaged in purchased and written options as of July 31, 2023.

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Futures Contracts: Each Fund may enter into futures contracts. A futures contract is an agreement to buy or sell a security or currency (or to deliver a final cash settlement price in the case of a contract relating to an index or otherwise not calling for physical delivery at the end of trading in the contract) for a set price at a future date. If a Fund buys a security futures contract, the Fund enters into a contract to purchase the underlying security and is said to be "long" under the contract. If a Fund sells a security futures contact, the Fund enters into a contract to sell the underlying security and is said to be "short" under the contract. The price at which the contract trades (the "contract price") is determined by relative buying and selling interest on a regulated exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Such payables or receivables, if any, are recorded for financial statement purposes as variation margin payable or variation margin receivable by each Fund. Each Fund pledges cash or liquid assets as collateral to satisfy the current obligations with respect to futures contracts. The cash amount, if any, is reported on the Statements of Assets and Liabilities as Deposit with broker for futures contracts which is held with one counterparty. Management has reviewed the futures agreement under which the futures contracts are traded and has determined that the Funds do not have the right to set-off, and therefore the futures contracts are not subject to enforceable netting arrangements.

 

The Funds enter into such transactions for hedging and other appropriate risk-management purposes or to increase return. While a Fund may enter into futures contracts for hedging purposes, the use of futures contracts might result in a poorer overall performance for the Fund than if it had not engaged in any such transactions. If, for example, the Fund had insufficient cash, it might have to sell a portion of its underlying portfolio of securities in order to meet daily variation margin requirements on its futures contracts or options on futures contracts at a time when it might be disadvantageous to do so. There may be an imperfect correlation between the Funds’ portfolio holdings and futures contracts entered into by the Fund, which may prevent the Fund from achieving the intended hedge or expose the Fund to risk of loss.

 

Futures contract transactions may result in losses substantially in excess of the variation margin. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when the Fund seeks to close out a futures contract. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, the Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange-traded-futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. The Funds engaged in futures contracts as of July 31, 2023.

 

Swaps: A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. Each Fund may utilize swap agreements as a means to gain exposure to certain assets and/or to “hedge” or protect the Fund from adverse movements in securities prices or interest rates. Each Fund is subject to equity risk and interest rate risk in the normal course of pursuing its investment objective through investments in swap contracts. Swap agreements entail the risk that a party will default on its payment obligation to a Fund. If the other party to a swap defaults, a Fund would risk the loss of the net amount of the payments that it contractually is entitled to receive. If each Fund utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Fund and reduce the Fund’s total return.

 

Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. A Fund’s maximum risk of loss from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. Each Fund pledges cash or liquid assets as collateral to satisfy the current obligations with respect to swap contracts.

 

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early terminate could be material to the financial statements. As of July 31, 2023, the Funds invested in swap agreements consistent with the Funds’ investment strategies to gain exposure to certain markets or indices.

 

Warrants/Rights: Each Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit each Fund’s ability to exercise the warrants or rights at such times and in such quantities as each Fund would otherwise wish. As of July 31, 2023, Clough Global Equity Fund and Clough Global Opportunities Fund held warrants. Each Fund held no rights.

 

Restricted Securities: Although the Funds will invest primarily in publicly traded securities, they may invest a portion of their assets (up to 10% of its value) in restricted securities. Restricted securities are securities that may not be sold to the public without an effective registration statement under the Securities Act of 1933, as amended (the "Securities Act") or, if they are unregistered, may be sold only in a privately negotiated transaction or pursuant to an exemption from registration.

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

Restricted securities as of July 31, 2023, were as follows.

 

Clough Global Dividend and Income Fund

 

Security		% of Net Assets				Acquisition Date		Principal Amount				Cost				Value
Avis Budget Car Rental, LLC			0.50	%		3/2/2023		$	450,000			$	429,845			$	423,913
Broadcom, Inc.			0.53			5/16/2023			620,000				442,522				453,228
Carnival Corp.			1.41			1/31/2023			1,220,000				1,129,412				1,204,646
Melco Resorts Finance Ltd.			0.26			9/21/2020			250,000				257,082				223,779
NGL Energy Operating LLC			1.09			3/2/2023			940,000				918,420				932,258
Pilgrim's Pride Corp.			0.50			3/2/2023			430,000				423,885				425,702
Transocean, Inc.			1.12			1/25/2023			970,000				906,567				953,898
Transocean, Inc.			0.85			5/16/2023			750,000				720,140				723,784
TOTAL			6.25	%				$	5,630,000			$	5,227,873			$	5,341,208

 

Clough Global Equity Fund

 

Security		% of Net Assets				Acquisition Date		Principal Amount				Cost				Value
Amphivena Convertible Note PP			0.02	%		8/27/2021		$	108,750			$	108,750			$	32,625
Amphivena Therapeutics, Inc. Series C			0.28			4/8/2019			334,425				1,199,997				395,458
Broadcom, Inc.			0.32			5/16/2023			630,000				449,667				460,538
Carnival Corp.			1.31			1/31/2023			1,910,000				1,773,525				1,885,962
Centrexion Therapeutics Corp.			0.01			3/19/2019			4,336				48,741				9,418
Centrexion Therapeutics Corp. Series D Preferred			0.10			12/18/2017			66,719				701,250				144,914
NGL Energy Operating LLC			0.57			6/9/2023			830,000				818,128				823,164
Transocean, Inc.			1.08			1/25/2023			1,580,000				1,476,700				1,553,772
Transocean, Inc.			0.81			5/16/2023			1,200,000				1,152,224				1,158,054
TOTAL			4.50	%				$	6,664,230			$	7,728,982			$	6,463,905

 

Clough Global Opportunities Fund

 

Security		% of Net Assets				Acquisition Date		Principal Amount				Cost				Value
Air Canada 2013-1 Class A Pass Through Trust			1.37	%		5/3/2022		$	3,828,327			$	3,746,598			$	3,599,261
Amphivena Convertible Note PP			0.03			8/27/2021			253,750				253,750				76,125
Amphivena Therapeutics, Inc. Series C			0.35			4/8/2019			780,326				2,799,997				922,736
Avis Budget Car Rental, LLC			0.46			3/2/2023			1,280,000				1,222,670				1,205,798
Broadcom, Inc.			0.35			5/16/2023			1,250,000				892,189				913,767
Carnival Corp.			1.33			1/31/2023			3,540,000				3,277,672				3,495,447
Centrexion Therapeutics Corp.			0.01			3/19/2019			14,166				159,240				30,769
Centrexion Therapeutics Corp. Series D Preferred			0.18			12/18/2017			217,952				2,290,759				473,392
NGL Energy Operating LLC			1.04			3/2/2023			2,760,000				2,697,782				2,737,267
Pilgrim's Pride Corp.			0.47			3/2/2023			1,240,000				1,222,371				1,227,604
Transocean, Inc.			1.12			1/25/2023			3,000,000				2,804,188				2,950,200
Transocean, Inc.			0.79			5/16/2023			2,150,000				2,064,401				2,074,847
TOTAL			7.50	%				$	20,314,521			$	23,431,617			$	19,707,213

 

Counterparty Risk: Each of the Funds run the risk that the issuer or guarantor of a fixed income security, the counterparty to an over-the-counter derivatives contract, a borrower of each Fund’s securities or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to make timely principal, interest, or settlement payments or otherwise honor its obligations. In addition, to the extent that each of the Funds use over-the-counter derivatives, and/or has significant exposure to a single counterparty, this risk will be particularly pronounced for each of the Funds.

 

Other Risk Factors: Investing in the Funds may involve certain risks including, but not limited to, the following:

 

Unforeseen developments in market conditions may result in the decline of prices of, and the income generated by, the securities held by the Funds. These events may have adverse effects on the Funds such as a decline in the value and liquidity of many securities held by the Funds, and a decrease in NAV. Such unforeseen developments may limit or preclude the Funds’ ability to achieve their investment objective.

 

Investing in stocks may involve larger price fluctuation and greater potential for loss than other types of investments. This may result in the securities held by the Funds being subject to larger short-term declines in value compared to other types of investments.

 

The Funds may have elements of risk due to their investments in foreign issuers located in various countries outside the U.S. Such investments may subject the Funds to additional risks resulting from future political or economic conditions and/or possible impositions of adverse foreign governmental laws or currency exchange restrictions. Investments in securities of non-U.S. issuers have unique risks not present in securities of U.S. issuers, such as greater price volatility and less liquidity.

 

Fixed income securities are subject to credit risk, which is the possibility that a security could have its credit rating downgraded or that the issuer of the security could fail to make timely payments or default on payments of interest or principal. Additionally, fixed income securities are subject to interest rate risk, meaning the decline in the price of debt securities that accompanies a rise in interest rates. Bonds with longer maturities are subject to greater price fluctuations than bonds with shorter maturities.

Clough Global Funds

 

NOTES TO SCHEDULES OF INVESTMENTS

July 31, 2023 (Continued) (Unaudited)

 

The Funds invest in bonds which are rated below investment grade. These high yield bonds may be more susceptible than higher grade bonds to real or perceived adverse economic or industry conditions. The secondary market, on which high yield bonds are traded, may also be less liquid than the market for higher grade bonds.

 

The economic impacts of a global pandemic may adversely impact the Funds’ ability to reach their investment objectives and may adversely affect the value and liquidity of the Funds’ investments. Because of uncertainties in valuation, values reflected in the Schedules of Investments may differ from the value received upon sales of those investments. These circumstances may continue for an extended period of time, and may adversely affect the value and liquidity of the Funds’ investments.

 

NOTE 2 - COMMITTED FACILITY AGREEMENT AND LENDING AGREEMENT

 

Each Fund entered into a financing package that includes a Committed Facility Agreement (the “Agreement”) dated January 16, 2009, as amended, between each Fund and BNP Paribas Prime Brokerage, Inc. (“BNP”) that allows each Fund to borrow funds from BNP. Each Fund entered a Special Custody and Pledge Agreement (the “Pledge Agreement”) dated December 9, 2013, as amended, between each Fund, the Funds’ custodian, and BNP. As of October 31, 2016, the Pledge Agreement was assigned from BNP to BNP Paribas Prime Brokerage International, Ltd. Per the Pledge Agreement, borrowings under the Agreement are secured by assets of each Fund that are held by the Fund’s custodian in a separate account (the “pledged collateral”). On July 31, 2023, the pledged collateral was valued at $82,928,839, $126,789,343 and $226,449,787 for the Clough Global Dividend and Income Fund, Clough Global Equity Fund and Clough Global Opportunities Fund, respectively. Each Fund may, with 30 day’s notice, reduce the Maximum Commitment Financing (Initial Limit amount plus the increased borrowing amount in excess of the Initial Limit) to a lesser amount if drawing on the full amount would result in a violation of the applicable asset coverage requirement of Section 18 of the 1940 Act. Interest is charged at the Overnight Banking Fund Rate (“OBFR”) plus 0.80% on the amount borrowed.

 

The Maximum Commitment Financing allowed under the Agreement is $40,000,000, $62,000,000 and $112,000,000 for the Clough Global Dividend and Income Fund, Clough Global Equity Fund and the Clough Global Opportunities Fund, respectively. As of July 31, 2023, the outstanding borrowings for Clough Global Dividend and Income Fund, Clough Global Equity Fund and Clough Global Opportunities Fund were $40,000,000, $62,000,000 and $112,000,000, respectively. The interest rate applicable to the borrowings of Clough Global Dividend and Income Fund, Clough Global Equity Fund and Clough Global Opportunities Fund on July 31, 2023, was 6.12%.

 

The Lending Agreement is a separate side-agreement between each Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by a Fund to BNP under the Agreement. BNP has the ability to re-register the Lent Securities in its own name or in another name other than the Fund to pledge, re-pledge, sell, lend or otherwise transfer or use the collateral with all attendant rights of ownership. (It is each Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) Each Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by a Fund. During the year in which the Lent Securities are outstanding, BNP must remit payment to each Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

 

Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by a Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to each Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with each Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, each Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. Each Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to each Fund’s custodian no later than three business days after such request. If a Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable for the ultimate delivery to each Fund’s custodian of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. Should the borrower of the securities fail financially, the Funds have the right to reduce the outstanding amount of the Current Borrowings against which the pledged collateral has been secured. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities. Under the terms of the Lending Agreement, each Fund shall have the right to apply and set-off an amount equal to one hundred percent (100%) of the then current fair value of such Lent Securities against the Current Borrowings. As of July 31, 2023, the value of the Lent Securities for Clough Global Dividend and Income Fund, Clough Global Equity Fund and Clough Global Opportunities Fund were $32,377,960, $56,561,187, and $89,389,346, respectively.

 

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