We are a firm of 342 full-time associates that primarily provides investment advisory services to institutions and individuals, managing $33.4 billion in assets as of June 30, 2012. Our operating results fluctuate primarily due to changes in the total value and composition of our assets under management. The value and composition of our assets under management are, and will continue to be, influenced by a variety of factors including: purchases and redemptions of shares of open-end funds; net inflows into and withdrawals from separate accounts that we manage; fluctuations in the financial markets around the world that result in appreciation or depreciation of assets under management; and the number and types of our investment strategies and products.

We market our investment strategies to our clients through a variety of products designed to suit their investment needs. We currently categorize the portfolios that we manage within four investment product types captured in our Funds and separate accounts. The following table lists our assets under management by product as of June 30, 2012 and 2011.

                                      June 30 ,
(in millions)                     2012         2011
Funds
Open-end funds                  $ 20,081     $ 22,911
Closed-end funds                   5,388        5,557
Total Funds                       25,469       28,468
Separate Accounts
Institutional accounts             5,650        6,239
Managed accounts                   2,265        2,645
Total separate accounts            7,915        8,884
Total Assets Under Management   $ 33,384     $ 37,352

Our revenues are substantially comprised of investment management fees earned under contracts with Funds and separate accounts that we manage. Our revenues are also comprised of distribution and underwriting fees, including asset-based distribution and/or service fees received pursuant to Rule 12b-1 plans. Investment management fees and distribution and underwriting fees may fluctuate based on a number of factors including: the total value and composition of our assets under management; market appreciation and depreciation on investments; the level of net inflows and outflows, which represent the sum of new and existing client funding, withdrawals and terminations; and purchases and redemptions of open-end fund shares. The mix of assets under management among our investment products impacts our revenues as our fee schedules vary by product.

Our largest operating expenses are typically related to: employee compensation and benefits expenses, which includes salaries, incentive compensation and related benefits costs; distribution expenses, which includes open-end funds distribution cost, including Rule 12b-1 payments; marketing and sales promotion expenses, which includes expenses necessary to market products offered by us; and amortization of deferred sales commissions for open-end funds. Operating expenses may fluctuate due to a number of factors including variations in staffing and compensation, changes in distribution expense as a result of fluctuations in open-end fund net sales and market appreciation or depreciation, and marketing-related expenses that include supplemental distribution payments.

Operating Results

Second Quarter and Six Months Ended June 30, 2012 Compared to Second Quarter and
Six Months Ended June 30, 2011

Assets Under Management

Assets under management decreased by $4.0 billion, or 11%, to $33.4 billion as
of June 30, 2012 from $37.4 billion as of June 30, 2011. Our assets under
management consisted of 76% Funds and 24% separate accounts as of June 30, 2012
and 2011.

                               Three Months Ended June 30,                            Six Months Ended June 30,
                                                       Change                                                Change
                       2012         2011        Amount       Percent         2012         2011        Amount       Percent
(in millions)
Funds
Beginning assets
under management     $ 27,435     $ 29,081     $ (1,646 )          (6 )%   $ 25,045     $ 27,352     $ (2,307 )          (8 )%
Net (redemptions)
purchases                (540 )       (218 )       (322 )           *          (572 )        128         (700 )           *
Market
appreciation
(depreciation)         (1,426 )       (395 )     (1,031 )           *           996          988            8             1
Ending assets
under management       25,469       28,468       (2,999 )         (11 )      25,469       28,468       (2,999 )         (11 )
Average assets
under management       26,008       28,803       (2,795 )         (10 )      26,354       28,586       (2,232 )          (8 )
Institutional
Beginning assets
under management        6,291        6,179          112             2         5,505        5,559          (54 )          (1 )
Net (redemptions)
purchases                (261 )        169         (430 )           *           (20 )        423         (443 )           *
Market
appreciation
(depreciation)           (380 )       (109 )       (271 )           *           165          257          (92 )         (36 )
Ending assets
under management        5,650        6,239         (589 )          (9 )       5,650        6,239         (589 )          (9 )
Average assets
under management        5,954        6,294         (340 )          (5 )       5,943        6,037          (94 )          (2 )
Managed Accounts
Beginning assets
under management        2,491        2,701         (210 )          (8 )       2,227        2,503         (276 )         (11 )
Net redemptions           (50 )        (44 )         (6 )          14           (95 )        (26 )        (69 )           *
Market
appreciation
(depreciation)           (176 )        (12 )       (164 )           *           133          168          (35 )         (21 )
Ending assets
under management        2,265        2,645         (380 )         (14 )       2,265        2,645         (380 )         (14 )
Average assets
under management        2,358        2,706         (348 )         (13 )       2,354        2,645         (291 )         (11 )
Total Assets Under
Management
Beginning assets
under management       36,217       37,961       (1,744 )          (5 )      32,777       35,414       (2,637 )          (7 )
Net (redemptions)
purchases                (851 )        (93 )       (758 )           *          (687 )        525       (1,212 )           *
Market
appreciation
(depreciation)         (1,982 )       (516 )     (1,466 )           *         1,294        1,413         (119 )          (8 )
Ending assets
under management       33,384       37,352       (3,968 )         (11 )      33,384       37,352       (3,968 )         (11 )
Average assets
under management     $ 34,320     $ 37,803     $ (3,483 )          (9 )%   $ 34,651     $ 37,268     $ (2,617 )          (7 )%

* Not meaningful.

Net redemptions in our Funds were $540 million in the second quarter of 2012, compared to net redemptions of $218 million in the second quarter of 2011. Net redemptions for the quarter were primarily a result of net redemptions in our Growth Fund, Convertible Fund and Growth and Income Fund. Excluding net redemptions in these funds would result in net sales for the quarter. Net sales were strongest in our global and international strategies, which had net sales of $164 million in the second quarter of 2012. Market depreciation in all of our Funds totaled $1.4 billion in the second quarter of 2012 an increase of $1.0 billion from depreciation of $395 million in the second quarter of 2011.

Net redemptions in our Funds were $572 million for the first six months of 2012 and represent an unfavorable change of $700 million from net purchases of $128 million in the first six months of 2011. The increase in net redemptions for the first six months compared to prior year was also primarily a result of net redemptions in our Growth Fund, Convertible Fund and Growth and Income Fund. Excluding net redemptions in these funds would result in net sales for the six months of 2012. Net sales were strongest in our global

and international strategies, which had net sales of $573 million in the first six months of 2012. Market appreciation in all of our Funds totaled $1.0 billion in the first six months of 2012 and $1.0 billion in the first six months of 2011.

Separate accounts, which represent institutional and managed accounts, combined net redemptions were $311 million and $115 million in the second quarter and first six months of 2012, respectively, compared to net purchases of $125 million and $397 million in the second quarter and first six months of 2011. Separate accounts combined market depreciation was $556 million and market appreciation was $298 million in the second quarter and first six months of 2012, respectively, compared to market depreciation of $121 million and market appreciation of $425 million during the second quarter and first six months of 2011.

Financial Overview

                                Three Months Ended June 30,                              Six Months Ended June 30,
                                                        Change                                                  Change
                       2012         2011        Amount         Percent         2012         2011        Amount         Percent
(in thousands,
except margin)
Operating income     $ 28,937     $ 39,348     $ (10,411 )          (26 )%   $ 59,990     $ 76,663     $ (16,673 )          (22 )%
Operating margin         35.0 %       42.3 %        (7.3 )%         (17 )%       35.7 %       41.8 %        (6.1 )%         (15 )%
Net income
attributable to
Calamos Asset
Management, Inc.     $  1,814     $  6,693     $  (4,879 )          (73 )%   $  8,853     $ 11,325     $  (2,472 )          (22 )%

Operating income for the second quarter of 2012 of $28.9 million, decreased by $10.4 million or 26% from the second quarter of 2011. Operating margin for the second quarter of 2012 decreased to 35.0% from 42.3% from the second quarter of 2011. Operating income for the first six months of 2012 decreased by 22% to $60.0 million from $76.7 million for the same period a year ago. Operating margin was 35.7% for the first six months of 2012, a decline from 41.8% for the first six months of 2011.

In order to grow assets under management, we engage in distribution and underwriting activities, principally with respect to our family of open-end funds. When analyzing our business, we consider the result of these distribution activities on a net revenue basis as they are typically a result of a single open-end fund share purchase. Generally accepted accounting principles in the United States (GAAP) requires that we present these activities on a gross revenue basis, thus resulting in a reduction to our overall operating margin, as the margin on distribution activities is lower than the margins on the remainder of our business. While we do not adjust our margin for these activities on a net revenue basis, we believe the margin table below is useful to understanding the impact of distribution activities on our margin.

The following table summarizes the net distribution fee margin for the second quarter and six months ended June 30, 2012 and 2011:

                                                 Three Months Ended June 30,           Six Months Ended June 30,

                                                  2012                 2011              2012               2011
(in thousands)
Distribution and underwriting fees           $       17,254       $       21,943     $      35,760       $   44,055
Distribution expenses                               (15,288 )            (18,276 )         (31,360 )        (36,509 )
Amortization of deferred sales commissions           (1,266 )             (1,450 )          (2,675 )         (3,198 )
Net distribution fees                        $          700       $        2,217     $       1,725       $    4,348

Net distribution fee margin                               4 %                 10 %               5 %             10 %

Net distribution fee margin varies by share class because each share class has different distribution and underwriting activities, which are described in our 2011 Annual Report on Form 10-K. Distribution fee revenues and expenses vary with our average assets under management while deferred sales commissions are typically amortized on a straight-line basis with adjustments made upon redemption of existing assets. As a result, in periods of declining assets under management, our distribution margin will be more severely impacted by amortization expense.

Revenues

Total revenues decreased by $10.2 million, or 11%, to $82.7 million for the
second quarter of 2012 from $92.9 million for the second quarter of 2011. Total
revenues decreased by $15.5 million, or 8%, to $168.0 million for the first six
months of 2012 from $183.5 million for the first six months of 2011. The
decreases were primarily due to lower investment management fees and
distribution and underwriting fees, as can be seen in the table below:

                                Three Months Ended June 30,                              Six Months Ended June 30,
                                                       Change                                                   Change
                       2012         2011        Amount        Percent         2012          2011         Amount        Percent
(in thousands)
Investment
management fees      $ 64,661     $ 70,136     $  (5,475 )          (8 )%   $ 130,648     $ 137,744     $  (7,096 )          (5 )%
Distribution and
underwriting fees      17,254       21,943        (4,689 )         (21 )       35,760        44,055        (8,295 )         (19 )
Other                     761          845           (84 )         (10 )        1,544         1,673          (129 )          (8 )
Total revenues       $ 82,676     $ 92,924     $ (10,248 )         (11 )%   $ 167,952     $ 183,472     $ (15,520 )          (8 )%

Investment management fees decreased 8% in the second quarter of 2012 compared to the second quarter of 2011, which was primarily due to a $3.5 billion, or 9%, decrease in average assets under management for the same periods. Investment management fees from open-end funds decreased to $40.3 million for the second quarter of 2012, from $44.7 million for the second quarter of 2011, driven by a $2.6 billion decrease in open-end fund average assets under management. Investment management fees from our closed-end funds decreased to $12.2 million for the second quarter of 2012 from $12.6 million for the second quarter of 2011, due to a $163 million decrease in closed-end fund average assets under management. Investment management fees from our separately managed accounts were $12.1 million for the second quarter of 2012 a decrease from $12.8 million for the second quarter of 2011. Investment management fees that we earned as a percentage of average assets under management were 0.76% for the second quarter of 2012 compared to 0.74% for the second quarter of 2011.

Investment management fees decreased 5% in the first six months of 2012 compared to the first six months of 2011 primarily due to a $2.6 billion, or 7%, decrease in average assets under management for the same periods. Investment management fees from open-end funds decreased to $81.7 million for the first six months of 2012, from $88.1 million for the first six months of 2011, driven by a $2.2 billion decrease in open-end fund average assets under management. Investment management fees from our closed-end funds were flat at $24.7 million for the first six months of 2012 compared to the first six months of 2011, as a result of minimal change in closed-end fund average assets under management for those periods. Investment management fees from our separately managed accounts were $24.3 million for the first six months of 2012 a decrease from $24.9 million for the first six months of 2011. Investment management fees that we earned as a percentage of average assets under management were 0.76% for the first six months of 2012 compared to 0.75% for the first six months of 2011.

Distribution and underwriting fees decreased by 21% in the second quarter of 2012 compared to the second quarter of 2011, partially due to a decrease of 11% in our average open-end fund assets for the same periods. Distribution and underwriting fees decreased by 19% in the first six months of 2012 compared the first six months of 2011, partially due to a decrease of 9% in our average open-end fund assets for the same periods. The decreases in distribution and underwriting fees were also due to a shift in open-end fund assets from Class A, B and C shares to Class I shares. More open-end fund investors are choosing to compensate their financial advisors through fee based models, increasing the demand for and a shift in assets toward our Class I shares. Because we do not collect distribution fees from Class I shares, our distribution revenue has decreased with this shift in assets.

Operating Expenses

Operating expenses increased by $163,000 and $1.2 million for the second quarter
and first six months of 2012, respectively, reflecting increases in employee
compensation and benefits expenses, marketing and sales promotion expenses, and
general and administrative expenses. These increases were partially offset by
decreases in distribution expenses and amortization of deferred sales
commissions.

                               Three Months Ended June 30,                            Six Months Ended June 30,
                                                       Change                                                 Change
                       2012         2011        Amount       Percent        2012          2011         Amount       Percent
(in thousands)
Employee
compensation and
benefits             $ 20,942     $ 20,209     $    733             4 %   $  43,145     $  40,841     $  2,304             6 %
Distribution
expenses               15,288       18,276       (2,988 )         (16 )      31,360        36,509       (5,149 )         (14 )
Amortization of
deferred sales
commissions             1,266        1,450         (184 )         (13 )       2,675         3,198         (523 )         (16 )
Marketing and
sales promotion         5,528        4,691          837            18         9,954         8,130        1,824            22
General and
administrative         10,715        8,950        1,765            20        20,828        18,131        2,697            15
Total operating
expenses             $ 53,739     $ 53,576     $    163             -     $ 107,962     $ 106,809     $  1,153             1

Employee compensation and benefits expense increased by $733,000 and $2.3 million for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011. These increases are mostly attributable to increases in salary expense and accruals for performance-based incentive compensation partially offset by lower equity compensation in the second quarter. The increases are due to increases in the number of associates we employ and our investment into more distribution and client focused personnel.

Distribution expenses decreased by $3.0 million and $5.1 million for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011. The decreases were due to a reduction in average assets under management for open-end funds of 11% and 9% for the second quarter and first six months of 2012, respectively, and a continued shift of average open-end fund assets to Class I shares which do not result in distribution expenses. These decreases were partially offset by increases in distribution expenses as a result of an increase in the average Class C shares assets older than one year. As Class C shares age past one year, the associated distribution fees are paid to broker-dealers and other intermediaries. As such, increases in the average Class C share assets older than one year results in an increase in distribution expenses.

Amortization of deferred sales commissions decreased by $184,000 and $523,000 for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011, due to the increase in the average Class C share assets older than one year. As mentioned earlier, once Class C shares age past one year they are no longer retained and amortized, but paid to broker-dealers and other intermediaries and recorded as distribution expenses. Hence, the aging of Class C shares reduces amortization of deferred sales commission, but increases distribution expenses.

Marketing and sales promotion increased by $837,000 and $1.8 million for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011, largely the result of an increase in waived fund expenses which limit the annual ordinary operating expenses of each fund, and an increase in marketing and sales promotion expenses due to our increase spending to build awareness around our investment strategies. These increases were partially offset by a decrease in supplemental distribution payments to distribution intermediaries. Supplemental distribution payments are positively correlated with the levels of open-end fund assets that we manage.

General and administrative expenses increased by $1.8 million and $2.7 million for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011. Many offsetting factors gave rise to the net increases in expenses during the periods. However, the main drivers to the increases for the quarter are travel expenses and professional services expenses related to outsourcing and recruiting; and for the first six months of 2012 travel expenses, professional services expenses, client reimbursement expenses related to trade correction expenses, and software maintenance.

Non-operating Activities, Net of Non-controlling Interest in Partnership Investments

Non-operating income (loss), net of non-controlling interest in partnerships decreased by $11.2 million and increased by $12.4 million for the second quarter and first six months of 2012, respectively, when compared to the second quarter and first six months of 2011. The decrease in the second quarter of 2012 was due to a decrease in investment income, net of losses on option contracts, of $12.5 million when compared to the second quarter of 2011. The increase in the first six months of 2012 was due to an increase in investment income of $12.2 million when compared to the first six months of 2011. Increases in investment income in the first six months of 2012 were a result of realized gains on our investments, as part of our tax harvesting strategy. Option contracts are used to hedge our corporate investment portfolio.

The following table summarizes our non-operating activities, net of non-controlling interest in partnership investments for the second quarter and six months ended June 30, 2012 and 2011:

                             Three Months Ended June 30,                 Six Months Ended June 30,
                           2012          2011         Change         2012          2011         Change
(in thousands)
Interest income         $       96     $      53     $      43     $     184     $     122     $      62
Interest expense            (1,504 )      (1,662 )         158        (3,008 )      (3,626 )         618
Net interest expense        (1,408 )      (1,609 )         201        (2,824 )      (3,504 )         680

Investment income
(loss)                      (2,574 )       9,934       (12,508 )      19,624         7,449        12,175
Dividend income                791           779            12         1,576         1,600           (24 )
Miscellaneous other
income                          69            66             3           156           103            53
Investment and other
income (loss)               (1,714 )      10,779       (12,493 )      21,356         9,152        12,204
Non-operating income
(loss)                      (3,122 )       9,170       (12,292 )      18,532         5,648        12,884
Net (income) loss
attributable to
non-controlling
interest in
partnership
investments                  1,092             -         1,092          (514 )          (5 )        (509 )
Non-operating income
(loss), net of non-
controlling interest
in partnership
investments             $   (2,030 )   $   9,170     $ (11,200 )   $  18,018     $   5,643     $  12,375

The following table provides a summary of the returns that we generated from our corporate investment portfolio. This table combines the investment and dividend income as reported in our statement of operations with the change in fair value of our investment securities that are recorded in accumulated other comprehensive income, a component of stockholders' equity, for the second quarter and six months ended June 30, 2012:

                                           Three Months Ended June 30, 2012                                  Six Months Ended June 30, 2012

                                                            Change in                                                        Change in
                                Non-Operating           Accumulated Other                        Non-Operating           Accumulated Other
                                  Loss, net            Comprehensive Loss        Total            Income, Net           Comprehensive Loss        Total
(in thousands)
Funds and common stock        $             (297 )     $           (17,033 )   $  (17,330 )   $            26,604       $           (14,220 )   $   12,384
Partnership investments                   (2,169 )                       -         (2,169 )                 1,238                         -          1,238
Equity option contracts                     (108 )                       -           (108 )                (8,218 )                       -         (8,218 )
Investment income (loss)                  (2,574 )                 (17,033 )      (19,607 )                19,624                   (14,220 )        5,404
Dividend income                              791                                      791                   1,576                                    1,576
Non-controlling interest in
partnership investments                    1,092                                    1,092                    (514 )                                   (514 )
Investment portfolio
results                       $             (691 )                             $  (17,724 )   $            20,686                               $    6,466
Less: Non-controlling
interest in
Calamos Investments LLC                                             13,278                                                           11,081
Deferred income taxes                                                1,388                                                            1,160
Change in accumulated other
comprehensive loss                                     $            (2,367 )                                            $            (1,979 )

Our investment portfolio lost $17.7 million, or 5.0%, and returned $6.5 million, or 2.0%, in the second quarter and first six months of 2012, respectively. The second quarter results primarily reflect unrealized losses from investment securities. The six months results primarily reflect realized gains from . . .