UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

________________

FORM 10-Q

________________

R	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
	FOR THE QUARTERLY PERIOD ENDED: June 30, 2012
or
£	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

Commission File Number: 000-51003

________________

CALAMOS ASSET MANAGEMENT, INC.

(Exact Name of Registrant as Specified in its Charter)

________________

Delaware	32-0122554
(State or Other Jurisdiction of	(I.R.S. Employer
Incorporation or Organization)	Identification No.)
2020 Calamos Court, Naperville, Illinois	60563
(Address of Principal Executive Offices)	(Zip Code)

(630) 245-7200

(Registrant’s telephone number, including area code)

________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports) and (2) has been subject to such filing requirements for the past 90 days. R Yes £ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). R Yes £ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer £	Accelerated filer R	Non-accelerated filer £	Smaller reporting company £
	(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). £ Yes R No

At July 31, 2012, the company had 20,358,983 shares of Class A common stock and 100 shares of Class B common stock outstanding.

TABLE OF CONTENTS

PART I — FINANCIAL INFORMATION
Item 1. Financial Statements	3
Item 2. Management’s Discussion and Analysis of Financial	20
Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk	33
Item 4. Controls and Procedures	33
PART II — OTHER INFORMATION
Item 1. Legal Proceedings	34
Item 6. Exhibits	35
SIGNATURES

2

PART I — FINANCIAL INFORMATION

Item 1. Financial Statements

CALAMOS ASSET MANAGEMENT, INC.

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(in thousands, except share data)

	June 30, 2012			December 31, 2011
	(unaudited)
ASSETS
Current assets:
Cash and cash equivalents	$	118,310		$	102,166
Receivables:
Affiliates and affiliated funds		17,854			18,492
Customers		11,112			10,035
Investment securities		315,693			318,496
Derivative assets		113			1,018
Partnership investments, net		34,123			33,056
Prepaid expenses		3,954			2,964
Deferred tax assets, net		7,486			8,811
Other current assets		825			934
Total current assets		509,470			495,972
Non-current assets:
Deferred tax assets, net		52,485			56,707
Deferred sales commissions		3,864			5,444
Property and equipment, net of accumulated depreciation and amortization ($55,641 at June 30, 2012 and $52,833 at December 31, 2011)		21,010			22,865
Other non-current assets		666			870
Total non-current assets		78,025			85,886
Total assets	$	587,495		$	581,858
LIABILITIES AND STOCKHOLDERS’ EQUITY
LIABILITIES
Current liabilities:
Distribution fees payable	$	15,101		$	15,860
Accrued compensation and benefits		14,456			23,681
Interest payable		2,729			2,729
Derivative liabilities		-			3,844
Accrued expenses and other current liabilities		7,164			5,631
Total current liabilities		39,450			51,745
Long-term liabilities:
Long-term debt		92,115			92,115
Deferred rent		9,369			9,423
Dividend payables on restricted stock units		818			781
Total long-term liabilities		102,302			102,319
Total liabilities		141,752			154,064
STOCKHOLDERS’ EQUITY
Class A common stock, $0.01 par value; authorized 600,000,000 shares; 24,357,873 shares issued and 20,357,873 shares outstanding at June 30, 2012; 24,126,757 shares issued and 20,126,757 shares outstanding at December 31, 2011		244			241
Class B common stock, $0.01 par value; authorized 1,000 shares; 100 shares issued and outstanding at June 30, 2012 and December 31, 2011		0			0
Additional paid-in capital		215,418			214,102
Retained earnings		72,897			67,991
Accumulated other comprehensive loss		(2,506	)		(527	)
Treasury stock at cost; 4,000,000 shares at June 30, 2012 and December 31, 2011		(95,215	)		(95,215	)
Calamos Asset Management, Inc. stockholders’ equity		190,838			186,592
Non-controlling interest in Calamos Investments LLC (Calamos Interests)		242,357			229,168
Non-controlling interest in partnership investments		12,548			12,034
Total non-controlling interest		254,905			241,202
Total stockholders’ equity		445,743			427,794
Total liabilities and stockholders’ equity	$	587,495		$	581,858

See accompanying notes to consolidated financial statements.

3

CALAMOS ASSET MANAGEMENT, INC.

CONSOLIDATED STATEMENTS OF OPERATIONS

Three and Six Months Ended June 30, 2012 and 2011

(in thousands, except share data)

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
REVENUES
Investment management fees	$	64,661		$	70,136		$	130,648		$	137,744
Distribution and underwriting fees		17,254			21,943			35,760			44,055
Other		761			845			1,544			1,673
Total revenues		82,676			92,924			167,952			183,472
EXPENSES
Employee compensation and benefits		20,942			20,209			43,145			40,841
Distribution expenses		15,288			18,276			31,360			36,509
Amortization of deferred sales commissions		1,266			1,450			2,675			3,198
Marketing and sales promotion		5,528			4,691			9,954			8,130
General and administrative		10,715			8,950			20,828			18,131
Total operating expenses		53,739			53,576			107,962			106,809
Operating income		28,937			39,348			59,990			76,663
NON-OPERATING INCOME(LOSS)
Net interest expense		(1,408	)		(1,609	)		(2,824	)		(3,504	)
Investment and other income (loss)		(1,714	)		10,779			21,356			9,152
Total non-operating income (loss)		(3,122	)		9,170			18,532			5,648
Income before income tax provision		25,815			48,518			78,522			82,311
Income tax provision		4,281			4,050			8,565			6,957
Net income		21,534			44,468			69,957			75,354
Net income attributable to non-controlling interest in Calamos Investments LLC (Calamos Interests)		(20,812	)		(37,775	)		(60,590	)		(64,024	)
Net (income) loss attributable to non-controlling interest in partnership investments		1,092			—			(514	)		(5	)
Net income attributable to Calamos Asset Management, Inc.	$	1,814		$	6,693		$	8,853		$	11,325
Earnings per share:
Basic	$	0.09		$	0.33		$	0.44		$	0.56
Diluted	$	0.09		$	0.32		$	0.43		$	0.55
Weighted average shares outstanding:
Basic		20,343,290			20,124,895			20,288,248			20,080,392
Diluted		20,802,688			20,614,941			20,713,171			20,545,099
Cash dividends per share	$	0.095		$	0.095		$	0.19		$	0.19

See accompanying notes to consolidated financial statements.

4

CALAMOS ASSET MANAGEMENT, INC.

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

Three and Six Months Ended June 30, 2012 and 2011

(in thousands)

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
Net income	$	21,534		$	44,468		$	69,957		$	75,354
Other comprehensive income (loss), before tax (provision) benefit
Unrealized gains (losses) on available-for-sale securities:
Changes in unrealized gains (losses)		(17,033	)		4,835			6,354			20,379
Reclassification adjustment for gains included in net income		-			(17,183	)		(20,574	)		(18,848	)
Other comprehensive income (loss), before income tax provision		(17,033	)		(12,348	)		(14,220	)		1,531
Income tax provision (benefit) related to other comprehensive income (loss)		(1,388	)		(998	)		(1,160	)		150
Other comprehensive income (loss), after income tax provision		(15,645	)		(11,350	)		(13,060	)		1,381
Comprehensive income		5,889			33,118			56,897			76,735
Comprehensive income attributable to non-controlling interest in Calamos Investments LLC (Calamos Interests)		(7,530	)		(28,127	)		(49,515	)		(65,223	)
Comprehensive (income) loss attributable to non-controlling interest in partnership investment		1,092			-			(514	)		(5	)
Comprehensive income (loss) attributable to Calamos Asset Management, Inc.	$	(549	)	$	4,991		$	6,868		$	11,507

See accompanying notes to consolidated financial statements.

5

CALAMOS ASSET MANAGEMENT, INC.

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY

Six Months Ended June 30, 2012

(in thousands, except share data)

(unaudited)

	CALAMOS ASSET MANAGEMENT, INC. STOCKHOLDERS’ EQUITY														Non- controlling interest in Calamos			Non-
	Common Stock		Additional Paid-in Capital			Retained Earnings			Accumulated Other Comprehensive Loss			Treasury Stock			Investments LLC (Calamos Interests)			controlling interest in partnership investments		Total
Balance at December 31, 2011	$	241	$	214,102		$	67,991		$	(527	)	$	(95,215	)	$	229,168		$	12,034	$	427,794
Net income		—		—			8,853			—			—			60,590			514		69,957
Changes in unrealized gains on available-for- sale securities, net of income taxes		—		—			—			874			—			4,961			—		5,835
Reclassification adjustment for gains on available-for-sale securities included in income, net of income taxes		—		—			—			(2,859	)		—			(16,036	)		—		(18,895	)
Issuance of common stock (231,116 Class A common shares)		3		(3	)		—			—			—			—			—		—
Cumulative impact of changes in ownership of Calamos Investments LLC		—		477			(6	)		6			—			(1,436	)		—		(959	)
Compensation expense recognized under stock incentive plans		—		842			—			—			—			2,983			—		3,825
Dividend equivalent accrued under stock incentive plans		—		—			(77	)		—			—			(274	)		—		(351	)
Distributions to non-controlling interests		—		—			—			—			—			(37,599	)		—		(37,599	)
Dividends declared		—		—			(3,864	)		—			—			—			—		(3,864	)
Balance at June 30, 2012	$	244	$	215,418		$	72,897		$	(2,506	)	$	(95,215	)	$	242,357		$	12,548	$	445,743

See accompanying notes to consolidated financial statements.

6

CALAMOS ASSET MANAGEMENT, INC.

CONSOLIDATED STATEMENTS OF CASH FLOWS

Six Months Ended June 30, 2012 and 2011

(in thousands)

(unaudited)

	2012			2011
Cash and cash equivalents at beginning of period	$	102,166		$	82,870
Cash flows from operating activities:
Net income		69,957			75,354
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of deferred sales commissions		2,675			3,198
Other depreciation and amortization		2,857			2,967
Deferred rent		(54	)		10
Change in unrealized (gains) losses on CFS securities, derivative assets, derivative liabilities and partnership investments, net		(3,180	)		1,532
Net realized gain on sale of investment securities, derivative assets and derivative liabilities		(15,931	)		(8,970	)
Increase in deferred tax asset valuation allowance		1,900			-
Deferred taxes		4,721			3,859
Stock based compensation		3,824			3,759
Employee taxes paid on vesting under stock incentive plans		(872	)		(1,030	)
(Increase) decrease in assets:
Receivables:
Affiliates and affiliated funds		638			(335	)
Customers		(1,077	)		(2,142	)
Deferred sales commissions		(1,096	)		(2,196	)
Other assets		(708	)		(2,055	)
Increase (decrease) in liabilities:
Distribution fees payable		(759	)		555
Accrued compensation and benefits		(9,225	)		(7,684	)
Accrued expenses and other liabilities		1,307			1,165
Net cash provided by operating activities		54,977			67,987
Cash flows provided by (used in) investing activities:
Net additions to property and equipment		(970	)		(1,277	)
Purchase of investment securities		(261,329	)		(115,577	)
Proceeds from sale of investment securities		276,516			96,081
Net purchases of derivatives		(11,156	)		(8,946	)
Net changes in partnership investments		(343	)		18,678
Net cash provided by (used in) investing activities		2,718			(11,041	)
Cash flows used in financing activities:
Repayment of debt		-			(32,885	)
Deferred tax (expense) benefit on vesting under stock incentive plans		(88	)		4
Distributions paid to non-controlling interests		(37,599	)		(39,707	)
Cash dividends paid to common stockholders		(3,864	)		(3,824	)
Net cash used in financing activities		(41,551	)		(76,412	)
Net increase (decrease) in cash		16,144			(19,466	)
Cash and cash equivalents at end of period	$	118,310		$	63,404
Supplemental disclosure of cash flow information:
Cash paid for:
Income taxes, net	$	2,057		$	2,358
Interest	$	2,977		$	3,839

See accompanying notes to consolidated financial statements.

7

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

(1) Organization and Description of Business

Calamos Asset Management, Inc. (CAM) is a holding company and as of June 30, 2012 owned 22.1% of Calamos Investments LLC (Calamos Investments). CAM, together with Calamos Investments and Calamos Investments’ subsidiaries (the Company), operates the investment advisory and distribution services businesses reported within these consolidated financial statements. CAM operates and controls all of the business and affairs of Calamos Investments and, as a result of this control, consolidates the financial results of Calamos Investments with its own financial results. The remaining 77.9% ownership interest in Calamos Investments is held by Calamos Family Partners, Inc. (CFP), a Delaware corporation, and John P. Calamos, Sr. the Chairman, Chief Executive Officer and Co-Chief Investment Officer of CAM. CFP and John P. Calamos, Sr. (collectively Calamos Interests), ownership interest, in accordance with applicable accounting guidance, is reflected and referred to within these consolidated financial statements as “non-controlling interest in Calamos Investments LLC”. As shown in the diagram below, CFP also owns all of CAM’s outstanding Class B common stock, which represents 97.5% of the combined voting power of all classes of CAM’s voting stock. The graphic below illustrates our organizational and ownership structure as of June 30, 2012:

_________________

(1) Represents combined economic interest of Calamos Family Partners, Inc. and John P. Calamos, Sr. who is also a member of Calamos Investments LLC.

(2) Represents combined economic interest of all public stockholders, including John P. Calamos, Sr., Nick Calamos and John P. Calamos, Jr.’s combined  7.94% ownership interest of Class A common stock. The calculation of ownership interest includes vested stock options.

(3) As of May 2, 2012, Calamos International LLP’s name changed to Calamos Investments LLP.

8

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

The Company primarily provides investment advisory services to individuals and institutional investors through a series of investment products that include open-end, closed-end and offshore funds (collectively, Funds); separate accounts; and partnerships. The subsidiaries through which the Company provides these services include: Calamos Advisors LLC (CAL), a Delaware limited liability company and registered investment advisor; Calamos Financial Services LLC (CFS), a Delaware limited liability company and registered broker-dealer; Calamos Wealth Management LLC, a Delaware limited liability company and registered investment advisor; and Calamos Investments LLP, a United Kingdom limited liability partnership, registered investment advisor with the Financial Services Authority in the United Kingdom, and a global distributor of the offshore funds and Company products. For reporting purposes, the offshore funds are reported within the open-end funds.

(2) Summary of Significant Accounting Policies

Basis of Presentation

The consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (GAAP), which require the use of estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses, and the disclosure of contingent assets and liabilities. Management believes the accounting estimates are appropriate and reasonably stated; however, due to the inherent uncertainties in making estimates, actual amounts could differ from these estimates. Investments previously presented as Low-volatility equity investments or Other investments are being presented as either Equity or Convertible investments, based on the underlying investment strategy, in Note 3 Investment Securities and Note 6 Fair Value Measurements.

The consolidated financial statements as of June 30, 2012 and for the three and six months ended June 30, 2012 and 2011 have not been audited by the Company’s independent registered public accounting firm. In the opinion of management, these statements contain all adjustments, including those of a normal recurring nature, necessary for fair presentation of the financial condition and results of operations. The results for the interim periods presented are not necessarily indicative of the results to be obtained for a full fiscal year. This Form 10-Q filing should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2011.

The Company consolidates investments in which the Company’s ownership exceeds 50% or in which the Company operates and controls the business and affairs of the entity. As such, the consolidated financial statements include the financial statements of CAM, Calamos Investments, Calamos Investments’ wholly- and majority-owned subsidiaries, and Calamos International Growth Fund LP. All intercompany balances and transactions have been eliminated.

The Calamos Interests’ combined 77.9% and 78.1% interest in Calamos Investments as of June 30, 2012 and December 31, 2011, respectively, is represented as a non-controlling interest in Calamos Investments LLC in the Company’s consolidated financial statements. Non-controlling interest in Calamos Investments is derived by multiplying the historical equity of Calamos Investments by the Calamos Interests’ aggregate ownership percentage for the periods presented. Issuances and repurchases of CAM’s common stock results in changes in CAM’s ownership percentage and to the non-controlling interests’ ownership percentage of Calamos Investments with resulting changes reflected in the consolidated statements of changes in stockholders’ equity. Income is allocated based on the average ownership interest during the period in which the income is earned.

CAL is the general partner and controls the operations of Calamos International Growth Fund LP, thus the Company consolidated the results of the partnership into its consolidated financial results. The combined interests of this partnership not owned by the Company, is presented as non-controlling interest in partnership investments in the Company’s consolidated financial statements.

The assets and liabilities of Calamos International Growth Fund LP are presented on a net basis within partnership investments, net in the consolidated statements of financial condition, the net income is included in Investment and other income (loss) in the consolidated statements of operations, and the change in partnership investments is included in the net changes in partnership investments in the consolidated statements of cash flows. Calamos International Growth Fund LP is presented on a net basis in order to provide more clarity to the financial position and results of the core operations of the Company. The underlying assets and liabilities that are being consolidated are described in Note 5 Partnership Investments.

The Company holds non-controlling interests in certain other partnership investments that are included in partnership investments, net in the consolidated statements of financial condition. These other partnership investments are accounted for under the equity method.

9

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

Income Taxes

Deferred tax assets and liabilities are recognized for the future tax consequences attributable to the temporary differences between the financial statement carrying amount of existing assets and liabilities and their respective tax basis. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. During the second quarter of 2012, the Company recorded a $1.9 million valuation allowance to reduce its deferred income tax assets to an amount that is more likely than not to be realized based on available evidence at the time the estimate was made. Determining a valuation allowance requires management to make significant judgments and assumptions. In determining a valuation allowance the Company uses historical and forecasted future realized and unrealized gains and losses on its investment, ongoing tax planning strategies, and forecasts of future taxable income. Each quarter the Company re-evaluates its estimate related to its valuation allowance, including its assumptions about future taxable income. As of June 30, 2012 and December 31, 2011, the Company’s valuation allowance on its deferred tax assets was $7.1 million and $5.2 million, respectively and related to its capital loss carryforward. The Company’s capital loss carryforward is used against realized gains on its investments, derivative assets, derivative liabilities and partnership investments.

During the year there were no additional changes to the Company’s significant accounting policies or estimates. For a comprehensive disclosure of the Company’s significant accounting policies, see the Company’s Annual Report on Form 10-K for the year ended December 31, 2011.

(3) Investment Securities

As a registered broker-dealer, CFS is required to carry all investment securities it owns at fair value and record all changes in fair value in current earnings. As such, unrealized gains and losses on CFS securities, as well as realized gains and losses on all investment securities, are included in investment and other income (loss) in the consolidated statements of operations. The following table provides a summary of investment securities owned as of June 30, 2012 and December 31, 2011:

	June 30, 2012
(in thousands)	Cost		Unrealized Gains		Unrealized Losses			Fair Value
Available-for-sale securities:
Funds
Equity	$	193,370	$	2,222	$	(13,575	)	$	182,017
Fixed income		89,847		124		(2,842	)		87,129
Convertible		43,477		90		(2,113	)		41,454
Other		1,610		46		(261	)		1,395
Total available-for-sale securities	$	328,304	$	2,482	$	(18,791	)	$	311,995
CFS securities:
Funds
Equity	$	3,004	$	573	$	—		$	3,577
Common stock		56		65		—			121
Total CFS securities	$	3,060	$	638	$	—		$	3,698
Total investment securities								$	315,693

10

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

	December 31, 2011
(in thousands)	Cost		Unrealized Gains		Unrealized Losses			Fair Value
Available-for-sale securities:
Funds
Equity	$	179,686	$	8,703	$	(15,052	)	$	173,337
Fixed income		88,329		14		(4,566	)		83,777
Convertible		47,481		9,801		(678	)		56,604
Other		1,556		27		(337	)		1,246
Total available-for-sale securities	$	317,052	$	18,545	$	(20,633	)	$	314,964
CFS securities:
Funds
Equity	$	3,004	$	399	$	—		$	3,403
Common stock		55		74		—			129
Total CFS securities	$	3,059	$	473	$	—		$	3,532
Total investment securities								$	318,496

Of the $315.6 million and $318.4 million investments in Funds at June 30, 2012 and December 31, 2011, respectively, $270.7 million and $276.1 million were invested in affiliated funds.

The aggregate fair value of available-for-sale investment securities that was in an unrealized loss position at June 30, 2012 and December 31, 2011 was $274.3 million and $252.2 million, respectively. As of June 30, 2012, the cumulative losses on securities that had been in a continuous loss position for 12 months or longer totaled $5.0 million.

At June 30, 2012 and December 31, 2011, the Company believes that the unrealized losses attributed to its fund investments are only temporary in nature, as these losses are a result of short-term declines in the net asset value of the funds. Further, the Company has the intent and ability to hold these securities for a period of time sufficient to allow for recovery of the market value.

The table below summarizes information on available-for-sale securities as well as the change in unrealized gains and losses on CFS securities for the three 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)
Available-for-sale securities:
Proceeds from sale	$	—		$	83,975		$	276,516	$	96,081
Gross realized gains on sales	$	—		$	12,631		$	26,440	$	14,368
CFS securities:
Change in unrealized gains (losses)	$	(296	)	$	(99	)	$	165	$	504

11

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

The tables below summarize the tax (provision) benefit on unrealized gains and gains reclassified out of accumulated other comprehensive income on available-for-sale securities for the three and six months ended June 30, 2012 and 2011:

	Three Months Ended June 30, 2012								Three Months Ended June 30 , 2011
(in thousands)	Before-Tax Amount			Tax (Provision) Benefit		After-Tax Amount			Before-Tax Amount			Tax (Provision) Benefit			After-Tax Amount
Available-for-sale securities:
Changes in unrealized gains (losses)	$	(17,033	)	$	1,388	$	(15,645	)	$	4,835		$	(391	)	$	4,444
Reclassification adjustment for realized gains included in income		—			—		—			(17,183	)		1,389			(15,794	)
Other comprehensive loss	$	(17,033	)	$	1,388	$	(15,645	)	$	(12,348	)	$	998		$	(11,350	)

	Six Months Ended June 30, 2012									Six Months Ended June 30 , 2011
(in thousands)	Before-Tax Amount			Tax (Provision) Benefit			After-Tax Amount			Before-Tax Amount			Tax (Provision) Benefit			After-Tax Amount
Available-for-sale securities:
Changes in unrealized gains	$	6,354		$	(519	)	$	5,835		$	20,379		$	(1,675	)	$	18,704
Reclassification adjustment for realized gains included in income		(20,574	)		1,679			(18,895	)		(18,848	)		1,525			(17,323	)
Other comprehensive income (loss)	$	(14,220	)	$	1,160		$	(13,060	)	$	1,531		$	(150	)	$	1,381

(4) Derivative Assets and Liabilities

In order to reduce the volatility equity markets have on the fair value of the Company’s corporate investment portfolio and to assist in compliance with its debt covenants, the Company uses exchange traded option contracts as an economic hedge of price changes in its investment securities portfolio. The Company's corporate investment portfolio consists of cash and cash equivalents, investment securities, partnership investments and derivative assets and liabilities. The equity price risk in the investment portfolio is hedged using exchange-traded option contracts that correlate most closely with the change in value of the portfolio being hedged. The use of these option contracts is part of a hedge overlay strategy to minimize downside risk in the hedged portfolio, while participating in a portion of the upside of a market rally. The Company may adjust its hedge position in response to movement and volatility in prices and changes in the composition of the hedged portfolio, but generally is not actively buying and selling contracts.

The fair value of option contracts is reported in derivative assets and derivative liabilities in the consolidated statements of financial condition. Net gains and losses on these contracts are reported in investment and other income (loss) in the consolidated statements of operations with net losses of $108,000 and $2.5 million for the quarter ended June 30, 2012 and 2011, respectively. Net losses of $8.2 million and $8.6 million were recorded for the six months ended June 30, 2012 and 2011, respectively. The Company is using these derivatives for risk management purposes but has not designated the contracts as hedges for accounting purposes.

12

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

(5) Partnership Investments

Presented below are the underlying assets and liabilities of Calamos International Growth Fund LP that the Company reports on a net consolidated basis, as well as partnership investments that the Company accounts for under the equity method. These investments are presented collectively as partnership investments, net in the consolidated statements of financial condition as of June 30, 2012 and December 31, 2011.

(in thousands)	June 30, 2012			December 31, 2011
Consolidated partnership:
Securities owned	$	12,323		$	11,471
Cash and cash equivalents		252			651
Other current assets		312			64
Accrued expenses and other current liabilities		(314	)		(127	)
Total		12,573			12,059
Equity method investment in partnerships		21,550			20,997
Partnership investments, net	$	34,123		$	33,056

(6) Fair Value Measurements

The Company utilizes a three-tier fair value hierarchy which prioritizes the inputs used in measuring fair value as follows: Level 1 — observable inputs such as quoted prices for identical assets and liabilities in active markets; Level 2 — inputs, other than the quoted prices in active markets, that are observable either directly or indirectly (including quoted prices of similar securities, interest rates, credit risk, etc.); and Level 3 — unobservable inputs in which there is little or no market data, and require the reporting entity to develop its own assumptions. For each period presented, the Company did not have any assets or liabilities measured at fair value using Level 3 measurements. Transfers between levels are measured at the end of the reporting period. As of June 30, 2012, the Company transferred $7.7 million of foreign securities from Level 1 to Level 2. These transfers were due to the Company now using applied factors that utilize a systematic fair valuation model on securities that trade on certain foreign exchanges. The Company had no additional transfers between levels during the reporting periods.

Investments are presented in the consolidated financial statements at fair value in accordance with GAAP. Investments in open-end funds are stated at fair value based on end of day published net asset values of shares owned by the Company. Investments in securities traded on a national securities exchange are stated at the last reported sales price on the day of valuation. Foreign securities trading on foreign exchanges or over-the-counter markets may be valued utilizing a valuation model provided by an independent pricing service to reflect the impact of movement in the U.S. market after the foreign markets close. Other securities, including derivatives, traded in the over-the-counter market and listed securities for which no sale was reported on that date are stated at the last quoted bid price. However, call options written are reported at the last quoted ask price. Other securities for which quotations are not readily available are valued at fair value based on observable inputs such as market prices for similar instruments as validated by third party pricing agencies and the Company’s prime broker.

13

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

The following tables provide the hierarchy of inputs used to derive the fair value of the Company’s assets and liabilities measured at fair value on a recurring basis as of June 30, 2012 and December 31, 2011, respectively.

			Fair Value Measurements Using
(in thousands) Description	June 30, 2012		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)
Cash and cash equivalents
Money market funds	$	5,168	$	5,168	$	—
Investment securities (Note 3)
Funds
Equity		185,594		185,594		—
Fixed income		87,129		87,129		—
Convertible		41,454		41,454		—
Other		1,395		1,395		—
Total Funds		315,572		315,572		—
Common stock		121		121		—
Investment securities		315,693		315,693		—
Derivative assets (Note 4)
Exchange-traded put option contracts		113		113		—
Securities owned by the partnership (Note 5)
Common stocks		12,323		4,413		7,910
Short term investments		252		252		—
		12,575		4,665		7,910
Total	$	333,549	$	325,639	$	7,910

14

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

				Fair Value Measurements Using
(in thousands) Description	December 31, 2011			Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)
Cash and cash equivalents
Money market funds	$	3,983		$	3,983		$	—
Investment securities (Note 3)
Funds
Equity		176,740			176,740			—
Fixed income		83,777			83,777			—
Convertible		56,604			56,604			—
Other		1,246			1,246			—
Total Funds		318,367			318,367			—
Common stock		129			129			—
Investment securities		318,496			318,496			—
Derivative assets (Note 4)
Exchange-traded put option contracts		1,018			1,018			—
Derivative liabilities (Note 4)
Exchange-traded call option contracts		(3,844	)		(3,844	)		—
Securities owned by the partnership (Note 5)
Common stocks		11,471			11,261			210
Fixed income		626			—			626
		12,097			11,261			836
Securities sold but not yet purchased of the partnership (Note 5)
Common stocks		(72	)		(72	)		—
Exchange-traded call option contracts		(31	)		(31	)		—
		(103	)		(103	)		—
Total	$	331,647		$	330,811		$	836

The fair value of long-term debt, not measured at fair value in the consolidated financial statements, was $110.8 and $109.6 million, respectively at June 30, 2012 and December 31, 2011. The carrying value was $92.1 million at June 30, 2012 and December 31, 2011. These fair value estimates are calculated using discounted cash flows based on the Company’s incremental borrowing rates for the debt and market inputs for similar bonds at the measurement date, and are Level 2 inputs within the fair value hierarchy.

The carrying value of all other financial instruments approximates fair value due to the short maturities of these financial instruments.

(7) Loans Payable

The Company has access to margin loans for the settlement of call options, as well as an additional source of liquidity. The interest rates that can be charged on margin loans range from 1.75% to 2.50% per annum, based on the Company’s average debt balance and brokerage firm’s lending rate. These loans are due on demand. The Company can borrow up to 70% of its marginable securities on deposit with its brokerage firm. The Company had no margin loan balances outstanding at June 30, 2012 and December 31, 2011.

15

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

(8) Stock Based Compensation

Under the Company’s incentive compensation plan, certain employees of the Company receive stock based compensation comprised of stock options and restricted stock units (RSUs). Historically, RSUs have been settled with newly issued shares so that no cash was used by the Company to settle awards; however, the Company may also use treasury shares upon the exercise of stock options and upon conversion of RSUs. The Company’s Annual Report on Form 10-K for the year ended December 31, 2011 provides details of this plan and its provisions.

During the six months ended June 30, 2012, the Company granted 604,917 RSUs and there were 60,004 RSUs forfeited. During the same period, the Company granted no stock options and there were 14,620 stock options forfeited.

During the six months ended June 30, 2012, 300,141 RSUs vested with 69,025 units withheld for taxes and 231,116 RSUs converted into an equal number of shares of CAM’s Class A common stock. The total intrinsic value and the fair value of the converted shares was $2.9 million. The total tax benefit realized in connection with the vesting of the RSUs during the six months ended June 30, 2012 was $335,000, as the Company receives tax benefits based upon the portion of Calamos Investments’ expense that it recognizes.

During the six months ended June 30, 2012 and 2011, compensation expense recorded in connection with the RSUs and stock options was $3.8 million for both periods, of which $842,000 and $821,000 during the six months ended June 30, 2012 and 2011, respectively, was credited as additional paid-in capital after giving effect to the non-controlling interests. The amount of deferred tax asset created was $312,000 and $304,000 during the six months ended June 30, 2012 and 2011, respectively. As of June 30, 2012, $17.9 million of total unrecognized compensation expense related to unvested stock option and RSU awards is expected to be recognized over a weighted-average period of 4.0 years.

(9) Non-operating Income (Loss)

Non-operating income (loss) was comprised of the following components for the three 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)
Interest income	$	96		$	53		$	184		$	122
Interest expense		(1,504	)		(1,662	)		(3,008	)		(3,626	)
Net interest expense		(1,408	)		(1,609	)		(2,824	)		(3,504	)
Investment income (loss)		(2,574	)		9,934			19,624			7,449
Dividend income		791			779			1,576			1,600
Miscellaneous other income		69			66			156			103
Investment and other income (loss)		(1,714	)		10,779			21,356			9,152
Non-operating income (loss)	$	(3,122	)	$	9,170		$	18,532		$	5,648

16

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

(10) Income Taxes

Calamos Investments is subject to certain income-based state taxes; therefore, income taxes reflect not only the portion attributed to CAM stockholders but also a portion of income taxes attributable to non-controlling interests.

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
(in thousands)
Income tax provision	$	4,281		$	4,050		$	8,565		$	6,957
Income tax provision attributable to non-controlling interest in Calamos  Investments		(122	)		(119	)		(194	)		(272	)
Income taxes attributable to CAM		4,159			3,931			8,371			6,685
Net income attributable to CAM		1,814			6,693			8,853			11,325
Income before taxes attributable to CAM	$	5,973		$	10,624		$	17,224		$	18,010
CAM’s effective income tax rate		69.6	%		37.0	%		48.6	%		37.1	%

As of December 31, 2011, the Company’s capital loss carryforward was $27.6 million, of which $21.8 million will expire in 2013 and $5.8 million will expire in 2014, if not used before the expiration dates. During the second quarter the Company recorded a $1.9 million valuation allowance on the deferred tax asset, related to this capital loss carryforward, to reduce the deferred tax asset to an amount that is more likely than not to be realized. In determining the valuation allowance the Company used historical and forecasted future realized and unrealized gains and losses on its investment, ongoing tax planning strategies, and forecasts of future taxable income. Each quarter the Company re-evaluates its estimate related to the valuation allowance, including its assumptions about future taxable income. As of June 30, 2012, the Company’s valuation allowance on this deferred tax asset was $7.1 million. Excluding the deferred tax valuation allowance, our effective income tax rate would be 37.8% and 37.6% for the second quarter and first six months ended June 30, 2012.

(11) Earnings Per Share

The following table reflects the calculation of basic and diluted earnings per share:

(in thousands, except per share data)	Three Months Ended June 30,				Six Months Ended June 30,
	2012		2011		2012		2011
Earnings per share – basic
Earnings available to common shareholders	$	1,814	$	6,693	$	8,853	$	11,325
Weighted average shares outstanding		20,343		20,125		20,288		20,080
Earnings per share – basic	$	0.09	$	0.33	$	0.44	$	0.56
Earnings per share – diluted
Earnings available to common shareholders	$	1,814	$	6,693	$	8,853	$	11,325
Weighted average shares outstanding		20,343		20,125		20,288		20,080
Dilutive impact of restricted stock units		460		490		425		465
Weighted average diluted shares outstanding		20,803		20,615		20,713		20,545
Earnings per share – diluted	$	0.09	$	0.32	$	0.43	$	0.55

When dilutive, diluted shares outstanding are calculated (a) assuming that Calamos Interests exchanged all of their ownership interest in Calamos Investments and their CAM Class B common stock for shares of CAM’s Class A common stock (the Exchange) and (b) including the effect of outstanding dilutive equity incentive compensation awards. As of June 30, 2012 and 2011, the impact of the Exchange was anti-dilutive and, therefore, excluded from the calculation of diluted earnings per share.

17

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

The Company uses the treasury stock method to reflect the dilutive effect of unvested RSUs and unexercised stock options on diluted earnings per share. Under the treasury stock method, if the average market price of common stock increases above the option’s exercise price, the proceeds that would be assumed to be realized from the exercise of the option would be used to acquire outstanding shares of common stock. However, the awards may be anti-dilutive even when the market price of the underlying stock exceeds the option’s exercise price. This result is possible because compensation cost attributed to future services and not yet recognized is included as a component of the assumed proceeds upon exercise. The dilutive effect of such options and RSUs would increase the

weighted average number of shares used in the calculation of diluted earnings per share.

The Company amended its certificate of incorporation requiring that the Exchange be based on a fair value approach (details of the amendment are set forth in the Company’s Schedule 14C filed with the Securities and Exchange Commission on January 12, 2009). The amendment results in the same or fewer shares of Class A common stock being issued at the time of the Exchange.

The shares issued upon Exchange as presented are estimated solely on the formula as described in the Schedule 14C that does not necessarily reflect all inputs used in a fair valuation. It is critical to note that this formula does not incorporate certain economic factors and as such, in the event of an actual Exchange, the majority of the Company’s independent directors may determine the fair market value of CAM’s net assets and its ownership in Calamos Investments. For example, premiums and/or discounts for control and marketability as well as a different discount rate for future cash flows may be applied. Therefore, the directors’ valuation may result in the actual number of shares being materially different from the shares presented. Further, based upon currently available information, the Company believes it is extremely remote that any Exchange would transpire without a fair market valuation of CAM’s net assets and an agreement by Calamos Interests to Exchange, based upon that fair market valuation.

The following table shows the number of shares which were excluded from the computation of diluted earnings per share as they were anti-dilutive:

	Three Months Ended June 30,				Six Months Ended June 30,
	2012		2011		2012		2011
Exchange of Calamos Interests’ ownership in Calamos Investments for shares of Class A common stock		40,993,210		48,384,017		40,993,210		48,384,017
Stock options		2,330,443		2,356,455		2,330,443		2,356,455
Total		43,323,653		50,740,472		43,323,653		50,740,472

The maximum number of shares of Class A common stock that could be issued to the Calamos Interests upon exchange is 71,931,185 as of June 30, 2012.

(12) Recently Issued Accounting Pronouncements

The Company has reviewed all newly issued accounting pronouncements that are applicable to its business and to the preparation of its consolidated financial statements, including those not yet required to be adopted. The Company does not believe any such pronouncements will have a material effect on the Company’s financial position or results of operations. Accounting guidance that either have become effective this year or will become effective in future years, with respect to the Company’s consolidated financial statements, are described below:

In December 2011, the Financial Accounting Standards Board (“FASB”) issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The Company’s effective date is January 1, 2013. The adoption of this guidance is not expected to have a material impact on the Company’s financial position or results of operations.

In June 2011, the FASB issued new guidance that requires an entity to present the total of comprehensive income, the components of net income, and the components of other comprehensive income either in a single continuous statement of comprehensive income or in two separate but consecutive statements. An entity is required to present each component of net income along with total net income, each component of other comprehensive income along with a total for other comprehensive income, and a total amount for comprehensive income. This update eliminates the option to present the components of other comprehensive income as part of the statement of changes in stockholders' equity. The Company has elected the two separate but consecutive statements approach with the

18

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(unaudited)

adoption of this guidance. This guidance is effective and was adopted by the Company during the first quarter of this year.

In May 2011, the FASB issued new guidance to clarify the application of existing fair value measurement requirements and to change particular principles or requirements for measuring fair value or for disclosing information about fair value measurements. This guidance is effective and was adopted by the Company during the first quarter of this year. The adoption of this guidance has resulted in the Company reporting the level in the fair value hierarchy and the observable inputs required for the calculation of the fair value of the Company’s long-term debt.

19

Item 2. Management’s Discussion and Analysis of Financial Condition andResults of Operations

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.

20

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

21

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.

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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.

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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.

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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
	Non-Operating Loss, net			Change in Accumulated Other Comprehensive Loss			Total			Non-Operating Income, Net			Change in Accumulated Other 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 investment securities, partially offset by unrealized losses from investment securities and realized losses on option contracts used to hedge market value fluctuations in the corporate investment portfolio.

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Income Tax Provision

Calamos Investments LLC (Calamos Investments) is subject to certain income-based state taxes; therefore, income taxes reflect not only the portion attributed to us but also income taxes attributable to non-controlling interests. Our effective income tax rate for the second quarter and first six months of 2012 was approximately 69.6% and 48.6%, respectively, compared to 37.0% and 37.1% for the second quarter and first six months of 2011. The second quarter and first six months of 2012 effective tax rates include the impact of an increase in the deferred tax valuation allowance of $1.9 million, to reduce our deferred income tax assets to an amount that is more likely than not to be realized. Excluding the deferred tax valuation allowance, our effective income tax rate would be 37.8% and 37.6% for the second quarter and first six months ended June 30, 2012.

Net Income

Net income attributable to CAM was $1.8 million and $8.9 million for the second quarter and first six months of 2012, respectively, compared to $6.7 million and $11.3 million for the second quarter and first six months of 2011. Non-GAAP net income attributable to CAM was $6.0 million and $12.2 million for the second quarter and first six months of 2012, respectively, compared to $7.4 million and $14.5 million for the second quarter and first six months of 2011. See “Supplemental Non-GAAP Financial Measures” of the MD&A below for descriptions of non-GAAP financial measures and a reconciliation of non-GAAP financial measures to GAAP financial measures.

The Calamos Interests has reserved the right to exchange their interest in Calamos Investments for newly issued Class A common shares. At the time of exchange, the Calamos Interests would be granted Class A common shares with a value equal to the fair value of their ownership in Calamos Investments. The method for determining the number of shares the Calamos Interests receive upon exchange is described in Section 3 (c) (ii) of Article IV of the Second Amended and Restated Certificate of Incorporation of CAM. Based upon the number of outstanding shares of Class A common stock at June 30, 2012, and excluding the value of assets we own other than our 22.1% interest in Calamos Investments, such exchange would result in the Calamos Interests receiving 77.9% of CAM’s then outstanding Class A common stock.

Following a complete exchange of the Calamos Interests’ 77.9% ownership interest in Calamos Investments for newly issued Class A common stock, net income attributable to non-controlling interests in Calamos Investments would no longer be presented as a separate line item within our consolidated statement of operations because we would then own 100% of Calamos Investments.

Supplemental Non-GAAP Financial Measures

We provide investors with certain adjusted, non-GAAP financial measures including non-GAAP net income attributable to CAM and non-GAAP diluted earnings per share. These non-GAAP financial measures are provided to supplement our consolidated financial statements presented on a GAAP basis. These non-GAAP financial measures adjust GAAP financial measures to include the tax benefit from amortization of deferred taxes on intangible asset and to exclude the increase in deferred tax valuation adjustment and CAM’s non-operating income (loss), net of taxes. We believe these adjustments are appropriate to enhance an overall understanding of our operating financial performance, as well as to facilitate comparisons with our historical earnings results. These adjustments to our GAAP results are made with the intent of providing investors a more complete understanding of our underlying earnings results and trends and our marketplace performance. In addition, these non-GAAP financial measures are among the primary indicators management uses as a basis of managing our business.

The presentation of this additional information is not meant to be considered in isolation or as a substitute for the directly comparable financial measures prepared in accordance with GAAP. Investors should review the reconciliations of the non-GAAP financial measures to their most directly comparable GAAP financial measures as provided in the table below:

	Three Months Ended June 30,					Six Months Ended June 30,
(in thousands)	2012		2011			2012			2011
Net income attributable to CAM	$	1,814	$	6,693		$	8,853		$	11,325
Adjustments:
Deferred tax amortization on intangible assets		1,979		1,979			3,958			3,958
Increase in deferred tax valuation allowance		1,900		-			1,900			-
Non-operating (income) loss, net of taxes		279		(1,263	)		(2,487	)		(780	)
Non-GAAP net income attributable to CAM	$	5,972	$	7,409		$	12,224		$	14,503
Diluted – Weighted average shares outstanding		20,802,688		20,614,941			20,713,171			20,545,099
Diluted earnings per share	$	0.09	$	0.32		$	0.43		$	0.55
Non – GAAP diluted earnings per share	$	0.29	$	0.36		$	0.59		$	0.71

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Non-GAAP net income attributable to CAM is calculated by adjusting the following items from GAAP net income attributable to CAM:

(i)   amortization of deferred taxes on intangible assets associated with the election under section 754 of the Internal Revenue Code of 1986, as amended (Section 754 election);

(ii)   increase in deferred tax valuation allowance; and

(iii)   CAM’s non-operating income (loss), net of taxes.

Non-GAAP diluted earnings per share is calculated by dividing (i) Non-GAAP net income attributable to CAM by (ii) diluted weighted average shares outstanding.

The deferred tax assets from the Section 754 election allows for a quarterly reduction of $2.0 million in future income taxes owed by us through 2019, to the extent that a tax payable exists during the quarter. As a result, this cash savings will accrue solely for the benefit of the shareholders of CAM’s common stock. We believe that adjusting this item from the calculation of the above non-GAAP items can be a useful measure in allowing investors to see our performance. The change in the allowance on the deferred tax asset is excluded from the above non-GAAP items as it may fluctuate in future periods affecting prior period comparisons. Non-operating income (loss) is excluded from the above non-GAAP items as it can distort comparisons between periods. As noted above, we believe that measures excluding these items are useful in analyzing operating trends and allows for more comparability between periods, which may be useful to investors.

We believe that non-GAAP net income attributable to CAM and non-GAAP diluted earnings per share are useful measures of performance and may be useful to investors, because they provide measures of our core business activities adjusting for items that are non-cash and costs that may distort comparisons between periods. These measures are provided in addition to our net income attributable to CAM and diluted earnings per share calculated under GAAP, but are not substitutes for those calculations.

Liquidity and Capital Resources

We manage our liquidity position to ensure adequate resources are available to fund ongoing operations of the business, provide seed capital for new funds, maintain a strong investment-grade credit rating, provide conservative levels of capital for our regulated subsidiaries and invest in other corporate strategic initiatives. Our principal sources of liquidity are cash flows from operating activities and our corporate investment portfolio, which is comprised of cash and cash equivalents, investment securities, derivatives and partnership investments. Investment securities are principally comprised of Company-managed Funds.

Our working capital requirements historically have been met through cash generated by operations. We believe cash generated from operations will be sufficient over the foreseeable future to meet our working capital requirements with respect to the foregoing activities, as well as to support future growth. Further, we expect that cash on hand and cash generated by operations will be sufficient to meet our liquidity needs.

The following table summarizes our principal sources of liquidity as of June 30, 2012 and December 31, 2011:

(in thousands)	June 30, 2012		December 31, 2011			Increase (Decrease)
Cash and cash equivalents	$	118,310	$	102,166		$	16,144
Investment securities		315,693		318,496			(2,803	)
Derivatives, net		113		(2,826	)		2,939
Partnership investments, net of non-controlling interests		21,575		21,022			553
Total corporate investment portfolio	$	455,691	$	438,858		$	16,833

We utilize a hedging strategy using exchange traded equity option contracts as an economic hedge to reduce downside risk and price volatility of the total portfolio value as well as to support compliance with the financial ratios associated with our long-term debt. This strategy allows us the flexibility to continue to provide seed capital for the development of new products when necessary, while seeking to help reduce risk and to maintain a solid credit rating.

Calamos Investments is the borrower of our $92.1 million in long-term debt. Calamos Investments was in compliance with all financial covenants as of June 30, 2012 and December 31, 2011. Calamos Investments currently has an investment-grade BBB+ rating from Standard & Poor’s.

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The following is a summary of our covenant compliance as of June 30, 2012 with the defined terms and covenants having the same meanings set forth under our amended note purchase agreements:

Covenant	Results as of June 30, 2012
EBITDA/interest expense — not less than 3.0		22.95
Debt/EBITDA — not more than 2.75		0.67
Investment coverage ratio — not less than 1.175		4.22
Net worth — not less than $160 million	$306 million

The following tables summarize key data relating to our liquidity and capital resources:

(in thousands)	June 30, 2012		December 31, 2011
Statements of financial condition data:
Cash and cash equivalents	$	118,310	$	102,166
Receivables		28,966		28,527
Investment securities and derivatives, net		315,806		315,670
Partnership investments, net of non-controlling interest		21,575		21,022
Deferred tax assets, net		59,971		65,518
Deferred sales commissions		3,864		5,444
Long-term debt		92,115		92,115

The deferred tax assets above include an annual reduction of $7.9 million in future income taxes owed by us through 2019. This reduction results from our election under Section 754 of the Internal Revenue Code, whereby we stepped up the tax basis in certain intangible assets to their fair market value. These assets are amortized over fifteen years on CAM’s tax return. As a result, this cash savings will accrue solely for the benefit of the shareholders of CAM’s common stock.

Cash flows for the six months ended June 30, 2012 and 2011 are shown below:

	June 30 ,
(in thousands)	2012			2011
Cash flow data:
Net cash provided by operating activities	$	54,977		$	67,987
Net cash provided by (used in) investing activities		2,718			(11,041	)
Net cash used in financing activities		(41,551	)		(76,412	)

Net cash provided by operating activities totaled $55.0 million for the six months ended June 30, 2012. These net cash flows are primarily attributable to investment management and distribution and underwriting fees generated by core business activities, partially offset by staff, distribution, and other operating expenses.

Net cash provided by investing activities totaled $2.7 million for the six months ended June 30, 2012. The net cash provided by investing activities primarily represents the liquidation of one of our sponsored funds resulting in net cash inflows of $17.0 million, partially offset by net cash outflows on our derivatives of $11.2 million, which are used as economic hedges against the equity price risk in our investment portfolio. The remaining sales and re-purchases of investing activities resulted in little change in cash provided by investing activities. These sales and re-purchases of investments were the result of us realizing gains on our investment securities as a result of our tax harvesting strategy.

Net cash used in financing activities totaled $41.6 million for the six months ended June 30, 2012, largely representing pro rata distributions from Calamos Investments paid to non-controlling interests in the amount of $37.6 million and dividends paid to CAM’s common shareholders in the amount of $3.9 million. Pro rata distributions from Calamos Investments were also paid to CAM in the amount of $10.8 million. These distributions are not reflected in the net cash flows used in financing activities; however they increase the cash available exclusively to the CAM’s common shareholders. We expect cash flows from financing activities to change with tax distributions based on the levels of income that we generate.

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Recently Issued Accounting Pronouncements

The Company has reviewed all newly issued accounting pronouncements that are applicable to its business and to the preparation of its consolidated financial statements, including those not yet required to be adopted. The Company does not believe any such pronouncements will have a material effect on the Company’s financial position or results of operations. Accounting guidance that either have become effective this year or will become effective in future years, with respect to the Company’s consolidated financial statements, are described below:

In December 2011, the Financial Accounting Standards Board (“FASB”) issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The Company’s effective date is January 1, 2013. The adoption of this guidance is not expected to have a material impact on the Company’s financial position or results of operations.

In June 2011, the FASB issued new guidance that requires an entity to present the total of comprehensive income, the components of net income, and the components of other comprehensive income either in a single continuous statement of comprehensive income or in two separate but consecutive statements. An entity is required to present each component of net income along with total net income, each component of other comprehensive income along with a total for other comprehensive income, and a total amount for comprehensive income. This update eliminates the option to present the components of other comprehensive income as part of the statement of changes in stockholders' equity. The Company has elected the two separate but consecutive statements approach with the adoption of this guidance. This guidance is effective and was adopted by the Company during the first quarter of this year.

In May 2011, the FASB issued new guidance to clarify the application of existing fair value measurement requirements and to change particular principles or requirements for measuring fair value or for disclosing information about fair value measurements. This guidance is effective and was adopted by the Company during the first quarter of this year. The adoption of this guidance has resulted in the Company reporting the level in the fair value hierarchy and the observable inputs required for the calculation of the fair value of the Company’s long-term debt.

Critical Accounting Policies and Estimates

Our significant accounting policies are summarized in note 2 of the Notes to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2011. A discussion of critical accounting policies is included in Management’s Discussion and Analysis of Financial Condition and Results of Operations in our Annual Report on Form 10-K for the year ended December 31, 2011. With the exception of changes made in our deferred tax assets valuation allowance described below, there were no significant changes in our significant accounting policies or critical accounting policies during the six months ended June 30, 2012.

Income Tax Provision (Benefit)

Management judgment is required in developing its provision for income taxes, including the determination of deferred tax assets and liabilities and any valuation allowances that might be required against deferred tax assets. During the second quarter we recorded a $1.9 million valuation allowance to reduce our deferred income tax assets to an amount that is more likely than not to be realized based on available evidence at the time the estimate was made. The valuation allowance on the deferred tax assets relates to our capital loss carryforward. Determining a valuation allowance requires management to make significant judgments and assumptions. In determining a valuation allowance we use historical and forecasted future realized and unrealized gains and losses on our investments, and future tax planning strategies. Each quarter we re-evaluate our estimate related to the valuation allowance, including our assumptions about future taxable income.

We believe that the accounting estimate related to the valuation allowance, recorded against this deferred tax asset is a critical accounting estimate because the underlying assumptions can change from period to period. For example, tax law changes or market appreciation/depreciation on investments could result in a change in the valuation allowance. If we were not able to realize all or part of our net deferred tax assets in the future, a significant adjustment to our deferred tax asset valuation allowance would be charged to income tax provision in that period.

Management determined that a valuation allowance was not required on our deferred tax assets related to our step-up in tax basis to fair market value for our intangible assets under our election made under Section 754 of the Internal Revenue Code of 1986, as amended. In the event that sufficient taxable income of the same character is not recognized in future years, a valuation allowance may be required. Because the determination of our annual income tax provision is subject to judgments and estimates, it is likely that the actual results will vary from those recorded in our financial statements. Hence, we recognize additions to and reductions in income

29

tax expense during a reporting period that pertains to prior period provisions as our estimated liabilities are revised and our actual tax returns and tax audits are completed.

Other Information

CAM is comprised of two groups of assets: a) CAM’s 22.1% ownership interest in Calamos Investments and b) assets other than its interest in Calamos Investments (Other Assets). Because CAM controls the operations of Calamos Investments, CAM presents the entire operations of Calamos Investments with its own in the consolidated financial statements. The Calamos Interests’ 77.9% ownership in Calamos Investments is presented as non-controlling interest in the consolidated financial statements. Prior to March 1, 2009, in addition to the approximately 20 million outstanding Class A common shares, we added 77 million shares to reflect Calamos Interests’ ownership in Calamos Investments. The resulting share count provided a reasonable proxy for the number of shares used in determining the market capitalization of the fully consolidated company.

During 2009, the ownership structure of Calamos Investments was de-unitized and as a result, Calamos Interests’ ownership in Calamos Investments is no longer reflected in the diluted share count presented in CAM’s financial statements. Therefore, the determination of the market capitalization of the fully consolidated business cannot be easily determined by the product of share price and weighted average number of shares. There is a divergence within the financial community on how to calculate CAM’s market capitalization with some basing it solely on the outstanding share count of CAM’s Class A common stock and others grossing-up CAM’s outstanding Class A shares by its 22.1% ownership in Calamos Investments. The following illustration and accompanying table highlight the uniqueness of CAM’s ownership structure in determining the fully consolidated market capitalization. This illustration is based on the closing price of CAM’s Class A common stock of $11.45 on June 30, 2012.

Other Assets as of June 30, 2012, included cash and cash equivalents and current income tax receivables with a combined book value of $62.3 million, which approximates fair value, as well as net deferred tax assets with a book value of $60.0 million. The most significant deferred tax asset relates to an election made under section 754 of the Internal Revenue Code following CAM’s initial public offering that expires in 2019, which allows CAM to reduce future income tax payments by $7.9 million annually.

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The net present value of the net deferred tax assets is $38.0 million if a hypothetical 12% discount rate were applied over the remaining life of the assets. Using this assumption, Other Assets would collectively have a discounted present value of $100.3 million, or $4.92 per share. Assuming CAM’s stock price fully reflects the Other Assets’ discounted present value of $4.92 per share, it can be inferred that CAM’s remaining stock price of $6.53 ($11.45 - $4.92) would be attributable to CAM’s 22.1% ownership interest in Calamos Investments. With these assumptions, the market capitalization associated with CAM’s ownership in Calamos Investments can be estimated by multiplying CAM’s share price attributable to Calamos Investments ($6.53) by the number of CAM’s Class A common shares outstanding (20.4 million) to yield an estimated market capitalization of $132.8 million as of June 30, 2012. This result, however, must be divided by CAM’s 22.1% ownership of Calamos Investments to determine the total implied market capitalization of Calamos Investments of $602.2 million. Adding the discounted present value of CAM’s Other Assets to the market capitalization of Calamos Investments indicates that the fully consolidated market capitalization of CAM would be estimated at $702.5 million as of June 30, 2012.

The above example assumes that CAM’s stock price reflects the entire discounted present value of the Other Assets. If, however, no value were ascribed to the Other Assets, the fully consolidated market capitalization of CAM would be estimated at $1.1 billion as presented in the table below.

The following calculation summarizes CAM’s fully consolidated market capitalization both including and excluding the discounted present value of assets owned exclusively by CAM, which does not take into consideration premiums or discounts for control or marketability:

	No Recognition of CAM's Other Assets		Full Recognition of CAM's Other Assets
(in thousands, except share data) (1)	Ownership in Calamos Investments	Other Assets	Ownership in Calamos Investments	Other Assets
Divide:
Discounted value of CAM's Other Assets		-		$100,257
Class A shares outstanding at June 30, 2012		20,357,973		20,357,973
Discounted value per share of CAM's Other Assets		-		$4.92
Multiply:
Share price attributed to assets	$11.45	-	$6.53	$4.92
Class A shares outstanding at June 30, 2012	20,357,973	20,357,973	20,357,973	20,357,973
Market capitalization of outstanding shares	$233,099	-	$132,842	$100,257
Divide by:
CAM’s percentage ownership	22.1%	100%	22.1%	100%
Market capitalization associated with CAM's assets	$1,056,711		$602,214	$100,257
Fully consolidated market capitalization	$1,056,711		$702,471

Similarly, our Board of Directors may be required to determine the fair values of CAM’s assets. This requirement would be necessitated should the Calamos Interests choose to exchange their ownership interest in Calamos Investments for shares of CAM’s Class A common stock (the Exchange). Effective March 1, 2009, the Exchange provisions as set forth in CAM’s Schedule 14C filed with the Securities and Exchange Commission on January 12, 2009 require that the Exchange be based on a fair value approach. Assuming that our Board of Directors used the market price of CAM’s Class A share common stock as the basis for determining fair value, the following table presents a likely range of the number of CAM shares of Class A common stock that the Calamos Interests would have received upon Exchange at June 30, 2012:

(in thousands, except share data) (1)	No Recognition of CAM's Other Assets			Full Recognition of CAM's Other Assets
Market capitalization associated with CAM's investment in Calamos Investments (see table above)	$	1,056,711			$	602,214
Multiply by:
Calamos Interests ownership in Calamos Investments		77.9	%			77.9	%
Calamos Interests’ value exchanged for Class A common stock	$	823,612			$	469,372
Divide by:
Share price of CAM Class A common stock	$	11.45			$	11.45
Shares issued to the Calamos Interests upon Exchange		71,931,185				40,993,210

(1)   The ownership percentages and share prices presented in the tables have been approximated for presentation purposes yet the values presented are derived from the precise ownership percentages and share prices.

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Forward-Looking Information

From time to time, information or statements provided by us or on our behalf, including those within this Quarterly Report on Form 10-Q, may contain certain forward-looking statements relating to future events and financial performance, strategies, expectations and competitive environment, and regulations. These forward-looking statements may include, without limitation: statements regarding proposed new products; results of operations or liquidity; projections, predictions, expectations, estimates or forecasts of our business; financial and operating results and future economic performance; market capitalization; management’s goals and objectives; and other similar expressions concerning matters that are not historical facts.

Words such as “anticipate,” “assume,” “believe,” “continue,” “could,” “estimate,” “expect,” “future,” “intend,” “may,” “opportunity,” “potential,” “predict,” “seek,” “should,” “trend,” “will,” “would,” and similar expressions, as well as statements in future tense, identify forward-looking statements.

Forward-looking statements should not be read as a guarantee of future performance or results, and will not necessarily be accurate indications of the times at, or by, which such performance or results will be achieved. Forward-looking statements are based on information available at the time those statements are made and/or management’s good faith belief as of that time with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in or suggested by the forward-looking statements.

Important factors that could cause such differences include, but are not limited to: changes in applicable laws or regulations; downward fee pressures and increased industry competition; risks inherent to the investment management business; the loss of revenues due to contract terminations and redemptions; unsatisfactory service levels by third party vendors; the inability to maintain compliance with financial covenants; the performance of our investment strategies and corporate investment portfolio; our ownership and organizational structure; general and prolonged declines in the prices of securities; realization of deferred income tax assets; significant changes in market conditions and the economy that require a modification to our business plan; catastrophic or unpredictable events; the loss of key executives; the unavailability, consolidation and elimination of third-party retail distribution channels; increased costs of and timing of payments related to distribution; failure to recruit and retain qualified personnel; a loss of assets, and thus revenues; fluctuation in the level of our expenses; fluctuation in foreign currency exchange rates with respect to our global operations and business; changes in accounting estimates; poor performance of our largest funds; damage to our reputation; and the extent and timing of any share repurchases.

Further, the value and composition of our assets under management are, and will continue to be, influenced by a variety of factors including, among other things: purchases and redemptions of shares of the open-end funds and other investment products; fluctuation in both the underlying value and liquidity of the financial markets around the world that result in appreciation or depreciation of assets under management; open-end fund capital gain distributions; our ability to access capital markets; our introduction of new investment strategies, products and programs; our ability to educate our clients about our investment philosophy and provide them with best-in-class service; the relative investment performance of our products as compared to competing offerings and market indices; competitive conditions in the mutual fund, asset management and broader financial services sectors; investor sentiment and confidence; our decision to open or close products and strategies; and our ability to execute on our strategic plan to expand the business. Item 1A of the Company’s Annual Report on Form 10-K for the year ended December 31, 2011 discusses some of these and other important factors in detail under the caption “Risk Factors.”

Forward-looking statements speak only as of the date the statements are made. Readers should not place undue reliance on any forward-looking statements when deciding whether to buy, sell or hold our securities. We assume no obligation to update forward-looking statements to reflect actual results, changes in assumptions or changes in other factors affecting forward-looking information, except to the extent required by applicable securities laws.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

An analysis of our market risk was included in our Annual Report on Form 10-K for the year ended December 31, 2011. There were no material changes to the Company’s market risk during the six months ended June 30, 2012.

Item 4. Controls and Procedures

Our management, including our principal executive and principal financial officers, has evaluated the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of June 30, 2012, and has concluded that such disclosure controls and procedures are effective to ensure that information required to be disclosed by us in the reports that we file or submit under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms.

There were no changes in the Company’s internal control over financial reporting that occurred during our second quarter that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II — OTHER INFORMATION

Item 1. Legal Proceedings

As previously reported in the Company’s periodic reports, the Company and Calamos Advisors LLC, among others, were named as defendants in three separate class action complaints captioned Christopher Brown et al. v John P. Calamos, Sr. et al.; Russell Bourrienne et al. v John P. Calamos, Sr. et al.; and Rutgers Casualty Insurance Company et al. v John P. Calamos, Sr. et al.  Each complaint related to the redemption of Auction Rate Preferred Shares by certain Calamos closed-end funds. In Christopher Brown et al. v John P. Calamos, Sr. et al., the Plaintiff filed a Petition for Writ of Certiorari to the Supreme Court of the United States which was denied on June 18, 2012.

The Company and Calamos Advisors believed that these lawsuits were without merit and defended themselves vigorously against the allegations in the complaints.

In the normal course of business, the Company may be party to various legal proceedings from time to time. Currently, there are no other legal proceedings that management believes may have a material effect on our consolidated financial position or results of operations.

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Item 6. Exhibits

3(i)	Second Amended and Restated Certificate of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 to the Registrant’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 13, 2009).
3(ii)	Second Amended and Restated By-Laws of the Registrant (incorporated by reference to Exhibit 3.2 to the Registrant’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 13, 2009).
4.1	Stockholders’ Agreement among John P. Calamos, Sr., Nick P. Calamos and John P. Calamos, Jr., certain trusts controlled by them, Calamos Family Partners, Inc. and the Registrant (incorporated by reference to Exhibit 4.1 to the Registrant’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on December 3, 2004).
4.2	Registration Rights Agreement between Calamos Family Partners, Inc., John P. Calamos, Sr. and the Registrant (incorporated by reference to Exhibit 4.2 to the Registrant’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on December 3, 2004).
31.1	Certification pursuant to Rules 13a-14(a) and 15d-14(a) of the Exchange Act.
31.2	Certification pursuant to Rules 13a-14(a) and 15d-14(a) of the Exchange Act.
32.1	Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS*	XBRL Instance Document
101.SCH*	XBRL Taxonomy Extension Schema Document
101.CAL*	XBRL Taxonomy Extension Calculation Linkbase Document
101.LAB*	XBRL Taxonomy Extension Label Linkbase Document
101.PRE*	XBRL Taxonomy Extension Presentation Linkbase Document
101.DEF*	XBRL Taxonomy Extension Definition Linkbase Document

* Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

CALAMOS ASSET MANAGEMENT, INC.

(Registrant)

Date:  August 3, 2012	By: /s/ Nimish S. Bhatt
	Name: Nimish S. Bhatt
	Title: Senior Vice President and Chief Financial Officer

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