Closed-End Fund Discounts: Is the Trend Reversing?

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1 JANUARY ROBERT F. BUSH, JR. SVP, DIRECTOR OF CLOSED-END FUND PRODUCTS Closed-End Fund Discounts: Is the Trend Reversing?» The closed-end fund space continues to suffer wide discounts in most sectors, reflecting fears of distribution maintenance and further NAV declines.» However, many of the dynamics that negatively influenced the prices of closed-end funds relative to their respective NAVs over the past several months may have played out. 1. Fed Funds Increase This much anticipated announcement had a negative psychological impact on the market since mid-summer when the consensus was that an increase was imminent. However, rates on short-term Treasury bonds and the 1-year dropped between when the announcement was made in mid-december and year end, suggesting that the rumor may have outrun the news. 2. Widening of Credit Spreads High yield bond spreads saw significant widening during Q4 215 causing consternation of CEF shareholders in related funds. 3. Increased Leverage Costs Although daily LIBOR rates were influenced by the Fed increase by approximately 2 basis points as of December 31, 215, 3-month rates saw an increase of only approximately 8 basis points during the same period. Calamos employs leverage priced off both overnight and 3-month rates. However, given the reinvestment rate in both high yield and convertibles, leverage continues to carry a positive spread over cost. 4. Year End Tax Loss Sell-Off Many investors source CEFs for cash requirements at year and quarter-end. This year was no exception. However, in spite of continued market volatility as we enter 216, Calamos CEFs are seeing a narrowing of their respective discounts following high levels experienced over the past month. 5. Distribution Cuts In spite of fears of widespread cuts in distribution rates, only a handful of CEFs (primarily those with lower credit portfolios) cut distributions in 215. All Calamos CEFs maintained their respective distribution levels in 215.

2 UNIQUE VALUES STILL AVAILABLE CEFs still offer value as discounts remain wide when compared to historical averages. However, many have narrowed since the end of 3Q /31/15 DISCOUNT (-) 9/3/15 DISCOUNT (-) AVERAGE LIFETIME PREM (+) DISC (-) CHI -9.17% % +5.32% CHY CSQ CGO CHW CCD Data as of 1/5/16. Source: Morningstar Direct. COMPELLING DISTRIBUTION RATES With price decline disproportionate to NAV performance, distribution rates on Calamos CEFs far surpass those of relevant indexes and ETFs. 12/31/15 DISTRIBUTION RATE CHI 11.5% CHY CSQ 1. CGO 1.51 CHW CCD S&P 5 Index Year Treasury 2.27 Barclays Capital U.S. Aggregate Bond Index 2.49 BAML US HY Master II 6.2 SPDR Barclays Convertible Bond ETF (CWB) 4.54 (YTW) Data as of 12/31/15. Source: Morningstar Direct. 2 CLOSED-END FUND DISCOUNTS: IS THE TREND REVERSING?

3 PERFORMANCE PRICE VS. RELEVANT INDEXES (1/1/15 12/31/15) In spite of overselling in the CEF space, price performance of the Calamos CEFs has been relatively similar, in some cases superior, in comparison to relevant indexes. MARKET PRICE TOTAL RETURN NAV TOTAL RETURN CHI -2.18% +.5% CHY CSQ CGO CHW CCD MSCI World Index S&P 5 Index +7.4 ML All Convertibles Index +.58 Credit Suisse HY Index Data as of 12/31/15. Source: Morningstar Direct. Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund s management fee, debt leverage costs and other expenses. In spite of wider than average discounts, Calamos CEFs trade at least comparably, and in some cases far better, relative to NAV with respect to the average of their peers. MORNINGSTAR CATEGORY 12/31/15 DISCOUNT 12/31/15 CATEGORY AVG.DISC CHI US Convertibles 9.17% 12.81% CHY US Convertibles CCD US Convertibles CSQ US Moderate Allocation CHW World Allocation CGO World Allocation Data as of 12/31/15. Source: Morningstar Direct. JANUARY 216 3

4 Q4 215 Takeaways» Discounts have narrowed over Q4 215.» Calamos CEFs continue to offer unique values at current price points on both an absolute current and historical basis compared to their respective NAVs.» Calamos CEFs continue to maintain high distribution levels that have not been reduced for fear of rising leverage costs or portfolio declines.» In spite of Fed rate hike, leverage costs continue to offer a positive spread over the current reinvestment rate.» Calamos CEFs have performed comparably, if not better, than relevant indexes over the past quarter.» Calamos CEF holdings and positioning are consistent with our market view of selective growth opportunities, in the midst of market volatility.» Calamos ability to manage risk and volatility through a professionally managed portfolio is an important investment consideration. 4 CLOSED-END FUND DISCOUNTS: IS THE TREND REVERSING?

5 Value opportunities continue as 216 volatility thwarts market inclination to narrow discounts. Calamos CEF Premium/Discount (Over the Past 12 Months) In the following charts, the green arrow represents the change from the widest discount over the past 12 months vs. the discount as of December 31, 215. The red arrow represents the widest discount over the past 12 months vs. the discount as of January 13, 216. CALAMOS CONVERTIBLE AND HIGH INCOME FUND CHI JANUARY 216 5

6 CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND CHY CALAMOS DYNAMIC CONVERTIBLE AND INCOME FUND CCD JAN 15 FEB 15 MAR 15 APR 15 MAY 15 JUN 15 JUL 15 AUG 15 SEP 15 OCT 15 NOV 15 DEC 15 JAN 15 6 CLOSED-END FUND DISCOUNTS: IS THE TREND REVERSING?

7 CALAMOS STRATEGIC TOTAL RETURN FUND CSQ CALAMOS GLOBAL DYNAMIC INCOME FUND CHW JANUARY 216 7

8 CALAMOS GLOBAL TOTAL RETURN FUND CGO Index Definitions The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index considered representative of the U.S. investment-grade, fixed-rate bond market. The S&P 5 Index is generally considered representative of the U.S. stock market. The BofA Merrill Lynch All U.S. Convertibles Index tracks the performance of U.S.- dollar-denominated convertible securities that are not currently in bankruptcy and have total market values of more than $5 million in issuance. The Barclays High Yield Very Liquid Index is designed to measure the performance of publicly issued U.S. dollar denominated high yield corporate bonds with above-average liquidity. The MSCI World Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe, and Asia/Pacific region. The Credit Suisse High Yield Index consists of U.S. dollar-denominated high yield issues of developed countries. The World-Allocation Morningstar Category portfolios seek to provide both capital appreciation and income by investing in three major areas: stocks, bonds, and cash. While these portfolios do explore the whole world, most of them focus on the U.S., Canada, Japan, and the larger markets in Europe. It is rare for such portfolios to invest more than 1% of their assets in emerging markets. These portfolios typically have at least 1% of assets in bonds, less than 7% of assets in stocks, and at least 4% of assets in non-u.s. stocks or bonds. The U.S. Convertible Morningstar Category portfolios are designed to offer some of the capitalappreciation potential of stock portfolios while also supplying some of the safety and yield of bond portfolios. To do so, they focus on convertible bonds and convertible preferred stocks. Convertible bonds allow investors to convert the bonds into shares of stock, usually at a preset price. These securities thus act a bit like stocks and a bit like bonds. The Moderate Allocation Morningstar Category portfolios seek to provide both capital appreciation and income by investing in three major areas: stocks, bonds, and cash. These portfolios tend to hold larger positions in stocks than conservative-allocation portfolios. These portfolios typically have 5% to 7% of assets in equities and the remainder in fixed income and cash. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Risks Information contained herein is for informational purposes only. Opinions, estimates, forecasts, and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. We believe the information provided here is reliable. The views and strategies described may not be suitable for all investors. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations. Investing in our securities involves certain risks. You could lose some or all of your investment. Investments by the funds in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment. Fixed income securities are subject to interest-rate risk; as interest rates go up, the value of debt securities in the Funds portfolio generally will decline. There are certain risks associated with an investment in a convertible bond such as default risk that the company issuing a convertible security may be unable to repay principal and interest and interest rate risk that the convertible may decrease in value if interest rates increase. Global Total Return and Global Dynamic Income funds may invest in derivative securities. The use of derivatives presents risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Funds will succeed. One of the risks associated with purchasing an option is that the Funds pay a premium whether or not an option is exercised. Shares of closed-end funds frequently trade at a market price that is below their net asset value. Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in dividend rates on any preferred shares. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities, including fluctuations in currency exchange rates, increased price volatility and difficulty obtaining information. In addition, emerging markets may present additional risk due to potential for greater economic and political instability in less developed countries. Investment policies, management fees and other matters of interest to prospective investors may be found in each closed-end fund prospectus. Information contained herein is for informational purposes only and should not be considered investment advice. NAV or Net Asset Value refers to the net value of all the assets held in the funds. Calamos Financial Services LLC, Distributor 22 Calamos Court Naperville, IL caminfo@calamos.com 216 Calamos Investments LLC. All Rights Reserved. Calamos and Calamos Investments are registered trademarks of Calamos Investments LLC. CEFVALCOM Q R