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Convertible Securities in Today's Ma

John P. Calamos Sr.

CIO Calamos Investments

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Agenda

Convertible Issuance

Why companies issue converts?

Convertible Strategies

Where do convertibles fit in the asset allocation?

Convertible Arb What is the fate of convertible arb?

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Panelists

Moderator:

John P. Calamos

Sr.,

Chairman, CEO and Chief Investment Officer, CalaManagement

Panelists:

Jason Lee, Managing Director, Goldman, Sachs & Co.

Michael OGrady, Managing Director of Investment Banking, Bank of

America Merrill Lynch

Michael Rosen, Principal and Chief Investment Officer, AngelesInvestment Advisors LLC

Christopher Zafiriou, CFA, Senior Investment Analyst, Investments of

The Pew Charitable Trusts

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Convertible issuers: quality co.s & respected brands

Technology

Health care

Energy

Materials

Consumer Discretionary

Consumer Staples

Telecom

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Convertible Issuance

Why companies issue convertibles

Cost

Lowers the cost of Debt

Lowers the cost of equity

Capital Structure Considerations

Less restrictive covenants

Ability to refinance when debt spreads are high

Serial offerings allow growth while controlling debt/equity r

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Companies that issued convertibles in 2009

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Why companies issue convertibles?

Discussion

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Convertible strategies

Separate asset class

Alternative equity

Defensive equity

Alternative fixed income

Enhanced fixed income

Relative value

Convertible arbitrage

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Convertibles and asset allocation as of 3/31/09

Hybrid

Characteristics

Fixed Income

Characteristics

CONVERT

IBLE

BOND

PRICE

Investment Value (Bond)

YIELDALTERNATIVES

TOTAL RETURNALTERNATIVES

EQUITY ALTERNATIVES

3/1/2000 18.9% 27.8% 53.3%

12/31/2002 68.5% 27.6% 3.9%

3/31/2009 61.5% 23.3% 15.2%

Convertible Fair Value Price Track

Conve

rsionVal

ue(St

ock)

CURRENT STOCK PRICE

Equity

CharacteristicsDistressed

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Convertible strategies and asset allocation

Discussion

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Convertible hedging

Convertible ARB

2008

Leveraged or unleveraged?

Valuation of Convertible

Fair Value

Delta neutral hedging

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What is the fate of convertible arb?

Bewilderedhedge

fundmanagers

Conveand

Wheres the driver?Levered or Rookie

Convert Arb Managers

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Convertible hedging

Discussion

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Thank you

John P. Calamos

Chairman, CEO and Co-CIO, Calamos Investments

Jason Lee

Managing Director, Goldman, Sachs & Co.

Michael OGradyManaging Director of Investment Banking, Bank of America Merrill Ly

Michael Rosen

Principal and Chief Investment Officer, Angeles Investment Advisors Christopher Zafiriou, CFA

Senior Investment Analyst, Investments of The Pew Charitable Trus

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Source: International Monetary Fund.