Calamos CEFs in Q4 2019: Solid NAV and Price CLOSED-END ...

JUNE 2021



ROBERT F. BUSH, JR.

SVP, DIRECTOR OF CLOSED-END FUND PRODUCTS

2Q 2021 CEF Commentary

MARKET PERFORMANCE PROPELS PREMIUM PRICING OF CALAMOS CEFS IN Q2 2021. RECENT DISTRIBUTION INCREASES IN SEVERAL CALAMOS CEFS ARE RESONATING FAVORABLY WITH INVESTORS. ON JUNE 15TH, CPZ RAISED ITS MONTHLY DISTRIBUTION LEVEL TO $0.14 PER SHARE. NO CALAMOS CEFS HAVE HAD ANY DISTRIBUTIONS SOURCED BY RETURN OF CAPITAL IN 2020, NOR ESTIMATED THROUGH JUNE 2021 YTD.

? As of 6/30/21, five out of seven calamos CEFs were trading at premiums to their respective NAVs.

? Distribution changes not only reflect the recent performance of the portfolio, but also considers the portfolio managers' expectations for returns over the next several months.

? The distribution increase is an effort by the Advisor to have shareholders more directly participate in the recent and expected performance of the portfolios.

? CPZ has increased its distribution by a total of $0.03 per share since December 2020, resulting in over a 27% raise in total.

CPZ DISTRIBUTION HISTORY SINCE INCEPTION

11/26/19-6/30/21

$0.15

Distribution History (LHS) Cumulative Distribution History (RHS)

$2.50

$0.12 $0.09 $0.06

$2.00 $1.50 $1.00 $0.50

$0.03 JAN `20

APR '20

JUL '20

OCT '20

JAN `21

APR '21

$0.00 JUL '21

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Source: Morningstar.

AS OF 6/30/21, 5 CALAMOS CEFS WERE TRADING AT PREMIUMS TO NAV, A CONTINUED IMPROVEMENT OF PRICE RELATIVE TO NAV SINCE YEAR-END, AND OVER THE LAST QUARTER.

AS OF 6/30/21, ALL FUNDS HAD IMPROVED THEIR RESPECTIVE PRICE TO NAV RELATIONSHIP SINCE Q1, WITH 6 FUNDS TRADING BETTER RELATIVE TO THEIR RESPECTIVE NAVS THAN THEIR HISTORICAL AVERAGES.

CLOSING DATE

Trading at a Discount on 3/31/21

Trading at a Premium

Trading Improved Relative to NAV from 3/31/21

CHI DISC./PREM.

CHY DISC./PREM.

CSQ

CCD

DISC./PREM. DISC./PREM.

CHW DISC./PREM.

CGO DISC./PREM.

CPZ DISC./PREM.

3/31/2021

-5.01%

-5.63%

3.80%

4.89%

5.47%

0.54%

-10.66%

4/30/2021

-2.87%

-3.09%

3.16%

3.67%

6.29%

4.55%

-9.51%

5/31/2021

-0.33%

0.44%

1.66%

7.96%

4.28%

4.16%

-10.40%

6/30/2021

-0.13%

1.81%

2.31%

1.04%

10.13%

6.21%

-5.82%

Average Since Inception as of 6/30/2021

2.82%

-1.05%

-7.67%

-3.63%

-8.01%

-2.06%

-11.42%

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

CALAMOS CEF RETURNS IN Q2 2021 CONTINUED TO REWARD SHAREHOLDERS

? In many cases, market performance outpaced that of corresponding NAVs, which contributed to narrowing discounts over the quarter.

? This highlights the benefits of active management and optimal portfolio flexibility, a key feature of the Calamos CEFs, in accessing markets, sectors and securities that can optimize portfolio performance over various market cycles.

? The use of relatively inexpensive leverage was accretive to shareholders as financial markets rallied during the quarter.

? In 2021, for distributions through 6/30/21, ALL Calamos CEFs had no estimated return of capital component.

CALAMOS CEF PERFORMANCE IN Q2 2021

? Calamos CEFs offered outstanding performance as category leaders in Q2 2021, on both an absolute and relative basis compared to their peer group as indicated below.

2CLOSED-END FUND MARKET COMMENTARY

PERFORMANCE RANKING WITH MORNINGSTAR CATEGORY AS OF 6/30/21

CHW

#1 Price Returns, 12-month

Among 10 funds in World Allocation Category

CSQ

#1 NAV Returns, Price Returns,

12-month

Among 7 funds in 50%-70% Equity Category

Past performance is no guarantee of future results. Source: Morningstar. Rankings are based on historical performance within the Morningstar category. CSQ NAV returns: For the one-year period, the fund was ranked 1 of 7 funds; for the three year period, the fund was ranked 1 of 7 funds; for the five-year period, the fund was ranked 1 of 7 funds; and for the 10-year period the fund was ranked 1 of 7 funds. CSQ Price returns. For the one-year period, the fund was ranked 1 of 7 funds; for the three-year period, the fund was ranked 1 of 7 funds; for the five-year period, the fund was ranked 1 of 7 funds; and for the 10-year period, the fund was ranked 1 of 7 funds. CHW NAV returns: For the one-year period, the fund was ranked 5 of 10 funds; for the three year period, the fund was ranked 3 of 10 funds; for the five-year period, the fund was ranked 3 of 10 funds; and for the 10-year period the fund was ranked 3 of 9 funds. CHW Price returns: For the one-year period, the fund was ranked 1 of 10 funds; for the three-year period, the fund was ranked 1 of 9 funds; for the five-year period, the fund was ranked 1 of 9 funds; and for the 10-year period, the fund was ranked 2 of 8 funds.

Q2 2021 PERFORMANCE REVIEW Q2 2021 PERFORMANCE REVIEW

CALAMOS CLOSED-END FUNDS

NAV

Mkt

12%

11.54%

10%

8.75%

8%

6% 4% 3.44%

3.39%

3.15%

2%

0%

-2% CHI

-0.63%

CHY

CCD

10% 8.55%

8%

8.98% 7.41%

CSQ

9.72% 5.07%

CHW 7.89%

11.25%

5.31%

5.44%

0.00%

CGO

CPZ

6%

4%

3.92%

2.77%

3.24%

2%

3.64%

2.56%

0% US EQUITIES

US CONVERTIBLES

HIGH YIELD

PREFERRED SECURITIES

GLOBAL EQUITIES

GLOBAL CONVERTIBLES

GLOBAL HIGH YIELD

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 the Fund's management fee, debt leverage costs and other expenses. You can obtain performance data current to the most recent month end by visiting . Index performance represented by: S&P 500 (U.S. equities), ICE BofA All Convertibles Index, ICE BofA HY Index II (high yield), ICE BofA US All Capital Securities Index (I0CS), MSCI World Index (global equities), Refinitiv Global Convertible Bond Index (global convertibles) and ICE BofA Global HY Index (global high yield).

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THE ROLE OF LEVERAGE AND ACTIVE MANAGEMENT

? Leverage can enhance NAV returns during periods of positive market outcomes; it can also provide a further drag during downward periods. Accordingly, we consistently assess each fund's use of leverage and actively manage that level in our portfolios.

? As of June 30, 2021, the borrowing costs in our CEFs that employ both fixed and variable lending vehicles were approximately 1.28% on an average annual basis.

? The low cost of leverage, coupled with attractive reinvestment returns realized by our CEF portfolios, resulted in accretion to our shareholders in Q2 2021 by use of our borrowing vehicles.

? Our CEFs all maintained leverage levels on 6/30/21 approximating their respective historical averages.

COMPONENTS TO SUCCESS

? Inexpensive leverage and significant participation in equity markets were key drivers to success for many of our funds during the quarter.

? Strong recent portfolio performance and confidence in future production affords the luxury to increase distribution levels, that encourages price performance, thereby mitigating discounts.

? The flexibility of Calamos CEFs through active management to invest in multiple types of securities and sectors allows optimization of portfolio positioning over various market cycles.

? Clients' need for income will likely foster continued demand. ? Low-cost leverage, which has become more attractive with the Fed's aggressive market

interventions, can enhance returns during periods of market recovery. ? Calamos CEF distributions reported 0% Return of Capital in 2020; no estimated for June

YTD 2021 distributions.

4CLOSED-END FUND MARKET COMMENTARY

CALAMOS CEFS TRADED WELL RELATIVE TO THEIR NAVS WHEN COMPARED TO THEIR RESPECTIVE PEER GROUP AVERAGES FOR Q2 2021.

CALAMOS CEF PREMIUMS/DISCOUNTS VS. MORNINGSTAR CATEGORY AVERAGE Q2 2021

World Allocation Category

CHW

10%

9.93%

8%

CGO

5.95%

6%

4%

2%

0%

-2%

-4%

World Allocation

-6%

Category

-4.32%

Allocation 50%-70% Equity Category

Convertibles Category

Allocation

50%-70%

Equity

Category 2.82%

CSQ 2.36%

CHY 1.81% CCD

1.00%

CHI -0.13% Convertibles Category -2.00%

Source: Morningstar.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

MOST CALAMOS CEFS OFFERED COMPETITIVE PRICE PERFORMANCE RELATIVE TO THE AVERAGE OF THEIR RESPECTIVE PEER GROUPS IN Q2 2021

CALAMOS CEF Q2 TOTAL RETURN ON MARKET PRICE VS. MORNINGSTAR CATEGORY AVERAGE

World Allocation Category

World

15%

Allocation Category

12.27% CGO

12%

10.97% CHW

9.49%

9%

6%

Allocation 50%-70% Equity Category

Allocation 50%-70%

Equity Category 9.21% CSQ

7.48%

Convertibles Category

CHY Convertibles 11.59% Category CHI

8.87% 8.76%

3%

0%

CCD

-3%

-0.65%

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Source: Morningstar.

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