UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

þ		QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED:

September 30, 2006

- OR -

o		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.

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. þ Yes o No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o		Accelerated filer þ		Non-accelerated filer o

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

At October 31, 2006, the company had 23,161,898 shares of Class A common stock and 100 shares of Class B common stock outstanding.

 

 

PART I — FINANCIAL INFORMATION

Item 1. Financial Statements

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(in thousands, except share data)

		September 30,				December 31,
		2006				2005
		(unaudited)
ASSETS:
Current assets
Cash and cash equivalents		$	294,172			$	210,469
Receivables:
Affiliates and affiliated funds			25,731				24,670
Customers			10,391				9,806
Investment securities			133,375				128,265
Investment in partnerships			83,667				79,956
Prepaid expenses			1,768				2,342
Deferred tax asset, net			7,545				7,846
Other			66				195
Total current assets			556,715				463,549
Non-current assets
Deferred tax asset, net			94,950				101,280
Deferred sales commissions			55,146				58,390
Property and equipment, net of accumulated depreciation ($11,479 at 9/30/06 and $6,357 at 12/31/05)			43,304				40,547
Other non-current assets			1,556				1,711
Total non-current assets			194,956				201,928
Total assets			751,671				665,477
LIABILITIES AND STOCKHOLDERS’ EQUITY:
Current liabilities
Accounts payable:
Brokers			19,867				18,485
Affiliates and affiliated funds			429				93
Accrued compensation and benefits			17,139				19,131
Accrued expenses and other current liabilities			9,036				11,025
Total current liabilities			46,471				48,734
Long-term liabilities
Long-term debt			150,000				150,000
Other long-term liabilities			7,682				6,726
Total long-term liabilities			157,682				156,726
Total liabilities			204,153				205,460
Minority interest in investment in partnerships			48,043				44,453
Minority interest in Calamos Holdings LLC			292,756				229,430
Stockholders’ equity:
Class A Common Stock, $0.01 par value. Authorized 600,000,000 shares; issued and outstanding 23,161,898 shares at 9/30/06 and 23,000,000 shares at 12/31/05			232				230
Class B Common Stock, $0.01 par value. Authorized 1,000 shares; issued and outstanding 100 shares			0				0
Additional paid-in capital			157,414				156,274
Retained earnings			45,512				26,698
Accumulated other comprehensive income			3,561				2,932
Total stockholders’ equity			206,719				186,134
Total liabilities, minority interest and stockholders’ equity		$	751,671			$	665,477

See accompanying notes to consolidated financial statements.

CONSOLIDATED STATEMENTS OF OPERATIONS
Three and Nine Months Ended September 30, 2006 and 2005
(in thousands, except share data)
(unaudited)

		Three Months Ended								Nine Months Ended
		September 30,								September 30,
		2006				2005				2006				2005
Revenues:
Investment management fees		$	80,718			$	73,669			$	246,525			$	206,939
Distribution and underwriting fees			36,840				33,335				113,977				94,724
Other			989				682				3,016				2,416
Total revenues			118,547				107,686				363,518				304,079
Expenses:
Employee compensation and benefits			17,203				15,365				54,496				45,146
Distribution and underwriting expense			24,509				20,642				75,338				57,006
Amortization of deferred sales commissions			8,645				7,894				24,508				23,798
Marketing and sales promotion			3,523				3,760				11,124				10,296
General and administrative			8,029				6,693				22,842				16,765
Total expenses			61,909				54,354				188,308				153,011
Operating income			56,638				53,332				175,210				151,068
Other income (expense):
Net interest income (expense)			1,638				(676	)			2,820				(2,963	)
Investment and other income (loss)			(3,336	)			4,647				668				7,030
Minority interest in partnership investments			2,502				(2,416	)			1,411				(3,444	)
Total other income (expense), net			804				1,555				4,899				623
Income before minority interest in Calamos Holdings LLC and income taxes			57,442				54,887				180,109				151,691
Minority interest in Calamos Holdings LLC			44,032				42,224				138,141				116,739
Income before income taxes			13,410				12,663				41,968				34,952
Income taxes			5,369				5,024				16,821				13,940
Net income		$	8,041			$	7,639			$	25,147			$	21,012
Earnings per share
Basic		$	0.35			$	0.33			$	1.09			$	0.91
Diluted		$	0.34			$	0.33			$	1.07			$	0.91
Weighted average shares outstanding
Basic			23,161,998				23,000,100				23,161,998				23,000,100
Diluted			100,757,758				100,667,805				100,778,115				100,606,766
Cash dividends per share		$	0.09			$	0.07			$	0.27			$	0.21

See accompanying notes to consolidated financial statements.

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY
Nine Months Ended September 30, 2006
(in thousands, except share data)
(unaudited)

														Accumulated
						Additional								Other
		Common				Paid-in				Retained				Comprehensive
		Stock				Capital				Earnings				Income				Total
Balance at December 31, 2005		$	230			$	156,274			$	26,698			$	2,932			$	186,134
Net income			—				—				25,147				—				25,147
Changes in unrealized gains on available-for-sale securities, net of minority interest and income taxes			—				—				—				615				615
Total comprehensive income																			25,762
Issuance of common stock under stock incentive plans (161,898 Class A common shares)			2				113				—				14				129
Compensation expense recognized under stock incentive plans, net of minority interest			—				1,027				—				—				1,027
Dividend equivalent accrued under stock incentive plans, net of minority interest			—				—				(79	)			—				(79	)
Dividends declared			—				—				(6,254	)			—				(6,254	)
Balance at September 30, 2006		$	232			$	157,414			$	45,512			$	3,561			$	206,719

See accompanying notes to consolidated financial statements.

CONSOLIDATED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, 2006 and 2005
(in thousands)
(unaudited)

		2006				2005
Cash and cash equivalents at beginning of year		$	210,469			$	149,768
Cash flows from operating activities:
Net income			25,147				21,012
Adjustments to reconcile net income to net cash provided by operating activities:
Minority interest in partnership investments			(1,411	)			3,444
Minority interest in Calamos Holdings LLC			138,141				116,739
Amortization of deferred sales commissions			24,508				23,798
Other depreciation and amortization			5,337				3,204
Unrealized depreciation (appreciation) on broker-dealer securities			76				(6,158	)
Unrealized depreciation on partnership investments			2,069				70
Management fee received in partnership units			(101	)			(115	)
Deferred taxes			6,551				7,242
Stock-based compensation			4,442				3,210
Employee taxes paid on vesting under stock incentive plans			(2,255	)			—
Loss on disposal of property			—				515
Non-cash donation of equipment			—				139
(Increase) decrease in assets:
Accounts receivable:
Affiliates and affiliated mutual funds			(1,061	)			(1,496	)
Customers			(585	)			(2,390	)
Deferred sales commissions			(21,264	)			(22,609	)
Other assets			258				806
Increase (decrease) in liabilities:
Accounts payable			1,718				3,607
Accrued compensation and benefits			(1,992	)			4,409
Other liabilities and accrued expenses			(731	)			4,224
Net cash provided by operating activities			178,847				159,651
Cash flows used in investing activities:
Net additions to property and equipment			(7,880	)			(38,472	)
Net purchases of securities and partnership investments			(1,503	)			(27,859	)
Net cash used in investing activities			(9,383	)			(66,331	)
Cash flows used in financing activities:
Deferred tax benefit on vesting under stock incentive plans			(289	)			—
Cash distributions paid to minority shareholders			(79,218	)			(64,063	)
Cash dividends paid to common shareholders			(6,254	)			(4,830	)
Net cash used in financing activities			(85,761	)			(68,893	)
Net increase in cash			83,703				24,427
Cash and cash equivalents at end of period		$	294,172			$	174,195

See accompanying notes to consolidated financial statements.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)

(1) Organization and Description of Business

Calamos Asset Management, Inc. (CAM), together with its subsidiaries (the Company), primarily provides investment advisory services to individuals, to institutional investors and to a family of open-end and closed-end funds. CAM operates and controls all of the business and affairs of Calamos Holdings LLC (Holdings) and, as a result of this control, consolidates the financial results of Holdings with its own financial results.

(2) Basis of Presentation

The consolidated financial statements as of September 30, 2006 and for the three and nine months ended September 30, 2006 and 2005 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 ended September 30 are not necessarily indicative of the results to be obtained for a full fiscal year. Certain amounts for the prior year have been reclassified to conform to the current year’s presentation.

Management of the Company has made a number of estimates and assumptions relating to the reporting of assets, liabilities, revenues and expenses and the disclosure of contingent assets and liabilities to prepare these consolidated financial statements in conformity with accounting principles generally accepted in the United States of America. Actual results could differ from these estimates.

Calamos Family Partners, Inc.’s (CFP) and John P. Calamos, Sr.’s combined 76.9% and 77% interest in Holdings at September 30, 2006 and 2005, respectively, is represented as minority interest in the Company’s financial statements. Income before minority interest in Calamos Holdings LLC and income taxes, which is $57.4 million and $180.1 million for the three and nine months ended September 30, 2006, respectively, includes approximately $164,900 and $415,600 of investment income earned on cash and cash equivalents held solely by CAM during the same periods. This portion of CAM’s investment income is not reduced by any minority interests; therefore, the resulting minority interest is less than 76.9% for the three and nine months ended September 30, 2006.

(3) Earnings Per Share

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

		Three Months Ended								Nine Months Ended
(in thousands, except per share data)		September 30,								September 30,
		2006				2005				2006				2005
Earnings per share – basic
Earnings available to common shareholders		$	8,041			$	7,639			$	25,147			$	21,012
Weighted average shares outstanding			23,162				23,000				23,162				23,000
Earnings per share – basic		$	0.35			$	0.33			$	1.09			$	0.91

CALAMOS ASSET MANAGEMENT, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

		Three Months Ended								Nine Months Ended
(in thousands, except per share data)		September 30,								September 30,
		2006				2005				2006				2005
Earnings per share – diluted
Income before minority interest in Calamos Holdings LLC and income taxes		$	57,442			$	54,887			$	180,109			$	151,691
Less: Impact of income taxes			23,000				21,774				72,188				60,494
Earnings available to common shareholders		$	34,442			$	33,113			$	107,921			$	91,197
Weighted average shares outstanding			23,162				23,000				23,162				23,000
Conversion of membership units for common stock			77,000				77,000				77,000				77,000
Dilutive impact of restricted stock units			519				605				506				565
Dilutive impact of stock options			77				63				110				42
Weighted average shares and potential dilutive shares outstanding			100,758				100,668				100,778				100,607
Earnings per share — diluted		$	0.34			$	0.33			$	1.07			$	0.91

Diluted shares outstanding for the three and nine months ended September 30, 2006 and 2005 are calculated (a) assuming CFP and John P. Calamos, Sr. exchanged all of their membership units in Holdings for shares of the Company’s Class A common stock on a one-for-one basis and (b) including the effect of outstanding restricted stock unit and stock option awards. An effective tax rate of 40.0% and 40.1% was applied to income before minority interest in Calamos Holdings LLC and income taxes in calculating diluted earnings available to common shareholders for the three and nine months ended September 30, 2006, respectively. An effective tax rate of 39.7% and 39.9% was applied to income before minority interest in Calamos Holdings LLC and income taxes in calculating diluted earnings available to common shareholders for the three and nine months ended September 30, 2005, respectively.

The Company uses the treasury stock method to reflect the dilutive effect of unvested restricted stock units (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 assumed to be used to acquire outstanding shares of common stock. However, pursuant to the Financial Accounting Standards Board’s (FASB) Statement of Financial Accounting Standard (SFAS) No. 123(R), Share-Based Payment (SFAS 123(R)), the awards may be anti-dilutive even when the market price of the underlying stock exceeds the related 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. As such, the dilutive effect of such options and RSUs would result in the addition of a net number of shares to the weighted average number of shares used in the calculation of diluted earnings per share. For the three and nine months ended September 30, 2006, stock options for 672,290 shares and RSUs for 127,663 shares were excluded for both periods from the computation of diluted earnings per share as they were anti-dilutive. Stock options for 313,467 shares and RSUs for 6,656 shares were excluded from the computation of diluted earnings per share for the three months ended September 30, 2005 and stock options for 313,467 shares and RSUs for 103,656 shares were excluded from the computation of diluted earnings per share for the nine months ended September 30, 2005 as they were anti-dilutive.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

(4) Incentive Compensation Plan

Certain employees of the Company participate in an incentive compensation plan, which includes stock options and RSUs. The Company intends to issue new shares of CAM’s Class A common stock upon the exercise of stock options or upon conversion of RSUs. The Annual Report on Form 10-K for the year ended December 31, 2005 provides details of this plan and its provisions.

On January 1, 2006, the Company adopted SFAS 123(R), which requires public registrants to recognize the cost of stock-based compensation in their financial statements based on the grant-date fair value of the award. The Company adopted the fair value recognition provisions of SFAS 123 effective January 1, 2004 and elected to recognize compensation expense based upon the grant-date fair value. The provisions of SFAS 123(R) are similar, but not identical, to the fair value recognition that the Company has used since the beginning of 2004. The effects of this change do not have a material impact on the Company’s financial statements.

A summary of stock option activity for the nine months ended September 30, 2006 is as follows:

						Weighted
		Number of				Average
		Shares				Exercise Price
Outstanding at beginning of period			1,009,967			$	21.35
Granted			402,349				35.08
Forfeited			(76,708	)			24.55
Exercised			—				—
Outstanding at end of period			1,335,608				25.30

At September 30, 2006, the Company had 1,335,608 stock options outstanding with a weighted average remaining contractual life of 8.7 years and an aggregate intrinsic value of $5.4 million. No stock options granted under this plan have become exercisable as of September 30, 2006.

The weighted average fair value of stock options at the date of grant for the nine months ended September 30, 2006 and 2005 was $14.19 and $11.27, respectively. The fair value of each option grant was estimated on the date of grant using the Black-Scholes option-pricing model with the following assumptions:

		2006				2005
Dividend yield			1.02% - 1.42	%			0.96% - 0.97	%
Expected volatility			33% - 35	%			33	%
Risk-free interest rate			4.6% - 5.0	%			3.9% - 4.2	%
Expected life		7.5 years				7.5 years

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – (Continued)

A summary of RSU activity for the nine months ended September 30, 2006 is as follows:

						Weighted
						Average Fair
		Number of				Value of RSUs
		Shares				Granted
Outstanding at beginning of period			1,414,862			$	18.79
Granted			134,117				35.08
Forfeited			(26,770	)			23.68
Exercised			(233,599	)			18.00
Outstanding at end of period			1,288,610				20.51

At September 30, 2006, the Company had 1,288,610 RSUs outstanding with a weighted average remaining contractual life of 3.9 years and an aggregate intrinsic value of $37.8 million. The weighted average fair value of RSUs at the date of grant for the nine months ended September 30, 2006 and 2005 was $35.08 and $28.78, respectively. The aggregate intrinsic value and the fair value of RSUs exercised and vested during the nine months ended September 30, 2006 was $7.3 million.

In connection with the 233,599 shares exercised during the first quarter of 2006, 161,898 RSUs were converted, on a one-for-one basis, into shares of CAM’s Class A common stock, while the remaining 71,701 RSUs were withheld to meet employee withholding tax obligations of $2.3 million. The total intrinsic value and the fair value of the converted shares was $5.1 million. This conversion changed CAM’s ownership in Holdings to 23.1%. RSUs are granted with no strike price and, therefore, the Company receives no proceeds when the RSUs are exercised. Because RSUs are typically settled with newly issued shares, there is no cash used by the Company to settle awards. The total tax benefit realized by CAM in connection with the exercise of the RSUs during the nine months ended September 30, 2006 was $676,000. No RSUs were exercised and vested during the nine months ended September 30, 2005.

Expense recorded in connection with the RSUs and stock options was $4.4 million during the nine months ended September 30, 2006 of which $1.0 million, net of minority interest, was credited as additional paid-in capital. Expense recorded in connection with the RSUs and stock options was $3.2 million during the nine months ended September 30, 2005 of which $738,000, net of minority interest, was credited as additional paid-in capital. The amount of deferred tax asset created was $411,000 and $295,000 during the nine months ended September 30, 2006 and 2005, respectively. At September 30, 2006, approximately $20.6 million of total unrecognized compensation expense related to nonvested stock option and RSU awards is expected to be recognized over a weighted-average period of 4.2 years.

(5) Recently Issued Accounting Pronouncements

In June 2006, the FASB issued FASB Interpretation No. 48 (FIN 48), Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109, which seeks to reduce diversity in practice that is associated with certain aspects of measurement and recognition when accounting for uncertain tax positions and clarifies the accounting and disclosure for uncertainty in tax positions. FIN 48 is effective for the Company beginning January 1, 2007. We are currently evaluating the impact, if any, that the adoption of FIN 48 will have on our financial statements.

In September 2006, the FASB issued SFAS 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value and requires additional disclosure regarding fair value measurements. SFAS 157 is effective for the Company beginning January 1, 2008. We are currently evaluating the impact, if any, that the adoption of SFAS 157 will have on our financial statements.

(6) Subsequent Event

On October 19, 2006, the Board of Directors authorized the Company to purchase up to 2.0 million shares of Class A common stock. No shares have been purchased under the program as of November 1, 2006.

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

We provide investment advisory services to institutions and individuals, managing $44.8 billion in client assets at September 30, 2006. 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 mutual funds and separate accounts that we manage, fluctuations in the financial markets around the world that result in appreciation or depreciation of assets under management and our introduction of new investment strategies and products.

The value and composition of our assets under management and our ability to continue to attract clients depend on a variety of factors including the education of our clients about our investment philosophy, the delivery of best-in-class service, the relative investment performance of our investment products as compared to competing offerings and market indices, the competitive conditions in the mutual fund, asset management and broader financial services sectors, investor sentiment and confidence, and our decision to open or close products and strategies when deemed to be in the best interests of our clients.

We market our investment strategies to our clients through a variety of products designed to suit their investment needs. We currently offer six types of mutual fund and separate account investment products. The following table details our assets under management at September 30, 2006 and 2005.

(in millions)		September 30,
		2006				2005
Mutual Funds
Open-end funds		$	26,947			$	24,480
Closed-end funds			6,240				5,996
Total mutual funds			33,187				30,476
Separate Accounts
Institutional accounts			4,320				3,912
Managed accounts			6,451				7,012
Private client accounts			758				681
Alternative investments			93				88
Total separate accounts			11,622				11,693
Total assets under management		$	44,809			$	42,169

Our revenues are substantially comprised of investment management fees earned under contracts with the mutual funds and separate accounts that we manage. Our revenues are also comprised of distribution and underwriting fees, including asset-based distributions 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 or depreciation and the level of net purchases and redemptions, which represent the sum of new client investments, additional funding from existing clients, withdrawals of assets from and termination of client accounts and purchases and redemptions of mutual fund shares. The mix of assets under management among our investment products also has an impact on our revenues, as some products carry different fees than others.

Our largest operating expenses are related to the distribution of mutual funds, including Rule 12b-1 payments; employee compensation and benefits expense, which includes salaries, incentive compensation and related benefits costs; and amortization of deferred sales commissions for open-end mutual funds. Operating expenses may fluctuate due to a number of factors, including changes in distribution expense as a result of fluctuations in mutual fund sales and market appreciation or depreciation, variations in staffing and compensation, marketing-related expenses that include supplemental distribution payments, and depreciation and amortization relating to capital expenditures incurred to maintain and enhance our administrative and operating services infrastructure.

Operating Results

Third Quarter and Nine Months Ended September 30, 2006 Compared to Third Quarter and Nine Months Ended September 30, 2005

Assets Under Management

Assets under management increased by $2.6 billion, or 6%, to $44.8 billion at September 30, 2006 from $42.2 billion at September 30, 2005. At September 30, 2006, our assets under management consisted of 74% mutual funds and 26% separate accounts, as compared to 72% mutual funds and 28% separate accounts at September 30, 2005.

($ in millions)		Three Months Ended September 30,																Nine Months Ended September 30,
										Change																Change
		2006				2005				Amount				Percent				2006				2005				Amount				Percent
Mutual Funds
Beginning assets under management		$	33,837			$	28,333			$	5,504				19	%		$	31,898			$	26,951			$	4,947				18	%
Net purchases (redemptions)			(649	)			471				(1,120	)			238				1,366				2,604				(1,238	)			48
Market appreciation (depreciation)			(1	)			1,672				(1,673	)			100				(77	)			921				(998	)			108
Ending assets under management			33,187				30,476				2,711				9				33,187				30,476				2,711				9
Average assets under management			32,768				29,572				3,196				11				33,738				28,035				5,703				20
Separate Accounts
Beginning assets under management			11,975				11,179				796				7				11,907				11,024				883				8
Net purchases (redemptions)			(382	)			(74	)			(308	)			416				(421	)			356				(777	)			218
Market appreciation			29				588				(559	)			95				136				313				(177	)			57
Ending assets under management			11,622				11,693				(71	)			1				11,622				11,693				(71	)			1
Average assets under management			11,649				11,514				135				1				12,101				11,098				1,003				9
Total Assets Under Management
Beginning assets under management			45,812				39,512				6,300				16				43,805				37,975				5,830				15
Net purchases (redemptions)			(1,031	)			397				(1,428	)			360				945				2,960				(2,015	)			68
Market appreciation			28				2,260				(2,232	)			99				59				1,234				(1,175	)			95
Ending assets under management			44,809				42,169				2,640				6				44,809				42,169				2,640				6
Average assets under management		$	44,417			$	41,086			$	3,331				8	%		$	45,839			$	39,133			$	6,706				17	%

Mutual funds had net redemptions of $649 million during the third quarter of 2006, a decrease of $1.1 billion from $471 million of net purchases in the prior year quarter. Mutual funds had net purchases of $1.4 billion during the nine months ended September 30, 2006, a decrease of $1.2 billion when compared to the same period of the prior year. These decreases were primarily due to lower purchases and higher redemptions of our Growth Fund, which comprises a significant percentage of our total assets. As is consistent with the broad market, growth equities were largely out of favor with investors in the third quarter which, along with the short-term underperformance of our Growth Fund, negatively affected both the market appreciation and net purchases/redemptions. However, during the nine months ended September 30, 2006, we experienced net purchases in a number of our mutual funds, primarily our Market Neutral Income Fund, Growth and Income Fund, Global Growth and Income Fund and International Growth Fund.

Separate accounts had net redemptions of $382 million in the third quarter of 2006, a decrease of $308 million when compared to the prior year quarter. Separate accounts had net redemptions of $421 million in the nine months ended September 30, 2006, a decrease of $777 million from $356 million in net purchases in the same period of the prior year. During the nine months ended September 30, 2006, separate account outflows in our convertible strategies, which remain closed to new investors, were partially offset by inflows in our equity strategies, mostly through our international sub-advised relationships. However, our equity strategies, including our international sub-advised relationships, experienced net outflows during the three months ended September 30, 2006.

Revenues

Total revenues increased by $10.9 million, or 10%, to $118.5 million for the three months ended September 30, 2006 from $107.7 million for the prior year. For the nine months ended September 30, 2006, total revenues increased by $59.4 million, or 20%, to $363.5 million from the prior year’s nine-month period. These increases were primarily due to higher investment management fees and distribution and underwriting fees.

($ in thousands)		Three Months Ended September 30,																Nine Months Ended September 30,
										Change																Change
		2006				2005				Amount				Percent				2006				2005				Amount				Percent
Investment management fees		$	80,718			$	73,669			$	7,049				10	%		$	246,525			$	206,939			$	39,586				19	%
Distribution and underwriting fees			36,840				33,335				3,505				11				113,977				94,724				19,253				20
Other			989				682				307				45				3,016				2,416				600				25
Total revenues		$	118,547			$	107,686			$	10,861				10	%		$	363,518			$	304,079			$	59,439				20	%

Investment management fees increased for the three and nine months ended September 30, 2006 primarily due to increases in average assets under management of $3.3 billion and $6.7 billion for the third quarter and first nine months of 2006, respectively. The overall growth in investment management fees was due primarily to an increase in mutual fund investment management fees, which increased to $64.4 million and $196.3 million for the three and nine months ended September 30, 2006 from $58.2 million and $163.8 million for the prior-year periods. Open-end fund investment management fees increased to $51.3 million and $157.4 million for the third quarter and nine months ended September 30, 2006, respectively, from $45.5 million and $126.4 million for the same periods of the prior year primarily due to increases in open-end fund average assets under management of $3.0 billion and $5.5 billion for the third quarter and nine months ended September 30, 2006 compared to the prior year. Investment management fees as a percentage of average assets under management increased by .01% to 0.72% for the three and nine months ended September 30, 2006 compared to 0.71% for the prior-year periods, as our equity strategies comprise a greater percentage of our total assets under management.

Distribution and underwriting fees increased by $3.5 million and $19.3 million for the three and nine months ended September 30, 2006, respectively, from the same periods of the prior year, primarily due to increases in open-end fund average assets under management of $3.0 billion and $5.5 billion for these same periods. The increase in distribution fees was partially offset by decreases in underwriting fees of $0.6 million and $0.4 million for the three and nine months ended September 30, 2006, respectively, when compared to the same periods of the prior year.

Operating Expenses

Operating expenses increased to $61.9 million and $188.3 million for the third quarter and nine months ended September 30, 2006, respectively, from $54.4 million and $153.0 million for the same periods in the prior year. These increases were primarily due to higher distribution and underwriting, employee compensation and benefits, and general and administrative expenses.

($ in thousands)		Three Months Ended September 30,																Nine Months Ended September 30,
										Change																Change
		2006				2005				Amount				Percent				2006				2005				Amount				Percent
Employee compensation and benefits		$	17,203			$	15,365			$	1,838				12	%		$	54,496			$	45,146			$	9,350				21	%
Distribution and underwriting expense			24,509				20,642				3,867				19				75,338				57,006				18,332				32
Amortization of deferred sales commissions			8,645				7,894				751				10				24,508				23,798				710				3
Marketing and sales promotion			3,523				3,760				(237	)			6				11,124				10,296				828				8
General and administrative			8,029				6,693				1,336				20				22,842				16,765				6,077				36
Total operating expenses		$	61,909			$	54,354			$	7,555				14	%		$	188,308			$	153,011			$	35,297				23	%

Employee compensation and benefits expense increased by $1.8 million and $9.4 million for the three and nine months ended September 30, 2006, respectively. The increase in both periods largely reflects the impact of expanding the institutional sales force, internalizing our mutual fund client services functions and growing our information technology and administrative staff to support our growth. The current period increase of $1.8 million also includes a reduction in employee compensation and benefits due to our decision to outsource certain facility-related functions, which are now reflected in general and administrative expense.

Distribution and underwriting expense increased by $3.9 million and $18.3 million in the third quarter and first nine months of 2006, respectively, primarily due to increases of $2.5 million and $11.2 million resulting from the growth in the Class C share assets older than one year and to increases of $1.2 million and $7.0 million resulting from the growth of Class A and Class B average open-end fund assets under management. Class C share assets do not generate distribution expense in the first year

following their sale because we retain the Rule 12b-1 fees during that first year to offset the upfront commissions that we pay. However, Class C share assets do generate a distribution expense in subsequent years, as we pay the Rule 12b-1 fees to the selling firms. Although the Rule 12b-1 fee rates we paid to broker-dealers and other intermediaries in the three and nine months ended September 30, 2006 did not change from the rates paid in the prior year, we expect distribution expense to increase to the extent our open-end mutual fund assets under management continue to grow.

Marketing and sales promotion expense remained largely constant for the three months ended September 30, 2006, when compared to the prior-year period. These expenses increased by $0.8 million for the nine months ended September 30, 2006 when compared to the prior-year period, due to an increase in supplemental compensation payments and partially offset by cost savings recognized through efficiencies in our fulfillment process. The increase in supplemental compensation payments is largely attributable to the $5.7 billion increase in average mutual fund assets under management. We expect that supplemental compensation payments will fluctuate with changes in mutual fund purchases and assets under management.

General and administrative expense increased by $1.3 million and $6.1 million in the three and nine months ended September 30, 2006, respectively, when compared to the prior-year periods primarily due to increases of $0.2 million and $2.1 million in depreciation expense, $0.2 million and $1.7 million in occupancy-related costs and $0.5 million and $1.0 million in travel and entertainment costs for those same periods, respectively. The increases in depreciation expense and occupancy costs were primarily due to occupying our new headquarters. The increase in depreciation expense was due to the depreciation of new assets placed in service in our facilities, and we expect that our depreciation expense for the remainder of 2006 will continue to be higher than the comparable periods of 2005. The increases in travel and entertainment expenses were primarily due to our expanded sales efforts.

Other Income (Expense), Net

Other income (expense), net was a net income of $0.8 million and $4.9 million for the three and nine months ended September 30, 2006, respectively, as compared to a net income of $1.6 million and $0.6 million for the prior year periods.

($ in thousands)		Three Months Ended September 30,												Nine Months Ended September 30,
		2006				2005				Change				2006				2005				Change
Net interest income (expense)		$	1,638			$	(676	)		$	2,314			$	2,820			$	(2,963	)		$	5,783
Investment and other income (loss)			(3,336	)			4,647				(7,983	)			668				7,030				(6,362	)
Minority interest in partnership investments			2,502				(2,416	)			4,918				1,411				(3,444	)			4,855
Total other income (expense), net		$	804			$	1,555			$	(751	)		$	4,899			$	623			$	4,276

The changes in net interest income (expense) of $2.3 million and $5.8 million for the quarter and year-to-date periods were solely due to increases in interest income on cash and cash equivalents, as interest expense was $2.0 million and $6.1 million for the three and nine months ended September 30, 2006 and 2005.

The changes in investment and other income of $8.0 million and $6.4 million for the three and nine months ended September 30, 2006 were primarily due to market appreciation and depreciation resulting principally from market fluctuations. The changes in minority interest in partnership investments represent the corresponding minority interests’ portion of the market appreciation and depreciation from our consolidated partnerships.

Income Taxes

Income taxes as a percentage of income before income taxes was 40.0% and 40.1% for the three and nine months ended September 30, 2006, respectively, compared to 39.7% and 39.9% for the prior year periods.

Liquidity and Capital Resources

Our current financial condition is highly liquid, with the majority of our assets representing our corporate investment portfolio, which is comprised of cash and cash equivalents, investment securities and investments in partnerships. We anticipate utilizing our cash and cash equivalent balances to make investments in our products as opportunities arise, to invest in property and equipment for our facility, to support our operations and to acquire shares under our share repurchase program. Investment securities are principally comprised of company-sponsored mutual funds. In addition, investments in partnerships are typically comprised of highly liquid exchange-traded securities. Our working capital requirements historically have been met through cash generated by our operations and long-term debt.

The following tables summarize key statements of financial condition data relating to our liquidity and capital resources.

		September 30,				December 31,
(in thousands)		2006				2005
Statements of financial condition data:
Cash and cash equivalents		$	294,172			$	210,469
Receivables			36,122				34,476
Investment securities			133,375				128,265
Investment in partnerships			83,667				79,956
Deferred tax assets, net			102,495				109,126
Deferred sales commissions			55,146				58,390
Long-term debt			150,000				150,000

Cash flows for the nine months ended September 30, 2006 and 2005 are summarized below:

(in thousands)		2006				2005
Cash flow data:
Net cash provided by operating activities		$	178,847			$	159,651
Net cash used in investing activities			(9,383	)			(66,331	)
Net cash used in financing activities			(85,761	)			(68,893	)

Net cash provided by operating activities was $178.8 million for the nine months ended September 30, 2006 and was primarily comprised of income before minority interest and income taxes of $180.1 million and net changes in working capital.

The payment of deferred sales commissions by us to financial intermediaries who sell Class B and C shares of our open-end funds is a significant use of our operating cash flows. Use of cash for deferred sales commissions was $21.3 million for the nine months ended September 30, 2006. We expect that the payment of deferred sales commissions will vary in proportion to future sales of Class B and C shares of open-end funds and that these commissions will continue to be funded by cash flows from operations.

Net cash used in investing activities was $9.4 million for the nine months ended September 30, 2006 and was primarily comprised of our $7.9 million investment in property and equipment as we continue our initial build-out of our new office facility. We expect to make investments in property and equipment as needed to support future staff additions.

Net cash used by financing activities was $85.8 million for the nine months ended September 30, 2006 and was primarily comprised of distributions to minority shareholders of $79.2 million, including distributions for their tax liabilities of $58.4 million, as well as dividends paid to common shareholders of $6.3 million.

We expect our cash and liquidity requirements will be met with the cash on hand and through cash generated by operations. We intend to satisfy our capital requirements over the next 12 months through these sources of liquidity.

Recently Issued Accounting Pronouncements

In June 2006, the FASB issued FASB Interpretation No. 48 (FIN 48), Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109, which seeks to reduce diversity in practice that is associated with certain aspects of measurement and recognition when accounting for uncertain tax positions and clarifies the accounting and disclosure for

uncertainty in tax positions. FIN 48 is effective for the Company beginning January 1, 2007. We are currently evaluating the impact, if any, that the adoption of FIN 48 will have on our financial statements.

In September 2006, the FASB issued SFAS 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value and requires additional disclosure regarding fair value measurements. SFAS 157 is effective for the Company beginning January 1, 2008. We are currently evaluating the impact, if any, that the adoption of SFAS 157 will have on our financial statements.

Critical Accounting Policies

Our significant accounting policies are described in note 3 of the Notes to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2005. 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, 2005. There were no significant changes in our critical accounting policies during the nine months ended September 30, 2006.

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, future financial performance, strategies, expectations, competitive environment, and regulations. These forward-looking statements 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; and management’s goals and objectives and other similar expressions concerning matters that are not historical facts.

Words such as “may,” “will,” “should,” “could,” “would,” “predicts,” “potential,” “continue,” “expects,” “anticipates,” “future,” “intends,” “plans,” “believes,” “estimates,” 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: adverse 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; our ownership structure; general declines in the prices of securities; catastrophic or unpredictable events; the loss of key executives; the unavailability of third-party retail distribution channels; increased costs of distribution; failure to recruit and retain qualified personnel; a loss of assets, and thus revenues, if our largest funds perform poorly; damage to our reputation; the extent and timing of any share repurchases; and our holding company structure. 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; fluctuations in the financial markets around the world that result in appreciation or depreciation of assets under management; our introduction of new investment strategies and products; our ability to educate our clients about our investment philosophy and provide them with best-in-class service; the relative investment performance of our investment 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; and our decision to open or close products and strategies when deemed to be in the best interests of our clients. Item 1A of our Annual Report on Form 10-K for the year ended December 31, 2005 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. 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.

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, 2005. There were no material changes to the Company’s market risk during the nine months ended September 30, 2006.

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 September 30, 2006, 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 third quarter that have materially affected, or are reasonably likely to materially affect, the company’s internal control over financial reporting.

PART II — OTHER INFORMATION

Item 1. Legal Proceedings

In the normal course of business, we may be subject to various legal proceedings from time to time. Currently, there are no material legal proceedings pending against us.

Item 6. Exhibits

3(i)		Amended and Restated Certificate of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on November 2, 2004).
3(ii)		Amended and Restated By-Laws of the Registrant (incorporated by reference to Exhibit 3.2 to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 26, 2005).
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.

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: November 3, 2006		By:		/s/ Patrick H. Dudasik
				Patrick H. Dudasik
				Executive Vice President, Chief Financial Officer
				and Treasurer