Company: CHY
Filing Date: 2025-02-21
Form Type: N-2ASR
Source: 0001104659-25-016081
Chunk: 224

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-02-21
Form: N-2ASR
Chunk 224
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, the Fund will become subject to the risk that a counterparty will not perform its obligations under such contracts, either because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem of the counterparty, thus causing the Fund to suffer a loss. Such Where the Fund enters into derivatives contracts that are not centrally cleared through a CCP, the Fund will become subject to the risk that a counterparty will not perform its obligations under such contracts, either because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem of the counterparty, thus causing the Fund to suffer a loss. Such counterparty risk may be accentuated by the fact that the Fund may concentrate its transactions with a single or small group of counterparties. In addition, in the case of a default, the Fund could become subject to adverse market movements while seeking replacement transactions. The Fund is not restricted from dealing with any particular counterparty or from concentrating any or all of its transactions with one counterparty. Certain of the swap counterparties may be entities that are rated by recognized rating agencies. The Fund’s ability to transact business with any one or number of counterparties, the possible lack of a meaningful and independent evaluation of such counterparties’ financial capabilities, and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund. The U.S. prudential regulators and the CFTC have adopted variation margin requirements for non-cleared swaps which apply to entities subject to the jurisdiction of the prudential regulators and entities registered as swap dealers with the CFTC, respectively. While the Fund will not be directly subject to these margin requirements, the Fund will be indirectly impacted by the margin requirements where its counterparty is subject to such requirement. These requirements include restrictions on the types of collateral that may be exchanged and the timing of transferring margin, among other things. Mandatory initial margin requirements have been implemented, but such requirements apply only to swap dealers when trading with financial end users with “material swaps exposure.” Given the anticipated volume of the Fund’s swap transactions, the Fund is not likely to have “material swaps exposure” for purposes of these margin rules, and therefore does not expect to be subject to these initial margin requirements. In addition, the U.S. prudential regulators’ margin rules apply to non-cleared security-based swaps entered into by security-based swap dealers that are subject to their jurisdiction. The SEC also finalized margin