Company: CHY
Filing Date: 2025-02-21
Form Type: N-2ASR
Source: 0001104659-25-016081
Chunk: 215

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-02-21
Form: N-2ASR
Chunk 215
---
 the Fund does not intend to exceed applicable position limits, it is possible that different clients managed by the Adviser and its affiliates may be aggregated for this purpose. Therefore, the trading decisions of the Adviser may have to be modified and positions held by the Fund liquidated in order to avoid exceeding such limits. The modification of investment decisions or the elimination of open positions, if it occurs, may adversely affect the profitability of the Fund. A violation of position limits could also lead to regulatory action materially adverse to the Fund’s investment strategy. The Fund may also be affected by other regimes, including those of the EU and UK, and trading venues that impose position limits on commodity derivatives contracts. In addition, the Fund’s FCM may limit the Fund’s ability to invest in certain futures contracts. Such restrictions may adversely affect the Fund’s performance and its ability to achieve its investment objective. Pursuant to CFTC Rule 4.5, Calamos, the Fund’s investment adviser, is excluded from the definition of commodity pool operator (“CPO”) under the Commodity Exchange Act (“CEA”) and is not subject to registration or regulation as such under the CEA. The terms of the exclusion require the Fund, among other things, to adhere to certain limits on its investments in “commodity interests.” Pursuant to the exemption, if the Fund uses commodity interests (such as futures contracts, options on futures contracts and most swaps) the aggregate initial margin and premiums required to establish these positions (after taking into account unrealized profits and unrealized losses on any such positions and excluding the amount by which options that are “in-the-money” 2at the time of purchase) may not exceed 5% of the Fund’s NAV, or alternatively, the aggregate net notional value of those positions, as determined at the time the most recent position was established, may not exceed 100% of the Fund’s NAV (after taking into account unrealized profits and unrealized losses on any such positions). If, in the future, the Fund can no longer satisfy these requirements, Calamos would withdraw its exclusion from the definition of CPO, and Calamos would be subject to registration and regulation as a CPO with respect to the Fund, in accordance with CFTC rules that apply to CPOs of registered investment companies. 2A call option is “in-the-money” to the extent, if any, that the value of the futures contract that is the subject of the option exceeds the exercise price. A put option is “in-the