Company: CHY
Filing Date: 2025-02-21
Form Type: N-2ASR
Source: 0001104659-25-016081
Chunk: 223

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-02-21
Form: N-2ASR
Chunk 223
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 broker. The Fund will have to post initial margin to CCPs through such FCMs (in the U.S.) or other clearing brokers (outside the U.S.), and for swaps cleared at CCPs that are U.S.-registered derivatives clearing organizations, such initial margin will be held by such CCPs and FCMs in segregated accounts under the CFTC rules. Such segregation is intended to protect the initial margin of swap clearing customers from the claims of other creditors of a CCP or FCM. Furthermore, the CFTC rules implement the so-called “legally segregated, operationally commingled” model for the segregation of swap clearing customer collateral on a customer-by-customer basis, which is intended to protect each customer from the default of other customers of the FCM. Such segregation, however, will not protect clearing customers like the Fund from any operational or fraud risk of a CCP or FCM with respect to the initial margin posted to the CCP or FCM. In addition, the initial margin posted to a non-US CCP through a non-US clearing broker may not even be segregated from the property of such CCP and/or clearing members. The SEC has no final rules for the treatment and protection of customer property, including initial margin, held by CCPs and broker-dealers. In addition, where the Fund enters into certain swaps subject to mandatory clearing, it may be required to execute such swaps on a registered designated contract market or swap execution facility (“SEF”). The CFTC requires that certain interest rate swaps and index credit default swaps be executed on a registered designated contract market or SEF, and registered designated contract markets or SEFs may self-certify additional types of interest rate and index credit default swaps as subject to this requirement. The SEC has adopted registration rules for security-based swap registered designated contract markets or SEFs but there is currently not a mandatory trade execution requirement for security-based swaps. In addition, certain foreign jurisdictions may impose clearing and trade execution requirements that could apply to the Fund’s transactions with non-U.S. entities. While the Fund may benefit from reduced counterparty credit and operations risk and pricing transparency resulting from these requirements, it will incur additional costs in trading these swaps. In addition, while the Fund will attempt to execute, clear and settle these swaps through entities Calamos believes to be sound, there can be no assurance that a failure by such an entity will not cause a loss to the Fund. Risks Associated with Uncleared Derivatives Where the Fund enters into derivatives contracts that are not centrally cleared through a CCP