SecProbe.io

CORRESP
1
filename1.htm

                                            ROPES & GRAY LLP

    191 NORTH WACKER DRIVE

    32nd FLOOR

    CHICAGO, ILLINOIS 60606-4302

    WWW.ROPESGRAY.COM

January 17,
2025

Mr. Mark
Cowan

Securities
and Exchange Commission

100
F Street, NE

Washington,
DC 20549-4720

 Re: Calamos
                                            ETF Trust (File Nos. 333-191151 and 811-22887) (the “Registrant”)

Dear
Mr. Cowan:

I
am writing to respond to the comments of the Staff (the “Staff”) of the U.S. Securities and Exchange Commission (the “Commission”)
received by the Registrant in connection with post-effective amendment number 48 to the registration statement on Form N-1A, filed
with the Commission pursuant to Rule 485(a) under the Securities Act of 1933, as amended (the “Securities Act”),
on November 21, 2024 (the “PEA”) with respect to the Funds set forth in Appendix A hereto (each a series of the Registrant)
(each such series is referred to herein as a “Fund” and, collectively, as the “Funds”). Your comments provided
via a videoconference call on January 7, 2025, are summarized below, and each comment is followed by our response. Capitalized terms
not otherwise defined herein have the meanings ascribed to them in the PEA. The Registrant intends to file a future post-effective amendment
to the PEA pursuant to Rule 485(b) under the Securities Act to (i) reflect the revisions discussed herein in response
to your comments; (ii) make certain non-material changes as appropriate; and (iii) file exhibits to the registration statement.

 1. Comment.
                                            The use of the term “Protection” in the Fund names suggests a guarantee,
                                            especially when said term is coupled with or adjacent to a percentage such as “100%”.
                                            Please revise the Funds’ names.

Response.
The Registrant has revised the Fund names as requested. Specifically, rather than referring to the four Funds as “Calamos Bitcoin
100% Protection Strategy (1 yr) ETF — [Month TBD]”, the Registrant will refer to these Funds as the “Calamos Bitcoin
Structured Alt Protection ETF® – [Month]” series of Funds.

 2. Comment.
                                            In some places within the prospectuses, the disclosure states that the protection offered
                                            to investors is protection relative to losses experienced by Spot bitcoin (as measured by
                                            the BRRNY) or protection relative to losses experienced by the Underlying ETPs and/or Bitcoin
                                            Indexes. For example:

The
Fund seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of the CME
CF Bitcoin Reference Rate – New York Variant (“BRRNY”) (“Spot bitcoin”) up to a predetermined upside cap
(the “Cap”) while seeking to protect against 100% of losses (before fees and expenses) of (i) Spot bitcoin
or (ii) one or more of the Underlying ETPs and/or Bitcoin Indexes, in each case, over a period of approximately one
(1) year (the “Outcome Period”). [Emphasis Added]

    1

In
other places within the prospectuses, the disclosure states that the protection offered to investors is protection relative to losses
experienced by Spot bitcoin only. For example:

As
described below, the Fund seeks to achieve its investment objective through investments in over-the-counter Options ("OTC Options")
and/or, if and when available, one or more of the following: (i) FLexible EXchange Options ("FLEX Options") or (ii) listed
exchange traded options (“Listed Options”) – each of which reference the price performance of either (A) one or
more of the iShares Bitcoin Trust ETF (“IBIT”), Grayscale Bitcoin Mini Trust (“BTC”), Bitwise Bitcoin ETF (“BITB”),
Fidelity® Wise Origin® Bitcoin Fund (“FBTC”) and ARK 21 Shares Bitcoin ETF (“ARKB”) (each, an “Underlying
ETP” and collectively, the "Underlying ETPs") which, in turn, own bitcoin that is held by a bitcoin custodian in each
instance on behalf of the respective Underlying ETPs or (B) one or more indexes that are designed to track the price of bitcoin
(“Bitcoin Index”) – up to a cap of [ %] (the "Cap"), while seeking to protect against 100% of the
negative price return of Spot bitcoin (before fees and expenses) over the Outcome Period for the period from ____________202[
] through __________ 202[ ]. [Emphasis Added]

Please
revise the disclosure to be consistent in describing the protection investors are being offered.

Response.
The Registrant has revised the disclosure to specify that the protection that the Fund seeks to provide is protection against 100%
of the negative price return of Spot bitcoin (before total fund operating fees and expenses) over the Outcome Period.

 3. Comment.
                                            Please explain why the disclosure that states “When the Fund's management fees
                                            are also taken into account, the Capital Protection level is reduced to ____ %.” includes
                                            only the management fee and does not include fees and expenses.

Response.
The Registrant has revised the disclosure to refer to the management fee in this context by the more general “total fund operating
fees and expenses” which the Registrant notes would be the same percentage (0.69%, given that this is a unitary fee) but would
provide greater clarify and consistency to a reader.

 4. Comment.
                                            The investment objective across the prospectuses generally reads as follows:

[The
Fund] seeks to provide investment results that, before taking fees and expenses into account, track the positive price return
of the CME CF Bitcoin Reference Rate – New York Variant (“BRRNY”) (“Spot bitcoin”). [Emphasis Added]

Given
that investors could experience losses and given that the word ‘track’ is already used, consider whether to remove the word
 ‘positive’ from this disclosure.

Response.
The Registrant respectfully declines to make this change and notes that the words “seeks to” adequately reflects that
the Fund seeks to provide investment results that, before taking fees and expenses into account, track the positive price return Spot
bitcoin.

    2

 5. Comment.
                                            Please disclose what is meant by “fees and expenses” in the disclosure that
                                            follows. If what is meant is “total fund operating fees and expenses”, please
                                            revise the disclosure accordingly.

As
described below, the Fund seeks to achieve its investment objective through investments in over-the-counter Options ("OTC Options")
and/or, if and when available, one or more of the following: (i) FLexible EXchange Options ("FLEX Options") or (ii) listed
exchange traded options (“Listed Options”) – each of which reference the price performance of either (A) one or
more of the iShares Bitcoin Trust ETF (“IBIT”), Grayscale Bitcoin Mini Trust (“BTC”), Bitwise Bitcoin ETF (“BITB”),
Fidelity® Wise Origin® Bitcoin Fund (“FBTC”) and ARK 21 Shares Bitcoin ETF (“ARKB”) (each, an “Underlying
ETP” and collectively, the "Underlying ETPs") which, in turn, own bitcoin that is held by a bitcoin custodian in each
instance on behalf of the respective Underlying ETP(s) or (B) one or more index(es) that are designed to track the price of
bitcoin (“Bitcoin Index”) - up to a cap of [ %] (the "Cap"), while seeking to protect against 100% of the negative
price return of Spot bitcoin (before fees and expenses) over the Outcome Period for the period from ____________202[ ]
through __________ 202[ ]. [Emphasis Added]

Response.
 The Registrant has revised the disclosure as requested.

 6. Comment.
                                            Please remove “, but not limited to” from the following disclosure so that
                                            you are not insinuating that there are other approaches not disclosed in the prospectuses
                                            by which you may implement the principal investment strategies:

Based
on market conditions and other factors at the commencement of the Outcome Period, Calamos Advisors LLC (“Calamos Advisors”
or the “Advisor”) seeks to provide investment exposure to the price performance of Spot bitcoin through various means of
portfolio construction and management, including, but not limited to the two methods/approaches as may be implemented by the Adviser
in its discretion as described below.

Response.
The Registrant has revised the disclosure by deleting “, but not limited to” as requested.

 7. Comment.
                                            Please update the disclosure in the Principal Investment Strategies section to be consistent
                                            for the second method/approach across all ETFs. For example, the 100% Protection does not
                                            mention investments in cash and cash equivalents and listed options, but the 90% Floor does.

Response.
The Registrant has revised the disclosure to note that cash and cash equivalents and listed options may be used under the second
method/approach.

 8. Comment.
                                             Please revise the following sentence so that it is clear and consistent across all ETFs.

In
the second method/approach, the Fund’s portfolio will be comprised of options, and cash and cash equivalents. Under this approach,
and under normal market conditions, the Fund will invest substantially all of its assets in cash and cash equivalents and, if and when
available, one or more of the following: (i) FLEX Options or (ii) Listed Options – each of which reference the price
performance of either: (A) one or more of the Underlying ETPs or (B) a Bitcoin Index.

Response.
The Registrant has revised the disclosure as requested.

    3

 9. Comment.
                                            Please revise the following sentence so that it has softened ‘may include’
                                            language across all ETF prospectuses. Some prospectuses do not have ‘may’ here.

The
Fund has adopted a non-fundamental operating policy that requires it, under normal circumstances, to invest at least 80% of its net assets
(plus borrowings for investment purposes, if any) in investments that provide exposure to Spot bitcoin. As described herein, the investments
that the Fund intends to utilize for its 80% investment policy may include OTC options and/or, if and when available, FLEX Options and/or
Listed Options in one or more of the Underlying ETPs and/or one or more Bitcoin Indexes. For purposes of compliance with this investment
policy, derivative contracts will be valued at their notional value. Although this requirement may be changed by the Board of Trustees
without shareholder approval, the Fund will notify shareholders in writing at least 60 days prior to any change in its 80% policy.

Response.
The Registrant has revised the disclosure as requested.

 10. Comment.
                                            Please clarify the passage titled “Risks Associated with Investing in the Underlying
                                            ETPs” given that the Fund does not invest directly in ETPs.

Response.
The Registrant has removed the passage titled “Risks Associated with Investing in the Underlying ETPs” given that the
Fund does not invest directly in the Underlying ETPs.

 11. Comment.
                                            Please explain that an investor can lose gains from a prior outcome period. In other
                                            words, please disclose that gains earned in one period are not protected by a floor in a
                                            subsequent outcome period.

Response.
The Registrant respectfully notes that it disclosed that the protection relates to the outcome period, and nothing the Registrant
has disclosed suggests that there is protection other than with respect to the subject outcome period.

Further,
the Registrant noted that the product is tied to the current outcome period, so if the Registrant were to add disclosure on cross-outcome-periods
it might confuse investors.

 12. Comment.
                                            Please provide disclosure on investing in a subsidiary somewhere within the principal
                                            investment strategies section.

Response.
The Registrant has revised the disclosure as requested.

 13. Comment.
                                            Please address the following comments.

 I. All
                                            Subsidiaries should provide the following disclosure:

 a) Disclose
                                            that “Subsidiary” includes entities that engage in investment activities in securities
                                            or other assets that are primarily controlled by the Fund.

The
Subsidiary is not investing in other assets that are primarily controlled by the Fund.

 b) Disclose
                                            that the fund complies with the provisions of the Investment Company Act governing investment
                                            policies (Section 8) on an aggregate basis with the Subsidiary.

    4

The
Registrant confirms that the Fund complies with the provisions of the Investment Company Act governing investment policies (Section 8)
on an aggregate basis with the Subsidiary.

 c) Disclose
                                            that the fund complies with the provisions of the Investment Company Act governing capital
                                            structure and leverage (Section 18) on an aggregate basis with the Subsidiary so that
                                            the fund treats the Subsidiary’s debt as its own for purposes of Section 18.5

The
Registrant confirms that the Fund complies with the provisions of the Investment Company Act governing capital structure and leverage
(Section 18) on an aggregate basis with the Subsidiary.

 d) Disclose
                                            that any investment adviser to the Subsidiary complies with provisions of the Investment
                                            Company Act relating to investment advisory contracts (Section 15) as if it were an
                                            investment adviser to the fund under Section 2(a)(20) of the Investment Company Act.
                                            Any investment advisory agreement between the Subsidiary and its investment adviser is a
                                            material contract that should be included as an exhibit to the registration statement. If
                                            the same person is the adviser to both the fund and the Subsidiary, then, for purposes of
                                            complying with Section 15(c), the reviews of the fund’s and the Subsidiary’s
                                            investment advisory agreements may be combined.

The
Registrant confirms that the investment adviser to the Subsidiary complies with the provisions of the Investment Company Act relating
to investment advisory contracts (Section 15) and as an investment adviser to the Fund (Section 2(a)(20).

 e) Disclose
                                            that each Subsidiary complies with provisions relating to affiliated transactions and custody
                                            (Section 17). Identify the custodian of the Subsidiary, if any.

The
Registrant has revised this section to disclose that the Subsidiary complies with provisions relating to affiliated transactions and
c