Calais cocoons are made of three strands of twisted mercerised cotton.
Any country which signed up to the 1997 Kyoto Protocol undertook to, amongst other things, ban certain toxic chemicals in the dyes that are used in textiles. This came into effect from 2005 and since then embroiderers have had problems, here and there, with dyes that run. The manufacturers are doing their best and, on the whole, their threads are colourfast. It is, however, impossible to guarantee colour-fastness in any fabric or thread, even if such claims are made. The colours that are mostly affected are the darker reds, greens and purples.
Please check all threads before use.
Wind a short length onto a plastic floss card, dip it into hot water and then dab it dry on a white dish towel or a piece of white paper towel. If any colour is left on the towel you should treat the whole skein by putting it into hot water, taking it out, dabbing it. Repeat this processs until no colour comes out on the towel and then allow the skein to dry. It should be fine to use after that and colours should not run when you wash your work.