Calamos Breaks New Ground with Autocallable Income ETF (CAIE)

Metro Chicago, Illinois, June 24, 2025– John Koudounis, President and CEO of Calamos, a leading alternatives manager, announced the planned launch of the Calamos Autocallable Income ETF (Ticker: CAIE). The Fund is designed to provide high stable monthly income through exposure to a laddered portfolio of autocallables, transforming a complex institutional market into an accessible, liquid, and tax-efficient ETF solution. J.P. Morgan will serve as primary swap counterparty, MerQube Indices as index provider and Calamos as the issuer and portfolio manager of the ETF.

“Through our heritage of innovation, we’re democratizing access to a premier income strategy that has historically been the exclusive domain of high-net-worth investors,” said Koudounis. "I’m excited to unveil CAIE—a sophisticated autocallable strategy that seeks to deliver consistent, high monthly income to our investors through the efficiencies of an ETF.”

Autocallables are market-linked investments that pay investors regular coupons and return principal at maturity, contingent on the performance of an underlying equity index. Over the past decade, autocallables have gained traction as a differentiated source of high income, with yields significantly above traditional fixed income1. In 2024, autocallable structured notes accounted for over $104 billion in issuance—more than two-thirds of the structured products market. Similarly, derivative income funds, including covered-call strategies, saw $39b in net inflows, pushing total AUM to $114 billion.2

“For those new to autocallables, think of it like a bond whose income and par value depend on the stock market not falling below a protective barrier. For investment professionals already familiar with autocallables, CAIE is simply the ’easy button,’” said Matt Kaufman, Head of ETFs at Calamos. “Our laddered approach is designed to diversify exposure, reduce timing risk, and potentially smooth out income, while the ETF structure adds daily liquidity, tax-advantaged distributions, and no minimums.”

Attractive high stable income derived from equity market parameters rather than credit risk or duration—providing a genuinely diversified income source.

Investor demand for diversified sources of income has fueled explosive growth in derivative income strategies, which now exceed $200 billion across ETFs ($114B) and structured notes ($104B). In ETFs, covered call strategies dominate the category, but across the structured note landscape, autocallables account for nearly 70% of all issuance.

An autocallable is a market-linked instrument that pays regular coupons and returns principal at maturity (or if called early), as long as a reference index, like the S&P 500, doesn’t fall below specific thresholds (e.g., -40%)—think of it like a bond whose income and principal depend on the stock market not falling too far.

The trade-off is simple: monthly income potential typically greater than traditional fixed income, in exchange for the risk that a severe market downturn could interrupt your coupon payments or, in the worst case, result in principal loss.

This is illustrated in the chart above. Coupons are paid (blue dots) so long as the underlying reference index is above the -40% barrier, and principal is only at risk if the reference index falls below -40% at maturity.

Source: Calamos Investments LLC. For illustrative purposes only. Not representative of any investment product. Past performance is no guarantee of future results. Although an autocallable is designed to incur incur no loss if the reference index is above the maturity barrier at expiration, the interim value of an autocallable will fluctuate as it is continually marked to current reference index prices.

CAIE spreads your investment across 52+ autocallables entered at different times, seeking to smooth out both income and overall risk. This innovative approach eliminates the typical barriers: you can invest with no minimum amount, get 1099 tax forms instead of complex K-1s, and trade daily like any other ETF.

For those new to autocallables, CAIE is a single-ticker solution seeking high stable income tied to equity markets rather than traditional bond factors. For investment professionals already familiar with autocallables, CAIE is simply the “easy button.”

• Laddered exposure to 52+ autocallables
• Seeks equity-like total returns with high stable income
• 5-year maturities with -40% protective coupon and maturity barriers
• Reference index MerQube US Large Cap Vol Advantage Index – optimized for autocallables

Below is a comparison of the total return of the S&P 500 and the MerQube US Large Cap Vol Advantage Autocallable Index, a custom benchmark tracking a weekly laddered portfolio of synthetic autocallables, each with 5-year maturities and -40% coupon and maturity barriers. Historical results have illustrated long-term return characteristics similar to the S&P 500 Total Return.

CAIE is based on a proven autocallable strategy popularized by J.P. Morgan and MerQube. More than $3B in assets are already invested in J.P. Morgan autocallable notes tied to the MerQube Vol Advantage Index. Calamos has collaborated with both partners to deliver similar exposure through a laddered ETF structure, making it accessible to all investors.

• J.P. Morgan – Balance sheet strength and structuring power
• MerQube – Quantitative indexing expertise
• Calamos Investments – Alternatives and risk management expertise

Each autocallable references the MerQube US Large Cap Vol Advantage Index (MQUSLVA)—a benchmark optimized specifically for autocallable performance:

• Volatility targeting helps create predictable income streams
• S&P 500 focus ensures liquidity and transparency
• Single index clarity avoids complex “worst-of” structures

Since 2021, MerQube has become the preferred reference for leading autocallable issuers like J.P. Morgan, earning recognition as “the future of the autocallable space” for its ability to enhance income potential and stabilize performance. Learn more here: https://merqube.com/indices/MQUSLVA

Originally published here.

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Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.

An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.

1 As of 6/11/25. Income represented by average weighted coupon of MerQube US Large Cap Vol Advantage Autocallable Index relative to current yield of high yield bonds, represented by Bloomberg U.S. Aggregate Corporate High Yield Index. MerQube US Large Cap Vol Advantage Autocallable Index is not a proxy for Calamos Autocallable Income ETF (CAIE). The results of the MerQube index will differ to those of CAIE. Investors should consider the risks of investing in CAIE and review the prospectus prior to investing. Coupons used for illustrative purposes only. Actual historical coupons may have been different.

The principal risks of investing in the Calamos Autocallable Income ETF include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.

Autocallable Structure Risk–The Fund’s returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index. Autocallable notes have specific structural features that may be unfamiliar to many investors:

–Contingent Income Risk: Coupon payments from the Autocalls are not guaranteed and will not be made if the Underlying Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns.

–Early Redemption Risk: Autocalls in the Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocall Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the portfolio at lower rates if market yields have declined.