CAIE Offers Access to Autocallable Income

Autocallable yield notes are linked to market performance and provide income and principal depending on how the equity market performs. Traditionally, an autocallable will be linked to a reference index of some sort, while having a coupon and maturity barrier. If the reference index sees positive or neutral performance, the investors will receive income until the note is called. Once the note gets called, investors then also receive principal.

The best part about autocallables is that investors can still benefit from them, even if the reference index is seeing underperformance. As long as the index doesn’t drop below its predetermined barrier level the income should keep flowing.

This framework gives autocallables an attractive niche as a way to play the equity market, regardless of whether the market is performing well or not. Even in periods of market decline, autocallable investors can stay ahead of the game with continuous monthly income.

While investing in a single autocallable note comes with certain considerations, its structure of providing monthly income tied to a binary event and a single market index, can introduce variability. Investors may experience periods of consistent income followed by stretches with little or no payout, depending on index performance. This dynamic underscores the importance of aligning such investments with one’s broader portfolio strategy and risk tolerance.

One possible solution to this problem is to invest in a selection of different autocallables. This allows you to collect income from different notes, providing coupons at different instances.

There’s now a method for investors and advisors to invest in a portfolio of autocallables. In June, Calamos Investments released the Calamos Autocallable Income ETF (CAIE ). CAIE looks to generate income and principal through a laddered selection of autocallables.

The fund’s laddered approach includes 52 or more autocallables at any given time. This allows the fund to potentially provide a more consistent income process, drawn from different notes that pay coupons at different instances.

At the start of August, Calamos announced that CAIE has an inaugural distribution rate of 17.48% and now has more than $90 million in net assets. While this is just the beginning for the fund, it serves as a promising signal for CAIE’s long-term potential.

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Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus 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.  

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.   

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Total return assumes the reinvestment of income. Current performance may be higher or lower than the performance data shown. Yields represented by trailing 12 month yield for: US Equity- S&P 500; U.S High Yield – Bloomberg US Aggregate Corporate High Yield Index; US 10-year – 10-year US Treasury yield; Equity Premium Income: Cboe S&P 500® 2% OTM BuyWrite Index; Autocallable Income: MerQube US Large Cap Vol Advantage Autocallable 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. Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. 

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.  

—Barrier Risk: If the Underlying Reference Index falls below the Protection Level Barrier at the maturity of an Autocall in the Portfolio, that portion of the Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.  

Weighted Average Coupon: The weighted average coupon of all autocallables as of last operation date 

Total return assumes the reinvestment of income. Current performance may be higher or lower than the performance data shown. Yield represented by trailing 12 month yield for: Autocallable Income: MerQube US Large Cap Vol Advantage Autocallable 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.