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Recent job numbers have reignited concerns that the US economy could be slowing down, even as inflationary pressures persist. A slower US economy could create a challenging environment for high-yield bond investors if issuers run into trouble paying their coupons or default on payments altogether.
Meanwhile, back-and-forth headlines on inflation data and tensions with the White House are complicating the Federal Reserve’s efforts to achieve stable ”Goldilocks" outcomes concerning interest rate moves, its dual mandate, and apolitical independence. For investors, this makes planning ahead regarding bond exposure difficult, and can be particularly risky for high-yield bonds.
Given these market challenges, investors are increasingly turning to alternative income strategies that can deliver high yields while managing risk differently than traditional bonds.
SRP Americas Awards Names CAIE Most Innovative Product of 2025
Historic firsts—CAIE is the first ETF to be crowned as SRP’s Most Innovative Product for 2025, and Calamos is the first asset manager honored with this award.
Structured Retail Products (SRP) is the global authority and premier intelligence hub for the structured products industry. The organization’s prestigious annual SRP Americas Awards bring together the best-in-class solutions.
See important information on SRP Americas Awards methodology below.
Autocallables: A Different Approach to Income
Autocallable yield notes (or “autocallables") have captured significant investor interest for their ability to deliver high, stable income that is tied to equity market performance rather than traditional fixed-income factors like credit or duration.
An autocallable is a market-linked investment whose coupon payments and principal at maturity are tied to equity market performance. Think of it as a bond whose income depends on the stock market not falling too far.
As of August 31, 2025, the total callable yield note market represented nearly 70% of all structured note sales in the US within a $200+ billion derivative income landscape. However, accessing these market-linked investments traditionally requires navigating significant barriers.
The Traditional Autocallable Challenge
Institutional demand for autocallable yield notes remains high, but accessing them has traditionally meant accepting substantial limitations, including:
• Navigation of the complex structured notes market
• Manual reinvestment when notes are called early
• Tax complexity through K-1 forms and potential phantom income
• Limited liquidity and high minimum investments ($250,000+)
An ETF Solution that Democratizes Access
Recognizing these challenges, Calamos Investments developed an innovative solution. The Calamos Autocallable Income ETF (CAIE) aims to provide diversified exposure to autocallables through an efficient ETF structure with enhanced benefits. Through its elegant approach, CAIE not only simplifies the experience for advisors and investors but also transforms the overall structure, adding liquidity, transparency, diversification, tax efficiency, and accessibility with no minimum investment.
CAIE provides investors continuous exposure to a portfolio of 52+ autocallables, staggered weekly, each with similar terms and whose coupon payments and principal at maturity tie to the same reference index: MerQube US Large Cap Vol Advantage Index—a US Large-Cap index optimized specifically for autocallable strategies.
Performance and Market Validation
The fund strategy’s merit is reflected both in market performance and rapid adoption. The chart below demonstrates the historical performance and total return of the MerQube US Large-Cap Vol Advantage Autocallable Index (ticker: MQAUTOCL) relative to the S&P 500 Total Return Index, showing how this strategy has performed across different market conditions.
Past performance is no guarantee of future results. Source is MerQube Indices 5/31/05–4/30/25. Unlike fund returns, unmanaged index returns do not reflect fees, expenses, or sales charges. Investors cannot invest directly in an index.
Using autocallables as a high-yield alternative may initially sound unconventional, but the logic is compelling. These notes provide regular coupons as long as their underlying index doesn’t fall past the barrier level of -40%. In other words, CAIE will endeavor to distribute competitive monthly income as long as the equity market doesn’t experience a historically severe drawdown.
The market’s response has been overwhelmingly positive. Since the fund’s inception on June 25, 2025, it has garnered $197 million in assets as of September 16, 2025, demonstrating significant advisor and client adoption.
Equally impressive, the fund recently earned prestigious third-party validation, being named the Most Innovative Product of 2025 by the SRP Americas Awards. This achievement is particularly noteworthy as it marks the first time an ETF has received this honor and establishes Calamos as the first asset manager to win this award. Structured Retail Products (SRP), the global authority and premier intelligence hub for the structured products industry, conducts comprehensive market surveys involving industry professionals to evaluate innovations based on product design originality, client-centric innovation, market impact, and risk-return profile enhancements.
To learn how CAIE can help your clients face today’s income challenges through a single-ticker solution that addresses the limitations of both conventional fixed income and traditional autocallable access, visit calamos.com/CAIE or talk to a specialist at 866.363.9219.
Related: Discover a New Nasdaq Dual Strategy: Uncapped Upside Meets Active Fixed Income
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.
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 risk, 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.
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.
The MerQube US Large Cap Vol Advantage Index is designed to provide volatility adjusted exposure to E-Mini S&P 500 futures contracts by targeting an implied volatility of 35%, subject to a 6% decrement per annum. Unlike traditional equity indices that maintain fixed allocations, this index dynamically adjusts exposure based on market volatility conditions. During calm or typical market environments, the Index increases exposure to equity futures while during volatile market periods, the Index reduces exposure to equity futures. Unlike other volatility target indices that rebalance daily based on realized volatility, this Index rebalances weekly (at the end of each week) based on one-week implied volatility derived from SPY weekly options prices. This approach seeks to maintain a more consistent risk profile across varying market conditions while potentially reducing drawdowns during market stress and improving risk-adjusted returns over time. The Index is a rules-based, systematic index designed to provide dynamic exposure to US large-capitalization equities while employing a volatility management methodology that seeks to maintain a target volatility level. The Index dynamically adjusts exposure between the Equity Component and a cash position based on prevailing market volatility conditions. The S&P 500 Price Index (SPX) tracks the price return of the S&P 500 Index, which is generally considered representative of the US stock market.
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.
SRP Americas Awards Methodology: SRP typically conducts a comprehensive market survey involving institutions active in the structured products space. Industry professionals—including issuers, distributors, and service providers—are invited to vote on various award categories. For the “Most Innovative Product” award, the evaluation focuses on: product design originality, client-centric innovation, market impact and adoption, risk-return profile enhancements and integration of new technologies or strategies. Finalists are often reviewed by a panel of SRP editors and industry experts who assess the submissions based on qualitative and quantitative factors.
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.
The Morningstar US High Yield Bond Funds category includes high-yield bond portfolios that concentrate on lower-quality bonds, which are riskier than those of higher-quality companies. These portfolios generally offer higher yields than other types of portfolios, but they are also more vulnerable to economic and credit risk. These portfolios primarily invest in US high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.
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.
Calamos Financial Services LLC, Distributor
Calamos Financial Services LLC
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