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Calamos Investments is bringing one of the most in-demand forms of income to the ETF market. 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.
Today, the total callable yield note market represents nearly 70%* of all structured note sales in the US within a $200+ billion derivative income landscape. However, accessing these market-linked investments has traditionally required navigating operational and tax complexity, and substantial minimum investments – barriers that may have kept investors on the sidelines.
Democratizing Access through ETF Innovation
The Calamos Autocallable Income ETF (CAIE) is the first laddered ETF to democratize autocallables through:
*As of 12/31/2024
What is an Autocallable Yield Note?
Before exploring how CAIE works, it's important to understand the underlying investment. 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.
Autocallable yield notes allow investors to seek bond-like income that's historically has been much higher than traditional fixed income (often 11-14% annually), in exchange for the risk that a severe market downturn could interrupt your payments or, in the worst case, result in some loss of principal.
*60% of the value of the Underlying Reference Index as at the date of is included in the Index Portfolio
Removing Friction Points
Advisors have long recognized the value of autocallables, and despite the operational limitations (high minimums, tax complexity, manual reinvestment) have embraced the space because the differentiated income source justified the effort. Through the Calamos Autocallable Income ETF (CAIE), these friction points have been removed.
CAIE is a groundbreaking ETF that provides diversified exposure to autocallables in the benefit-rich ETF wrapper. Through this approach, CAIE not only simplifies the experience with a single-ticker solution for advisors and investors, but improves the overall structure as well, adding liquidity, transparency, and diversification in a tax-efficient ETF wrapper.
How CAIE Works
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 are tied to the same reference index: MerQube US Large Cap Vol Advantage Index— a US Large-Cap index optimized specifically for autocallable strategies.
Portfolio Implementation: Three Powerful Use Cases
CAIE's flexibility allows advisors to deploy it across multiple client scenarios:
The Bottom Line: A Smart Approach to Structured Income
CAIE revolutionizes structured note investing by seeking high stable income potential, barrier protection, and operational simplicity—all within a transparent and tax-efficient ETF framework. This actively managed approach combines consistent parameters across 52+ autocallables with an optimized reference index to efficiently provide attractive yield potential.
For investors facing today's income challenges, CAIE offers a single-ticker solution that addresses the limitations of both conventional fixed income and traditional autocallable access while enhancing portfolio efficiency. For those familiar with autocallables, CAIE is the "easy button.
Related: Investors Embrace Autocallable ETF Strategy, Driving $300M+ AUM in Just Four Months
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, 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.