CAIE
Calamos Autocallable Income ETF

Calamos Breaks New Ground with Autocallable Income ETF (CAIE), J.P. Morgan Serves as Swap Counterparty

  • CAIE democratizes $100+ billion annual autocallable yield note market through innovative new ETF.
  • Autocallables have captured investor interest by delivering high stable monthly income potential tied to equity market performance, rather than duration or credit.1
  • Launching June 25th, CAIE delivers efficient single-ticker access to a portfolio of laddered autocallables reducing timing risk and easing operational burdens.

Metro Chicago, Illinois, June 24, 2025John 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.

Read Full Press Release
Buy Now CAIE Fund Profile Contact Us

From Complexity to Accessibility: Democratizing Autocallable Yield Notes Through ETF Innovation

 

Why CAIE?

High Stable Monthly Income Potential

Coupons typically higher than bonds, tied to equity market performance

Tax-Advantaged Income

Seeks favorable tax treatment on distributions vs. ordinary income, with no K-1s

Model-Portfolio Ready

Single ticker solution, liquid, and operationally efficient

Laddered Exposure

52+ autocallables seek consistent income and reduced timing risk

 

The Appeal for Autocallables is Clear

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

Attractive Yield Compared To Other Asset Classes

Chart source: Bloomberg and Cboe. Data as of 6/11/25.
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; US 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 $200 Billion Derivative Income Revolution

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.

Data as of 12/31/24. Autocallable note issuance data source: J.P. Morgan and Structured Retail Products, as of 12/31/24. Derivative Income Funds AUM data source: Morningstar, as of 12/31/24. “Derivative Income” is categorized by Morningstar as encompassing ETFs and mutual funds that primarily use options to generate income, typically through strategies like covered call writing. Past performance is not indicative of future performance.

What Is An Autocallable?

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.

Reference Index Level

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: The "Easy Button" For Autocallables

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."

Key Portfolio Features:

  • 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

Historical Perspectives: Equity-Like Participation with High Stable Income

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.

Total Return Comparison (May 2005 - April 2025)

Source: MerQube Indices, 5/31/05 – 4/30/25. Past performance not indicative of future results. 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. Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Three Powerful Portfolio Applications

Equity Alternative
Yield Enhancement & Diversification
Tax-Efficient Income Sleeve

Harness the Power of Three Global Leaders: J.P. Morgan, MerQube, and Calamos

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.

The collaboration combines:

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

A Reference Index Designed for Autocallables

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

Calamos Financial Services LLC, Distributor

Check the background of the firm and its investment professionals on FINRA's BrokerCheck.

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.

©2025 Calamos Investments LLC. All Rights Reserved. Calamos®, Calamos Investments® and Investment strategies for your serious money® are registered trademarks of Calamos Investments LLC.

Calamos Investments LLC, referred to herein as Calamos Investments®, is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Financial Services LLC and Calamos Antetokounmpo Asset Management LLC.

The personal data collected by Calamos on this website, or by any other means, is collected and stored in accordance with the General Data Protection Regulation (EU) 2016/679 ("GDPR").

Important Legal Information | Privacy Policy | Business Continuity | Code of Business Conduct and Ethics | ERISA 408(b)(2)

Information contained herein is subject to completion or amendment. The information in each fund’s prospectus and statement of additional information) is not complete and may be changed. We may not sell the securities of any fund until such fund’s registration statement filed with the Securities and Exchange Commission is effective. Each fund’s prospectus and statement of additional information is not an offer to sell such fund’s securities and is not soliciting an offer to buy such fund’s securities in any state where the offer or sale is not permitted.

An indication of interest in response to this advertisement will involve no obligation or commitment of any kind.

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.

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.