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, 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.
Read Full Press ReleaseFrom 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.
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.
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.
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
