Calamos Breaks New Ground with Autocallable Income ETF (CAIE), J.P. Morgan Serves as Swap Counterparty
Calamos is launching the Calamos Autocallable Income ETF (CAIE) on June 25th, 2025, marking a significant innovation in the ETF space. The fund aims to democratize access to the $100+ billion autocallable yield note market through a unique ETF structure, with J.P. Morgan serving as the primary swap counterparty.
The ETF will feature 52+ laddered autocallables with monthly coupon payments, offering investors exposure to a portfolio linked to equity market performance. Key features include a 5-year maturity, -40% coupon and maturity barriers, and an expense ratio of 0.74%. The fund represents a transformation of a complex institutional product into an accessible, liquid, and tax-efficient ETF solution for retail investors.
Calamos lancerà il Calamos Autocallable Income ETF (CAIE) il 25 giugno 2025, segnando un'importante innovazione nel settore degli ETF. Il fondo punta a democratizzare l'accesso al mercato delle note autocallable con rendimento superiore a 100 miliardi di dollari attraverso una struttura ETF unica, con J.P. Morgan come principale controparte di swap.
L'ETF includerà oltre 52 autocallable a scala con pagamenti di cedole mensili, offrendo agli investitori un'esposizione a un portafoglio collegato alla performance del mercato azionario. Le caratteristiche principali comprendono una scadenza di 5 anni, barriere per cedole e scadenza al -40% e un rapporto spese del 0,74%. Il fondo rappresenta la trasformazione di un prodotto istituzionale complesso in una soluzione ETF accessibile, liquida e fiscalmente efficiente per gli investitori retail.
Calamos lanzará el Calamos Autocallable Income ETF (CAIE) el 25 de junio de 2025, marcando una innovación significativa en el ámbito de los ETF. El fondo tiene como objetivo democratizar el acceso al mercado de notas autocallables con rendimiento superior a 100 mil millones de dólares mediante una estructura ETF única, con J.P. Morgan como contraparte principal de swap.
El ETF contará con más de 52 autocallables escalonados con pagos mensuales de cupón, ofreciendo a los inversores exposición a una cartera vinculada al desempeño del mercado de acciones. Las características clave incluyen un vencimiento a 5 años, barreras de cupón y vencimiento del -40% y una ratio de gastos del 0,74%. El fondo representa la transformación de un producto institucional complejo en una solución ETF accesible, líquida y fiscalmente eficiente para inversores minoristas.
Calamos는 2025년 6월 25일에 Calamos Autocallable Income ETF (CAIE)를 출시하며 ETF 분야에 중요한 혁신을 가져옵니다. 이 펀드는 1,000억 달러 이상의 오토콜러블 수익 노트 시장에 대한 접근을 독특한 ETF 구조를 통해 민주화하는 것을 목표로 하며, J.P. Morgan이 주요 스왑 상대방으로 참여합니다.
이 ETF는 월별 쿠폰 지급이 이루어지는 52개 이상의 계단식 오토콜러블을 특징으로 하며, 투자자들에게 주식 시장 성과와 연계된 포트폴리오에 대한 노출을 제공합니다. 주요 특징으로는 5년 만기, -40% 쿠폰 및 만기 장벽, 그리고 0.74%의 운용 보수가 있습니다. 이 펀드는 복잡한 기관용 상품을 소매 투자자들에게 접근 가능하고 유동적이며 세금 효율적인 ETF 솔루션으로 전환한 것입니다.
Calamos lancera le Calamos Autocallable Income ETF (CAIE) le 25 juin 2025, marquant une innovation majeure dans le domaine des ETF. Le fonds vise à démocratiser l'accès au marché des notes autocallables à rendement supérieur à 100 milliards de dollars grâce à une structure ETF unique, avec J.P. Morgan en tant que contrepartie principale des swaps.
L'ETF comprendra plus de 52 autocallables échelonnés avec des paiements de coupons mensuels, offrant aux investisseurs une exposition à un portefeuille lié à la performance du marché actions. Les caractéristiques clés incluent une maturité de 5 ans, des barrières de coupon et de maturité à -40%, et un ratio de frais de 0,74%. Le fonds représente la transformation d'un produit institutionnel complexe en une solution ETF accessible, liquide et fiscalement efficace pour les investisseurs particuliers.
Calamos bringt am 25. Juni 2025 den Calamos Autocallable Income ETF (CAIE) auf den Markt und setzt damit eine bedeutende Innovation im ETF-Bereich. Der Fonds zielt darauf ab, den Zugang zum über 100 Milliarden Dollar schweren Markt für autocallable Yield Notes durch eine einzigartige ETF-Struktur zu demokratisieren, wobei J.P. Morgan als Haupt-Swap-Gegenpartei fungiert.
Der ETF wird über 52+ gestufte Autocallables mit monatlichen Kuponzahlungen verfügen und den Anlegern eine Beteiligung an einem Portfolio bieten, das an die Aktienmarktperformance gekoppelt ist. Zu den Hauptmerkmalen gehören eine Laufzeit von 5 Jahren, Kupon- und Fälligkeitsschwellen von -40% sowie eine Kostenquote von 0,74%. Der Fonds stellt die Umwandlung eines komplexen institutionellen Produkts in eine zugängliche, liquide und steuerlich effiziente ETF-Lösung für Privatanleger dar.
- Democratizes access to a $104 billion market previously limited to high-net-worth investors
- Offers efficient single-ticker access to a diversified portfolio of 52+ laddered autocallables
- Provides tax-advantaged distributions and daily liquidity with no minimum investment
- Partners with major institutions: J.P. Morgan as swap counterparty and MerQube as index provider
- Relatively high expense ratio of 0.74% compared to traditional ETFs
- Performance and income are contingent on equity market conditions
- Complex investment structure may be difficult for retail investors to understand
Insights
Calamos launches innovative ETF (CAIE) democratizing $100B+ autocallable market with J.P. Morgan as counterparty, potentially disrupting income investing landscape.
Calamos's new Autocallable Income ETF (CAIE) represents a significant market innovation by packaging complex structured products into an accessible ETF wrapper. This product effectively democratizes the $104 billion autocallable structured note market that has traditionally been available only to high-net-worth and institutional investors.
The structure merits attention: CAIE will utilize a portfolio of 52+ weekly-laddered autocallables with 5-year maturities, featuring a -40% coupon and maturity barrier. This laddering approach intelligently addresses the timing risk inherent in autocallables while potentially smoothing income distribution through monthly payments.
J.P. Morgan's involvement as the primary swap counterparty adds institutional credibility, though investors should understand this creates counterparty exposure. The product's 0.74% expense ratio positions it competitively within alternative income strategies, particularly considering the operational complexity behind the scenes.
What's particularly notable is how this product fits within the broader trend of derivative income funds, which saw $39 billion in net inflows in 2024, pushing total AUM to $114 billion. CAIE differentiates itself from popular covered-call ETFs by offering potentially more stable income that's less directly correlated with market volatility.
The ETF structure delivers critical advantages over traditional structured notes: daily liquidity, no investment minimums, and tax-advantaged distributions. For advisors and investors struggling with the operational burden of building laddered autocallable portfolios manually, CAIE effectively functions as an "easy button" solution with potential for significant adoption.
- 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
"Through our heritage of innovation, we're democratizing access to a premier income strategy that has historically been the exclusive domain of high-net-worth investors," said Koudounis. "I'm excited to unveil CAIE—a sophisticated autocallable strategy that seeks to deliver consistent, high monthly income to our investors through the efficiencies of an ETF."
Autocallables are market-linked investments that pay investors regular coupons and return principal at maturity, contingent on the performance of an underlying equity index. Over the past decade, autocallables have gained traction as a differentiated source of high income, with yields significantly above traditional fixed income1. In 2024, autocallable structured notes accounted for over
"For those new to autocallables, think of it like a bond whose income and par value depend on the stock market not falling below a protective barrier. For investment professionals already familiar with autocallables, CAIE is simply the 'easy button,'" said Matt Kaufman, Head of ETFs at Calamos. "Our laddered approach is designed to diversify exposure, reduce timing risk, and potentially smooth out income, while the ETF structure adds daily liquidity, tax-advantaged distributions, and no minimums."
Fund Details | |
Ticker | CAIE |
Strategy | 52+ laddered autocallables, staggered weekly |
Coupon Payments | Monthly |
Portfolio Management | Jordan Rosenfeld |
Swap Counterparty | J.P. Morgan |
Autocallable Index | MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL) |
Expense Ratio | 0.74 % |
Listing Exchange | NYSE Arca |
Underlying Autocallable Details | |
Maturity | 5 years |
Coupon Barrier | -40 % |
Maturity Barrier | -40 % |
Autocall Level | Called if reference index is positive after 1 year non-call period |
Reference Index | MerQube US Large Cap Vol Advantage Index |
To learn more, visit Calamos.com/autocall.
About Calamos
Calamos Investments is a diversified global investment firm offering innovative investment strategies, including alternatives, multi-asset, convertible, fixed income, private credit, equity, and sustainable equity. With more than
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.
Before investing, carefully consider the fund's investment objectives, risks, and 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.
Calamos Investments LLC, referred to herein Calamos is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Investments LLP, and Calamos Financial Services LLC.
The Fund enters into swap agreements with J.P. Morgan to obtain exposure to the MerQube US Large Cap Vol Advantage Autocallable Index. J.P. Morgan is not an advisor, promoter, in any way affiliated with the Fund and has no responsibility for the Fund's performance, marketing, or trading, or any responsibility regarding the suitability of the Fund as an investment.
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.
Investing involves risks. Loss of principal is possible. The Fund(s) face numerous market trading risks, including authorized participation concentration risk, cap change risk, capital protection risk, capped upside risk, cash holdings risk, clearing member default risk, correlation risk, derivatives risk, equity securities risk, investment timing risk, large-capitalization investing risk, liquidity risk, market maker risk, market risk, non-diversification risk, options risk, premium-discount risk, secondary market trading risk, sector risk, tax risk, trading issues risk, underlying ETF risk and valuation risk. For a detailed list of fund risks see the 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. 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
1As 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
2 Morningstar
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 Fund enters into swap agreements with J.P. Morgan to obtain exposure to the Autocallable Index. J.P. Morgan is not an advisor, promoter, in any way affiliated with the Fund and has no responsibility for the Fund's performance, marketing, or trading, or any responsibility regarding the suitability of the Fund as an investment.
Calamos Financial Services LLC, Distributor
© 2025 Calamos Investments LLC. All Rights Reserved. Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
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SOURCE Calamos Investments
FAQ
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