On Wednesday, June 25, Calamos Investments expanded its selection of alternative funds with the release of the Calamos Autocallable Income ETF (CAIE).
This new fund looks to provide disciplined and competitive monthly income through exposure to autocallables. CAIE has a net expense ratio of 74 basis points.
“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,” noted John Koudounis, Calamos President and CEO. “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.”
CAIE comes online through collaboration with both J.P. Morgan and MerQube. MerQube operates as the index provider, while J.P. Morgan works as the swap counterparty for the autocallables.
CAIE Taps Into the Advantages of Autocallables
Autocallables are a type of bank-issued note that can offer income if its underlying index surpasses a predetermined barrier. These products are frequently utilized by experienced traders in the U.S. structured product market. Through the flexibility of the ETF wrapper, CAIE can offer this traditionally complex strategy to a broader investment community.
To execute its investment strategy, CAIE invests in a laddered selection of 52 or more autocallables from J.P. Morgan. By laddering different autocallables, CAIE can curate diversified avenues for regular income. Additionally, employing a laddered strategy could help mitigate some of the timing risks present with investing in individual autocallables.
Now listed on the New York Stock Exchange, CAIE comes at an opportune moment for alternative income investments. With macro conditions and the Fed’s rate regimen still uncertain, many advisors and investors are looking for new means to both diversify and fortify income.
CAIE is piloted by the Calamos Investments portfolio team, which possesses extensive experience in navigating the alternatives market. Calamos currently has more than 30 ETFs listed in the United States. As of June 24th, 2025, these funds account for over $850 million in assets under management, according to FactSet data.
For more news, information, and strategy, visit the Alternatives Content Hub.
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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.
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.
