In September, the Calamos Autocallable Income ETF (CAIE) achieved a significant milestone by winning the “Most Innovative Product” award at the 2025 SRP Americas Awards. This recognition is particularly noteworthy as it marks the first time an ETF and asset manager have received this award, which has historically been dominated by structured products and banks.
Investors who have been monitoring CAIE closely may not find this victory surprising. The ETF has garnered over $250 million in assets under management (AUM) in less than three months since its launch. This rapid growth underscores the strong demand for innovative investment solutions.
CAIE aims to provide monthly income through a diversified portfolio of autocallable yield notes. These autocallables are unique financial instruments whose coupon payments and principal returns are linked to the performance of equity markets. Essentially, they can generate income and return principal even during market downturns, offering a layer of protection for investors.
The autocallables in CAIE’s portfolio are linked to the MerQube US Large-Cap Vol. Advantage Index. As long as this index remains above a barrier level of -40%, each of CAIE’s 52+ autocallables will strive to deliver monthly coupon payments, making it an attractive option for income-seeking investors.
Advantages of Laddered Coverage
The laddered structure of CAIE provides several distinct advantages. By accessing various time horizons, this format can potentially offer a smoother income stream compared to investing in individual autocallables. Additionally, the principal in CAIE is automatically reinvested, simplifying the investment process and reducing the risks associated with manually reinvesting individual notes.
So far, CAIE’s strategy has yielded impressive results, further solidifying its role as both an equity alternative and a reliable income source. As of September 18, 2025, the fund boasts a weighted average coupon of 14.5%, showcasing its potential for high returns.
“Our collaboration with MerQube on the Autocallable Income ETF (CAIE) brings together state-of-the-art indexing fintech and cutting-edge ETF product innovation. We believe that CAIE will be the model for the efficient delivery of autocallables to the marketplace going forward,” noted Matt Kaufman, head of ETFs at Calamos. “Investor demand out of the gate for the high, stable yield sought by the Autocallable Income ETF has impressed us and shown the value of what we’ve built with CAIE. It’s an honor to be the first asset manager and first ETF to be recognized for the ‘Most Innovative Product’ award by the independent judging panel at the SRP Americas Awards.”
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Disclosure Information
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 from 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 the 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 from those of CAIE.
SRP Americas Awards Methodology: SRP typically conducts a comprehensive market survey involving institutions active in the structured products space. Industry professionals—including issuers, distributors, and service providers—are invited to vote on various award categories. For the “Most Innovative Product” award, the evaluation likely focuses on product design originality, client-centric innovation, market impact and adoption, risk-return profile enhancements, and integration of new technologies or strategies. Finalists are often reviewed by a panel of SRP editors and industry experts who assess the submissions based on qualitative and quantitative factors.
