CAIE

About CAIE

The Calamos Autocallable Income ETF is an actively managed exchange-traded fund designed to provide high, stable monthly income with reduced downside risk through a portfolio of autocallable notes. Autocallables are structured market-linked instruments that pay regular coupons and can return principal at maturity or earlier if specific equity index conditions are met. The fund accesses a diversified, laddered collection of these instruments, referencing the MerQube US Large Cap Vol Advantage Index—a benchmark engineered to deliver steady income and transparency, with performance tied to large-cap US equities and volatility targeting. This structure delivers potential yield enhancement and diversification, as returns depend on equity market performance rather than traditional fixed income risks like duration or credit. By partnering with J.P. Morgan as a swap counterparty, the ETF transforms a previously complex, institutional market into a single-ticker, tax-efficient solution, eliminating the operational hurdles and inaccessibility of traditional autocallable yield notes. The Calamos Autocallable Income ETF is positioned as an income-generating equity alternative, suitable for investors seeking differentiated cash flows and portfolio diversification.