Calamos Unveils Callable-Note ETF For Predictable Payouts

Calamos Investments is refreshing the income ETF turf with the launch of Calamos Autocallable Income ETF CAIE on Wednesday.

This fund aims to make one of Wall Street’s more esoteric structured products a liquid, accessible solution for investors.

In its essence, CAIE invests in a ladder portfolio of autocallable notes, which are structured securities that offer frequent coupons and can return principal, provided the underlying equity index does not drop below a specified barrier.

The ETF aims for high, predictable monthly income and thus serve as a substitute for individuals wanting yields greater than those of regular fixed-income vehicles.

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The underlying index is the MerQube US Large-Cap Vol Advantage Index, and the auto callables will be designed to mature in five years, with a -40% coupon and maturity barrier. If the reference index experiences a gain, the notes will be automatically callable after a one-year non-call period. The fund will ladder more than 52 such notes, weekly staggered, to assist in mitigating timing risk and smoothing income.

Backing the fund is a heavy-hitting roster: J.P. Morgan is the lead swap counterparty, MerQube supplies the index, and Calamos oversees the portfolio. The ETF will have a 0.74% expense ratio and feature daily liquidity and tax-favored distributions, an unusual combination for such a strategy.

This action connects to a surging demand for defined income.

Autocallable structured notes alone were issued for more than $104 billion in 2024, comprising over two-thirds of the structured products market.

Derivative income funds, such as trendy covered-call ETFs, have seen net inflows totaling $39 billion, bringing the total assets under management to $114 billion.

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