Autocallables Offer Risk-Aware Path to Equity Income

Is it time to go on offense, or tighten your defense? That’s the question many advisors and investors may be asking right now. Today’s market isn’t offering easy answers. We’re navigating a landscape full of contradictions, where opportunity and risk coexist in equal measure. To say the U.S. economy has faced economic stressors lately would likely be an understatement. Concerns over government shutdowns, new tariff threats, persistent inflation, and more continue to rattle the country’s long-term outlook.

However, there’s still plenty to be bullish about. Many of the large-caps within the S&P 500 are continuing to post strong quarterly results. This is especially true for the tech sector, but these positive earnings are broadening out as more businesses embrace AI.

Furthermore, the Federal Reserve did recently trim interest rates, and still plans on cutting rates a few more times down the line. Lower rates may create more favorable conditions for businesses, thus giving folks more reasons to stick in the market.

This can make portfolio construction rather tricky for advisors and investors. Sure, there’s plenty of reasons to stay engaged with the large-cap market right now, but it’s equally as important to be mindful of the risks as well.

CAIE Seeks Stable Income Through Autocallables

Balancing opportunity and risk are possible with the right tools. The Calamos Autocallable Income ETF (CAIE) is designed for this challenge. This fund aims for both high income and long-term principal by investing in a laddered portfolio of autocallable yield notes.

Autocallables are market-linked notes that generate income based upon their underlying equity index. As long as their index does not drop below a predetermined barrier level, investors get to enjoy continuous monthly income.

In CAIE’s case, all of its 52+ laddered autocallables use the MerQube US Large-Cap Vol Advantage Index as their reference index. This lets CAIE tap into income and returns from U.S. large-cap market performance, while having a protective barrier level of -40%.

Thus far, CAIE has already generated compelling monthly yield through the flexibility of the laddered autocallable structure. As of September 30, 2025, the fund has a distribution rate of 14.36%.

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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.  

CAIE 19(A) Notice

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 to 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 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 to those of CAIE. 

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