Calamos Autocallable ETF Wins Award for Innovation

In September, the Calamos Autocallable Income ETF (CAIE) won the “Most Innovative Product” award at the 2025 SRP Americas Awards.

CAIE’s victory marks a unique moment for the Most Innovative Product award. This is the first time that an ETF and asset manager has won the Most Innovative Product award from the SRP Americas Awards. Traditionally, this award has previously gone to structured products and banks.

Those who have kept a close eye on this Calamos ETF are likely not surprised that CAIE won. After all, CAIE has accrued over $250 million in AUM within less than three months of being on the market.

For its investors, CAIE looks to generate monthly income through its laddered portfolio of autocallable yield notes. Autocallables are investments whose coupon payments and principal payouts are linked to equity market performance. In layman’s terms, these notes can generate income and principal even if the equity market is down.

The autocallables within CAIE’s laddered portfolio all use the MerQube US Large-Cap Vol. Advantage Index as their reference index. As long as the index doesn’t drop below the barrier level of -40%, each of CAIE’s 52+ autocallables will seek to offer monthly coupon payments.

Advantages of Laddered Coverage

This laddered coverage offers a number of distinct benefits. CAIE’s laddered format gives the fund access to a variety of different time horizons. This format can potentially provide a smoother income path than one would likewise get from investing in individual autocallables.

Furthermore, the principal in CAIE is automatically reinvested. This removes some of the complexity and risk associated with manually reinvesting singular autocallables.

Thus far, CAIE’s strategy has offered stand-out yield. This furthers the fund’s use case as both an equity alternative and an income component. As of September 18, 2025, the fund has a weighted average coupon of 14.5%.

“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 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.

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.

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