Calamos has introduced the Calamos Autocallable Income ETF, ticker CAIE, which aims to pay investors regular coupons that can exceed other popular high income strategies through exposure to an index of laddered autocallable notes on large-cap equities.
CAIE is built on a basket of over 52 autocallable notes laddered weekly and traded via a swap with JPMorgan. The terms of the autocallables notes, the asset manager says, may appeal to some investors as a source of tax-efficient stable income with yields that can top those of high-yield bonds without taking on their credit and duration risk.
The ETF's yield is based on the coupon of each underlying autocallable — with the income and par value at maturity dependent upon the stock market not falling below a protective barrier. This makes the ETF function more like a bond than some covered-call strategies, according to the firm.
"Through our heritage of innovation, we're democratizing access to a premier income strategy that has historically been the exclusive domain of high-net-worth investors," said John Koudounis, Calamos' president and CEO. "I'm excited to unveil CAIE ... [which] seeks to deliver consistent, high monthly income to our investors through the efficiencies of an ETF."
Each autocallable note will pay a monthly coupon when the index stays above a decline, or barrier, of -40%. After a year, a note will be called, and investors will then receive the principal and the coupon — if the index is positive above its starting point.
Also, each of the laddered notes in CAIE's portfolio will remain active until the reference index is positive after their one-year noncallable period or until maturity at about five years. If the index were to be at -50% of its initial level, for instance, shareholders wishing to sell their holdings in CAIE would get half their initial investment in that particular note.
The Calamos ETF charges a yearly fee of 0.74%, and its coupons are now about 14.7%. The asset manager says the laddered nature of the portfolio decreases timing risk and the impacts of large drawdowns on the fund.
In 2024, autocallable structured notes represented more than $104 billion in issuance — or over two-thirds of the structured products market, according to data from Structured Retail Products.
"For those new to autocallables, think of it like a bond whose income and par value depend on the stock market not falling below a protective barrier. For investment professionals already familiar with autocallables, CAIE is simply the 'easy button,'" according to Matt Kaufman, head of ETFs at Calamos. Its ETF structure “adds daily liquidity, tax-advantaged distributions and no minimums,” he adds.
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