Calamos Investments is refreshing the income ETF turf with the launch of Calamos Autocallable Income ETF (NYSE: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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