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 I ...

Core Viewpoint - The Calamos Autocallable Income ETF (CAIE), launched on June 25, 2025, has achieved significant milestones in its early trading period, particularly in asset management and income generation [1][2]. Group 1: Fund Performance and Strategy - As of December 29, 2025, CAIE has approximately $511.5 million in assets under management, indicating strong market demand and appeal for the fund within just over six months of its launch [2]. - CAIE aims to provide robust monthly income and potential long-term capital appreciation through a laddered portfolio of autocallable yield notes [3]. - The fund's investment strategy utilizes autocallable yield notes linked to the MerQube US Large-Cap Vol. Advantage Index, which offers exposure to the S&P 500 with a volatility target of 35% [4]. Group 2: Autocallable Notes Features - Autocallables provide income based on the performance of a chosen index, with CAIE's notes featuring a barrier level of -40%. If the index does not fall below this threshold, monthly income is generated [5]. - The structure of autocallables allows for regular income even during periods of underperformance in the S&P 500, making CAIE attractive to certain investors [6]. - As of November 30, 2025, CAIE has achieved a distribution rate of 14.32%, showcasing compelling income results for investors [6].