Calamos Launches First Indexed Worst-Of Autocallable ETF (CAYN)

Calamos Investments has launched the Calamos Least-Of Autocallable Income ETF (CAYN) on the NYSE, introducing what it describes as the world's first indexed approach to worst-of autocallable income. Developed with MerQube and Citibank, the ETF links income and principal repayment to the weakest performer among SPY, QQQ and IWM. CAYN tracks the MerQube US Equity Least-Of Autocallable Index through swaps, providing exposure to at least 52 synthetic notes laddered weekly, each with a three-year maturity and 30% downside barriers for coupons and principal. A coupon-memory feature allows missed payments to accumulate and be paid if the weakest reference asset recovers above the coupon barrier. The fund seeks monthly distributions, improved tax efficiency and reduced principal impairment risk, although losses remain possible. Citibank serves as primary swap counterparty, and the expense ratio is 0.74%.