The fund seeks to replicate the boom of autocallables in the structured notes market via a volatility control index co-developed by MerQube and J.P. Morgan.
Going live on NYSE Arca today (25 June), the Calamos Autocallable Income ETF (CAIE) will track the MerQube US Large Cap Vol Advantage Autocallable Index through one or more total return swaps with J.P. Morgan acting as the counterparty. The index has been exclusively licensed to Calamos Investments and CAIE marks the first income-driven or swap-based exchange-traded fund (ETF) for the Naperville, Illinois-based fund provider, according to Matt Kaufman (pictured) , head of ETFs. Over the p