The autocall ETF specialist is expanding its structured ETF range with a weekly ladder of synthetic worst-of autocallable notes linked to three major US equity ETFs.

Calamos Investments plans to launch an exchange-traded fund (ETF) providing exposure to an indexed least-of autocallable strategy, extending its range of products based on structured note payoffs.

The Calamos Least-Of Autocallable Income ETF (CAYN) is scheduled to launch on 26 October, according to firm’s filing on SEC EDGAR. Developed with index provider MerQube and Citibank, the fund will track the MerQube US Equity Least-Of Autocallable Index (MQAUTOWL) through swaps.

The index links income payments and principal repayment to the weakest performer among three exchange-traded funds: the SPDR S&P 500 ETF Trust (SPY), Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM).

CAYN will provide exposure to at least 52 synthetic worst-of autocallable notes, each with a three-year maturity and coupon and principal barriers set 30% below the reference assets’ initial levels. The notes will be added on a weekly ladder. When a note is called, its principal is returned to the fund and reinvested in a new note with the same terms.

The notes have a one-year non-call period and are called if the worst-performing reference asset is above its initial level after that period, according to the fund details.

The index also includes a coupon-memory mechanism. Missed coupons are accumulated and paid if the worst-performing reference asset subsequently rises above the coupon barrier. The fund intends to make monthly distributions and has an expense ratio of 0.74%.

Calamos said the three-year maturity is intended to give the reference assets more time to recover from market declines, although principal impairment remains possible if the relevant barriers are breached.

‘For investors looking for a worst-of autocallable solution, we’ve built the first indexed least-of autocallable strategy,’ said Matt Kaufman (pictured), global head of ETFs at Calamos. He said the structure was designed to bring tax efficiency, liquidity, principal preservation and coupon reliability to the ETF wrapper.

The fund will use a multi-counterparty approach, with Citibank as the primary swap counterparty.

CAYN extends Calamos’ existing autocallable ETF range, which includes the Calamos Autocallable Income ETF (CAIE), Calamos Nasdaq Autocallable Income ETF (CAIQ) and Calamos Autocallable Growth ETF (CAGE).

Calamos launched CAIE in 2025. The firm said CAYN applies an indexed approach to the least-of strategy, which it described as a first for the ETF market.

The new fund adds a worst-of structure linked to three broad equity-market segments, spanning US large-cap, growth and small-cap stocks. Its performance will depend on the weakest of the three reference ETFs rather than their average performance.

As with other worst-of autocallables, the structure exposes investors to the risk that one reference asset underperforms the others. The coupon and principal barriers do not eliminate the possibility of losses.

CAYN will be managed by Calamos’ portfolio managers Jordan Rosenfeld and Shaheen Iqubal.

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