Calamos Launches CAYN: World's First Indexed Least-Of Autocallable Income ETF
Calamos is set to launch the Calamos Least-Of Autocallable Income ETF (CAYN) on October 26, 2026. This product represents a new innovation in autocallable ETFs by using an indexed approach tied to the worst-performing of three major equity indices: SPY, QQQ, and IWM. CAYN is designed with synthetic notes that offer income payments and principal repayment based on these benchmarks. CAYN aims for enhanced tax efficiency, improved coupon reliability, and greater principal preservation compared to traditional single or non-indexed worst-of autocallable ETFs. The fund will use a weekly laddered index of at least 52 synthetic notes with three-year maturities, each featuring a 30% downside coupon and principal barriers. The launch is part of Calamos' broader strategy to expand its leadership in the autocallable ETF space following previous successful launches like CAIE. The company has received multiple awards for innovation in this area.