Key facts
- The ETF references a laddered index of autocallables.
- Payouts are driven by the worst performer of the S&P 500, Nasdaq and other indices.
Calamos has launched a new exchange-traded fund, the 'Least-of Autocallable Income ETF' (CAYN), which packages an exotic 'worst-of' autocallable payoff into a systematic rules-based index. The ETF was built in conjunction with Citi and index provider MerQube. It references a laddered index of autocallables, with payouts determined by the worst-performing or most volatile of the S&P 500, Nasdaq, and other indices.
