Calamos brings the first-ever autocallable UCITS ETF to Europe: listed on the London Stock Exchange on 28 April 2026

An unprecedented product in the UCITS landscape, it is built on a portfolio comprising over 52 autocallable notes with a current average coupon of 14% per annum.

28 April 2026 marks a significant date for the European ETF market: the Calamos Autocallable Income UCITS ETF made its debut on the London Stock Exchange, following its listing on Deutsche Börse Xetra on 27 April. Listing on the Swiss SIX exchange is scheduled for May 2026. With this launch, Calamos Investments is introducing a completely new product category to Europe in the UCITS format: the autocallable ETF.

The fund is structured into two share classes — accumulation and distribution — denominated in USD, EUR and GBP. It is domiciled in Ireland and distributed via Waystone ETFs’ white-label platform.

Calamos Investments: who is the manager

Calamos is an alternative asset management firm based in the Chicago metropolitan area with over $47 billion in assets under management, of which more than $22 billion was in liquid alternatives as at 31 March 2026. The firm offers strategies via ETFs, mutual funds, closed-end funds, interval funds, UCITS and separate portfolios. The launch was announced by John Koudounis, President and CEO of Calamos.

The US precedent: CAIE exceeds $850 million in less than a year

The Calamos Autocallable Income UCITS ETF did not come out of nowhere. The UCITS strategy is based on the Calamos Autocallable Income ETF (CAIE), listed in the US in June 2025, which has reached $850 million in AUM. The US products in the autocallable income family — CAIE and CAIQ — have collectively raised over $1 billion in assets in the first ten months since launch.

In the US, Calamos has recently further expanded the range with the launch of the Calamos Autocallable Growth ETF (CAGE) on 16 April 2026: CAGE is the first capital-growth-oriented autocallable ETF, based on an index that automatically reinvests coupons in a tax-efficient manner, with a historical annualised return of the underlying index of 23.75%. However, CAGE is exclusively a US product; it is not currently listed in Europe.

Structure of the Calamos Autocallable Income UCITS ETF

The fund is built around a weekly-scaling strategy using synthetic autocallable notes. Below are the key technical parameters, as reported by Calamos and Waystone:

Parameter Details

Weekly-scaling 52+ autocallable strategy

Objective High monthly income with reduced downside risk

Coupons Monthly

Portfolio Managers Jordan Rosenfeld, Shaheen Iqubal

Swap Counterparty J.P. Morgan

Autocallable Index MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL)

TER 0.74%

Listing exchanges Xetra, LSE (SIX expected May 2026)

Available currencies EUR, GBP, USD

Maturity 5 years

Coupon barrier -40%

Maturity barrier -40%

Autocall level Early redemption if the benchmark index is positive after a 1-year non-call period

Benchmark MerQube US Large-Cap Vol Advantage Index

% of notes that have paid a coupon 96%

Correlation with S&P 500 88%

% of notes that have breached the barrier 2.8%

Current average coupon (weighted) 14.0%

Historical average coupon 12.6%

The fund is domiciled in Ireland and available in two share classes: accumulation and distribution. Waystone also plans to offer UCITS mutual fund share classes of the Calamos Autocallable Income strategy in the near future.

What are autocallables and how does the strategy work

Autocallables are structured notes issued by banks that pay periodic coupons and repay the principal at maturity, provided that a benchmark index does not fall below a predefined threshold (barrier). If the index rises above a certain level after the initial non-call period, the note is automatically called early.

The Calamos strategy translates this mechanism into an ETF format via swaps with J.P. Morgan as the primary counterparty. The portfolio of synthetic notes is traded via swaps with J.P. Morgan; the notes have standardised parameters: a 5-year maturity, a coupon barrier and a maturity barrier of -40%, with a 1-year non-callable period, and are called if the MerQube US Large-Cap Vol Advantage index is positive.

The weekly ladder structure — with over 52 notes staggered over time — reduces so-called ‘pin risk’, i.e. the risk of concentration on maturity dates typical of individual notes. When a note is called, the principal is automatically reinvested in a new note, eliminating the need to source new instruments on the OTC secondary market.

The underlying benchmark — the MerQube US Large-Cap Vol Advantage Index — is constructed from US large-cap equities with a volatility control mechanism, designed to avoid the typical negative effect of autocallable strategies that use the ‘worst performer’ across multiple indices as a benchmark.

Waystone’s role and the white-label platform

The fund is hosted on Waystone’s white-label ETF platform, domiciled in Ireland. Paul Heffernan, CEO of Waystone ETFs, commented: “Partnering with Calamos on the first UCITS autocallable fund is a strong example of how managers are approaching growth today. Through our white label ETF platform, we enable firms to bring innovative strategies to market efficiently while expanding into new regions with the right governance, ETF capital markets, operating model and distribution in place. The ability to list widely across Europe and Latin America from launch highlights how important it is to have the right infrastructure behind you. As demand for more sophisticated, globally distributed products continues to grow, this is exactly where we support our clients.”

Legal advice on the structuring and approval of the fund was provided by the international law firm K&L Gates. The firm’s partner, Doyle, highlighted how the product demonstrates the growing sophistication of the ETF market and the ever-increasing demand for innovative, results-oriented investment solutions.

The global autocallable market: record levels in 2025

The European launch of Calamos comes at a time of structurally high demand for autocallable products. According to SPi (Structured Products Intelligence) data, in 2025 global issuance of autocallable and callable notes outside the US reached $422 billion, bringing the global total including the US to $538 billion. Tiago Fernandes, head of SPi, noted that the global market for structured products is now approaching $1 trillion in annual issuance, with autocallables accounting for the lion’s share — around 57% of the non-US market and over 50% in the United States.

Europe, in particular, has a long-standing tradition of using structured products issued by banks. Matt Kaufman, SVP and Global Head of ETFs at Calamos, noted “Europe is known for dominance in structured products, and autocallables have long held a central place in their mature bank-issued market. Savvy investors on the continent, in the UK and increasingly in Latin America, have utilized structured income strategies to derive high yields tied to the equity market rather than credit or duration. The evolution of autocallable strategies, such as our laddered target volatility approach, and the booming demand stemming from investors’ rising income needs globally, coupled with modest interest rates, has been remarkable. With the help of Waystone, we are very excited to not only share this award-winning strategy that we’ve developed alongside MerQube – with J.P. Morgan as swap counterparty – via the new Calamos Autocallable Income UCITS ETF, but to establish a whole new category in the common market”.

The ETF format removes the operational friction typically associated with OTC access to these instruments: intraday liquidity, transparency, and automatic reinvestment of notes.

Transparency and portfolio monitoring

Calamos has made an “Autocallable Dashboard” available to investors on its corporate website, where each note in the portfolio can be viewed with an indication of its mark-to-market value (discount or premium relative to par) and its relative value. This represents an unusual level of transparency for instruments of this type, which in their traditional OTC form offer no real-time visibility.