Calamos Autocallable Income UCITS ETF USD ACC

Calamos Autocallable Income UCITS ETF seeks to generate high monthly income while providing a level of reduced downside risk through exposure to a portfolio of autocallables.¹ This strategy is both index-tracking and passively managed.

How the exposure is obtained: Under normal market conditions, the Fund invests at least 80% of total assets in US Treasuries, cash/cash equivalents, and unfunded total return swaps that provide exposure to the Autocallable Index; the fund is passively managed.

Underlying Index: MerQube US Large Cap Vol Advantage Index—a diversified, laddered portfolio of synthetic autocallable notes designed to deliver coupon income contingent on equity market behavior.

Risk management mechanics: Laddered exposure (50+ live autocallables) seeks to reduce timing risk versus a single note; the strategy focuses on coupon generation with defined risk features embedded in the autocallable structure.

Derivatives & counterparty exposure: Portfolio uses total return swaps (e.g., with J.P. Morgan as listed counterparty in holdings) and T Bills to collateralize/express exposure.

¹The reduced downside risk that the Fund seeks to deliver is relative to owning a single underlying autocallable note (and not relative to risk associated with investing in the S&P 500), because exposure to the Autocallable Index is expected to provide benefits such as reduced timing risk, diversification across multiple notes (i.e., not subject to a single maturity barrier), and contingent maturity barriers that may help preserve capital over time.

Market Risk: Equity linked and volatility targeted index risk may lead to NAV and price declines.

Derivatives & Counterparty Risk: Use of total return swaps introduces counterparty exposure (e.g., to the swap dealer) and collateral management risk.

Strategy/Model Risk: The Autocallable Index and laddering methodology may underperform broad equities or fixed income; coupons are contingent, not guaranteed.

Liquidity Risk: Stress periods can widen the ETF's spreads and reduce secondary liquidity. (See fund page's premium/discount history and 30 day spread.)

Currency/FX Risk for non USD investors: Investors outside the US face USD exposure and conversion costs.

Regulatory/Structural Risk: US '40 Act ETF is not UCITS; differs in governance/eligible assets vs. EU funds.

For full risk language, see the Summary/Statutory Prospectus. Please refer to the Prospectus, the related supplement, and the PRIIP/KIID before making any final investment decisions.