ISIN: IE000ZDPZL69

Calamos Autocallable Income UCITS ETF USD DIST

NAV

$10.06

$0.05 (0.49%)

As of 8/9/26
Total Net Assets

$7.7 Million

As of 8/9/26
Inception Date

23/4/26

Important Disclosure

Investment Objective & Strategy

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 autocallablenote (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.

Key Risks

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.
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.

Key Information

Asset Class	Equity
Total Expense Ratio	0.74%
Base Currency	USD
Income Distribution	Monthly
Use of Income	Distributing
Domicile	Ireland
ETF Structure	Passive
Investment Advisor	Calamos Advisors LLC
Management Company	Waystone Management (IE) Limited
SFDR Classification	Article 6
Benchmark	MerQube US Large Cap Vol Advantage Autocallable TR Index (ticker: MQAUTOCL) S&P 500 Price Index (SPX)

Registered Countries

Denmark
Finland
France
Germany
Ireland
Italy
Norway
Spain
Sweden
Switzerland
United Kingdom

Autocallable Dashboard

This chart reflects current data from the MerQube US Vol Advantage Autocall Index, which is comprised of at least 52 autocallable notes. Each data point represents an individual note's current market price relative to its original value (y-axis) and remaining time to maturity (x-axis). The MerQube US Vol Advantage Autocallable Index is not the Calamos Autocallable Income Fund. The Calamos Autocallable Fund actively manages its portfolio in pursuit of its investment objective and the index is shown for informational and analytical purposes only.

Current Analysis of MerQube US Vol Advantage Autocall Index

Data as of 9/9/26

14.07%

Weighted Average Coupon

100%

Autocallables Paying Coupons

Live Autocallables

97.87%

Weighted Avg. Mark-to-Market

Autocallables Near Maturity with Principal at Risk

4.5 years

Weighted Avg. Time to Maturity

Data is sourced directly from MerQube and is updated daily.

Portfolio

A list of all fund holdings is made available daily through the link below.

View All Holdings

Holdings

As of 8/9/26

Company	%
TRS RECEIVE MQAUTOCL: MerQube US Large-Cap Vol Adv Autocallable PAY US SOFR Rate +10bps - JP Morgan	100.0%
United States Treasury Bill	16.6%
United States Treasury Bill	16.6%
United States Treasury Bill	16.6%
United States Treasury Bill	16.6%
United States Treasury Bill	16.5%
United States Treasury Bill	16.5%
TRS RECEIVE MQAUTOCL: MerQube US Large-Cap Vol Adv Autocallable PAY US SOFR Rate +10bps - JP Morgan	-99.1%

Holdings and weightings are subject to change daily. Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.

Distributions

Schedule

Name	Frequency
Distributions	MONTHLY

Distribution Detail

As of 25/8/26

Declaration Date	Ex Date	Record Date	Payable Date	Distribution
26/5/26	1/6/26	2/6/26	8/6/26	0.12089 USD
25/6/26	1/7/26	2/7/26	9/7/26	0.12106 USD
27/7/26	3/8/26	4/8/26	10/8/26	0.12134 USD
25/8/26	1/9/26	2/9/26	9/9/26	0.11312 USD
25/9/26	1/10/26	2/10/26	8/10/26	—
26/10/26	2/11/26	3/11/26	9/11/26	—
25/11/26	1/12/26	2/12/26	8/12/26	—
29/12/26	6/1/27	7/1/27	13/1/27	—

Fund Information

Listings

Exchange	Trading Currency	Listing Date	Ticker	SEDOL	Bloomberg	ISIN
Xetra Germany	EUR	27/4/26	CAKD	BTHYY16	CAKD GY	IE000ZDPZL69
LSE London	USD	28/4/26	CAKD	BV6PWD2	CAKD LN	IE000ZDPZL69
LSE London	GBP	28/4/26	CAKG	BTHZ099	CAKG LN	IE000ZDPZL69
SIX Swiss	CHF	20/5/26	CAKD	BVWP3F5	CAKD SW	IE000ZDPZL69

Name	USD DIST
Share Class Inception Date	23/4/26
Fund Inception Date	23/4/26
Share Class Currency	USD
Base Currency	USD
Total Expense Ratio	0.74%
Asset Class	Equity
Benchmark	MerQube US Large Cap Vol Advantage Autocallable TR Index (ticker: MQAUTOCL) S&P 500 Price Index (SPX)
SFDR Classification	Article 6

Name	USD DIST
Domicile	Ireland
Product Structure	Synthetic
Methodology	Passive
Fund Manager	Calamos Advisors LLC
Administrator/Custodian	Northern Trust
Fiscal Year End	31-Mar
ISIN number	IE000ZDPZL69

Literature

Fact Sheet

The fact sheet provides a snapshot of the investment team, the fund strategy, performance, composition, ratings and returns.

Prospectus Supplement

KIID

The Key Investor Information Document (KIID) aims to provide investors with a transparent and concise overview of funds in a standard format.

PRIIP - English

Translations:

( DE )
( EN-CH )
( FR )
( IT )

Important Fund Information

The fund's expense ratio as of the prospectus dated 7/4/2026 is 0.74%.

Important Information. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s).

The Fund is offered solely to non-US investors under the terms and conditions of the fund's current prospectus.This webpage is issued by Calamos Financial Services LLC ("CFS") and does not constitute or form part of any offer or invitation to buy or sell shares. It should be read in conjunction with the Fund's Prospectus, the related supplement, and the PRIIP/KIID before making any final investment decisions. CFS is authorised and regulated by the United States Securities and Exchange Commission. The Company's registered office is 2020 Calamos Court, Naperville, IL 60563. The price of shares and income from them can go down as well as up and past performance is not a guide to future performance. Investors may not get back the full amount originally invested. A comprehensive list of risk factors is detailed in the Prospectus and PRIIP/KIID and an investment should not be contemplated until the risks are fully considered. The contents of this document are based upon sources of information believed to be reliable. CFS has taken reasonable care to ensure the information stated is accurate. However, CFS makes no representation, guarantee or warranty that it is wholly accurate and complete.

A copy of the English version of the Prospectus, Supplement, and any other offering document and the PRIIP/KIID is available at www.calamos.com/resources/#ucitsfunds. As required under national rules, the PRIIP/KIID and any other applicable documents are also available in the official language of the relevant jurisdiction where the Fund is marketed, or in another language accepted by the national competent authorities of that jurisdiction. A summary of investor rights associated with an investment in the Fund is available in English at www.calamos.com/resources/#ucitsfunds. A decision may be taken at any time to terminate the arrangements for the marketing of the Fund in any jurisdiction in which it is currently being marketed. In such circumstances, Shareholders in affected EEA Member State will be notified of any decision to terminate marketing arrangements in advance and will be provided the opportunity to redeem their shareholding in the Company free of any charges or deductions for at least 30 working days from the date of such notification.

The principal risks of investing in the Calamos Autocallable Income UCITS ETF include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk. The tax treatment depends on the individual circumstances of each client and may be subject to change in the future. Use of derivatives and other techniques may create leverage, magnifying both potential gains and potential losses in line with market movements.Autocallable Structure Risk: The Fund's returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index. Autocallable notes have specific structural features that may be unfamiliar to many investors.Contingent Income Risk: Coupon payments from the Autocalls are not guaranteed and will not be made if the Underlying Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns.Early Redemption Risk: Autocalls in the Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocall Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the portfolio at lower rates if market yields have declined.Barrier Risk: If the Underlying Reference Index falls below the Protection Level Barrier at the maturity of an Autocall in the Portfolio, that portion of the Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.

The MerQube US Large-Cap Vol Advantage Index is designed to provide volatility adjusted exposure to E-Mini S&P 500 futures contracts by targeting an implied volatility of 35%, subject to a 6% decrement per annum. Unlike traditional equity indices that maintain fixed allocations, this index dynamically adjusts exposure based on market volatility conditions. During calm or typical market environments, the Index increases exposure to equity futures while during volatile market periods, the Index reduces exposure to equity futures. Unlike other volatility target indices that rebalance daily based on realized volatility, this Index rebalances weekly (at the end of each week) based on one-week implied volatility derived from SPY weekly options prices. This approach seeks to maintain a more consistent risk profile across varying market conditions while potentially reducing drawdowns during market stress and improving risk-adjusted returns over time. The Index is a rules-based, systematic index designed to provide dynamic exposure to US large-capitalization equities while employing a volatility management methodology that seeks to maintain a target volatility level. The Index dynamically adjusts exposure between the Equity Component and a cash position based on prevailing market volatility conditions.

The S&P 500 Price Index (SPX) tracks the price return of the S&P 500 Index, which is generally considered representative of the US stock market.