● LAUNCHED Began trading Oct 26, 2026. Payment history will be charted here from the first distribution.
This fund is already trading; the payment watch is now waiting on its first distribution. A green LAUNCHED badge here means it's live and our launch tracker has logged it.
Want CAYN's first distribution the day it is declared?
It is trading but has not paid yet. We check every fund we track daily, so you get the amount the day it lands. One email, nothing else, unsubscribe in one click.
What CAYN Does, Per the Filing
CAYN is the fourth fund in Calamos’ autocallable suite, alongside CAIE and CAIQ, and the one with the structure most likely to be misread. Its benchmark is the MerQube Laddered Worst-of SPY/QQQ/IWM Autocallable Index, and the issuer’s own flyer puts the mechanism in one line: income is “linked to the least-performing of SPY, QQQ, and IWM”.
That is the opposite of diversification, and it is the whole point. Holding three index ETFs would spread your risk across the S&P 500, the Nasdaq-100 and the Russell 2000. Being paid on the worst of the three concentrates it: the coupon depends on whichever one is having the hardest time, so all three have to behave for the income to behave. The reward for accepting that is a higher stated coupon than any one of them alone would price.
The machinery, from Calamos’ fund page and flyer: 52+ autocallable notes laddered weekly, each with a three-year maturity and a one-year non-call period, observed monthly. The coupon barrier and the principal maturity barrier both sit at −30% from each note’s initial level. Coupon memory is on, so a coupon missed in a down month accumulates and can be caught up later rather than being lost. Citibank is the swap counterparty; the fund itself holds 86.8% Calamos Tax-Aware Collateral ETF and 11.9% Treasury bills, with the index exposure taken through two total return swap legs. Calamos’ own risk language is worth reading twice: if the least-performing constituent is below the barrier at maturity, the conditional protection “creates a binary outcome that can result in sudden, significant losses”. The plain-English version of the whole category is in our autocallable ETF explainer.
What the distribution is made of, before the first one arrives. Calamos’ flyer estimates the character of CAYN’s payout at 90% return of capital and 10% ordinary income, marked “estimated” with no guarantee. Return of capital is money handed back rather than earned, and it lowers your cost basis instead of being taxed as income — the tax-efficiency the fund is sold on, and the reason a headline rate here is not a yield. As of October 28, 2026 the index behind CAYN carried a weighted average coupon of 8.57% across 52 live autocallables, all of them paying, with an average 2.5 years to maturity. That is the lowest of Calamos’ three income autocallables on the same day: CAIE’s index showed 14.21% and CAIQ’s 18.11%. Different indices, so not a like-for-like yield — but the fund marketed on “enhanced income potential” is the one with the smallest coupon of the three.
Where it stands. Three trading days old on NYSE Arca, with $2.5 million in net assets, a $25.04 NAV against a $25.11 market price, and a 0.74% net expense ratio (0.86% gross, after a 0.12% fee waiver Calamos may end on or after December 1, 2029). Distributions are scheduled monthly, capital gains annually. None has been declared yet; the chart on this page fills itself from the record as they land.
What Nobody Can Know Yet
CAYN is trading, but it has not paid yet, so there is no payment history, no real yield, and no evidence of how its strategy behaves in live markets — any number you hear before its first distribution is a target or a guess. A fund can also take months to declare one, or pay less than its target implied. When CAYN declares, we chart every payment from its very first one, free.
One email the day CAYN declares its first distribution — the amount, not a press release. Until then there is nothing to report, and we will not invent any.
Frequently Asked Questions
When did CAYN launch?
It launched Oct 26, 2026. our market-wide sweep of new US listings caught it the morning after it started trading, rather than its SEC registration. The status box above updates daily, and the launch tracker shows everything else on the runway.
What will CAYN pay?
Unknowable until it pays — there is no payment history yet and the filing promises no rate. The income is contractual rather than premium-based: a coupon is generated only when the reference index sits above its barrier on an observation date, so the payment depends on index levels and the stated coupon terms rather than on how rich option premiums happen to be.
What does “least-of” actually mean for CAYN’s income?
Each autocallable note in CAYN’s index references three ETFs at once — SPY, QQQ and IWM — and pays its coupon based on whichever of the three has performed WORST since the note started. A month where two of the three are up and one is down 35% is a month that tests the coupon barrier, even though two thirds of the basket is fine. Calamos sets both the coupon barrier and the principal barrier at minus 30%, and switches on coupon memory so a missed coupon can be recovered later. It is a trade of broader exposure for a higher stated coupon, not a way of spreading risk across three indices.