Calamos Announces Upside Cap Rates for CPSU and CPNJ: Structured Protection ETFs Providing Exposure to the S&P 500 and Nasdaq-100 with 100% Downside Protection Over One-Year

Calamos Investments announced the upside cap rate for its S&P 500 Structured Alt Protection ETF (CPSU) at 7.33% for the upcoming one-year period, while its Nasdaq-100 Structured Alt Protection ETF (CPNJ) completed its initial period with a 7.65% cap rate for the next cycle starting June 2, 2025; both ETFs offer 100% downside protection if held through the outcome period and aim to provide tax-deferred growth at long-term capital gains rates.

Analysis

Calamos Investments has detailed the terms for two of its Structured Protection ETFs: the newly launched Calamos S&P 500 Structured Alt Protection ETF (CPSU) will feature an upside cap rate of 7.33% for its one-year outcome period commencing June 2, 2025, referencing the SPDR S&P 500 ETF Trust (SPY). Concurrently, the Calamos Nasdaq-100 Structured Alt Protection ETF (CPNJ) completed its first annual outcome period on May 30, 2025, and will reset on June 2, 2025, with a new cap rate of 7.65%, referencing the Invesco QQQ Trust, Series 1. Both ETFs offer 100% downside protection on the principal if held throughout the respective one-year outcome periods, before the annual expense ratio of 0.69%. A key feature is the potential for tax-deferred growth, with gains taxed at long-term capital gain rates if investments are held for longer than one year. The launch of CPSU also signifies the completion of the Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL), designed to provide S&P 500 exposure with mitigated downside risk through a portfolio of 12 underlying monthly series ETFs. While these products offer downside protection through FLEX Options, they are subject to numerous risks, including capped upside, cap changes in subsequent periods, and the critical requirement of holding shares for the entire outcome period to realize the intended protection; performance may not directly track the reference asset intra-period, and FLEX Options carry liquidity and counterparty risks.

Key Decisions for Investors

• Investors seeking equity market exposure with defined downside protection should consider these ETFs, particularly if they prioritize capital preservation over maximizing potential uncapped gains and can commit to the full one-year holding period to benefit from the structured protection.
• The upside cap rates of 7.33% for CPSU (S&P 500) and 7.65% for CPNJ (Nasdaq-100) should be weighed against individual return expectations and the 0.69% expense ratio, understanding that market returns exceeding these caps will not be captured.
• Potential tax advantages, such as tax-deferred growth and long-term capital gains rates for holdings over one year, may appeal to tax-sensitive investors, but they must also be aware of the extensive list of risks, including those related to FLEX options and market timing if purchasing shares after the outcome period has begun.