Global X files two NYSE 100 autocallable ETFs whose 6% cost is not a fund fee

Global X Funds asked the SEC on Wednesday to register two ETFs that would track autocallable-income indexes built on the NYSE 100, not the S&P 500 or Nasdaq-100 references that already have listed products. The paper is a Rule 485(a) post-effective amendment, not a launch. Management fees, other expenses, tickers and the listing exchange are blank, and the prospectus says the information is not complete and may be changed.

The filing checks effectiveness 75 days after filing under Rule 485(a)(2), which it states as November 23.

Two proposed NYSE 100 autocallable funds, with a 6% index decrement

The 485APOS names Global X NYSE 100 Autocallable Income ETF and Global X NYSE 100 Autocallable Enhanced Income ETF. The Income fund would seek results corresponding generally to the NYSE 100 Autocallable Income Index, before fees and expenses. The Enhanced Income fund would do the same against the NYSE 100 Autocallable Enhanced Income Index. Both ticker fields are empty. So are the lines for management fees, other expenses and total annual fund operating expenses. The filing states that 12b-1 fees are none. It does not state a waiver.

The cost that would reach a holder lives in the index, which is why those blank fee lines matter less than they look. The 6% annual decrement is deducted daily from the reference index, a haircut that lowers the level against which barriers are tested; it is not a stated fund fee. Global X has not said what the funds themselves will charge.

The proposed pair would sit next to a fund Global X already listed. The NYSE 100 ETF CNYSX, launched in March, tracks the NYSE 100 Index at a 0.09% expense ratio and had $43.4 million in assets as of Thursday. Its largest holdings are NVIDIA, Apple and Microsoft. Wednesday's autocallable filing does not convert CNYSX into an income product. It proposes two new series that would use a different, highly engineered version of the same equity universe.

A 70% risk barrier on a 35% volatility target

Each proposed index is described as a theoretical portfolio of about 52 to 260 synthetic autocallable contracts, laddered with similar terms and staggered entry points. Coupons, early redemption, return of notional at maturity and the value of the total-return swap that would carry the exposure all depend on the NYSE 100 35% Defined Volatility 6% Decrement Index. That reference dynamically adjusts exposure to the NYSE 100 Index to target 35% volatility.

An autocallable is a structured contract, not a stock. In the terms this filing sets out, a contract can pay a coupon if the reference holds above a barrier, can be called away early if the reference gets back to its starting level, and can lose principal if the reference is weak enough at maturity. The paper specifies a 100% autocallable barrier, a 100% coupon barrier and a 70% risk barrier. Observation dates are every four weeks after a 52-week non-callable period, with 260-week maturity.

The filing says distributions are not guaranteed, may vary substantially, or may cease. Anyone who owns CNYSX for the NYSE 100's equity path would be looking at a different payoff if these funds list: contingent coupons, a vol-targeted overlay, and a reference whose performance is reduced by a 6% annual decrement before the barriers are tested.

The filing does not give the Enhanced Income index a separate barrier set, coupon schedule or decrement. Both series are described against that same term sheet, under different benchmark names.

Calamos already has $1.3 billion in autocallable income

Global X would be walking into a structure other issuers have already listed. Calamos Autocallable Income ETF CCAIE, which seeks monthly income through a portfolio of autocallables, had $1.3 billion in assets as of Thursday. Its Nasdaq-100 sibling CCAIQ had $342 million. Calamos Autocallable Growth ETF BCAGE, which reinvests coupons rather than distributing them, had $145 million.

Those three Calamos funds, plus TrueShares S&P Autocallable Defensive Income ETF CPAYM at $143 million, are the ones with real scale. REX Autocallable Income ETF BATCL had $47.4 million. Innovator Equity Autocallable Income Strategy ETF DACEI had $47.8 million. ProShares listed Nasdaq-100, S&P 500 and Russell 2000 versions in August; —ACQQ had $12.7 million, —ACSP had $6.6 million and ProShares Russell 2000 Autocallable Income ETF —ACRT had $1.5 million. Direxion has three Nasdaq-100 autocallable funds still in registration.

Calamos still has the assets. What Global X would add is the NYSE 100 as the reference, a sleeve the issuer already sells as a plain index ETF. That is a different equity universe than the S&P 500, Nasdaq-100, or single-stock autocallables already on the board. It is not a new payoff type.

Global X has been building income products this year on more familiar lines. In February it launched Nasdaq-100 and U.S. 500 covered-call funds, CEDGQ and BEDGX, aimed at weekly distributions. Those remain small: $10.7 million and $5.9 million. The autocallable filing is a step into a payoff the issuer has not listed, in a corner where one Calamos ticker already holds more than a billion dollars.

John Koudounis, Calamos's president and chief executive, said in April that the structured-note market is "enormous and ripe for new ideas on efficiency and accessibility," and that Calamos had seen "market appetite for single ticker access to a portfolio of laddered autocallables." REX, launching BATCL in February, said demand for outcome-oriented income "continues to rise," and warned in the same release that coupons are contingent, not guaranteed, and that early calls can force reinvestment at lower yields. Wednesday's Global X prospectus makes the same non-guarantee point, and it does so before naming a fee or a ticker.