VegaShares' new autocallable ETF trades coupon for a deeper barrier
VegaShares' new conservative autocallable, VAIC, carried a 9.17% index coupon on October 1, 2026, against 16.65% on sibling VAIE, where the latest payout was mostly a return of capital.
Key takeaways
VegaShares dates the inception of the VegaShares US Equity Autocallable Conservative Income ETF, VAIC, to Thursday, September 24. The conservative label means a smaller coupon and a deeper barrier, not a promise that you get your money back.
The fund seeks weekly income from contracts linked to U.S. stocks. An autocallable pays a coupon only if a reference index is at or above a set level on a check date, and the principal takes the loss if that index finishes below a second level. Behind VAIC is a ladder of 52 of those contracts, each starting a week after the last.
On Thursday, October 1, VegaShares put the weighted-average coupon on the 52 live autocallables at 9.17%. The next day, the same figure for the VegaShares US Equity Autocallable Income ETF, VAIE, was 16.65%. VAIE listed in May and uses the same ladder, with both barriers at 70%.
On that Friday, VAIE reported a 16.01% distribution rate and a 3.05% 30-day SEC yield. Of the payment that went ex-dividend on Thursday, October 1, the issuer estimated 81.3% was a return of capital.
VegaShares has not reported a distribution rate or a 30-day SEC yield for VAIC. The coupons inside the index are monthly, and a miss pays nothing for that period, while the distribution schedule is weekly. The prospectus says a portion of distributions will likely be return of capital.
The coupon barrier and the principal barrier both sit at 60% of the reference index's starting level. The line is drawn on one of 11 indices that reset their exposure to the NYSE U.S. 500 Index every day.
For each new contract, the Wednesday, September 23 prospectus picks the index whose volatility target, between 20% and 30%, is closest to the one-month implied volatility of SPY, the fund that tracks the S&P 500, plus a fixed 10% volatility add-on. VAIE uses a range of 25% to 35%.
That index divides the target by recent realized volatility to set the day's exposure to the NYSE U.S. 500 Index. The exposure can run as high as 300%.
Each of those indices is an excess-return index. They leave out dividends, and the prospectus also subtracts a 4% annual decrement plus a financing cost, every day. The prospectus says the reference index declines from these costs even when the NYSE U.S. 500 Index is flat.
If a reference index finishes just under 60% of its starting level at maturity, the loss is not limited to the sliver below the line. The prospectus cuts principal by the full decline from the start, a loss of just over 40%, and it says a breach can bring sudden, significant losses.
Calamos already uses the same mark, on a different index, in a much larger fund. The Calamos Autocallable Income ETF, CAIE, holds a ladder of autocallables linked to U.S. large-cap stocks, with coupon and maturity barriers at a 40% decline, which is a 60% level. The fund listed in June 2025.
As of Monday, October 5, CAIE held $1.4 billion, and VAIE held $57 million. VAIC held $1 million as of Sunday, October 4.
Pacer launched the Pacer Metaurus Enhanced Core Income Autocallable ETF, ACBE, in September. It seeks monthly income from autocallables linked to U.S. large-cap stocks, with coupon and maturity barriers at 50%. As of Saturday, October 3, it held $3.1 million, and its expense ratio was 0.60%.
A 50% barrier lets the reference index fall further than VAIC's 60% before the coupon or the principal is at risk, and 0.60% is below the 0.74% on VAIC.
The Wednesday, September 23 prospectus says VAIC is actively managed and that, in normal markets, at least 80% of assets go into instruments that deliver the NYSE U.S. 500 Adaptive Vol Autocallable Conservative Index.
As of October 4, a Goldman Sachs swap was 99.83% of net assets. The holdings also list a Treasury bill due November 19 and a government money-market fund, with a cash line that nearly offsets those two. The prospectus warns that a swap counterparty can default.
The 0.74% annual fee leaves out swap fees. The prospectus says those costs are embedded in the swap return, so the 0.74% does not show them. VAIE charges the same 0.74%, and VAIC has no fee waiver. As of Monday, October 5, Calamos reports 0.74% for CAIE.
The first listed ex-date for VAIC is Thursday, October 8, and no amount is set.
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Frequently asked questions
How does VAIC's coupon compare with VAIE's?
On October 1, VegaShares put the weighted-average coupon on VAIC's 52 live autocallables at 9.17%, and the next day the same figure for VAIE was 16.65%.
How deep is the barrier?
Both the coupon barrier and the principal barrier sit at 60% of the reference index's starting level, versus 70% on VAIE.
Does the conservative label mean you get your money back?
The conservative label means a smaller coupon and a deeper barrier, not a promise that you get your money back.
Will distributions include a return of capital?
The prospectus says a portion of distributions will likely be return of capital, and VegaShares has not reported a distribution rate or a 30-day SEC yield for VAIC.
