MerQube Launches Least-Of Autocallable Index for Calamos ETF

MerQube launched the MerQube US Equity Least-Of Autocallable Index (MQAUTOWL), the underlying index for the Calamos Least-Of Autocallable Income ETF (CAYN). The index tracks a laddered portfolio of synthetic three-year notes linked to the SPDR S&P 500 ETF Trust (SPY), the Invesco QQQ Trust (QQQ) and the iShares Russell 2000 ETF (IWM).

The index adds one new note each week. Each note has a one-year non-call period and a 100% autocall level. Its coupon and principal barriers are set at 70%, meaning payments can be affected if the least-performing ETF falls below that level.

The notes pay coupons every four weeks and include a memory feature. Unpaid coupons can be carried forward for possible payment later if the conditions for payment are met. Coupon and principal payments are based on the least-performing of the three ETFs.

MerQube serves as the index sponsor, administrator and calculation agent. It calculates MQAUTOWL at the end of each trading day and in real time. Each note is priced intraday with a Monte Carlo stochastic local volatility model. MerQube’s pricing engines operate alongside external provider LexiFi, using market data from MerQube’s in-house Options Platform.

CAYN is the fourth autocallable ETF collaboration between MerQube and Calamos. The Calamos Autocallable Income ETF (CAIE), which tracks the MerQube US Large-Cap Vol Advantage Autocallable Index, launched on June 25, 2025, and had approximately $1.4 billion in net assets. The Calamos Nasdaq Autocallable Income ETF (CAIQ), linked to the MerQube Nasdaq-100 Vol Advantage Autocallable Index, launched on Nov. 20, 2025, and had approximately $393.6 million in net assets.

The Calamos Autocallable Growth ETF (CAGE), linked to the MerQube US Large-Cap Vol Advantage Autocallable Growth Index, launched on April 16, 2026, and had approximately $180.1 million in net assets.

Vinit Srivastava, MerQube’s co-founder and chief executive, said in a statement that least-of autocallables are widely used in the note market but had not previously been available through a systematic, rules-based ETF structure.

Matt Kaufman, Calamos’ global head of ETFs, said CAYN would use the same “Structured ETF” framework as the other products. The framework trades an index on a swap and is designed to provide ETF access to the least-of autocallable structure.