MerQube launches MerQube US Equity Least-Of Autocallable Index (MQAUTOWL)

MerQube has announced the launch of the MerQube US Equity Least-Of Autocallable Index (MQAUTOWL), the underlying index to the Calamos Least-Of Autocallable Income ETF (CAYN).

MerQube writes that it proudly extends its partnership with Calamos, creating the world’s first indexed approach tied to the least-of autocallable strategy, one of the most popular structures in the autocallable note market.

MQAUTOWL models a laddered portfolio of synthetic three-year least-of, also known as worst-of, autocallable notes on the SPDR S&P 500 ETF Trust (SPY), the Invesco QQQ Trust (QQQ) and the iShares Russell 2000 ETF (IWM). One new note is added each week. Notes pay coupons every four weeks with a memory feature, carry a one-year non-call period and a 100 per cent autocall level, and have 70 per cent coupon and principal barriers (30 per cent downside). Coupon and principal payments are determined based on the least-performing ETF of the three.

MerQube is the independent sponsor, administrator and calculation agent, and calculates the index end of day and in real time. Every note is priced intraday with an institutional Monte Carlo stochastic local volatility model, with MerQube’s own pricing engines working alongside an established external provider, LexiFi. The market data behind each price comes from MerQube’s Options Platform, a market-data engine built in-house.

CAYN is the fourth autocallable ETF collaboration between MerQube and Calamos, a product category the partnership pioneered in June 2025. The other three products are:

Calamos Autocallable Income ETF (CAIE), which links to the MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL), has approximately USD1.4 billion in net assets and launched on June 25, 2025.

Calamos Nasdaq Autocallable Income ETF (CAIQ), which references the MerQube Nasdaq-100® Vol Advantage Autocallable Index (MQAUTOQL), has approximately USD393.6 million in net assets and launched on November 20, 2025.

Calamos Autocallable Growth ETF (CAGE), the first autocallable growth strategy in an ETF, which links to the MerQube US Large-Cap Vol Advantage Autocallable Growth Index (MQAUTOCG), has approximately USD180.1 million in net assets and launched on April 16, 2026.

Vinit Srivastava, Co-Founder and CEO of MerQube, says: “Least-of autocallables are among the most popular structures in the note market, yet investors have had no systematic, rules-based way to access them in an ETF, until now. Once again, we are proud to build on our partnership with Calamos, combining our advanced index technology with their innovation to extend the family of autocallable ETFs our indices power.”

Matt Kaufman, Global Head of ETFs at Calamos, says: “MerQube’s index technology gives CAYN the same systematic, rules-based foundation we use for CAIE, CAIQ and CAGE, and allows investors to understand the historical behavior of the strategy. CAYN will use the same ‘Structured ETF’ framework that has powered the success of these pioneering products, trading an index on swap, an innovation that the least-of autocallable strategy has yet to see in the ETF space. We look forward to working in partnership with MerQube to further expand the Calamos Autocallable ETF family with CAYN, designed for investors seeking one of the most popular forms of autocallable income via an ETF wrapper.”