MerQube Launches New Index for Autocallable ETF Notes

The new index tracks synthetic three-year notes to provide a framework for income-focused ETF investors.

Updated on Oct. 27, 2026 in Investing

Isometric editorial illustration of a stack of geometric glass cubes, representing a structured financial index for equity-linked notes. — MerQube has debuted the US Equity Least-Of Autocallable Index to provide a consistent benchmark for synthetic notes linked to major equity ETFs. AI Illustration. Upload story photo >

Live Poll

Would you consider adding complex, index-linked autocallable ETFs to your personal investment portfolio?

MerQube has launched the MerQube US Equity Least-Of Autocallable Index, a new benchmark designed to track a portfolio of synthetic three-year notes. This index serves as the underlying structure for investment products, including the Calamos Least-Of Autocallable Income ETF.

Why it matters

The index introduces a systematic approach to tracking synthetic notes that rely on the performance of the SPDR S&P 500 ETF Trust, Invesco QQQ Trust, and iShares Russell 2000 ETF. By utilizing an intraday pricing model, it provides a consistent framework for funds tied to complex derivative-like income strategies.

The index tracks three-year synthetic notes featuring 100% autocall levels and 70% barriers for coupon and principal payments. These figures support associated income funds with net assets totaling over USD 1.9 billion across the current lineup.

The players

MerQube

A financial index provider that serves as the sponsor, administrator, and calculation agent for synthetic investment indices.

Calamos

An investment management firm that offers a series of autocallable income and growth exchange-traded funds.

The details

The index methodology adds one new synthetic note each week, with a one-year non-call period applied to each entry. Coupons are paid every four weeks using a memory feature, meaning missed payments can be recovered if conditions are met. Performance for these payments is dictated by the least-performing asset among the three tracked ETFs.

MerQube launched the US Equity Least-Of Autocallable Index on October 26, 2026.

Money Landscape

The development of this index reflects an industry trend toward standardizing synthetic derivative strategies within the ETF wrapper. It marks a transition from complex, isolated structured notes toward more transparent, benchmarked investment vehicles.

Investors exploring income-focused ETFs that use this index should evaluate how the 70% downside barrier affects their principal risk if the underlying ETFs decline. Consult a qualified financial professional to determine if these synthetic-note strategies align with your specific income needs and risk tolerance.

The takeaway

This index standardizes the tracking of synthetic notes that hinge on the performance of three major ETFs. Investors should review the specific prospectus of any fund linked to this index to understand the memory-coupon feature and the impact of the 70% barrier on their potential capital returns.