MerQube Launches New Least-Of Autocallable Equity Index
The index provides a benchmark for new autocallable income-focused ETFs.
Updated on Oct. 27, 2026 in Investing
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MerQube has officially introduced its US Equity Least-Of Autocallable Index to track synthetic three-year autocallable notes. This new index serves as the underlying benchmark for the Calamos Least-Of Autocallable Income ETF strategy.
Why it matters
The index offers a structured approach to income generation by tracking notes tied to the performance of three major ETFs. By incorporating a memory feature and specific barrier levels, it provides a unique method for investors to manage exposure to the S&P 500, Nasdaq, and Russell 2000.
The index adds one new three-year note per week with coupons paid every four weeks. Performance is tied to the least-performing asset among the SPDR S&P 500 ETF Trust, Invesco QQQ Trust, and iShares Russell 2000 ETF.
The players
MerQube
MerQube is a financial technology company that acts as an index sponsor, administrator, and calculation agent for various investment products.
Calamos
Calamos is an investment firm known for managing a series of autocallable income and growth exchange-traded funds.
LexiFi
LexiFi is a technology provider that specializes in developing software solutions for complex derivative pricing and modeling.
The details
MerQube functions as the index sponsor, administrator, and calculation agent for the product. The system utilizes an advanced intraday pricing model developed in collaboration with LexiFi to determine payments based on the weakest of the three underlying ETFs.
Timeline
June 25, 2025: Calamos Autocallable Income ETF launched.
November 20, 2025: Calamos Nasdaq Autocallable Income ETF launched.
April 16, 2026: Calamos Autocallable Growth ETF launched.
October 26, 2026: MerQube US Equity Least-Of Autocallable Index launched.
Market Dynamics
The introduction of this index reflects a broader move toward synthetic, autocallable investment structures in the ETF space. It marks a departure from traditional passive indexing by embedding derivative-like payoff characteristics directly into the underlying index methodology.
Retail investors can use this index as a reference to evaluate the income potential of autocallable ETFs currently holding over $1.9 billion in combined assets. The 70 per cent barrier mechanism provides a specific threshold for monitoring coupon and principal risk in their portfolios.
The takeaway
The use of synthetic autocallable notes allows for defined income streams based on the performance of multiple equity benchmarks. Investors should carefully monitor the least-performing asset as it dictates the payout, which can fluctuate based on the memory feature.
Further reading
For more context on how these strategies fit into modern portfolios, visit the Investing section.
Source note: This article includes information reported by ETF Express.
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