ETF Intel Q&A: iCapital m+ ETFs

Q1. iCapital recently launched the m+ Nasdaq-100 Accelerator Autocall ETF (MPIA). Why is today's market environment particularly compelling for an autocall income strategy like MPIA?

A: Traditional portfolio allocations have faced challenges as correlations between stocks and bonds have increased during periods of market stress, prompting investors to explore alternative sources of income and diversification. While high-yield bonds and private credit can provide additional income opportunities, their returns are influenced by interest rates and credit spreads.

MPIA offers a differentiated source of potential income through a laddered autocall strategy linked to the performance of the Nasdaq-100. By seeking to capitalize on equity market volatility, the strategy provides investors with an alternative approach to generating income, with the potential for favorable tax treatment through distributions that may include return of capital. Unlike traditional fixed income, however, the strategy's income potential is contingent on equity market performance and is subject to principal risk.

Q2. With the growing number of income-focused ETF listings, what differentiates MPIA from traditional income ETFs?

A: MPIA seeks to provide investors with a differentiated source of potentially high income through an autocall strategy linked to the Nasdaq-100. As of October 21, 2026, the underlying Autocall Index had a target annualized contingent coupon rate above 20%, although actual Fund distributions and returns may be lower and are not guaranteed.

Unlike traditional income strategies that rely primarily on interest payments or dividends, MPIA's income potential is driven by equity market performance and volatility. The strategy also employs a daily laddered structure, introducing new autocallable positions over time to help diversify exposure across market entry points and reduce reliance on any single entry date.

Q3. How do you see MPIA fitting into portfolios today?

A: MPIA may serve as a complementary allocation for investors seeking to diversify their sources of income beyond traditional bonds and dividend-paying equities. The strategy is designed for investors who are comfortable with more variability of equity markets in pursuit of higher income potential.

In positive or relatively stable market environments, the strategy may generate meaningful contingent coupon income. However, during market declines, coupon payments may be reduced or missed, and investors may experience losses of principal.

Q4. As the ETF market and outcome-oriented investment strategies continue to evolve, where do you see this space heading?

A: We see meaningful potential for equity-linked income strategies to become a more established segment of the ETF market as advisors look beyond traditional fixed income for differentiated sources of income.

Education will be an important driver of adoption. As advisors become more familiar with how autocallable strategies work, including their income potential, structural features, and associated risks, they may be better positioned to evaluate their role in client portfolios.

The ETF structure also makes these strategies more accessible, providing investors with another way to incorporate structured investment exposure into their portfolios. As awareness and understanding continue to grow, we believe equity-linked income strategies could play an increasingly important role in income-focused portfolio construction.

Important Information

Investors should carefully consider the investment objectives, risks, and charges and expenses of the Fund before investing. The prospectus contains this and other information about the Fund, and it should be read carefully before investing. Investors may obtain a copy of the prospectus by calling 888-852-4281.

General Risks:

An investment in the Fund involves risk, including the possible loss of principal. There can be no assurance that the Fund will achieve its investment objective. The Fund is not a bank deposit and is not insured or guaranteed by the FDIC or any other government agency. Investment risks may increase during periods of market volatility; please refer to the Fund’s prospectus for a complete discussion of risks. The Fund’s share price may vary and investors can lose money. Shares trade at market prices, which might differ from NAV, and an active trading market is not guaranteed. Unlike mutual funds, shares cannot be redeemed individually but only in large units by authorized participants. If these participants leave, shares may trade at a premium or discount to NAV, with wider bid-ask spreads. Brokerage commissions and ETF expenses will reduce returns. The Fund may use options and option combinations, including strategies designed to replicate defined cash flows or manage financing exposures. These strategies are subject to risks related to pricing, liquidity, counterparty performance, and execution, and may perform differently than expected under certain market conditions. The Fund is subject to counterparty risk, meaning losses may occur if a derivatives counterparty or other contractual counterparty fails to meet its obligations. Certain investments may be less liquid or more difficult to value, particularly during periods of market stress. Fund distributions are not guaranteed and may vary from period to period. Tax treatment may change and may differ for individual investors. The Fund is classified as ‘non-diversified’ under the 1940 Act. The Fund’s performance may be more sensitive to any single economic, business, political or regulatory occurrence than the value of shares of a diversified investment company because, as a non-diversified fund, the Fund may invest more than 5% of its total assets in the securities of one or more issuers.

The information provided in this material is for informational purposes only and is not intended as investment advice or a recommendation to buy or sell any security. Investing involves risk, and investors should consult their financial, tax, or legal advisors before making investment decisions.

Contingent Income Risk. Coupon payments from the Autocallables are not guaranteed and will not be made if the Underlying Reference Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns. Autocallable Structure Risk. The Fund’s returns are correlated to the performance of a portfolio of Autocallables notes reflected by the Autocall Index. Autocallables have specific structural features that may be unfamiliar to many investors. Liquidity Risk. Liquidity risk exists when particular investments would be difficult to purchase or sell, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations. Equity Securities Risk. The Fund is subject to the risks of the equity markets through its exposure to the Underlying Reference Index. Market movements and other factors may cause the value of the Index and the Fund to fluctuate, potentially resulting in investment losses. New Fund Risk. Because the Fund is recently launched, it has limited operating history. There can be no assurance that the investment strategy will perform as expected or achieve its long term objectives. Volatility Target Index Risk. The Underlying Reference Index uses a volatility-targeting strategy that may underperform the S&P 500, particularly in low-return or rising markets. The strategy relies on implied volatility measures and periodic rebalancing, which may not accurately reflect future market conditions and could limit participation in market recoveries.

The 'above 20%' figure cited refers to the target annualized contingent coupon rate of the Barclays Nasdaq-100 Accelerator Autocallable Index as of October 2026. This rate is determined by the index provider based on prevailing options pricing and market volatility. This target is not a guarantee of Fund performance, does not reflect the performance of the MPIA ETF itself, and is gross of the Fund's internal fees, expenses, and decrement feature drags, which will lower actual investor returns."

Each Autocallable in the Index Portfolio includes a Maturity Barrier, expressed as a percentage of the level of the Underlying Reference Index on the date the Autocallable is issued. If, on the Maturity Date, the level of the Underlying Reference Index is at or above the Maturity Barrier, the principal amount of that Autocallable is generally returned in full. If the Underlying Reference Index falls below the Maturity Barrier at maturity, the conditional protection provided by the Autocallable no longer applies, and the Autocallable becomes fully exposed to the negative performance of the Underlying Reference Index measured from its initial level. In that case, the principal amount repaid will decline by the same percentage as the decline in the Underlying Reference Index.

Only certain financial institutions such as registered broker-dealers and banks that have entered into agreements with the Funds’ Distributor (“Authorized Participant” or “AP”) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that may act as Authorized Participants on an agency basis.

The Fund’s returns are correlated to the performance of a portfolio of Autocallables notes reflected by the Autocall Index.

Autocallables have specific structural features that may be unfamiliar to many investors.

Nasdaq-100 Index® is a US large cap equity benchmark comprised of 100 fundamentally sound and innovative Nasdaq-listed companies, representing a unique mix of sector exposures.

Nasdaq®, Nasdaq-100 Index® and Nasdaq-100® are registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and are licensed for use by Barclays and Alaia Capital, LLC. The Product(s) have not been passed on by the Corporations as to their legality or suitability. The Product(s) are not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE PRODUCT(S).

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

m+ ETFs are distributed by Northern Lights Distributors, LLC (Member FINRA). Northern Lights Distributors, LLC and Alaia Capital, LLC are separate and unaffiliated.

Alaia Capital LLC and m+ funds are affiliated with iCapital Markets LLC. “iCapital” and “iCapital Network” are registered trademarks of Institutional Capital Network, Inc.

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