[Form 3] Safe and Green Development Corporation Initial Statement of Beneficial Ownership

Rhea-AI Filing Summary

MerQube US Large-Cap Vol Advantage Index (MQUSLVA) – July 2025 performance update

The rules-based index provides 0-500% leveraged exposure to E-Mini S&P 500 futures, re-targeting 35% volatility and applying a 6.0% p.a. daily deduction. It was launched on 11 Feb 2022; data before that date are back-tested.

Performance snapshot: Over Jun 2015-Jun 2025 the index recorded a 10-year annualised return of 11.15% with 30.24% volatility, versus the S&P 500’s 11.64% return and 18.48% volatility. The most recent 1-year return is –10.71% compared with the S&P 500’s +13.63%, underscoring performance dispersion. Monthly returns range from +10.44% (Jun 2016) to –19.13% (Feb 2020).

Current leverage profile: End-of-day exposure fluctuated sharply between 62.5% and 252.2% during Apr-Jun 2025, reflecting the index’s dynamic volatility control.

Structural features & principal risks:

• 6.0% annual fee drag directly reduces index level.
• Use of significant leverage (up to 5×) amplifies gains and losses.
• Excess-return construction excludes cash reinvestment income.
• Methodology may be adjusted at MerQube’s discretion; JPMS co-designed the index and licenses it for structured notes.
• Index has <4 years of live history; back-tested data may not predict future results.

Investments linked to the index are unsecured, not FDIC-insured, and subject to equity, futures, liquidity and concentration risks. Past and hypothetical performance are not indicative of future returns.

Positive

• 10-year annualised return of 11.15% is broadly in line with the S&P 500 despite different construction.
• Dynamic volatility targeting can reduce exposure during high-stress periods and increase it in calmer markets.
• Index methodology and real-time publication on Bloomberg (MQUSLVA) enhance transparency for investors.

Negative

• 6.0% per-annum daily deduction directly erodes index performance.
• Use of up to 500% leverage amplifies both gains and losses, heightening tail risk.
• 1-year actual return of –10.71% significantly lags the S&P 500’s +13.63%.
• Limited live history (since Feb 2022) means heavy reliance on back-tested data.

Insights

Financial Analyst

TL;DR: Long-term back-tests match S&P 500 returns, but recent −10.7% 1-year lag plus 6% fee offset appeal; overall neutral.

The index’s 10-year annualised return of 11.15% roughly equals the S&P 500 while delivering markedly higher volatility (30.24%). Fee drag and high leverage mean investors need strong directional convictions; yet dynamic re-balancing can reduce exposure to market stress. April-June 2025 exposures swung from 62% to 252%, confirming active volatility targeting. Because historical outperformance is back-tested and live data show underperformance, I view the update as informational rather than thesis-changing.

Risk Analyst

TL;DR: 5× leverage, 6% fee and limited live history create material downside risk; caution warranted.

The index layers considerable complexity: excess-return calculation eliminates cash yield, the 6% daily-accrued fee compounds, and leverage can exceed 250% in normal conditions. A single-year drawdown of −10.71% despite a rising S&P 500 highlights path-dependency. Operational risks include sponsor discretion, futures roll cost and potential unavailability of settlement prices. For most portfolios, exposure should be sized conservatively or avoided.

SEC Form 3

FORM 3

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

INITIAL STATEMENT OF BENEFICIAL OWNERSHIP OF SECURITIES

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934
or Section 30(h) of the Investment Company Act of 1940

OMB APPROVAL

OMB Number:			3235-0104
Estimated average burden
hours per response:			0.5

1. Name and Address of Reporting Person^*

Burnham James D

(Last) (First) (Middle)

C/O SAFE AND GREEN DEVELOPMENT CORP,

100 BISCAYNE BLVD., #1201

(Street)

MIAMI FL 33132

(City) (State) (Zip)

2. Date of Event Requiring Statement (Month/Day/Year)
06/17/2025

3. Issuer Name and Ticker or Trading Symbol
Safe & Green Development Corp [ SGD ]

4. Relationship of Reporting Person(s) to Issuer
(Check all applicable)

X	Director		10% Owner
	Officer (give title below)		Other (specify below)

5. If Amendment, Date of Original Filed (Month/Day/Year)

6. Individual or Joint/Group Filing (Check Applicable Line)

X	Form filed by One Reporting Person
	Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Beneficially Owned
1. Title of Security (Instr. 4)	2. Amount of Securities Beneficially Owned (Instr. 4)	3. Ownership Form: Direct (D) or Indirect (I) (Instr. 5)	4. Nature of Indirect Beneficial Ownership (Instr. 5)
Common Stock	94,798	D
Series A Convertible Preferred Stock	377,225	D

Table II - Derivative Securities Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 4)	2. Date Exercisable and Expiration Date (Month/Day/Year)		3. Title and Amount of Securities Underlying Derivative Security (Instr. 4)		4. Conversion or Exercise Price of Derivative Security	5. Ownership Form: Direct (D) or Indirect (I) (Instr. 5)	6. Nature of Indirect Beneficial Ownership (Instr. 5)
	Date Exercisable	Expiration Date	Title	Amount or Number of Shares

Explanation of Responses:

Remarks:

Exhibit List - Exhibit 24.1: Power of Attorney

	/s/ Nicolai Brune, Attorney-in-Fact	07/11/2025
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 5 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
Note: File three copies of this Form, one of which must be manually signed. If space is insufficient, see Instruction 6 for procedure.
Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB Number.

FAQ

What is the objective of the MerQube US Large-Cap Vol Advantage Index underlying VYLD?

The index seeks to maintain 35% volatility by adjusting 0-500% leveraged exposure to E-Mini S&P 500 futures while subtracting a 6% p.a. fee.

How has the index performed over the past ten years?

From Jun 2015-Jun 2025 it shows an 11.15% annualised return with 30.24% volatility; data before Feb 2022 are back-tested.

What was the most recent 1-year return for MQUSLVA?

The 1-year return to Jun 2025 is approximately −10.71%.

How much leverage did the index employ in Q2 2025?

End-of-day exposure ranged from about 62.5% to 252.2% during April-June 2025.

What are the main fees embedded in the index?

A 6.0% per-annum deduction accrues daily, reducing the index level regardless of market direction.

Is past performance a reliable indicator for VYLD investors?

No. The document stresses that historical and back-tested results are not indicative of future performance.