Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG US) - Portfolio Construction Methodology

Group 1 - The Innovator Equity Defined Protection ETF – 1 Yr August aims to provide large-cap U.S. equity exposure while targeting full downside protection and a defined upside cap [1] - The fund invests at least 80% of net assets in a focused portfolio of European-style FLEX options on SPY, which expire at the end of the one-year period [1] - Long put positions are structured to offset 100% of reference-ETF losses for investors who hold through the entire term [1] Group 2 - Upside exposure is achieved through purchased calls financed by writing calls that set the cap [1] - Remaining assets are held in short-term USD cash instruments for margin and liquidity [1] - FLEX positions are rolled into a new one-year defined-protection structure at each August reset [1]