Innovator 20 Year Treasury Bond 9 Buffer ETF - July (TBJL US) - Portfolio Construction Methodology

Core Insights - The Innovator 20 Year Treasury Bond 9 Buffer ETF – July employs a defined outcome options-based strategy aimed at matching the price return of the iShares 20 Year Treasury Bond ETF up to a predetermined upside cap while absorbing the first 9% of losses from the reference asset [1] Group 1: Investment Strategy - The fund allocates at least 80% of its net assets in FLEX options on the reference ETF, utilizing a combination of purchased and written calls and puts with synchronized expiries to create the desired payoff profile [1] - The portfolio is primarily focused on long-duration USD Treasury bonds, with the net asset value reflecting movements in the underlying ETF and the time value of options [1] Group 2: Portfolio Management - Positions in the ETF are generally held until expiry and reset at the beginning of each new outcome period, with interim trading driven by creations, redemptions, and liquidity management rather than tactical reallocations [1]