AllianzIM U.S. Large Cap Buffer20 Jul ETF (JULW US) – Portfolio Construction MethodologyThe investment strategy governing the actively managed AllianzIM U.S. Large Cap Buffer20 Jul ETF targets U.S. large-cap equity exposure via the SPDR S&P 500 ETF Trust and overlays a one-year July outcome period using exchange-listed FLEX options. The construction selects put and call strikes to seek a 20% downside buffer (before fees/expenses) over the outcome window while capping upside at a level set at the series star ...

Group 1 - The Pacer Swan SOS Moderate (December) ETF employs a structured-outcome options overlay to manage S&P 500 exposure, providing a defined downside buffer and an upside cap that resets annually in December [1] - The investment strategy focuses on FLEX options collateralized by cash and cash equivalents, aiming for consistent option terms and effective collateral management to reduce slippage and financing drag [1] - The ETF's construction involves a combination of call and put FLEX positions to achieve buffered equity beta within predetermined ranges, while residual cash is managed for liquidity and settlement purposes [1] Group 2 - Day-to-day risk management includes monitoring path dependency, cap proximity, and buffer efficacy as market conditions change, with secondary-market purchases adjusting to the current outcome profile [1] - Rebalancing of the portfolio is typically aligned with option rolls at the outcome reset or to maintain the intended exposure in response to corporate actions or changes in index methodology affecting option underliers [1]

Core Insights - The Innovator Power Buffer Step-Up Strategy ETF (PSTP US) employs a rules-based, options-driven investment process aimed at providing risk-managed exposure to the SPDR S&P 500 ETF Trust [1] - The strategy targets a defined downside buffer while accepting an upside cap, with call and put strikes and maturities set to achieve the intended outcome profile over an approximately one-year term [1] - A monthly evaluation framework allows for opportunistic "step-ups," enabling the fund to roll into a new one-year options basket when preset thresholds are met, thereby refreshing buffer and cap parameters [1] Portfolio Construction - The portfolio is constructed using exchange-listed FLEX options, with collateral maintained in cash or short-dated U.S. Treasuries [1] - Exposure is sized to align the options portfolio with the underlying equity beta target, ensuring effective risk management [1] - Risk management is further supported through OCC-guaranteed settlement, listing venue liquidity, and disciplined reset and roll mechanics [1]

Investment Strategy Overview - The Nasdaq-100 10 Buffer ETF (QBUF) employs an actively managed investment strategy that aims for equity-market participation linked to the Invesco QQQ Trust over rolling three-month outcome periods with a target 10% downside buffer and an upside cap [1] - The fund utilizes a defined-outcome structure through exchange-listed FLEX options referencing QQQ, alongside cash and short-term U.S. instruments [1] Buffer and Cap Mechanism - Option strikes and expirations are calibrated each period to create a 10% loss-mitigation zone while financing upside exposure to a specified cap [1] - Positions are typically grouped by common quarter-end expiries to standardize payoff profiles [1] Management and Adjustments - The manager resets the strategy at each outcome period and may adjust intra-period to maintain buffer mechanics, address path-dependency, or manage cash and distributions [1] - Liquidity and capacity are supported by listed FLEX markets and the depth of QQQ; early or mid-period purchases can significantly alter an investor's remaining buffer and cap [1]

FT Vest U.S. Equity Equal Weight Buffer ETF – December (RSDE US) – Portfolio Construction MethodologyThe investment strategy guiding the actively managed FT Vest U.S. Equity Equal Weight Buffer ETF – December seeks to match the price return of the Invesco S&P 500 Equal Weight ETF while targeting a defined outcome over a December-to-December outcome period. The portfolio holds exchange-listed FLEX options referencing the equal-weighted U.S. large-cap universe and collateral in cash or short-term USD instrume ...

FT Vest U.S. Equity Equal Weight Buffer ETF – June (RSJN US) – Portfolio Construction MethodologyThe investment strategy steering the actively managed FT Vest U.S. Equity Equal Weight Buffer ETF – June targets the price return of the Invesco S&P 500 Equal Weight ETF over a June-to-June outcome period using a defined-outcome options overlay. The portfolio primarily holds exchange-listed FLEX options on the equal-weighted U.S. large-cap reference and cash or short-term USD collateral; option ladders are desig ...

Innovator 20 Year Treasury Bond 9 Buffer ETF – July (TBJL US) – Portfolio Construction MethodologyThe investment strategy underpinning the actively managed Innovator 20 Year Treasury Bond 9 Buffer ETF – July is a defined outcome options-based approach that seeks to match the price return of the iShares 20 Year Treasury Bond ETF up to a pre-set upside cap while absorbing the first 9% of reference-asset losses over each approximately one-year outcome period. The fund invests at least 80% of net assets in FLEX ...

Core Insights - The FT Vest International Equity Moderate Buffer ETF – September aims to provide exposure to developed ex-US large- and mid-cap equities through a structured one-year buffer-and-cap strategy using FLEX options on the iShares MSCI EAFE ETF [1] Investment Strategy - The fund primarily invests in a series of exchange-listed, OCC-cleared European-style call and put FLEX options with a common September expiration, rather than directly holding the underlying equity ETF [1] - Strike selection is performed at the beginning of each outcome period to establish a preset downside buffer through purchased puts, while purchased and written calls determine the upside participation and cap for the period [1] - Residual cash and collateral are allocated to short-term USD money market instruments to ensure margin and operational liquidity, rather than to generate returns [1] - At each September outcome reset, FLEX positions are transitioned into a new one-year options package to renew the buffer, cap, and participation profile [1]

Core Viewpoint - The Innovator 1 Yr February investment strategy aims to provide large-cap U.S. equity exposure through an equity defined protection framework, targeting the SPDR S&P 500 ETF Trust's performance over a one-year period while ensuring downside protection and a capped upside [1] Investment Strategy - The fund primarily invests in centrally cleared FLEX options on the Underlying ETF, utilizing a combination of long call spreads and put positions to create a specific payoff profile rather than directly owning the ETF [1] - Each February Outcome Period involves resetting strikes and maturities, with the option sleeve typically held until expiration, while interim trading is focused on primary-market flows and maintaining targeted option exposures [1]

Core Viewpoint - Cboe Europe Derivatives plans to launch Flexible Exchange® (FLEX) options in Europe in Q1 2026, allowing investors to customize options contracts to meet specific risk management needs, addressing the demand for sophisticated strategies in volatile markets [1][4]. Group 1: FLEX Options Features - FLEX options enable customization of key contract terms such as strike prices, expiration dates, settlement types, and exercise styles within a regulated exchange environment, combining OTC adaptability with exchange transparency [2]. - The introduction of FLEX options is expected to support the growth of defined-outcome ETFs in Europe, which have seen significant growth in the U.S. from $5 billion in 2019 to over $70 billion in 2025 [3]. Group 2: Market Positioning and Infrastructure - Cboe has a history of FLEX options in the U.S. since 1993, with open interest growing from 2 million in 2019 to 35 million in 2025, indicating strong institutional demand for customizable hedging solutions [5]. - Contracts will be cleared through Cboe Clear Europe, enhancing capital efficiency and reducing counterparty risk, appealing to asset managers and ETF issuers [6]. Group 3: Impact on ETFs and Issuers - The adoption of FLEX options is linked to the expansion of defined-outcome ETFs, with support from experienced issuers like First Trust Global Portfolios and Vest Financial, indicating a strong interest in deploying similar products in Europe [9][10]. - ETF issuers view FLEX options as foundational for developing defined-outcome products, enabling European investors to access U.S.-style strategies locally [11]. Group 4: Integration into European Derivatives Market - The launch of FLEX options aligns with CEDX's mission to enhance participation in Europe's derivatives markets by offering innovative exchange-traded products, potentially attracting asset managers looking to replicate U.S. product structures [12]. - FLEX options provide institutional investors with a crucial risk management tool amid rising market complexity, potentially reducing reliance on OTC trades and simplifying oversight [13]. Group 5: Future Outlook - The expansion of FLEX options across additional underlyings in 2026 could lead to strong growth in defined-outcome strategies in Europe, supported by a robust menu of exchange-traded building blocks [14]. - The introduction of FLEX contracts may shift demand from OTC to exchange-traded solutions, enhancing investor choice and market transparency [15].