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ck0001616668:VolatilityRiskMember 2026-08-24 2026-08-24 0001616668 ck0001616668:S000106499Member ck0001616668:WhollyOwnedSubsidiaryRiskMember 2026-08-24 2026-08-24 pure iso4217:USD 485BPOS 2026-08-24 Pacer Funds Trust 0001616668 false N-1A 2026-08-24 Investment Objective <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Pacer Metaurus High Income Autocallable ETF (the “Fund”) seeks to generate monthly income and provide reduced downside risk through exposure to the Metaurus High Income Autocallable Total Return Index (the “Autocallable Index”).</span> Pacer Metaurus High Income Autocallable ETF Fees and Expenses of the Fund <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The following table describes the fees and expenses you may pay if you buy, hold, and sell shares of the Fund (“Shares”). </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the tables and examples below.</span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0.0060 0 0.0000 0.0060 Estimated for the current fiscal year. 2 The cost of investing in swaps, including the embedded cost of the swap and the operating expenses of the referenced assets, is an indirect expense that is not included in the above fee table and is not reflected in the expense example. Example The following example is intended to help retail investors compare the cost of investing in the Fund with the cost of investing in other funds. It illustrates the hypothetical expenses that such investors would incur over various periods if they were to invest $10,000 in the Fund for the time periods indicated and then redeem all of the Shares at the end of those periods. This example assumes that the Fund provides a return of 5% a year and that operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 61 192 Portfolio Turnover <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund Shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the example, affect the Fund’s performance. Because the Fund is newly organized, portfolio turnover information is not yet available.</span></div> Principal Investment Strategies of the Fund <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund is a non-diversified, actively managed exchange-traded fund (“ETF”) that, under normal market conditions, will invest at least 80% of its net assets (plus any borrowings for investment purposes) in unfunded total return swaps (“Swap Agreements”) that provide exposure to the Autocallable Index (the “80% Policy”). The Autocallable Index is designed to reflect the performance of a theoretical diversified portfolio of synthetic autocallable notes (each an “Autocallable” and the theoretical portfolio of Autocallables, the “Index Portfolio”). The reduced downside risk that the Fund seeks to deliver is relative to owning a single underlying autocallable note (and not relative to risk associated with investing in a broad based equity index), because exposure to the Autocallable Index is expected to provide benefits such as reduced timing risk, diversification across multiple notes (i.e., not subject to a single maturity barrier), and contingent maturity barriers that may help preserve capital over time. “Unfunded” means that no payment is required by either party at the initiation of </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">the swap. The Fund also will post margin and maintain eligible collateral for such swaps. For purposes of compliance with the 80% Policy, derivative instruments will be valued at their notional value.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Pacer Advisors, Inc. (the “Adviser”) serves as the Fund’s investment adviser, and Metaurus Advisors LLC (“Metaurus” or the “Sub-Adviser”) serves as the Fund’s investment sub-adviser.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will not attempt to replicate or track the Autocallable Index, but will instead use financial instruments such as unfunded Swap Agreements to gain exposure to the performance of the Autocallable Index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund intends to make periodic distributions to investors in amounts that are determined in part by reference to the Autocallable Index. The Autocallable Index is designed to reflect the collective performance of a theoretical portfolio of up to 52 synthetic Autocallables arranged in a laddered structure with staggered entry points with similar fixed parameters (the “Parameters”) as described below within the section entitled “Index Portfolio Characteristics”. </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallables’ coupon payments, principal repayment timing and principal value at maturity, and ultimately the Fund’s total return, is contingent and with respect to principal value at maturity, based on the performance of the Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:7.15pt;font-weight:400;line-height:120%;position:relative;top:-3.85pt;vertical-align:baseline">SM</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Index, a rules-based systematic index (the “Underlying Reference Index”), which provides volatility adjusted exposure to E-Mini S&amp;P 500 futures contracts. The Fund’s portfolio will be comprised of Swap Agreements, U.S. Treasuries, cash, cash equivalents, “box spreads” (or similar instruments). In order to meet its margin requirements on the Swap Agreements, the Fund may allocate all or a significant portion of its cash to investments in U.S. Treasury Securities and cash equivalents, such as commercial paper, money market instruments, bank certificates of deposit and banker’s acceptances.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index provides volatility adjusted exposure to equity futures contracts rebalanced daily. During calm or typical market environments, the Underlying Reference Index increases exposure to equity futures while during volatile market periods, the Underlying Reference Index reduces exposure to equity futures.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable is designed to pay a percentage of the notional amount allocated to that Autocallable at certain set observation dates (e.g., monthly, noting the monthly observation dates are specific to each Autocallable) (a “Coupon”), provided that the Underlying Reference Index remains within certain predefined levels. If on specified monthly observation dates the Underlying Reference Index reaches or exceeds a certain level (the “Autocallable Barrier”) then the synthetic Autocallable will automatically mature (i.e., autocalled). The Coupon is intended to be paid even when the Underlying Reference Index experiences a certain amount of negative performance, but only down to a certain predetermined level (the “Coupon Barrier”). If the performance of the Underlying Reference Index is below the Coupon Barrier on any observation date no Coupon is paid for that then-ended observation period.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable is subject to a six-month non-callable period from the date of issuance (the “Non-Callable Period”). Each synthetic Autocallable incorporates a principal protection feature so that, if the Underlying Reference Index has not reached or exceeded the Autocallable Barrier before the scheduled maturity date, any negative performance below the Autocallable Barrier as at the maturity date will not have any negative impact on the return of principal under the synthetic Autocallable, provided the Underlying Reference Index is not below a certain predetermined level at maturity (the “Maturity Barrier”). Only if the Underlying Reference Index is below that Maturity Barrier at maturity will the Autocallable Index, and in turn investors, be exposed to the full downside performance of the Underlying Reference Index at maturity. Therefore, while synthetic Autocallables may preserve capital in certain negative market conditions (i.e., if the Underlying Reference Index remains above the Maturity Barrier), adverse market conditions in the equity market can lead to negative returns for the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s exposure to the Autocallables is obtained through one or more Swap Agreements with one or more qualified financial institutions (“Swap Counterparties”). These Swap Agreements reference the Autocallable Index, which is designed to reflect the aggregate performance of the entire Index Portfolio. Through this approach, the Fund obtains comprehensive exposure to the diversified portfolio of Autocallables via one or more derivative instruments.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will also utilize “box spreads” that consist of a synthetic long position coupled with an offsetting synthetic short position through a combination of options contracts (“Box Spreads”). A Box Spread is an offsetting set of options, which may include Flexible Exchange Options (“FLEX Options”).</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund may invest up to 25% of its total assets in a wholly-owned and controlled subsidiary that engages in investment activities in securities or other assets (a “Subsidiary”), organized under the laws of the Cayman Islands.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If determined necessary or advisable by the Fund, investment in the Subsidiary is expected to provide the Fund with exposure to the Autocallable Index within the limitations of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and Internal Revenue Service guidance. The Subsidiary may invest primarily in derivative instruments, including Swap Agreements.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Total Return Swaps</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">A total return swap is a financial agreement between two parties where one party agrees to make a single payment or periodic payments to the other party based on a fixed or variable interest rate in exchange for a single payment or periodic payments based on the total return of an underlying asset, which includes both the income it generates and any capital gains or losses. Total return swaps also may be used as a means of obtaining exposure in markets where the reference asset is unavailable or it may otherwise be impossible or impracticable for the Fund to own that asset. “Total return” refers to the payment (or receipt) of the total return on the underlying reference asset, which is then exchanged for the receipt (or payment) of an interest rate. To the extent the total return of the underlying asset exceeds or falls short of the offsetting interest rate obligation, one party will receive a payment from or make a payment to the other party, as applicable. Total return swaps provide the Fund with the additional flexibility of gaining exposure to a market or sector index in a potentially more economical way. The use of total return swaps may add leverage to the Fund’s portfolio.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s unfunded total return swap agreements will be entered into with one or more major financial institutions for a specified period ranging from one day to more than one year, whereby the Fund and the financial institution will agree to exchange or “swap” the return (or differentials in rates of return) earned or realized on the Autocallable Index. The Fund’s Swap Agreements are “unfunded” because the Fund does not make an upfront payment to the counterparty. Rather, the Fund and counterparty agree to exchange the total economic return of the Autocallable Index while the Fund provides a separate collateral basket to the counterparty. Unfunded total return swaps allow the Fund to gain economic exposure to the Autocallable Index without owning it directly or committing the full notional amount at the time the swap is entered into. The Fund expects to obtain exposure to the Autocallable Index through these unfunded total return swap agreements with a limited number of counterparties and will likely enter into swap agreements related to the Autocallable Index with a limited number of counterparties for the foreseeable future.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Box Spreads</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Box Spreads consists of a synthetic long position coupled with an offsetting synthetic short position through a combination of options contracts on a reference asset at the same expiration date. The synthetic long position consists of (i) buying a call option and (ii) selling a put option, each on the same reference asset and each with the same strike price and expiration date. The synthetic short position consists of (i) buying a put option and (ii) selling a call option, each on the same reference asset and each with the same expiration date as the synthetic long but with a different strike price from the synthetic long position. The difference between the strike prices of the synthetic long position and the synthetic short position determines the expiration value (or value at maturity) of the Box Spread. An important feature of the Box Spread construction process is that it seeks to eliminate market risk tied to price movements associated with the underlying options' reference asset. Once the Box Spread is initiated, its return from the initiation date through expiration will not change due to price movements in the underlying options' reference assets. The Fund may purchase Box Spreads on various indices or securities based on risk and return considerations. Box Spreads are expected to have return characteristics similar to cash equivalents.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">FLEX Options</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Flexible Exchange® Options (“FLEX Options”) are customizable exchange-traded option contracts guaranteed for settlement by the Options Clearing Corporation (the “OCC”). The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the “buyer for every seller and the seller for every buyer,” with the goal of protecting clearing members and options traders from counterparty risk. Although guaranteed for settlement by the OCC, FLEX Options are still subject to counterparty risk with the OCC and subject to the risk that the OCC may fail to perform the settlement of the FLEX Options due to bankruptcy or other adverse reasons. The FLEX Options that the Fund will hold and that reference the SPDR® S&amp;P 500® ETF Trust (“SPY”) will give the Fund the right or the obligation to either receive or deliver shares of SPY, or the right or the obligation to either receive or deliver a cash payment on the option </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">expiration date based upon the difference between SPY’s value and a strike price, depending on whether the option is a put or call option and whether the Fund purchases or sells the option. The Fund will purchase call options (giving the Fund the right to receive shares of SPY or a cash payment) and put options (giving the Fund the right to deliver shares of SPY or a cash payment), and may sell (i.e., write) call options (giving the Fund the obligation to deliver shares of SPY or a cash payment) and put options (giving the Fund the obligation to receive shares of SPY or a cash payment) in instances where it is deemed necessary or desirable to construct the Box Spread. In instances where the purchased call and put options are substantially in-the-money and the synthetic long and short positions comprising the Box Spread can effectively be constructed without writing call or put options, the Fund may elect not to write call or put options. The Fund intends to use FLEX Options in constructing Box Spreads. The Fund receives premiums in exchange for the written FLEX Options and pays premiums in exchange for the purchased FLEX Options. The OCC and securities exchanges on which the FLEX Options are listed do not charge ongoing fees to writers or purchasers of the FLEX Options during their life for continuing to hold the option contracts but may charge transaction fees.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Investment Structure Overview</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s investment approach centers on gaining exposure to a theoretical diversified portfolio of up to 52 synthetic Autocallables using one or more Swap Agreements that reference the Autocallable Index. Each of these Autocallables is linked to the performance of the Underlying Reference Index, which provides volatility-adjusted exposure to futures contracts. </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The returns are based on certain pre-defined payout and return characteristics described in more detail in the section below entitled “Index Portfolio Characteristics”. Each Autocallable’s return profile will be linked to the Underlying Reference Index as a whole and does not look-through to the individual constituents of such index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Index Portfolio Characteristics</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund provides investors with exposure to an index which is designed to reflect the aggregate total return of a theoretical portfolio of up to 52 synthetic Autocallables. Each synthetic Autocallable in the Index Portfolio may achieve one or both of the following payout and return characteristics depending on the performance of the Underlying Reference Index:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">fixed periodic payments on specified observation dates and/or at maturity if the level of the Underlying Reference Index is at or above the Coupon Barrier (as set forth below), but below the Autocallable Barrier on prior observation dates; or</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">as part of the Autocallables’ return, the Autocallable Index, and in turn the Fund may be exposed to the negative performance of the Underlying Reference Index in case the level of such Underlying Reference Index is below the Maturity Barrier at maturity.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Parameters</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable in the Index Portfolio will have the following key characteristics/parameters (the “Parameters”):</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">5-year tenor (Maturity);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">6-month initial Non-Callable Period from the date of issuance;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">U.S. Dollar denomination;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">70% Maturity Barrier (observed at maturity);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">70% Coupon Barrier (observed monthly);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Observation Dates: The Autocallable Barrier and Coupon Barrier are assessed monthly. The Maturity Barrier is assessed only on the final maturity date;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Coupon Payment</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Predetermined date on which the level of the Underlying Reference Index is compared to the Coupon Barrier. Coupon levels determined by prevailing market conditions with reference to a US equity quantitative index at the time a given Autocallable is added to the Index Portfolio; and</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Direct link to the performance of the Underlying Reference Index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each Autocallable in the Index Portfolio has three main components:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Call Feature</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Upon the expiration of each Autocallable’s Non-Callable Period, the Autocallable will automatically be called (i.e., mature early) prior to its scheduled maturity date if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on a monthly Observation Date.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Coupon</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. A coupon is paid monthly on the Autocallable if, on the monthly Observation Date, the performance of the Underlying Reference Index is at or above the Coupon Barrier. If the Underlying Reference Index falls below the Coupon Barrier on an Observation Date, no coupon will be paid for that period. A coupon memory feature will apply where any missed coupons between the last Observation Date where a coupon was paid and the current monthly Observation Date are paid together if the performance of the Underlying Reference Index is at or above the Coupon Barrier.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Principal Protection</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. If an Autocallable is not called prior to Maturity, the initial principal is fully protected if the Underlying Reference Index’s level is above the Maturity Barrier at maturity. If the Underlying Reference Index closes below the Maturity Barrier, principal loss for that Autocallable will be equivalent to the negative performance of the Underlying Reference Index measured over the life of the Autocallable.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">To efficiently gain exposure to this theoretical diversified portfolio of synthetic Autocallables, the Fund uses Swap Agreements with Swap Counterparties and the Autocallable Index as a reference for these Swap Agreements, which is designed to reflect the aggregate performance of the entire Index Portfolio (See the “Underlying Reference Index”).</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:93.194%"><tr><td style="width:1.0%"></td><td style="width:25.278%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.710%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.712%"></td><td style="width:0.1%"></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">PARAMETER</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">DESCRIPTION</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">SPECIFIC DATA</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Autocallable Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of the Underlying Reference Index, which if reached or exceeded on specified Observation Dates will cause the Autocallable to automatically mature.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">100% of the value of the Underlying Reference Index as at the date the Autocallable was included in the Portfolio.</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of with respect to the Underlying Reference Index which if reached or exceeded on specified Observation Dates will cause a fixed amount to be paid (the “Coupon”).</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">70% of the value of the Underlying Reference Index as at the date it is included in the Index Portfolio</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of the Underlying Reference Index above which on the Maturity Date of the Autocallable will result in the full repayment of principal.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">70% of the value of the Underlying Reference Index as at the date it is included in the Index Portfolio</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Autocallables Call Feature</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Predetermined dates on which the level of the Underlying Reference Index is compared to the Autocallable Barrier and the Coupon Barrier.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Contingent Principal Protection</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">A predetermined date on which the level of the Underlying Reference Index is compared to the Maturity Barrier.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The maturity date</span></td></tr><tr><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Contingent Coupon Payment</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Predetermined dates on which the level of the Underlying Reference Index is compared to the Coupon Barrier.</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly</span></td></tr></table></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:93.194%"><tr><td style="width:1.0%"></td><td style="width:25.278%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.710%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.712%"></td><td style="width:0.1%"></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The final observation date, on which the Autocallable terminates and the final cash flows are determined.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">5 years</span></td></tr><tr><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Percentage</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The percentage number that determines the size of the Coupon to be made on specified Observation Dates, if the relevant payout and return characteristics have been met (the “Coupon”).</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The Coupon rate is established via prevailing current market environments and specific parameters with the Underlying Reference Index.<br/></span></td></tr></table></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Once an Autocallable has been included in the Index Portfolio, the payout and return characteristics for such Autocallable can no longer be changed. Therefore, there is no discretion involved in the payout process for each Autocallable as such payout depends on the performance of the Underlying Reference Index on the specific observation dates.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">With regard to the Maturity Barrier, it should be noted that if on the Maturity Date, the level of the Underlying Reference Index is below the Maturity Barrier the amount of principal repaid will be reduced, as per the example below, which will negatively impact the overall value of the Autocallable Index and, in turn, the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">For example, noting the Maturity Barrier for an Autocallable is a hypothetical 60% of the level of an Underlying Reference Index as of the date the synthetic Autocallable is issued:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">if such Underlying Reference Index of such Autocallable falls by only 10% (i.e., to 90% of the level it was when the Autocallable was issued and which is still above the Maturity Barrier) then the negative performance of the Underlying Reference Index will not reduce amount of principal to be repaid;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">on the other hand, if such Underlying Reference Index falls by 45% (i.e., to 55% of the level it was at when the Autocallable was issued and which is below the Maturity Barrier), then at maturity the amount of principal to be repaid will have fallen by 45%.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">As the Fund is exposed to the Autocallables through the performance of the Index Portfolio under the Swap Agreement(s), any negative return of an Autocallable in the Index Portfolio will negatively impact the level of the Autocallable Index and, in turn, the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Portfolio Management and Rebalancing</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallable Index is managed through a systematic process, and the Fund gains exposure to the Autocallable Index through the use of Swap Agreements. The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables. This systematic approach seeks to benefit from (i) diversification of entry points across market cycles; (ii) minimization of timing risk associated with single-entry investments and (iii) maintaining consistent exposure to a theoretical portfolio of up to 52 synthetic Autocallables. Furthermore, by gaining exposure, via the Autocallable Index, to the total return of up to 52 Autocallables with staggered entry points, the Fund creates a theoretical diversified portfolio that seeks to (i) smooth income generation over time; (ii) reduce concentration risk in any single market entry point; and (iii) potentially lower overall portfolio volatility.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">While the Autocallable Index follows systematic rules for maintenance and replacement, the Adviser and/or Sub-Adviser actively oversee the Swap Counterparty exposure and creditworthiness, collateral management and optimization, the Fund’s overall portfolio risk characteristics as well as the execution quality and management of Swap Agreements.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">The Underlying Reference Index</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Key characteristics of the Underlying Reference Index include:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Volatility Target: Maintains a predetermined volatility target of 40%, which is designed to create a more consistent risk profile across varying market conditions. The Underlying Reference Index looks back at two defined observation periods for volatility measurement.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Dynamic Exposure Adjustment: Calculates exposure to E-mini S&amp;P 500 futures contracts based on the ratio of the target volatility to the observed market volatility, with a maximum exposure cap of 4x (400%). Exposure is implemented via E-mini S&amp;P 500 futures contracts.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Decrement: The Underlying Reference Index includes a fixed synthetic dividend (or “decrement”) of 4% per annum, which is applied daily to the Index value. This daily decrement equals the 4% annual rate divided by 360 days (approximately 1.1 basis points per day) and is subtracted from the Underlying Reference Index return regardless of the actual dividends paid by the constituent securities. In addition, the Underlying Reference Index is subject to notional financing costs and transaction costs. These costs, together with the Decrement, reduce the value of the Underlying Reference Index and may diminish positive returns or increase negative returns over time.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index is subject to the following imputed costs that are applied to the index value, deducted daily: (1) a notional financing cost of 0.10% per annum on the S&amp;P 500 Index futures that comprise the Underlying Reference Index, (2) a fixed synthetic dividend, or return decrement, of 4% per annum, and (3) a transaction cost 0.01% on the change in its notional exposure to the S&amp;P 500 Index futures that comprise the Underlying Reference Index. The Underlying Reference Index is intended to be an excess return index, and not a total return index. The annualized notional financing spread is an approximation of establishing notional exposure to the S&amp;P 500 Index through the futures contracts. The 4% per annum return decrement is further subtracted from the return of the Underlying Reference Index regardless of the actual dividends paid by the constituent securities of the S&amp;P 500. The transaction cost is meant to reflect the bid/ask cost incurred daily in adjusting the Underlying Reference Index's notional exposure to the S&amp;P 500 futures. These costs will reduce the performance of the Underlying Reference Index and may offset, in whole or in part, positive returns of the S&amp;P 500 futures while increasing the impact of negative returns. As a result, even during periods when the S&amp;P 500 futures generate little or no return, the value of the Underlying Reference Index is expected to decline as these costs are deducted on an ongoing basis.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Autocallable Index Methodology</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallable Index is designed to reflect the performance of a theoretical portfolio of synthetic Autocallables (the “Autocallables” which have the Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:7.15pt;font-weight:400;line-height:120%;position:relative;top:-3.85pt;vertical-align:baseline">SM </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Index as the reference underlying asset). The Autocallables in the theoretical portfolio follow predetermined terms including a five-year maturity period from issue date, a six-month non-call period from the issue date, and coupon payments every month. Each autocallable features conditional cash flows on specific monthly observation dates, with payments depending on whether the underlying asset is above or below specified thresholds, including a 100% autocallable barrier and certain principal and coupon barrier percentages. The Autocallable Index provider’s pricing model determines the present value of these synthetic securities accounting for prevailing market conditions and contemplates the reinvestment of cash flows.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables. The Index is calculated daily and is denominated in U.S. Dollars with the Index Base Value set at 100.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Index is composed of a theoretical portfolio of autocallable securities with the following characteristics:</span></div><div style="margin-bottom:6pt;text-align:justify"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:100.000%"><tr><td style="width:1.0%"></td><td style="width:26.816%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:70.984%"></td><td style="width:0.1%"></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%;text-decoration:underline">Specification</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%;text-decoration:underline">Autocallable Index</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Underlying Reference Index</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:6.5pt;font-weight:400;line-height:112%;position:relative;top:-3.5pt;vertical-align:baseline">SM </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Index</span></div></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity Date</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">5 years from the Issue Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Non-Call Period</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">6 months from the Issue Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Dates</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly from the Issue Date, up to and including the Maturity Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Autocallable Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">100%</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Principal Barrier Percentage</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">70%</span></td></tr><tr><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Barrier Percentage</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">70%</span></td></tr></table></div> You can lose money on your investment in the Fund. <div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Autocallable Structure Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s returns are correlated to the performance of a theoretical portfolio of synthetic autocallable instruments reflected by the Autocallable Index. Autocallable instruments have specific structural features that may be unfamiliar to many investors.</span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Contingent Income Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. 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.</span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Early Redemption Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Autocallables in the Index Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the Index Portfolio at lower rates if market yields have declined.</span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If the Underlying Reference Index falls below the Maturity Barrier at the maturity of an Autocallable in the Index Portfolio, that portion of the Index Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. For example, if the Underlying Reference Index has declined 45% at maturity of a particular Autocallable, the Index Portfolio allocated to that instrument would lose 45% of its value. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Contingent Income Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. 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.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Early Redemption Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Autocallables in the Index Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the Index Portfolio at lower rates if market yields have declined.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If the Underlying Reference Index falls below the Maturity Barrier at the maturity of an Autocallable in the Index Portfolio, that portion of the Index Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. For example, if the Underlying Reference Index has declined 45% at maturity of a particular Autocallable, the Index Portfolio allocated to that instrument would lose 45% of its value. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Box Spread Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If one or more of the individual option positions that comprise a Box Spread are modified or closed separately prior to the option contract’s expiration, then the Box Spread may no longer effectively eliminate risk tied to underlying reference asset’s price movement. Furthermore, the Box Spread’s value is derived in the market and is in part based on the time until the options comprising the Box Spread expire and the prevailing market interest rates. The Fund’s ability to utilize Box Spreads effectively is dependent on the availability and willingness of other market participants to sell Box Spreads to the Fund at competitive prices. If the Box Spread does not perform as intended, the Fund could have exposure to the underlying reference asset of the options comprising the Box Spread, which is expected to be the SPY. In such a scenario, the Fund would be subject to the risks of equity securities markets. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant equity market, such as market volatility, or when political or economic events affecting an issuer occur.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Calculation Methodology Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index and the Autocallable Index employ complex calculation methodologies that may not perform as expected under certain market conditions.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Cash Holdings Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> To the extent the Fund holds cash positions, the Fund risks achieving lower returns and potential lost opportunities to participate in market appreciation which could negatively impact the Fund’s performance and ability to achieve its investment objective.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Cash Transactions Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund currently expects to effect a significant portion of its creations and redemptions for cash, rather than in-kind securities. Paying redemption proceeds in cash rather than through in-kind delivery of portfolio securities may require the Fund to dispose of or sell portfolio securities or other assets at an inopportune time to obtain the cash needed to meet redemption orders. This may cause the Fund to sell a security and recognize a capital gain or loss that might not have been incurred if it had made a redemption in-kind. As a result, the Fund may pay out higher or lower annual capital gains distributions than ETFs that redeem in-kind. The use of cash creations and redemptions may also cause Fund Shares to trade in the market at greater bid-ask spreads or greater premiums or discounts to the Fund’s NAV. Furthermore, the Fund may not be able to execute cash transactions for creation and redemption purposes at the same price used to determine the Fund’s NAV. To the extent that the maximum additional charge for creation or redemption transactions is insufficient to cover the execution shortfall, the Fund’s performance could be negatively impacted.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Correlation Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s return is not likely to match the expected returns of the Index Portfolio or the return of the Autocallable Index for a number of reasons, including the payment of periodic distributions to investors, operating expenses, transaction costs, cash management, market conditions, and differences in calculation methodologies.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Counterparty Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will be subject to credit risk with respect to the counterparties to the derivative contracts (primarily Swap Agreements) entered into by the Fund. The Fund’s exposure to the Index Portfolio is </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">obtained entirely through Swap Agreements with Swap Counterparties. If a Swap Counterparty becomes bankrupt or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery, may obtain only a limited recovery, or may obtain no recovery at all. Unlike directly held securities, the Fund’s holdings consist primarily of contractual claims against Swap Counterparties, making the Fund particularly vulnerable to counterparty failure. Even temporary disruptions in a Swap Counterparty’s ability to perform under Swap Agreements could significantly impact Fund performance. The Fund may have substantial exposure to a single, or a limited number of, Swap Counterparty(ies), which may result in the Fund being more susceptible to a single economic or regulatory occurrence affecting such Swap Counterparty(ies).</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Coupon Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The payment of coupons on an Autocallable Contract depends on the value of the Underlying Reference Index meeting or exceeding the Coupon Barrier on each Observation Date. If the Underlying Reference Index falls below the Coupon Barrier on any Observation Date, the Fund will forfeit the coupon payment for that period. It is possible that the Underlying Reference Index may remain below the Coupon barrier for extended periods, resulting in the Fund receiving few or no coupon payments under an Autocallable Contract. This could reduce the Fund’s income and adversely affect its overall return.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Credit Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s collateral investments may be subject to credit risk, which is the risk that an issuer or counterparty will fail to pay principal or interest when due.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Derivatives Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Derivatives include instruments and contracts that are based on, and are valued in relation to, one or more underlying securities, financial benchmarks or indices, such as swap agreements. Derivatives typically have economic leverage inherent in their terms. Adverse changes in the value or level of the underlying asset or index, which the Fund may not directly own, can result in a loss to the Fund substantially greater than the amount invested in the derivative itself. The use of derivative instruments also exposes the Fund to additional risks and transaction costs. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Fund could lose more than the principal amount invested.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Distribution Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> As part of the Fund’s investment objectives, the Fund seeks to provide current income. There is no assurance that the Fund will make a distribution at any given time. If the Fund does make distributions, the amounts of such distributions may vary materially from one distribution to the next. Additionally, the distributions, if any, may consist of returns of capital, which would decrease the Fund’s NAV and trading price over time. As a result, an investor may suffer significant losses to their investment.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Distribution Tax Risk.</span> The Fund currently expects to make distributions on a regular basis. While the Fund will normally pay its income as distributions, the Fund’s distributions may exceed the Fund’s income and gains for the Fund’s taxable year. The Fund may be required to reduce its distributions if it has insufficient income. Additionally, there may be times the Fund needs to sell securities when it would not otherwise do so and could cause the distributions from that sale to constitute return of capital. Distributions in excess of the Fund’s current and accumulated earnings and profits will be treated as a return of capital. Return of capital distributions do not represent income or gains generated by the Fund’s investment activities and should not be interpreted by shareholders as such. Distributions in excess of the Fund’s minimum distribution requirements, but not in excess of the Fund’s earnings and profits, will be taxable to Fund shareholders and will not constitute nontaxable returns of capital. A return of capital distribution generally will not be taxable but will reduce the shareholder’s cost basis and will result in a higher capital gain or lower capital loss when those Fund shares on which the distribution was received are sold. Once a Fund shareholder’s cost basis is reduced to zero, further distributions will be treated as capital gain, if the Fund shareholder holds shares of the Fund as capital assets. Additionally, any capital returned through distributions will be distributed after payment of Fund fees and expenses. Because the Fund’s distributions may consist of return of capital, the Fund may not be an appropriate investment for investors who do not want their principal investment in the Fund to decrease over time or who do not wish to receive return of capital in a given period. In the event that a shareholder purchases shares of the Fund shortly before a distribution by the Fund, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Equity Securities Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The securities markets are volatile. The Fund’s exposure to the Underlying Reference Index subjects it to risks associated with equity markets. The value of the Underlying Reference Index may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the U.S. equity markets generally or particular segments </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">of the market. If the market prices of the securities to which the Underlying Reference Index is exposed decline, the value of your investment in the Fund will decline.</span></div> <div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">ETF Risks.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is an ETF and, as a result of an ETF’s structure, is exposed to the following risks: </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Authorized Participants (“APs”), Market Makers, and Liquidity Providers Concentration Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund has a limited number of financial institutions that may act as APs. In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Costs of Buying or Selling Shares of the Fund.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Due to the costs of buying or selling shares of the Fund, including brokerage commissions imposed by brokers and bid/ask spreads, frequent trading of shares of the Fund may significantly reduce investment results and an investment in shares of the Fund may not be advisable for investors who anticipate regularly making small investments. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Shares of the Fund May Trade at Prices Other Than NAV.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> As with all ETFs, shares of the Fund may be bought and sold in the secondary market at market prices. The price of shares of the Fund, like the price of all traded securities, will be subject to factors such as supply and demand, as well as the current value of the Fund’s portfolio holdings. Although it is expected that the market price of the shares of the Fund will approximate the Fund’s NAV, there may be times when the market price of the shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount). This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for shares in the secondary market, in which case such premiums or discounts may be significant. Shares of the Fund will be bought and sold in the secondary market at market prices. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Trading.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Although shares of the Fund are listed for trading on a national securities exchange, such as the Nasdaq Stock Market LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that shares of the Fund will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of shares of the Fund may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than shares of the Fund, and this could lead to differences between the market price of the shares of the Fund and the underlying value of those shares. The Fund’s shares may trade at prices substantially different from NAV during periods of market stress or when the complex underlying derivatives are difficult to value. In addition, trading in Fund Shares on the Exchange may be halted.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Authorized Participants (“APs”), Market Makers, and Liquidity Providers Concentration Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span>The Fund has a limited number of financial institutions that may act as APs. In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Costs of Buying or Selling Shares of the Fund.</span> Due to the costs of buying or selling shares of the Fund, including brokerage commissions imposed by brokers and bid/ask spreads, frequent trading of shares of the Fund may significantly reduce investment results and an investment in shares of the Fund may not be advisable for investors who anticipate regularly making small investments. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Shares of the Fund May Trade at Prices Other Than NAV.</span> As with all ETFs, shares of the Fund may be bought and sold in the secondary market at market prices. The price of shares of the Fund, like the price of all traded securities, will be subject to factors such as supply and demand, as well as the current value of the Fund’s portfolio holdings. Although it is expected that the market price of the shares of the Fund will approximate the Fund’s NAV, there may be times when the market price of the shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount). This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for shares in the secondary market, in which case such premiums or discounts may be significant. Shares of the Fund will be bought and sold in the secondary market at market prices. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Trading.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Although shares of the Fund are listed for trading on a national securities exchange, such as the Nasdaq Stock Market LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that shares of the Fund will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of shares of the Fund may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than shares of the Fund, and this could lead to differences between the market price of the shares of the Fund and the underlying value of those shares. The Fund’s shares may trade at prices substantially different from NAV during periods of market stress or when the complex underlying derivatives are difficult to value. In addition, trading in Fund Shares on the Exchange may be halted.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Fixed Income Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for long-term securities than for short-term securities. In recent periods, governmental financial regulators, including the U.S. Federal Reserve, have taken steps to increase interest rates. Changes in government intervention may have adverse effects on investments, volatility, and the liquidity of debt markets.</span><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Call Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> During periods of falling interest rates, an issuer of a callable bond held by the Fund may “call” or repay the security prior to its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Credit Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Credit risk refers to the possibility that the issuer of a security will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of an investment in that issuer. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Event Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Event risk is the risk that corporate issuers may undergo restructurings, such as mergers, leveraged buyouts, takeovers, or similar events financed by increased debt. As a result of the added debt, the credit quality and market value of a company’s bonds and/or other debt securities may decline significantly. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Extension Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these securities to fall. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Interest Rate Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for long-term securities than for short-term securities. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets. </span></div><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Prepayment Risk.</span> When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the proceeds may have to be invested in securities with lower yields. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Call Risk.</span> During periods of falling interest rates, an issuer of a callable bond held by the Fund may “call” or repay the security prior to its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Credit Risk.</span> Credit risk refers to the possibility that the issuer of a security will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of an investment in that issuer. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Event Risk.</span> Event risk is the risk that corporate issuers may undergo restructurings, such as mergers, leveraged buyouts, takeovers, or similar events financed by increased debt. As a result of the added debt, the credit quality and market value of a company’s bonds and/or other debt securities may decline significantly. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Extension Risk.</span> When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these securities to fall. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Interest Rate Risk.</span> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for long-term securities than for short-term securities. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Prepayment Risk.</span> When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the proceeds may have to be invested in securities with lower yields. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">FLEX Options Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Trading FLEX Options involves risks different from, and possibly greater than, the risks associated with investing directly in securities or in other types of options. FLEX Options, like other listed options, are traded on the U.S. options markets and are issued by OCC. However, unlike other options, the terms of FLEX Options are not all standardized. When a FLEX Option is purchased and sold in an opening transaction, the parties to the transaction have the flexibility, within limitations set forth in the rules of the options market on which the transaction occurs, to fix certain of the option’s terms. The flexibility to fix certain terms is what makes FLEX Options different from other types of options. Because many of the terms of FLEX Options are not standardized, it is less likely that there will be an active secondary market in which holders and writers of such options will be able to close out their positions by offsetting sales and purchases. Because FLEX Options have variable terms that are fixed by the parties, there are no pre-established series of FLEX Options. Rather, any different series of FLEX Options may be created and outstanding at any given time as a result of the various designations of variable terms that are made in different transactions. Secondary trading interest in FLEX Options may therefore be spread over a larger number of series than the trading interest in other options, the trading interest in any particular series of FLEX Options may be very limited, the secondary markets in FLEX Options may be less deep, liquid and continuous than the markets in other options on the same underlying interests, and the premiums for FLEX Options may not correlate with premiums for such other options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund’s FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund Shares and result in the Fund being unable to achieve its investment objective. Less liquidity in the trading of the Fund’s FLEX Options could have an impact on the prices paid or received by the Fund for the FLEX Options in connection with creations and redemptions of the Fund Shares. Depending on the nature of this impact to pricing, the Fund may be forced to pay more for redemptions (or receive less for creations) than the price at which it currently values the FLEX Options. Such overpayment or under collection may impact the value of the Fund and whether the Fund can satisfy its investment objective. Additionally, in a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">traded options, non-customized options or other securities. The Fund also is subject to the risk that the OCC will become insolvent or otherwise be unable to meet its obligations, which could cause the Fund to suffer losses which may be significant. </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The value of FLEX Options will be affected by, among others, changes in the underlying share or equity index price, changes in the actual and implied interest rates, changes in the actual and implied volatility of the underlying shares or equity index and the remaining time to until the FLEX Options expire. The value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the FLEX Options becomes more difficult and the judgement of the Fund’s Sub-Adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund’s holdings due to reduced availability of reliable objective pricing data.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Index Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index employs a volatility targeting mechanism which may not perform as expected. The Underlying Reference Index may reduce equity exposure during periods that subsequently see strong </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">equity performance, potentially limiting upside participation. The rebalancing frequency may not respond quickly enough to rapid market changes.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">There can be no guarantee that the Underlying Reference Index or the Autocallable Index will be maintained indefinitely or that the Fund will be able to continue to utilize the Underlying Reference Index or the Autocallable Index to implement the Fund’s principal investment strategies indefinitely. If necessary, the Adviser or the Fund’s Board of Trustees may substitute the Underlying Reference Index or the Autocallable Index with another index that it chooses in its sole discretion and without advance notice to shareholders. There can be no assurance that any substitute index so selected will perform in a manner similar to the Underlying Reference Index or the Autocallable Index, as applicable. Unavailability of either index could affect adversely the ability of the Fund to achieve its investment objective.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Index Provider Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> There is no assurance that the Index Provider for the Autocallable Index or the Underlying Reference Index, or any agents that act on their behalf, will compile the Autocallable Index or the Underlying Reference Index accurately, or that the Autocallable Index or the Underlying Reference Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. The Adviser and the Sub-Adviser relies upon the Index Provider and its agents to accurately compile, maintain, construct, reconstitute, rebalance, compose, calculate and disseminate the Autocallable Index and the Underlying Reference Index accurately. Therefore, losses or costs associated with the Index Provider or agent errors generally will be borne by the Fund and its shareholders. Errors with respect to the quality, accuracy and completeness of the data used to compile the Autocallable Index and the Underlying Reference Index may occur from time to time and may not be identified and corrected by the Index Provider for a period of time or at all, particularly where the Autocallable Index and the Underlying Reference Index is less commonly used as a benchmark by funds or advisers. The Index Provider and its agents rely on various sources of information to assess the criteria of the Index Portfolio included in the Autocallable Index and the underlying constituents of the Underlying Reference Index, including information that may be based on assumptions and estimates. The Fund, the Adviser, and the Sub-Adviser cannot offer assurances that the calculation methodology or sources of information will provide an accurate assessment of included constituents. Unusual market conditions may cause the Index Provider to postpone a scheduled rebalance, exclude or substitute a constituent or undertake other measures which could cause the Autocallable Index or the Underlying Reference Index to vary from its normal or expected composition.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Interest Rate Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The value of the Fund’s fixed income investments may be affected by changes in interest rates. When interest rates rise, the value of fixed income investments generally falls.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Laddered Portfolio Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The laddered portfolio strategy may not perform as expected if market conditions remain unfavorable over an extended period, multiple Autocallable instruments may experience losses simultaneously and/or the weekly rebalancing mechanism may result in suboptimal entry points during rapidly changing markets.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Liquidity Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Liquidity risk exists when particular investments are difficult to purchase or sell. The Fund’s investments in illiquid securities may reduce the returns of the Fund because it may be unable to sell the illiquid securities at an advantageous time or price.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Management Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is subject to management risk because it is an actively managed portfolio. In managing the Fund’s investment portfolio, the portfolio managers will apply investment techniques and risk analyses that may not produce the desired result. There can be no guarantee that the Fund will meet its investment objective.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Market Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Market risk is the risk that a particular security, or Shares in general, may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates, and perceived trends in securities prices. Shares could decline in value or underperform other investments. In addition, local, regional, or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on the Fund and its investments. Such events may affect certain geographic regions, countries, sectors, and industries more significantly than others. Such events could adversely affect the prices and liquidity of the Fund’s portfolio securities or other instruments and could result in disruptions in the trading markets.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">New Fund Risk. </span>The Fund is new with no operating history. As a result, there can be no assurance that the Fund will grow to or maintain an economically viable size, in which case it may experience greater tracking error to its Index than it otherwise would at higher asset levels, or it could ultimately liquidate. The Fund’s distributor does not maintain a secondary market in Fund shares. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Non-Diversification Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. As a result, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer or a smaller number of issuers than a fund that invests more widely. This may increase the Fund’s volatility and cause the performance of a relatively smaller number of issuers to have a greater impact on the Fund’s performance.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Potentially Limited Upside Participation Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Unlike a direct investment in an Underlying Reference Index or the securities comprising such index, autocallable instruments generally do not provide participation in the appreciation of the Underlying Reference Index. The positive return potential of an autocallable instrument is generally limited and does not reflect the full appreciation of the Underlying Reference Index. As a result, during periods of strong positive market performance, the Fund may significantly underperform the applicable Underlying Reference Index and investments that provide direct participation in equity market gains.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Swap Agreement Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Swap agreements are a type of derivative instrument that subjects the Fund to counterparty credit, liquidity, and correlation risks, including that: (i) the Fund may not be able to enter into replacement swap agreements on acceptable terms in the event a current swap is terminated (ii) unfunded swap agreements may involve greater leverage risks than funded swaps; (iii) the swap agreement may not reflect the performance of the Autocallable Index or the Underlying Reference Index as expected due to differences in calculation methods or expenses; and (iv) during market disruptions, the Fund may be unable to enter into new swap agreements or adjust existing positions at favorable prices. In volatile markets, the Fund may not be able to close out a position without incurring a significant amount of loss.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Swap Agreement Termination Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">A Swap Counterparty may be entitled to terminate the Swap Agreement at its then current market value upon the occurrence of certain extraordinary market events or at its discretion upon notice to the Fund. Under such circumstances, if the Adviser and/or Sub-Adviser is unable to enter into new Swap Agreements with a suitable Swap Counterparty on acceptable terms, the Adviser and/or Sub-Adviser may recommend to the Board of Trustees to immediately liquidate the Fund. A liquidation can be initiated by the Board of Trustees without a shareholder vote. While shareholder interests will be the paramount consideration in a liquidation under such circumstances, the timing of the liquidation may not be favorable to certain individual shareholders.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Tax Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund intends to elect and to qualify each year to be treated as a regulated investment company (“RIC”) under Subchapter M of the Code. To qualify and maintain its status as a RIC, the Fund must derive at least 90% of its gross income each year from “qualifying income,” meet certain diversification tests at the end of each quarter and meet an annual distribution test. For purposes of the qualifying income requirement, the treatment of the swaps and other derivatives that provide exposure to the synthetic Autocallables is not entirely clear, and thus whether the income and gain therefrom is qualifying income is uncertain. If the Fund were to treat income or gain from particular instruments linked to the synthetic Autocallables as qualifying income, an adverse determination or future guidance by the Internal Revenue Service with respect to the treatment of income or gain from those investments may adversely affect the Fund’s ability to qualify as a RIC. For purposes of the diversification test, the identification of the issuer (or, in some cases, issuers) of a particular Fund investment can depend on the terms and conditions of that investment. In particular, there is no published Internal Revenue Service guidance or case law on how to determine the “issuer” of certain derivatives that the Fund will enter into. An adverse determination or future guidance by the Internal Revenue Service with respect to issuer identification for the Fund’s investments may adversely affect the Fund’s ability to qualify as a RIC. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed.</span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Additionally, the authority with regard to swap agreements entered into by RICs is unclear both as to the qualification under the income test and the identification of the issuer under the diversification test. The Fund intends to take the position that because the swap agreements held by the Fund reference securities that the income on the swap </span></div><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">agreements are “other income” from the Fund’s business of investing in stocks and securities. In addition, the Fund intends to manage its investments in the swap agreements so that neither the exposure to the issuer of the referenced security nor the exposure to any one counterparty of the swap agreements will exceed 25% of the gross value of the Fund’s portfolio at the end of any quarter of a taxable year.</span></div><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Additionally, Code Section 1258 requires that certain capital gain from an investment be recharacterized as ordinary income if substantially all of the expected return is attributable to the time value of holding the investment and such investment falls into certain defined categories (a “conversion transaction”). If any of the Fund’s transactions or a shareholder’s holding of Shares were deemed to be conversion transactions, certain gains from such transactions or Shares would be treated as ordinary income, which could result respectively in the Fund having not distributed enough income to qualify as a RIC (with the same tax consequences described above) or gain on the disposition of Shares being treated as ordinary income. No assurance can be given that the IRS or a court will not treat any such transactions by the Fund or the holding of Shares as conversion transactions.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Valuation Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The complex nature of autocallable structures and volatility-targeted indices may make accurate valuation difficult during market stress, potentially leading to significant premiums or discounts to NAV. In addition, during periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the Swap Agreements may become more difficult.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Volatility Risk. </span>Volatility is the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. The Fund may invest in securities or financial instruments that exhibit more volatility than the market as a whole. Such exposures could cause the Fund’s net asset value to experience significant increases or declines in value over short periods of time. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Wholly-Owned Subsidiary Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">As determined necessary or advisable by the Fund, the Fund may invest a portion of its assets in a wholly-owned subsidiary (each, a “Subsidiary”), organized under the laws of the Cayman Islands. Investment in the Subsidiary is expected to provide the Fund with exposure to the Autocallable Index within the limitations of Subchapter M of the Code and Internal Revenue Service guidance. The Subsidiary may invest primarily in derivative instruments, including Swap Agreements. To the extent that the Fund invests in the Subsidiary, the Fund may be subject to the risks associated with the above-mentioned derivative instruments and other securities, which are discussed elsewhere in the Fund’s Prospectus and this SAI. To comply with the asset diversification test applicable to a RIC (discussed elsewhere in this SAI), the Fund intends to limit its investments in such subsidiary to 25% of the Fund’s total assets at the end of each taxable quarter.</span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Although the Subsidiary may be considered similar to investment companies, it is not registered under the 1940 Act and, unless otherwise noted in the Fund’s Prospectus and this SAI, is not subject to all of the investor protections of the 1940 Act and other U.S. regulations. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or a Subsidiary to operate as described in the Fund’s Prospectus and SAI and could negatively affect the Fund and its shareholders.</span></div> Fund Performance <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Performance information for the Fund is not included because the Fund did not commence operations prior to the date of this Prospectus. In the future, performance information for the Fund will be presented in this section. Updated performance information will be available on the Fund’s website at www.PacerETFs.com or by calling the Fund toll-free at 1-800-617-0004.</span></div> Performance information for the Fund is not included because the Fund did not commence operations prior to the date of this Prospectus. www.PacerETFs.com 1-800-617-0004 Investment Objective <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Pacer Metaurus Enhanced Core Income Autocallable ETF (the “Fund”) seeks to generate monthly income and provide reduced downside risk through exposure to the Metaurus Enhanced Core Income Autocallable Total Return Index (the “Autocallable Index”).</span> Pacer Metaurus Enhanced Core Income Autocallable ETF Fees and Expenses of the Fund <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The following table describes the fees and expenses you may pay if you buy, hold, and sell shares of the Fund (“Shares”). </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the tables and examples below.</span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0.0060 0 0.0000 0.0060 Example The following example is intended to help retail investors compare the cost of investing in the Fund with the cost of investing in other funds. It illustrates the hypothetical expenses that such investors would incur over various periods if they were to invest $10,000 in the Fund for the time periods indicated and then redeem all of the Shares at the end of those periods. This example assumes that the Fund provides a return of 5% a year and that operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 61 192 Portfolio Turnover <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund Shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the example, affect the Fund’s performance. Because the Fund is newly organized, portfolio turnover information is not yet available.</span></div> Principal Investment Strategies of the Fund <div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Pacer Advisors, Inc. (the “Adviser”) serves as the Fund’s investment adviser, and Metaurus Advisors LLC (“Metaurus” or the “Sub-Adviser”) serves as the Fund’s investment sub-adviser.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will not attempt to replicate or track the Autocallable Index, but will instead use financial instruments such as unfunded Swap Agreements to gain exposure to the performance of the Autocallable Index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund intends to make periodic distributions to investors in amounts that are determined in part by reference to the Autocallable Index. The Autocallable Index is designed to reflect the collective performance of a theoretical portfolio of up to 52 synthetic Autocallables arranged in a laddered structure with staggered entry points with similar fixed parameters (the “Parameters”) as described below within the section entitled “Index Portfolio Characteristics”. </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallables’ coupon payments, principal repayment timing and principal value at maturity, and ultimately the Fund’s total return, is contingent and with respect to principal value at maturity, based on the performance of the Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:7.15pt;font-weight:400;line-height:120%;position:relative;top:-3.85pt;vertical-align:baseline">SM</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Index, a rules-based systematic index (the “Underlying Reference Index”), which provides volatility adjusted exposure to E-Mini S&amp;P 500 futures contracts. The Fund’s portfolio will be comprised of Swap Agreements, U.S. Treasuries, cash, cash equivalents, “box spreads” (or similar instruments). In order to meet its margin requirements on the Swap Agreements, the Fund may allocate all or a significant portion of its cash to investments in U.S. Treasury Securities and cash equivalents, such as commercial paper, money market instruments, bank certificates of deposit and banker’s acceptances.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index provides volatility adjusted exposure to equity futures contracts rebalanced daily. During calm or typical market environments, the Underlying Reference Index increases exposure to equity futures while during volatile market periods, the Underlying Reference Index reduces exposure to equity futures.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable is designed to pay a percentage of the notional amount allocated to that Autocallable at certain set observation dates (e.g., monthly, noting the monthly observation dates are specific to each Autocallable) (a “Coupon”), provided that the Underlying Reference Index remains within certain predefined levels. If on specified monthly observation dates the Underlying Reference Index reaches or exceeds a certain level (the “Autocallable Barrier”) then the synthetic Autocallable will automatically mature (i.e., autocalled). The Coupon is intended to be paid even when the Underlying Reference Index experiences a certain amount of negative performance, but only down to a certain predetermined level (the “Coupon Barrier”). If the performance of the Underlying Reference Index is below the Coupon Barrier on any observation date no Coupon is paid for that then-ended observation period.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable is subject to a six-month non-callable period from the date of issuance (the “Non-Callable Period”). Each synthetic Autocallable incorporates a principal protection feature so that, if the Underlying Reference Index has not reached or exceeded the Autocallable Barrier before the scheduled maturity date, any negative performance below the Autocallable Barrier as at the maturity date will not have any negative impact on the return of principal under the synthetic Autocallable, provided the Underlying Reference Index is not below a certain predetermined level at maturity (the “Maturity Barrier”). Only if the Underlying Reference Index is below that Maturity Barrier at maturity will the Autocallable Index, and in turn investors, be exposed to the full downside performance of the Underlying Reference Index at maturity. Therefore, while synthetic Autocallables may preserve capital in certain negative market conditions (i.e., if the Underlying Reference Index remains above the Maturity Barrier), adverse market conditions in the equity market can lead to negative returns for the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s exposure to the Autocallables is obtained through one or more Swap Agreements with one or more qualified financial institutions (“Swap Counterparties”). These Swap Agreements reference the Autocallable Index, which is designed to reflect the aggregate performance of the entire Index Portfolio. Through this approach, the Fund obtains comprehensive exposure to the diversified portfolio of Autocallables via one or more derivative instruments.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will also utilize “box spreads” that consist of a synthetic long position coupled with an offsetting synthetic short position through a combination of options contracts (“Box Spreads”). A Box Spread is an offsetting set of options, which may include Flexible Exchange Options (“FLEX Options”).</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund may invest up to 25% of its total assets in a wholly-owned and controlled subsidiary that engages in investment activities in securities or other assets (a “Subsidiary”), organized under the laws of the Cayman Islands.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If determined necessary or advisable by the Fund, investment in the Subsidiary is expected to provide the Fund with exposure to the Autocallable Index within the limitations of Subchapter M of the Internal Revenue Code of 1986, as amended (the </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">“Code”) and Internal Revenue Service guidance. The Subsidiary may invest primarily in derivative instruments, including Swap Agreements.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Total Return Swaps</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">A total return swap is a financial agreement between two parties where one party agrees to make a single payment or periodic payments to the other party based on a fixed or variable interest rate in exchange for a single payment or periodic payments based on the total return of an underlying asset, which includes both the income it generates and any capital gains or losses. Total return swaps also may be used as a means of obtaining exposure in markets where the reference asset is unavailable or it may otherwise be impossible or impracticable for the Fund to own that asset. “Total return” refers to the payment (or receipt) of the total return on the underlying reference asset, which is then exchanged for the receipt (or payment) of an interest rate. To the extent the total return of the underlying asset exceeds or falls short of the offsetting interest rate obligation, one party will receive a payment from or make a payment to the other party, as applicable. Total return swaps provide the Fund with the additional flexibility of gaining exposure to a market or sector index in a potentially more economical way. The use of total return swaps may add leverage to the Fund’s portfolio.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s unfunded total return swap agreements will be entered into with one or more major financial institutions for a specified period ranging from one day to more than one year, whereby the Fund and the financial institution will agree to exchange or “swap” the return (or differentials in rates of return) earned or realized on the Autocallable Index. The Fund’s Swap Agreements are “unfunded” because the Fund does not make an upfront payment to the counterparty. Rather, the Fund and counterparty agree to exchange the total economic return of the Autocallable Index while the Fund provides a separate collateral basket to the counterparty. Unfunded total return swaps allow the Fund to gain economic exposure to the Autocallable Index without owning it directly or committing the full notional amount at the time the swap is entered into. The Fund expects to obtain exposure to the Autocallable Index through these unfunded total return swap agreements with a limited number of counterparties and will likely enter into swap agreements related to the Autocallable Index with a limited number of counterparties for the foreseeable future.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Box Spreads</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Box Spreads consists of a synthetic long position coupled with an offsetting synthetic short position through a combination of options contracts on a reference asset at the same expiration date. The synthetic long position consists of (i) buying a call option and (ii) selling a put option, each on the same reference asset and each with the same strike price and expiration date. The synthetic short position consists of (i) buying a put option and (ii) selling a call option, each on the same reference asset and each with the same expiration date as the synthetic long but with a different strike price from the synthetic long position. The difference between the strike prices of the synthetic long position and the synthetic short position determines the expiration value (or value at maturity) of the Box Spread. An important feature of the Box Spread construction process is that it seeks to eliminate market risk tied to price movements associated with the underlying options' reference asset. Once the Box Spread is initiated, its return from the initiation date through expiration will not change due to price movements in the underlying options' reference assets. The Fund may purchase Box Spreads on various indices or securities based on risk and return considerations. Box Spreads are expected to have return characteristics similar to cash equivalents.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">FLEX Options</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Flexible Exchange® Options (“FLEX Options”) are customizable exchange-traded option contracts guaranteed for settlement by the Options Clearing Corporation (the “OCC”). The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the “buyer for every seller and the seller for every buyer,” with the goal of protecting clearing members and options traders from counterparty risk. Although guaranteed for settlement by the OCC, FLEX Options are still subject to counterparty risk with the OCC and subject to the risk that the OCC may fail to perform the settlement of the FLEX Options due to bankruptcy or other adverse reasons. The FLEX Options that the Fund will hold and that reference the SPDR® S&amp;P 500® ETF Trust (“SPY”) will give the Fund the right or the obligation to either receive or deliver shares of SPY, or the right or the obligation to either receive or deliver a cash payment on the option expiration date based upon the difference between SPY’s value and a strike price, depending on whether the option is a put or call option and whether the Fund purchases or sells the option. The Fund will purchase call options (giving the Fund the right to receive shares of SPY or a cash payment) and put options (giving the Fund the right to deliver shares of SPY or a cash payment), and may sell (i.e., write) call options (giving the Fund the obligation to deliver shares of SPY or </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">a cash payment) and put options (giving the Fund the obligation to receive shares of SPY or a cash payment) in instances where it is deemed necessary or desirable to construct the Box Spread. In instances where the purchased call and put options are substantially in-the-money and the synthetic long and short positions comprising the Box Spread can effectively be constructed without writing call or put options, the Fund may elect not to write call or put options. The Fund intends to use FLEX Options in constructing Box Spreads. The Fund receives premiums in exchange for the written FLEX Options and pays premiums in exchange for the purchased FLEX Options. The OCC and securities exchanges on which the FLEX Options are listed do not charge ongoing fees to writers or purchasers of the FLEX Options during their life for continuing to hold the option contracts but may charge transaction fees.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Investment Structure Overview</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s investment approach centers on gaining exposure to a theoretical diversified portfolio of up to 52 synthetic Autocallables using one or more Swap Agreements that reference the Autocallable Index. Each of these Autocallables is linked to the performance of the Underlying Reference Index, which provides volatility-adjusted exposure to futures contracts. </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The returns are based on certain pre-defined payout and return characteristics described in more detail in the section below entitled “Index Portfolio Characteristics”. Each Autocallable’s return profile will be linked to the Underlying Reference Index as a whole and does not look-through to the individual constituents of such index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Index Portfolio Characteristics</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund provides investors with exposure to an index which is designed to reflect the aggregate total return of a theoretical portfolio of up to 52 synthetic Autocallables. Each synthetic Autocallable in the Index Portfolio may achieve one or both of the following payout and return characteristics depending on the performance of the Underlying Reference Index:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">fixed periodic payments on specified observation dates and/or at maturity if the level of the Underlying Reference Index is at or above the Coupon Barrier (as set forth below), but below the Autocallable Barrier on prior observation dates; or</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">as part of the Autocallables’ return, the Autocallable Index, and in turn the Fund may be exposed to the negative performance of the Underlying Reference Index in case the level of such Underlying Reference Index is below the Maturity Barrier at maturity.</span></div><div style="margin-bottom:6pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Parameters</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each synthetic Autocallable in the Index Portfolio will have the following key characteristics/parameters (the “Parameters”):</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">5-year tenor (Maturity);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">6-month initial Non-Callable Period from the date of issuance;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">U.S. Dollar denomination;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">50% Maturity Barrier (observed at maturity);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">50% Coupon Barrier (observed monthly);</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Observation Dates: The Autocallable Barrier and Coupon Barrier are assessed monthly. The Maturity Barrier is assessed only on the final maturity date;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Coupon Payment</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Predetermined date on which the level of the Underlying Reference Index is compared to the Coupon Barrier. Coupon levels determined by prevailing market conditions with reference to a US equity quantitative index at the time a given Autocallable is added to the Index Portfolio; and</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Direct link to the performance of the Underlying Reference Index.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Each Autocallable in the Index Portfolio has three main components:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Call Feature</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Upon the expiration of each Autocallable’s Non-Callable Period, the Autocallable will automatically be called (i.e., mature early) prior to its scheduled maturity date if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on a monthly Observation Date.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Coupon</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. A coupon is paid monthly on the Autocallable if, on the monthly Observation Date, the performance of the Underlying Reference Index is at or above the Coupon Barrier. If the Underlying Reference Index falls below the Coupon Barrier on an Observation Date, no coupon will be paid for that period. A coupon memory feature will apply where any missed coupons between the last Observation Date where a coupon was paid and the current monthly Observation Date are paid together if the performance of the Underlying Reference Index is at or above the Coupon Barrier.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.15pt">Contingent Principal Protection</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. If an Autocallable is not called prior to Maturity, the initial principal is fully protected if the Underlying Reference Index’s level is above the Maturity Barrier at maturity. If the Underlying Reference Index closes below the Maturity Barrier, principal loss for that Autocallable will be equivalent to the negative performance of the Underlying Reference Index measured over the life of the Autocallable.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">To efficiently gain exposure to this theoretical diversified portfolio of synthetic Autocallables, the Fund uses Swap Agreements with Swap Counterparties and the Autocallable Index as a reference for these Swap Agreements, which is designed to reflect the aggregate performance of the entire Index Portfolio (See the “Underlying Reference Index”).</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:93.194%"><tr><td style="width:1.0%"></td><td style="width:25.278%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.710%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:35.712%"></td><td style="width:0.1%"></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">PARAMETER</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">DESCRIPTION</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%">SPECIFIC DATA</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Autocallable Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of the Underlying Reference Index, which if reached or exceeded on specified Observation Dates will cause the Autocallable to automatically mature.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">100% of the value of the Underlying Reference Index as at the date the Autocallable was included in the Portfolio.</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of with respect to the Underlying Reference Index which if reached or exceeded on specified Observation Dates will cause a fixed amount to be paid (the “Coupon”).</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">50% of the value of the Underlying Reference Index as at the date it is included in the Index Portfolio</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The predetermined level of the Underlying Reference Index above which on the Maturity Date of the Autocallable will result in the full repayment of principal.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">50% of the value of the Underlying Reference Index as at the date it is included in the Index Portfolio</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Autocallables Call Feature</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Predetermined dates on which the level of the Underlying Reference Index is compared to the Autocallable Barrier and the Coupon Barrier.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Contingent Principal Protection</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">A predetermined date on which the level of the Underlying Reference Index is compared to the Maturity Barrier.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The maturity date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Observation Date — Contingent Coupon Payment</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Predetermined dates on which the level of the Underlying Reference Index is compared to the Coupon Barrier.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity</span></td><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The final observation date, on which the Autocallable terminates and the final cash flows are determined.</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">5 years</span></td></tr><tr><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Percentage</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The percentage number that determines the size of the Coupon to be made on specified Observation Dates, if the relevant payout and return characteristics have been met (the “Coupon”).</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">The Coupon rate is established via prevailing current market environments and specific parameters with the Underlying Reference Index.<br/></span></td></tr></table></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Once an Autocallable has been included in the Index Portfolio, the payout and return characteristics for such Autocallable can no longer be changed. Therefore, there is no discretion involved in the payout process for each Autocallable as such payout depends on the performance of the Underlying Reference Index on the specific observation dates.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">With regard to the Maturity Barrier, it should be noted that if on the Maturity Date, the level of the Underlying Reference Index is below the Maturity Barrier the amount of principal repaid will be reduced, as per the example below, which will negatively impact the overall value of the Autocallable Index and, in turn, the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">For example, noting the Maturity Barrier for an Autocallable is a hypothetical 60% of the level of an Underlying Reference Index as of the date the synthetic Autocallable is issued:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">if such Underlying Reference Index of such Autocallable falls by only 10% (i.e., to 90% of the level it was when the Autocallable was issued and which is still above the Maturity Barrier) then the negative performance of the Underlying Reference Index will not reduce amount of principal to be repaid;</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">on the other hand, if such Underlying Reference Index falls by 45% (i.e., to 55% of the level it was at when the Autocallable was issued and which is below the Maturity Barrier), then at maturity the amount of principal to be repaid will have fallen by 45%.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">As the Fund is exposed to the Autocallables through the performance of the Index Portfolio under the Swap Agreement(s), any negative return of an Autocallable in the Index Portfolio will negatively impact the level of the Autocallable Index and, in turn, the Fund.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Portfolio Management and Rebalancing</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallable Index is managed through a systematic process, and the Fund gains exposure to the Autocallable Index through the use of Swap Agreements. The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables. This systematic approach seeks to benefit from (i) diversification of entry points across market cycles; (ii) minimization of timing risk associated with single-entry investments and (iii) maintaining consistent exposure to a theoretical portfolio of up to 52 synthetic Autocallables. Furthermore, by gaining exposure, via the Autocallable Index, to the total return of up to 52 Autocallables with staggered entry points, the Fund creates a theoretical diversified portfolio that seeks to (i) smooth income generation over time; (ii) reduce concentration risk in any single market entry point; and (iii) potentially lower overall portfolio volatility.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">While the Autocallable Index follows systematic rules for maintenance and replacement, the Adviser and/or Sub-Adviser actively oversee the Swap Counterparty exposure and creditworthiness, collateral management and optimization, the Fund’s overall portfolio risk characteristics as well as the execution quality and management of Swap Agreements.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">The Underlying Reference Index</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Key characteristics of the Underlying Reference Index include:</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Volatility Target: Maintains a predetermined volatility target of 40%, which is designed to create a more consistent risk profile across varying market conditions. The Underlying Reference Index looks back at two defined observation periods for volatility measurement.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Dynamic Exposure Adjustment: Calculates exposure to E-mini S&amp;P 500 futures contracts based on the ratio of the target volatility to the observed market volatility, with a maximum exposure cap of 4x (400%). Exposure is implemented via E-mini S&amp;P 500 futures contracts.</span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">•</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%;padding-left:14.15pt">Decrement: The Underlying Reference Index includes a fixed synthetic dividend (or “decrement”) of 4% per annum, which is applied daily to the Index value. This daily decrement equals the 4% annual rate divided by 360 days (approximately 1.1 basis points per day) and is subtracted from the Underlying Reference Index return regardless of the actual dividends paid by the constituent securities. In addition, the Underlying Reference Index is subject to notional financing costs and transaction costs. These costs, together with the Decrement, reduce the value of the Underlying Reference Index and may diminish positive returns or increase negative returns over time.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index is subject to the following imputed costs that are applied to the index value, deducted daily: (1) a notional financing cost of 0.10% per annum on the S&amp;P 500 Index futures that comprise the Underlying </span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Reference Index, (2) a fixed synthetic dividend, or return decrement, of 4% per annum, and (3) a transaction cost 0.01% on the change in its notional exposure to the S&amp;P 500 Index futures that comprise the Underlying Reference Index. The Underlying Reference Index is intended to be an excess return index, and not a total return index. The annualized notional financing spread is an approximation of establishing notional exposure to the S&amp;P 500 Index through the futures contracts. The 4% per annum return decrement is further subtracted from the return of the Underlying Reference Index regardless of the actual dividends paid by the constituent securities of the S&amp;P 500. The transaction cost is meant to reflect the bid/ask cost incurred daily in adjusting the Underlying Reference Index's notional exposure to the S&amp;P 500 futures. These costs will reduce the performance of the Underlying Reference Index and may offset, in whole or in part, positive returns of the S&amp;P 500 futures while increasing the impact of negative returns. As a result, even during periods when the S&amp;P 500 futures generate little or no return, the value of the Underlying Reference Index is expected to decline as these costs are deducted on an ongoing basis.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">Autocallable Index Methodology</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Autocallable Index is designed to reflect the performance of a theoretical portfolio of synthetic Autocallables (the “Autocallables” which have the Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:7.15pt;font-weight:400;line-height:120%;position:relative;top:-3.85pt;vertical-align:baseline">SM</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Index as the reference underlying asset). The Autocallables in the theoretical portfolio follow predetermined terms including a five-year maturity period from issue date, a six-month non-call period from the issue date, and coupon payments every month. Each autocallable features conditional cash flows on specific monthly observation dates, with payments depending on whether the underlying asset is above or below specified thresholds, including a 100% autocallable barrier and certain principal and coupon barrier percentages. The Autocallable Index provider’s pricing model determines the present value of these synthetic securities accounting for prevailing market conditions and contemplates the reinvestment of cash flows.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The underlying Index Portfolio will be employing a roll mechanism whereby Autocallables that have auto called or matured are replaced with new Autocallables and any Coupons paid are reinvested in Autocallables. The Index is calculated daily and is denominated in U.S. Dollars with the Index Base Value set at 100.</span></div><div style="margin-bottom:6pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Index is composed of a theoretical portfolio of autocallable securities with the following characteristics:</span></div><div style="margin-bottom:6pt;text-align:justify"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:100.000%"><tr><td style="width:1.0%"></td><td style="width:26.816%"></td><td style="width:0.1%"></td><td style="width:1.0%"></td><td style="width:70.984%"></td><td style="width:0.1%"></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%;text-decoration:underline">Specification</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:700;line-height:112%;text-decoration:underline">Autocallable Index</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Underlying Reference Index</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><div style="margin-bottom:6pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Metaurus US Large Cap VolPath</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:6.5pt;font-weight:400;line-height:112%;position:relative;top:-3.5pt;vertical-align:baseline">SM </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Index</span></div></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Maturity Date</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">5 years from the Issue Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Non-Call Period</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">6 months from the Issue Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Dates</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Monthly from the Issue Date, up to and including the Maturity Date</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Autocallable Barrier</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">100%</span></td></tr><tr><td colspan="3" style="border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Principal Barrier Percentage</span></td><td colspan="3" style="border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">50%</span></td></tr><tr><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">Coupon Barrier Percentage</span></td><td colspan="3" style="border-bottom:1pt solid #000000;border-left:1pt solid #000000;border-right:1pt solid #000000;border-top:1pt solid #000000;padding:1.5pt 1pt;text-align:left;vertical-align:top"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:10pt;font-weight:400;line-height:112%">50%</span></td></tr></table></div> You can lose money on your investment in the Fund. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Autocallable Structure Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s returns are correlated to the performance of a theoretical portfolio of synthetic autocallable instruments reflected by the Autocallable Index. Autocallable instruments have specific structural features that may be unfamiliar to many investors.</span><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Contingent Income Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. 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.</span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Early Redemption Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Autocallables in the Index Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the Index Portfolio at lower rates if market yields have declined.</span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If the Underlying Reference Index falls below the Maturity Barrier at the maturity of an Autocallable in the Index Portfolio, that portion of the Index Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. For example, if the Underlying Reference Index has declined 45% at maturity of a particular Autocallable, the Index Portfolio allocated to that instrument would lose 45% of its value. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Contingent Income Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. 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.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Early Redemption Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Autocallables in the Index Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocallable Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the Index Portfolio at lower rates if market yields have declined.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If the Underlying Reference Index falls below the Maturity Barrier at the maturity of an Autocallable in the Index Portfolio, that portion of the Index Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. For example, if the Underlying Reference Index has declined 45% at maturity of a particular Autocallable, the Index Portfolio allocated to that instrument would lose 45% of its value. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Box Spread Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">If one or more of the individual option positions that comprise a Box Spread are modified or closed separately prior to the option contract’s expiration, then the Box Spread may no longer effectively eliminate risk tied to underlying reference asset’s price movement. Furthermore, the Box Spread’s value is derived in the market and is in part based on the time until the options comprising the Box Spread expire and the prevailing market interest rates. The Fund’s ability to utilize Box Spreads effectively is dependent on the availability and willingness of other market participants to sell Box Spreads to the Fund at competitive prices. If the Box Spread does not perform as intended, the Fund could have exposure to the underlying reference asset of the options comprising the Box Spread, which is expected to be the SPY. In such a scenario, the Fund would be subject to the risks of equity securities markets. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant equity market, such as market volatility, or when political or economic events affecting an issuer occur.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Calculation Methodology Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index and the Autocallable Index employ complex calculation methodologies that may not perform as expected under certain market conditions.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Cash Holdings Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> To the extent the Fund holds cash positions, the Fund risks achieving lower returns and potential lost opportunities to participate in market appreciation which could negatively impact the Fund’s performance and ability to achieve its investment objective.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Cash Transactions Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund currently expects to effect a significant portion of its creations and redemptions for cash, rather than in-kind securities. Paying redemption proceeds in cash rather than through in-kind delivery of portfolio securities may require the Fund to dispose of or sell portfolio securities or other assets at an inopportune time to obtain the cash needed to meet redemption orders. This may cause the Fund to sell a security and recognize a capital gain or loss that might not have been incurred if it had made a redemption in-kind. As a result, the Fund may pay out higher or lower annual capital gains distributions than ETFs that redeem in-kind. The use of cash creations and redemptions may also cause Fund Shares to trade in the market at greater bid-ask spreads or greater premiums or discounts to the Fund’s NAV. Furthermore, the Fund may not be able to execute cash transactions for creation and redemption purposes at the same price used to determine the Fund’s NAV. To the extent that the maximum additional charge for creation or redemption transactions is insufficient to cover the execution shortfall, the Fund’s performance could be negatively impacted.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Correlation Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s return is not likely to match the expected returns of the Index Portfolio or the return of the Autocallable Index for a number of reasons, including the payment of periodic distributions to investors, operating expenses, transaction costs, cash management, market conditions, and differences in calculation methodologies.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Counterparty Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund will be subject to credit risk with respect to the counterparties to the derivative contracts (primarily Swap Agreements) entered into by the Fund. The Fund’s exposure to the Index Portfolio is obtained entirely through Swap Agreements with Swap Counterparties. If a Swap Counterparty becomes bankrupt or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery, may obtain only a limited recovery, or may obtain no recovery at all. Unlike directly held securities, the Fund’s holdings consist primarily of contractual claims against Swap Counterparties, making the Fund particularly vulnerable to counterparty failure. Even temporary disruptions in a Swap Counterparty’s ability to perform under Swap Agreements could significantly impact Fund performance. The Fund may have substantial exposure to a single, or a limited number </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">of, Swap Counterparty(ies), which may result in the Fund being more susceptible to a single economic or regulatory occurrence affecting such Swap Counterparty(ies).</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Coupon Barrier Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The payment of coupons on an Autocallable Contract depends on the value of the Underlying Reference Index meeting or exceeding the Coupon Barrier on each Observation Date. If the Underlying Reference Index falls below the Coupon Barrier on any Observation Date, the Fund will forfeit the coupon payment for that period. It is possible that the Underlying Reference Index may remain below the Coupon barrier for extended periods, resulting in the Fund receiving few or no coupon payments under an Autocallable Contract. This could reduce the Fund’s income and adversely affect its overall return.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Credit Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund’s collateral investments may be subject to credit risk, which is the risk that an issuer or counterparty will fail to pay principal or interest when due.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Derivatives Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Derivatives include instruments and contracts that are based on, and are valued in relation to, one or more underlying securities, financial benchmarks or indices, such as swap agreements. Derivatives typically have economic leverage inherent in their terms. Adverse changes in the value or level of the underlying asset or index, which the Fund may not directly own, can result in a loss to the Fund substantially greater than the amount invested in the derivative itself. The use of derivative instruments also exposes the Fund to additional risks and transaction costs. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Fund could lose more than the principal amount invested.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Distribution Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> As part of the Fund’s investment objectives, the Fund seeks to provide current income. There is no assurance that the Fund will make a distribution at any given time. If the Fund does make distributions, the amounts of such distributions may vary materially from one distribution to the next. Additionally, the distributions, if any, may consist of returns of capital, which would decrease the Fund’s NAV and trading price over time. As a result, an investor may suffer significant losses to their investment.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Distribution Tax Risk.</span> The Fund currently expects to make distributions on a regular basis. While the Fund will normally pay its income as distributions, the Fund’s distributions may exceed the Fund’s income and gains for the Fund’s taxable year. The Fund may be required to reduce its distributions if it has insufficient income. Additionally, there may be times the Fund needs to sell securities when it would not otherwise do so and could cause the distributions from that sale to constitute return of capital. Distributions in excess of the Fund’s current and accumulated earnings and profits will be treated as a return of capital. Return of capital distributions do not represent income or gains generated by the Fund’s investment activities and should not be interpreted by shareholders as such. Distributions in excess of the Fund’s minimum distribution requirements, but not in excess of the Fund’s earnings and profits, will be taxable to Fund shareholders and will not constitute nontaxable returns of capital. A return of capital distribution generally will not be taxable but will reduce the shareholder’s cost basis and will result in a higher capital gain or lower capital loss when those Fund shares on which the distribution was received are sold. Once a Fund shareholder’s cost basis is reduced to zero, further distributions will be treated as capital gain, if the Fund shareholder holds shares of the Fund as capital assets. Additionally, any capital returned through distributions will be distributed after payment of Fund fees and expenses. Because the Fund’s distributions may consist of return of capital, the Fund may not be an appropriate investment for investors who do not want their principal investment in the Fund to decrease over time or who do not wish to receive return of capital in a given period. In the event that a shareholder purchases shares of the Fund shortly before a distribution by the Fund, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Equity Securities Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The securities markets are volatile. The Fund’s exposure to the Underlying Reference Index subjects it to risks associated with equity markets. The value of the Underlying Reference Index may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the U.S. equity markets generally or particular segments of the market. If the market prices of the securities to which the Underlying Reference Index is exposed decline, the value of your investment in the Fund will decline.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">ETF Risks.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is an ETF and, as a result of an ETF’s structure, is exposed to the following risks: </span><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Authorized Participants (“APs”), Market Makers, and Liquidity Providers Concentration Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund has a limited number of financial institutions that may act as APs. In addition, there may be a limited number of market </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Costs of Buying or Selling Shares of the Fund.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Due to the costs of buying or selling shares of the Fund, including brokerage commissions imposed by brokers and bid/ask spreads, frequent trading of shares of the Fund may significantly reduce investment results and an investment in shares of the Fund may not be advisable for investors who anticipate regularly making small investments. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Shares of the Fund May Trade at Prices Other Than NAV.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> As with all ETFs, shares of the Fund may be bought and sold in the secondary market at market prices. The price of shares of the Fund, like the price of all traded securities, will be subject to factors such as supply and demand, as well as the current value of the Fund’s portfolio holdings. Although it is expected that the market price of the shares of the Fund will approximate the Fund’s NAV, there may be times when the market price of the shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount). This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for shares in the secondary market, in which case such premiums or discounts may be significant. Shares of the Fund will be bought and sold in the secondary market at market prices. </span></div><div style="margin-bottom:6pt;padding-left:36pt;text-align:justify;text-indent:-18pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Trading.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Although shares of the Fund are listed for trading on a national securities exchange, such as the Nasdaq Stock Market LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that shares of the Fund will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of shares of the Fund may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than shares of the Fund, and this could lead to differences between the market price of the shares of the Fund and the underlying value of those shares. The Fund’s shares may trade at prices substantially different from NAV during periods of market stress or when the complex underlying derivatives are difficult to value. In addition, trading in Fund Shares on the Exchange may be halted.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Authorized Participants (“APs”), Market Makers, and Liquidity Providers Concentration Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%"> </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund has a limited number of financial institutions that may act as APs. In addition, there may be a limited number of market </span>makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Costs of Buying or Selling Shares of the Fund.</span> Due to the costs of buying or selling shares of the Fund, including brokerage commissions imposed by brokers and bid/ask spreads, frequent trading of shares of the Fund may significantly reduce investment results and an investment in shares of the Fund may not be advisable for investors who anticipate regularly making small investments. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Shares of the Fund May Trade at Prices Other Than NAV.</span> As with all ETFs, shares of the Fund may be bought and sold in the secondary market at market prices. The price of shares of the Fund, like the price of all traded securities, will be subject to factors such as supply and demand, as well as the current value of the Fund’s portfolio holdings. Although it is expected that the market price of the shares of the Fund will approximate the Fund’s NAV, there may be times when the market price of the shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount). This risk is heightened in times of market volatility, periods of steep market declines, and periods when there is limited trading activity for shares in the secondary market, in which case such premiums or discounts may be significant. Shares of the Fund will be bought and sold in the secondary market at market prices. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:14.11pt">Trading.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Although shares of the Fund are listed for trading on a national securities exchange, such as the Nasdaq Stock Market LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that shares of the Fund will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of shares of the Fund may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than shares of the Fund, and this could lead to differences between the market price of the shares of the Fund and the underlying value of those shares. The Fund’s shares may trade at prices substantially different from NAV during periods of market stress or when the complex underlying derivatives are difficult to value. In addition, trading in Fund Shares on the Exchange may be halted.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Fixed Income Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for long-term securities than for short-term securities. In recent periods, governmental financial regulators, including the U.S. Federal Reserve, have taken steps to increase interest rates. Changes in government intervention may have adverse effects on investments, volatility, and the liquidity of debt markets.</span><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Call Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> During periods of falling interest rates, an issuer of a callable bond held by the Fund may “call” or repay the security prior to its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Credit Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Credit risk refers to the possibility that the issuer of a security will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of an investment in that issuer. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Event Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Event risk is the risk that corporate issuers may undergo restructurings, such as mergers, leveraged buyouts, takeovers, or similar events financed by increased debt. As a result of the added debt, the credit quality and market value of a company’s bonds and/or other debt securities may decline significantly. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Extension Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these securities to fall. </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify;text-indent:-13.5pt"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Interest Rate Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for </span></div><div style="margin-bottom:6pt;padding-left:49.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">long-term securities than for short-term securities. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets. </span></div><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">◦</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Prepayment Risk.</span> When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the proceeds may have to be invested in securities with lower yields. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Call Risk.</span> During periods of falling interest rates, an issuer of a callable bond held by the Fund may “call” or repay the security prior to its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Credit Risk.</span> Credit risk refers to the possibility that the issuer of a security will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of an investment in that issuer. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Event Risk.</span> Event risk is the risk that corporate issuers may undergo restructurings, such as mergers, leveraged buyouts, takeovers, or similar events financed by increased debt. As a result of the added debt, the credit quality and market value of a company’s bonds and/or other debt securities may decline significantly. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Extension Risk.</span> When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these securities to fall. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Interest Rate Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. This risk will be greater for </span>long-term securities than for short-term securities. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-style:italic;font-weight:400;line-height:120%;padding-left:9.61pt">Prepayment Risk.</span> When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the proceeds may have to be invested in securities with lower yields. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">FLEX Options Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Trading FLEX Options involves risks different from, and possibly greater than, the risks associated with investing directly in securities or in other types of options. FLEX Options, like other listed options, are traded on the U.S. options markets and are issued by OCC. However, unlike other options, the terms of FLEX Options are not all standardized. When a FLEX Option is purchased and sold in an opening transaction, the parties to the transaction have the flexibility, within limitations set forth in the rules of the options market on which the transaction occurs, to fix certain of the option’s terms. The flexibility to fix certain terms is what makes FLEX Options different from other types of options. Because many of the terms of FLEX Options are not standardized, it is less likely that there will be an active secondary market in which holders and writers of such options will be able to close out their positions by offsetting sales and purchases. Because FLEX Options have variable terms that are fixed by the parties, there are no pre-established series of FLEX Options. Rather, any different series of FLEX Options may be created and outstanding at any given time as a result of the various designations of variable terms that are made in different transactions. Secondary trading interest in FLEX Options may therefore be spread over a larger number of series than the trading interest in other options, the trading interest in any particular series of FLEX Options may be very limited, the secondary markets in FLEX Options may be less deep, liquid and continuous than the markets in other options on the same underlying interests, and the premiums for FLEX Options may not correlate with premiums for such other options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund’s FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund Shares and result in the Fund being unable to achieve its investment objective. Less liquidity in the trading of the Fund’s FLEX Options could have an impact on the prices paid or received by the Fund for the FLEX Options in connection with creations and redemptions of the Fund Shares. Depending on the nature of this impact to pricing, the Fund may be forced to pay more for redemptions (or receive less for creations) than the price at which it currently values the FLEX Options. Such overpayment or under collection may impact the value of the Fund and whether the Fund can satisfy its investment objective. Additionally, in a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%">. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">traded options, non-customized options or other securities. The Fund also is subject to the risk that the OCC will become insolvent or otherwise be unable to meet its obligations, which could cause the Fund to suffer losses which may be significant. </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The value of FLEX Options will be affected by, among others, changes in the underlying share or equity index price, changes in the actual and implied interest rates, changes in the actual and implied volatility of the underlying shares or equity index and the remaining time to until the FLEX Options expire. The value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the FLEX Options becomes more difficult and the judgement of the Fund’s Sub-Adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund’s holdings due to reduced availability of reliable objective pricing data.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Index Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Underlying Reference Index employs a volatility targeting mechanism which may not perform as expected. The Underlying Reference Index may reduce equity exposure during periods that subsequently see strong equity performance, potentially limiting upside participation. The rebalancing frequency may not respond quickly enough to rapid market changes.</span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">There can be no guarantee that the Underlying Reference Index or the Autocallable Index will be maintained indefinitely or that the Fund will be able to continue to utilize the Underlying Reference Index or the Autocallable Index to implement the Fund’s principal investment strategies indefinitely. If necessary, the Adviser or the Fund’s Board of Trustees may substitute the Underlying Reference Index or the Autocallable Index with another index that it </span></div><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">chooses in its sole discretion and without advance notice to shareholders. There can be no assurance that any substitute index so selected will perform in a manner similar to the Underlying Reference Index or the Autocallable Index, as applicable. Unavailability of either index could affect adversely the ability of the Fund to achieve its investment objective.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Index Provider Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> There is no assurance that the Index Provider for the Autocallable Index or the Underlying Reference Index, or any agents that act on their behalf, will compile the Autocallable Index or the Underlying Reference Index accurately, or that the Autocallable Index or the Underlying Reference Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. The Adviser and the Sub-Adviser relies upon the Index Provider and its agents to accurately compile, maintain, construct, reconstitute, rebalance, compose, calculate and disseminate the Autocallable Index and the Underlying Reference Index accurately. Therefore, losses or costs associated with the Index Provider or agent errors generally will be borne by the Fund and its shareholders. Errors with respect to the quality, accuracy and completeness of the data used to compile the Autocallable Index and the Underlying Reference Index may occur from time to time and may not be identified and corrected by the Index Provider for a period of time or at all, particularly where the Autocallable Index and the Underlying Reference Index is less commonly used as a benchmark by funds or advisers. The Index Provider and its agents rely on various sources of information to assess the criteria of the Index Portfolio included in the Autocallable Index and the underlying constituents of the Underlying Reference Index, including information that may be based on assumptions and estimates. The Fund, the Adviser, and the Sub-Adviser cannot offer assurances that the calculation methodology or sources of information will provide an accurate assessment of included constituents. Unusual market conditions may cause the Index Provider to postpone a scheduled rebalance, exclude or substitute a constituent or undertake other measures which could cause the Autocallable Index or the Underlying Reference Index to vary from its normal or expected composition.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Interest Rate Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The value of the Fund’s fixed income investments may be affected by changes in interest rates. When interest rates rise, the value of fixed income investments generally falls.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Laddered Portfolio Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The laddered portfolio strategy may not perform as expected if market conditions remain unfavorable over an extended period, multiple Autocallable instruments may experience losses simultaneously and/or the weekly rebalancing mechanism may result in suboptimal entry points during rapidly changing markets.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Liquidity Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Liquidity risk exists when particular investments are difficult to purchase or sell. The Fund’s investments in illiquid securities may reduce the returns of the Fund because it may be unable to sell the illiquid securities at an advantageous time or price.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Management Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is subject to management risk because it is an actively managed portfolio. In managing the Fund’s investment portfolio, the portfolio managers will apply investment techniques and risk analyses that may not produce the desired result. There can be no guarantee that the Fund will meet its investment objective.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Market Risk</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">. Market risk is the risk that a particular security, or Shares in general, may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates, and perceived trends in securities prices. Shares could decline in value or underperform other investments. In addition, local, regional, or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on the Fund and its investments. Such events may affect certain geographic regions, countries, sectors, and industries more significantly than others. Such events could adversely affect the prices and liquidity of the Fund’s portfolio securities or other instruments and could result in disruptions in the trading markets.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">New Fund Risk. </span>The Fund is new with no operating history. As a result, there can be no assurance that the Fund will grow to or maintain an economically viable size, in which case it may experience greater tracking error to its Index than it otherwise would at higher asset levels, or it could ultimately liquidate. The Fund’s distributor does not maintain a secondary market in Fund shares. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Non-Diversification Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. As a result, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer or a smaller </span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">number of issuers than a fund that invests more widely. This may increase the Fund’s volatility and cause the performance of a relatively smaller number of issuers to have a greater impact on the Fund’s performance.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Potentially Limited Upside Participation Risk.</span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%"> Unlike a direct investment in an Underlying Reference Index or the securities comprising such index, autocallable instruments generally do not provide participation in the appreciation of the Underlying Reference Index. The positive return potential of an autocallable instrument is generally limited and does not reflect the full appreciation of the Underlying Reference Index. As a result, during periods of strong positive market performance, the Fund may significantly underperform the applicable Underlying Reference Index and investments that provide direct participation in equity market gains.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Swap Agreement Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Swap agreements are a type of derivative instrument that subjects the Fund to counterparty credit, liquidity, and correlation risks, including that: (i) the Fund may not be able to enter into replacement swap agreements on acceptable terms in the event a current swap is terminated (ii) unfunded swap agreements may involve greater leverage risks than funded swaps; (iii) the swap agreement may not reflect the performance of the Autocallable Index or the Underlying Reference Index as expected due to differences in calculation methods or expenses; and (iv) during market disruptions, the Fund may be unable to enter into new swap agreements or adjust existing positions at favorable prices. In volatile markets, the Fund may not be able to close out a position without incurring a significant amount of loss.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Swap Agreement Termination Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">A Swap Counterparty may be entitled to terminate the Swap Agreement at its then current market value upon the occurrence of certain extraordinary market events or at its discretion upon notice to the Fund. Under such circumstances, if the Adviser and/or Sub-Adviser is unable to enter into new Swap Agreements with a suitable Swap Counterparty on acceptable terms, the Adviser and/or Sub-Adviser may recommend to the Board of Trustees to immediately liquidate the Fund. A liquidation can be initiated by the Board of Trustees without a shareholder vote. While shareholder interests will be the paramount consideration in a liquidation under such circumstances, the timing of the liquidation may not be favorable to certain individual shareholders.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Tax Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The Fund intends to elect and to qualify each year to be treated as a regulated investment company (“RIC”) under Subchapter M of the Code. To qualify and maintain its status as a RIC, the Fund must derive at least 90% of its gross income each year from “qualifying income,” meet certain diversification tests at the end of each quarter and meet an annual distribution test. For purposes of the qualifying income requirement, the treatment of the swaps and other derivatives that provide exposure to the synthetic Autocallables is not entirely clear, and thus whether the income and gain therefrom is qualifying income is uncertain. If the Fund were to treat income or gain from particular instruments linked to the synthetic Autocallables as qualifying income, an adverse determination or future guidance by the Internal Revenue Service with respect to the treatment of income or gain from those investments may adversely affect the Fund’s ability to qualify as a RIC. For purposes of the diversification test, the identification of the issuer (or, in some cases, issuers) of a particular Fund investment can depend on the terms and conditions of that investment. In particular, there is no published Internal Revenue Service guidance or case law on how to determine the “issuer” of certain derivatives that the Fund will enter into. An adverse determination or future guidance by the Internal Revenue Service with respect to issuer identification for the Fund’s investments may adversely affect the Fund’s ability to qualify as a RIC. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed.</span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Additionally, the authority with regard to swap agreements entered into by RICs is unclear both as to the qualification under the income test and the identification of the issuer under the diversification test. The Fund intends to take the position that because the swap agreements held by the Fund reference securities that the income on the swap agreements are “other income” from the Fund’s business of investing in stocks and securities. In addition, the Fund intends to manage its investments in the swap agreements so that neither the exposure to the issuer of the referenced security nor the exposure to any one counterparty of the swap agreements will exceed 25% of the gross value of the Fund’s portfolio at the end of any quarter of a taxable year.</span></div><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Additionally, Code Section 1258 requires that certain capital gain from an investment be recharacterized as ordinary income if substantially all of the expected return is attributable to the time value of holding the investment and such investment falls into certain defined categories (a “conversion transaction”). If any of the Fund’s transactions or a shareholder’s holding of Shares were deemed to be conversion transactions, certain gains from such transactions or Shares would be treated as ordinary income, which could result respectively in the Fund having not distributed enough income to qualify as a RIC (with the same tax consequences described above) or gain on the disposition of Shares being treated as ordinary income. No assurance can be given that the IRS or a court will not treat any such transactions by the Fund or the holding of Shares as conversion transactions.</span></div> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Valuation Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">The complex nature of autocallable structures and volatility-targeted indices may make accurate valuation difficult during market stress, potentially leading to significant premiums or discounts to NAV. In addition, during periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the Swap Agreements may become more difficult.</span> <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Volatility Risk. </span>Volatility is the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. The Fund may invest in securities or financial instruments that exhibit more volatility than the market as a whole. Such exposures could cause the Fund’s net asset value to experience significant increases or declines in value over short periods of time. <span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:700;line-height:120%;padding-left:9.65pt">Wholly-Owned Subsidiary Risk. </span><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">As determined necessary or advisable by the Fund, the Fund may invest a portion of its assets in a wholly-owned subsidiary (each, a “Subsidiary”), organized under the laws of the Cayman Islands. Investment in the Subsidiary is expected to provide the Fund with exposure to the Autocallable Index within the limitations of Subchapter M of the Code and Internal Revenue Service guidance. The Subsidiary may invest primarily in derivative instruments, including Swap Agreements. To the extent that the Fund invests in the Subsidiary, the Fund may be subject to the risks associated with the above-mentioned derivative instruments and other securities, which are discussed elsewhere in the Fund’s Prospectus and this SAI. To comply with the asset diversification test applicable to a RIC (discussed elsewhere in this SAI), the Fund intends to limit its investments in such subsidiary to 25% of the Fund’s total assets at the end of each taxable quarter.</span><div style="margin-bottom:6pt;padding-left:13.5pt;text-align:justify"><span style="color:#000000;font-family:'Times New Roman',serif;font-size:11pt;font-weight:400;line-height:120%">Although the Subsidiary may be considered similar to investment companies, it is not registered under the 1940 Act and, unless otherwise noted in the Fund’s Prospectus and this SAI, is not subject to all of the investor protections of the 1940 Act and other U.S. regulations. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or a Subsidiary to operate as described in the Fund’s Prospectus and SAI and could negatively affect the Fund and its shareholders.</span></div> Fund Performance Performance information for the Fund is not included because the Fund did not commence operations prior to the date of this Prospectus. In the future, performance information for the Fund will be presented in this section. Updated performance information will be available on the Fund’s website at www.PacerETFs.com or by calling the Fund toll-free at 1-800-617-0004. Performance information for the Fund is not included because the Fund did not commence operations prior to the date of this Prospectus. www.PacerETFs.com 1-800-617-0004 Estimated for the current fiscal year. 2 The cost of investing in swaps, including the embedded cost of the swap and the operating expenses of the referenced assets, is an indirect expense that is not included in the above fee table and is not reflected in the expense example.