ACEI

ACEI is actively managed, entering into OTC swap agreements. The swaps are structured to mirror the returns of autocallable instruments linked to 10 of the 20 largest stocks in the S&P 500, targeting those with the highest expected coupon payments. The autocallable instruments generate coupon payments that are contingent on the performance of their underlying stock and are designed so that the fund only participates in losses if a stocks decline exceeds roughly 30%. The swap agreements are staggered across different maturity and observation dates, seeking to reduce timing and reinvestment risks. Measurement dates for the instruments include monthly coupon dates, quarterly call dates, and a final maturity date (typically three years). New autocallable positions are initiated as existing ones mature or are called. Uninvested assets are placed in short-term Treasury bills or money-market funds, as collateral for swaps. The fund may use box spread options to manage cash or generate income.