ACII is actively managed, entering into OTC swap agreements. The swaps are structured to mirror the returns of autocallable instruments linked to three major US Equity ETFs: SPDR S&P 500 ETF (SPY), Invesco Nasdaq-100 ETF (QQQ), and the iShares Russell 2000 ETF (IWM). The autocallable instruments generate coupon payments that are contingent on the performance of all three ETFs and are designed so that the fund only participates in losses if one of the three indices declines more than 30%.