Innovator Index Autocallable Income Strategy ETF

C000261671 Fund Overview

Innovator Index Autocallable Income Strategy ETF is a US ETF managed by Innovator ETFs Trust, categorised as Ultra-Short Treasury / Sovereign Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Innovator ETFs Trust
• Category: Ultra-Short Treasury / Sovereign Bond
• Assets under management: $118.78M
• 1-year return: 7.1%
• SEC CIK: 0001415726
• SEC series ID: S000093415
• Share class ID: C000261671

C000261671 Investment Objective and Strategy

Innovator Index Autocallable Income Strategy ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Innovator ETFs Trust.

Investment objective

The Fund seeks to provide investors with a high level of income and the potential to limit downside losses.

Principal investment strategy

The Fund is an actively managed ETF that seeks to provide investors with income distributions and the potential to limit downside losses, as determined by the performance of reference assets linked to the U.S. equity markets, currently the S&P 500 Index, the Russell 2000 Index and the Nasdaq -100 Index (each, a Market Index and collectively, the Market Indices ). The Fund seeks to principally invest in a laddered portfolio of over -the-counter ( OTC ) swap agreements that seek to replicate the defined return characteristics of autocallable notes (the Autocallable Instruments ). As described further below, each Autocallable Instrument in which the Fund invests is designed to provide the following investment profile: Periodic Income Payments. Potential for periodic income payments at defined times over the duration of an Autocallable Instrument, contingent on the performance of the worst -performing Market Index.

Potential to Limit Downside Losses. No participation in the losses of any of the Market Indices unless the losses of the worst -performing Market Index exceed a pre -determined investment barrier, in which case the Fund will experience the entirety of the losses of the worst -performing Market Index over the duration the Autocallable Instrument on a one -to-one basis, offset by any income payments received. The potential returns of each of the Autocallable Instruments in which the Fund will invest are designed to be contingent upon the worst -performing Market Index over the given period. The Fund will have continuous investment exposure to multiple Autocallable Instruments by investing in Autocallable Instruments with differing maturity dates and observation dates, and such instruments may also have different coupon rates, coupon barrier levels and maturity barrier levels ( see Autocallable Instruments Payout Structure below).

Such laddered investing in Autocallable Instruments seeks to mitigate the risks associated with investing in an unfavorable market environment and help offset the timing risks inherent having the same observation dates and/or maturity date ( see Autocallable Instruments Laddering below). The Fund has adopted a policy pursuant to Rule 35d -1 under the Investment Company Act of 1940, as amended (the 1940 Act ) to invest, under normal circumstances, at least 80% of its net assets (including borrowings for investment purposes) in financial instruments that seek to generate income and provide exposure to the Market Indices. The Funds investment adviser is Innovator Capital Management, LLC ( Innovator or the Adviser ) and the Funds investment sub -adviser is Milliman Financial Risk Management LLC ( Milliman or the Sub -Adviser ).

The Fund is classified as a non -diversified company under the 1940 Act. The Fund will not concentrate ( i.e. , hold 25% or more of its total assets) in the securities of a particular industry or group of industries, except that the Fund will concentrate to approximately the same extent as the Market Indices concentrate. As of the date of this prospectus, through the Autocallable Instruments that provide exposure to the Market Indices, the Fund has significant exposure to the financials, industrials and information technology sectors. Autocallable Instruments Payout Structure The Autocallable Instruments have unique mechanics and payout structures that impact the potential return the Fund can expect to receive from an investment in such instruments. The Autocallable Instruments seek to replicate the payout structures of autocallable notes.

While the investment results of an autocallable note depends on the performance of the reference asset(s), the payouts, if any, are in the form of coupon payments rather than capital appreciation related to the reference asset. An autocallable note is a debt obligation that is linked to the performance of one or more reference assets that automatically matures ( i.e. is auto -called ) if the reference asset is at or above a defined level (typically its initial level) on predetermined observation dates. In return for being subject to this auto -call contingency, autocallable notes have the potential to provide high coupon payment rates. The Autocallable Instruments in which the Fund will invest will have the following investment terms: Investment Term Investment Function Coupon Payment Payment made by the counterparty of the Autocallable Instrument to the Fund, typically expressed as a percentage of the notional exposure of the instrument.

Payable on the Coupon Observation Date until maturity. Autocallable Level The level of each Market Index at which the Autocallable Instrument will be automatically redeemed, if the value of the worst performing Market Index exceeds such level on a Call Observation Date. Typically, the Autocallable Level will be set at the initial value of such index upon the execution of the instrument. No-Call Period Period during which an Autocallable Instrument cannot be called, regardless of the performance of the Market Indices ( e.g., 6 months). Call Observation Date Periodic dates ( i.e. , quarterly) through the life of the Autocallable Instrument on which each Market Index is measured to evaluate the worst performing Market Index against the Autocallable Level (if outside the No-Call Period). Coupon Observation Date Periodic dates ( i.e.

, monthly) through the life of the Autocallable Instrument on which each Market Index is measured to evaluate the worst performing Market Index against the Coupon Barrier Level to determine whether the Coupon Payment is made during a given month. Coupon Barrier Level Threshold amount of loss of the worst performing Market Index which, if exceeded on the Coupon Observation Date, a Coupon Payment will not be made. Maturity Date Date on which the Autocallable Instrument expires, and amounts are paid out by the parties. Maturity Barrier Level Threshold amount of loss of the worst performing Market Index which, if exceeded on the Maturity Date, determines the payouts made under the Autocallable Instrument. If the Maturity Barrier Level is not breached, the Fund will retain the full notional value of its investment.

If the Maturity Barrier Level is breached, the Fund will experience the percentage of losses experienced by the worst performing Market Index over the duration of the Autocallable Instrument, net of cumulative Coupon Payments. The performance of the Market Indices for a given Autocallable Instrument is evaluated at one of three categories of measurement dates: (1) the Coupon Observation Dates; (2) the Call Observation Dates; and (3) the Maturity Date. Below is a sample payout structure of an Autocallable Instrument: Evaluation Timing Worst Performing Market Index Level Payout Coupon Observation Date Evaluation Greater than the Coupon Barrier Level The Coupon Payment is made by the counterparty and the Autocallable Instrument continues in existence. The Fund does not participate in any gains or losses of the worst performing Market Index.

Less than the Coupon Barrier Level The Coupon Payment is not made by the counterparty, but the Autocallable Instrument continues in existence. The Fund does not participate in any losses of the worst performing Market Index. Call Observation Date Evaluation Greater than the Autocallable Level The Autocallable Instrument is terminated. The Fund does not participate in any gains of the worst performing Market Index Less than the Autocallable Level The Autocallable Instrument continues in existence. Fund does not participate in any losses of the worst performing Market Index. Maturity Date Evaluation Greater than the Maturity Barrier Level The Autocallable Instrument returns the principal amount invested. The Fund experiences no gains or losses of the worst performing Market Index over the duration of the instrument.

The gains experienced by the Fund are the cumulative Coupon Payments received. Less than the Maturity Barrier Level The Autocallable Instrument returns the principal amount invested, minus the entirety of the percentage of losses of the worst performing Market Index over the duration of the instrument. The losses experienced are equal to the losses of the worst performing Market Index, offset by the cumulative Coupon Payments received. The anticipated term of the Autocallable Instruments will be approximately 2 -years , 3 -years and 4 -years . The Fund anticipates the Autocallable Instruments will have a 6 -month No -Call Period, during which time the Autocallable Instrument will not be called if the worst performing Market Index is greater than the Autocallable Level and will continue to make Coupon Payments if the worst performing Market Index is above the Coupon Barrier Level on a Coupon Observation Date.

The Fund seeks to limit downside risk associated with investments in the worst performing of the Market Indices through the operation of the Maturity Barrier Levels attributed to each Autocallable Instrument. The Autocallable Instruments utilized by the Fund will be evaluated on a particular Coupon Observation Date, Call Observation Date and/or Maturity Date based on the worst -performing Market Index. The Fund anticipates making periodic distributions from the Autocallable Instruments, which will only make Coupon Payments if the Coupon Barrier has not been met or exceeded by the worst -performing Market Index. It is anticipated that the Coupon Barrier Levels for the Autocallable Instruments will be approximately 70% of the Autocallable Level and the Maturity Barrier Levels for the Autocallable Instruments will be approximately 70% of the Autocallable Level.

The anticipated Coupon Rate from the Autocallable Instruments will be approximately 8% 11%. As Autocallable Instruments are subject to numerous measurement events ( e.g. , Coupon Observation Date evaluations, Call Observation Date evaluations and Maturity Date evaluations) and performance thresholds ( e.g. , Autocallable Levels, Coupon Barrier Levels and Maturity Date Levels), its performance can vary greatly. For example, if an Autocallable Instrument had a 1 -year maturity, Coupon Observation Dates every month, Call Observation Dates every 3 months and a Coupon Payment of 10%, the maximum payout the Autocallable Instrument could produce for the Fund would be 120%. However, Autocallable Instruments will not produce a given Coupon Payment if on the Coupon Observation Date the worst performing Market Index exceeds the Coupon Barrier Level, and are subject to the loss of the entire notional amount of the Funds exposure to such instrument, after cumulative Coupon Payments received (if any), if the worst performing index is less than the Maturity Barrier Level and the Maturity Date Evaluation.

The most volatile of the Market Indices may have an outsized impact on the performance of the Fund. For additional information regarding the potential payout profile of a given Autocallable Instrument, see Additional Information About the Funds Principal Investment Strategies in the Funds Prospectus. Autocallable Instruments Laddering The Fund will seek to ladder its Autocallable Instruments. Laddering is an investment technique that utilizes multiple positions with multiple expiration dates, to avoid the risk of reinvesting a large portion of assets in an unfavorable market environment. The Fund will invest in a series of Autocallable Instruments that have different Maturity Dates ( e.g. two, three and four years) and Call Observation Dates (quarterly frequency, with staggered months). Upon the maturity or call of any Autocallable Instrument, the Fund will roll the proceeds from such investment into a new Autocallable Instrument with the same Maturity Date.

For example, if a two -year Autocallable Instrument is called in the ninth month, the Fund expects to replace the autocalled investment with a new Autocallable Instrument that has a new two -year Maturity Date.

C000261671 Holdings

Top 2 holdings of Innovator Index Autocallable Income Strategy ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.

View all C000261671 holdings

C000261671 Portfolio Allocation

Asset-class allocation of Innovator Index Autocallable Income Strategy ETF by percentage of net assets, from the latest SEC N-PORT filing.

C000261671 Performance

Total returns for C000261671 (as of 2026-10-01), from SEC filings.

C000261671 Risk Information

Risk metrics for C000261671, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 4.1%

C000261671 Costs and Fees

C000261671 costs about $79 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.79%
• Gross expense ratio: 0.79%
• Portfolio turnover: 0%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

C000261671 Cashflows

Over the 12 months to 2026-07, Innovator Index Autocallable Income Strategy ETF had net inflows of $119.85M, from monthly SEC N-PORT filings.

C000261671 Debt Constituents

Largest debt holdings of Innovator Index Autocallable Income Strategy ETF by percentage of net assets, from the latest SEC N-PORT filing.

C000261671 Prospectus and SEC Filings

Official Innovator Index Autocallable Income Strategy ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2026-02-27
• Prospectus (485BPOS) — filed 2025-09-22
• Prospectus supplement (497) — filed 2025-09-25
• Portfolio holdings (N-PORT) — filed 2026-09-28
• Portfolio holdings (N-PORT) — filed 2026-03-27
• Annual census (N-CEN) — filed 2026-01-13
• Portfolio holdings, amended (N-PORT/A) — filed 2026-08-27

Related Funds

Other Ultra-Short Treasury / Sovereign Bond funds tracked on ABC INVEST:

• Vanguard 0-3 Month Treasury Bill ETF (VBIL)
• US Treasury 3 Month Bill ETF (TBIL)
• Global X 1-3 Month T-Bill ETF (CLIP)
• Invesco Short Term Treasury ETF (TBLL)
• Abbey Capital Futures Strategy Fund (ABYAX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.