Autocallable Income ETFs

An autocallable is an income-oriented investment linked to the performance of an underlying equity index. It is designed to generate potentially attractive income and return principal at maturity, provided the autocallable’s underlying index remains above a predetermined principal barrier.

Autocallable ETFs are exchange-traded funds that provide single-ticker access to a diversified, laddered autocallable strategy. The funds are designed to generate potentially high income while offering the familiarity, liquidity, and accessibility of the ETF structure.

Autocallable ETFs follow an index comprised of a diversified portfolio of autocallable strategies linked to equity indexes. Each autocallable has predefined observation dates. If specified market conditions are met, an autocallable may be redeemed early ("called"); otherwise it continues until maturity. As autocallables are called or mature, the ETF reallocates exposure into new autocallables to maintain the laddered strategy.

Autocallable strategies are designed to generate income by taking on downside risk below the principal barrier in exchange for a premium, without receiving appreciation potential. Because that premium is driven by equity market volatility, the income from an autocallable strategy is generated differently than income from dividends or interest payments.

A laddered autocallable strategy holds many autocallables with staggered issue dates and maturities rather than relying on a single position. This diversified* approach may help address concentration and timing risks while supporting a more consistent income profile over time.

*Diversification does not ensure a profit or guarantee against a loss.

A laddered strategy spreads investment exposure across autocallables with different issue dates and maturities. This may help address concentration and timing risks while maintaining a diversified portfolio across multiple autocallables over time.

Individual autocallable notes often require investors to source, monitor and replace notes over time. ProShares Autocallable Income ETFs simplify that process by automatically maintaining a diversified, laddered portfolio that repositions as autocallables are called or mature.

Autocallable Income ETFs may be appropriate for investors seeking an alternative source of equity-linked income who understand the strategy's risks and trade-offs. They may appeal to investors looking for high income potential through a diversified, laddered autocallable strategy in a single ETF, rather than managing individual autocallable notes. Like all investments, autocallable income ETFs involve risk, including the possible loss of principal.

Like all investments, autocallable income ETFs involve risk, including the possible loss of principal. While laddering is designed to help address concentration and timing risks, investors remain exposed to market risk, and there is no guarantee the funds will achieve their investment objectives. In exchange for the potential to generate high income, investors retain downside market risk, and the ETFs may lose money even if the S&P 500, Nasdaq-100, or Russell 2000 indexes rise. In addition, the embedded features of autocallable notes (e.g., barrier, non-call period, and autocall level) limit their potential to appreciate in value. If an autocall feature is triggered, the applicable note is redeemed early and the strategy will forego any future coupon payments and appreciation associated with that note.

A principal barrier is a predefined percentage decline from the underlying index's initial level that helps determine an individual autocallable's outcome at maturity. If the underlying index finishes at or above the barrier at maturity, principal is returned for that autocallable. If the underlying index closes below its 35% barrier at an autocallable’s maturity, its principal is fully exposed to the underlying index’s losses. For example, if the underlying index has declined 45% at maturity, the autocallable would lose 45% of its value. Each Fund may experience substantial losses even if none of the underlying autocallable notes have breached their barriers. Each Fund’s underlying index targets an annualized volatility level of 35% and may obtain leveraged exposure of up to 500% to the S&P 500, Nasdaq-100, or Russell 2000 when volatility is low. Leverage increases volatility and the risk of substantial loss, and the costs of obtaining leverage will reduce returns.

No. A principal barrier determines each autocallable's outcome at maturity – it does not prevent the ETF's market price from fluctuating. The value of the ETF may rise or fall over time as market conditions change, even if no barrier is breached.

Volatility-targeting indexes systematically adjust equity exposure to maintain a target level of volatility. Because volatility is a key driver of autocallable income, keeping it near a consistent level may help the autocallable strategy generate more consistent income over time.

A key difference among autocallable ETFs, covered call ETFs, and other income ETFs is the source of their income. Covered call ETFs primarily generate income by selling call options, dividend ETFs rely on company dividend payments, and traditional fixed-income investments generate interest payments driven by interest rates and credit. Autocallable ETFs generate income from premiums earned for taking on a defined level of downside risk – an income source tied to equity market performance. These autocallable ETFs seek to provide a distinct, complementary source of income, with differentiated risks and return characteristics.

Individual autocallable notes often require investors to source, monitor and replace notes over time. ProShares Autocallable Income ETFs provide access to a diversified, laddered autocallable strategy through a single ETF. The funds automatically reinvest as autocallables are called or mature, potentially helping address concentration and timing risks while offering the diversification, intraday liquidity, and convenience of a single-ticker ETF.

Autocallable Income ETFs seek to generate high income through a diversified portfolio of laddered autocallable strategies linked to equity indexes. Income generated by the underlying autocallable strategies may be distributed to shareholders, although the amount and timing of distributions will vary and are not guaranteed. As with any investment, distributions may change over time and should not be expected to remain constant. ETF distributions may include return of capital.

ProShares currently offers three Autocallable Income ETFs linked to major U.S. equity indexes:

Each fund seeks investment results that track the performance of a laddered autocallable strategy linked to its respective underlying index through a single ETF.