ACBE

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 fund is non-diversified.