REX Autocallable ETFsA daily laddered approach to autocallable income
The Engine
One framework, two risk profiles.
Targets are not guaranteed and may vary or be zero. Coupons are contingent on barrier levels. Investors should be prepared to bear loss of principal.
Mechanics
Defined outcomes through autocallable exposures
Each autocallable is evaluated against pre-set levels on monthly observation dates. What happens to income and principal is dependent on the reference index path.
Path 1
Up, flat, or modest decline
Coupons are paid while the index stays above the 60% coupon barrier. On or after the one year non-call period, the position can autocall and return principal.
Path 2
Below the coupon barrier
If the index falls below the coupon barrier at observation date, coupons are paused until index recovers back above the coupon barrier.
Path 3
Below the downside level at maturity
Principal is reduced. ATCL uses a 50% barrier with losses in line with the index decline. DACL uses a 50% risk buffer with a 200% gearing factor. See each fund page for detail.
Barriers are tested only on monthly observation dates. The downside level is observed only at final maturity if a position has not previously autocalled. For illustrative purposes only.
Payoff
Principal returned vs. ending index level
Drag the slider to set where the reference index finishes and compare how each structure treats principal at maturity.
- Both structures return full principal unless the reference index falls more than 50% from its initial level.
- Below 50%, the barrier structure (BMAXATCL) marks principal down one-for-one from par, while the buffer structure (BMAXDACL) applies its 2x gearing factor only to losses beyond the 50% level.
- At a 60% index decline, the barrier structure returns 40% of principal and the buffer structure returns 80%, a 10% loss multiplied by the 2x gearing factor equals a 20% reduction.
Hypothetical and for illustrative purposes only. Shows principal returned at a position’s final maturity assuming it has not previously autocalled. Not a projection of fund performance.
Compare
Product Comparison:
| Index Feature | ATCL | DACL (Defensive) |
|---|---|---|
| Tenor | 5 years | 5 years |
| Autocall Barrier | 100% | 100% |
| Observation Frequency | Monthly | Monthly |
| Non-Call Period | 1 year | 1 year |
| Laddered Frequency | Daily | Daily |
| Coupon Barrier | 60% | 60% |
| Coupon Target | SOFR + 10% | SOFR + 3% |
| Downside Type | Barrier put | Risk buffer |
| Downside Terms | 50% barrier, 1:1 below | 50% risk buffer; 200% gearing factor |
| Reference Index Vol Target | 40% | 30% |
| Decrement | 6% p.a. | 4% p.a. |
| Autocallable Index | Bloomberg US Large Cap VolMax Autocallable Total Return Index (BMAXATCL) | Bloomberg US Large Cap VolMax Defensive Autocallable Total Return Index (BMAXDACL) |
For illustrative comparison only. ATCL references the Bloomberg US Large Cap VolMax Autocallable Total Return Index. DACL references the Bloomberg US Large Cap VolMax Defensive Autocallable Total Return Index. Targets are not guaranteed. Source: Bloomberg, Feb 2026.
Key terms. Coupon: a periodic, contingent income payment on an autocallable position, paid when the reference index is at or above its coupon barrier on an observation date; coupons are not guaranteed. Put: an embedded option that gives a position downside exposure to the reference index below a specified level, which can reduce principal at maturity. Gearing Factor: a multiplier applied to index declines beyond the risk buffer; a 200% gearing factor reduces principal by two times the decline beyond the buffer. Decrement: a fixed percentage per annum deducted from the reference index return in the index calculation; a higher decrement reduces index performance.
Why an index
Autocallables, reinvented
Traditional autocallables require manual intervention, periodic monitoring, and expose investors to single day entry point risk. An index based solution turns the payoff mechanics into a transparent, repeatable, rules based framework.
Traditional Autocallables
Single Issuance Date
Concentrated entry point risk tied to one market level.
Manual Reinvestment
Proceeds must be redeployed when positions are called or mature.
Opaque Pricing
Individual bank counterparties with negotiated dealer quotes.
Index Based Solution
Laddered Entry Points
Daily diversification across multiple market levels over time.
Automated Reinvestment
Coupons and proceeds reinvested systematically back into the index.
Transparent Index
Bloomberg calculated, daily, rules based methodology.
Step-by-step Index Construction:
Each autocallable index is a synthetic, laddered portfolio of autocallable derivatives maintained under predefined rules and referencing a single volatility-managed equity index.
Step 1
Equity Index
Bloomberg 500 (B500)
The 500 largest U.S. companies by market capitalization. Core U.S. equity exposure.
Step 2
Reference Index
VolMax (40% / 30%)
A volatility-targeted index on the B500. ATCL and DACL reference different VolMax sub-indices, targeting 40% and 30% volatility respectively.
Step 3
Synthetic Derivatives
Autocallable Notes
Rules-based autocallable payoff representations. 252 to 1,260 positions maintained.
Step 4
Autocallable Index
BMAXATCL / BMAXDACL
A diversified, laddered portfolio representing autocallable payoff characteristics in a rules-based index.
Frequently Asked Questions
An autocallable is an equity-linked structure whose income and principal depend on how a reference index performs versus pre-set levels over time. It pays coupons as long as the index stays above an income (coupon) barrier on monthly observation dates, and it returns principal at maturity, or earlier if called, if the index stays above a downside level. If the index finishes below that downside level at maturity, investors can lose principal based on the index decline, forgoing potential appreciation in exchange for the opportunity to earn higher, conditional income.
TIMING DIVERSIFICATION
Daily laddering across hundreds of autocallables spreads entry and observation dates, helping reduce reliance on any single strike or maturity.
AUTOMATIC REINVESTMENT
Proceeds from calls and maturities are redeployed automatically, keeping capital invested without sourcing new deals or managing calendars.
INSTANT DIVERSIFICATION
One ticker delivers exposure to a portfolio of autocallables, replacing the work of building and monitoring a multi-note basket.
EXCHANGE LIQUIDITY
Investors get live pricing and intraday trading on exchange, instead of negotiating opaque dealer quotes for individual notes.
TAX SIMPLICITY
A single fund position with consolidated 1099 reporting avoids tracking coupons, calls, and redemptions across multiple notes and dealers.
Daily laddering across hundreds of autocallables spreads entry and observation dates, helping reduce reliance on any single strike or maturity.
Proceeds from calls and maturities are redeployed automatically, keeping capital invested without sourcing new deals or managing calendars.
One ticker delivers exposure to a portfolio of autocallables, replacing the work of building and monitoring a multi-note basket.
Investors get live pricing and intraday trading on exchange, instead of negotiating opaque dealer quotes for individual notes.
A single fund position with consolidated 1099 reporting avoids tracking coupons, calls, and redemptions across multiple notes and dealers.
Both funds run the same daily laddered, 5-year, monthly-observation autocallable engine on a single volatility-managed equity index. ATCL targets a higher coupon (SOFR + 10%) and uses a 50% barrier with 1:1 loss below it. DACL targets a lower coupon (SOFR + 3%) and uses a 50% risk buffer with a 200% gearing factor: principal is returned unless the index finishes below the 50% risk buffer, and below it, losses accrue at 200% of the shortfall beyond the buffer. ATCL references a 40% volatility target; DACL references a 30% volatility target.
At each monthly observation date the issuer checks the reference index level. If the index is at or above the call barrier after the one year non-call period, the position autocalls, income is paid, and principal is returned. If it is below the call barrier but above the downside level, the position generally stays outstanding and income may continue, subject to future observations. If, at maturity, the index finishes below the downside level, investors can lose principal, reflecting the tradeoff between conditional income and equity downside risk.
Each fund gains exposure, via total return swaps, to a daily laddered portfolio of synthetic autocallables tied to a single volatility managed equity index. Each autocallable pays a coupon when the index is above its coupon barrier, and the value of the swap reflects these coupons. The fund aggregates this income and makes distributions monthly. Distributions are not guaranteed and may vary or be zero in some months.
Both funds reference a Bloomberg US Large Cap VolMax index, a volatility targeted index that dynamically adjusts exposure to the Bloomberg US Large Cap Total Return Index. ATCL targets a 40% volatility level and DACL targets a 30% volatility level. Barrier tests are based on the index level rather than on individual stocks.
Key risks include barrier and downside risk (principal can be reduced if the index finishes below the downside level at maturity, and for DACL losses below the 50% risk buffer accrue at a 200% gearing factor), contingent income risk (coupons are not guaranteed and may stop below the coupon barrier), and early redemption risk (autocalls in rising markets can lead to reinvestment at lower yields). The funds also face derivatives and counterparty risk from swap exposure, volatility target index risk, liquidity risk, non diversification and concentration risk, NAV erosion and distribution risk (distributions can reduce NAV over time and may include return of capital), and new fund risk. See each fund prospectus for the full list of risks.
Get in Touch
The REX Autocallable suite is brought to you by REX Shares, an innovative ETP provider that specializes in alternative-strategy ETFs and ETNs. The firm created the MicroSectors and co-created the T-REX product lines of leveraged and inverse tools for traders and recently launched a series of option-based income strategies.
Schedule a time to talk to a team member.
Important Information
“Bloomberg®” and the indices referenced herein (the “Indices”, and each such index, an “Index”) are trademarks or service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the Index (collectively, “Bloomberg”) and/or one or more third-party providers (each such provider, a “Third-Party Provider,”) and have been licensed for use for certain purposes to REX ADVISERS LLC (the “Licensee”). Bloomberg is not affiliated with the Licensee or a Third-Party Provider, and Bloomberg does not approve, endorse, review, or recommend the financial products referenced herein (the “Financial Products”). Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the Indices or the Financial Products.
Each Fund enters into swap agreements to obtain exposure to its respective Bloomberg US Large Cap VolMax Autocallable Total Return Index. The swap counterparty is not an advisor or promoter, is in no way affiliated with the Funds, and has no responsibility for a Fund’s performance, marketing, or trading, or any responsibility regarding the suitability of a Fund as an investment.
Investing in the Funds involves a high degree of risk. As with any investment, there is a risk that you could lose all or a portion of your investment in a Fund.
An investor should carefully consider each Fund’s investment objective, risks, charges, and expenses before investing. The Funds’ prospectuses and summary prospectuses contain this and other information about REX Shares. To obtain a prospectus and summary prospectus call 1-844-802-4004. The prospectus and summary prospectus should be read carefully before investing.
Autocallable Structure Risk. A Fund’s returns are linked to a structured autocallable index, which may limit upside participation and expose investors to complex payoff patterns that differ from direct investments in the underlying securities.
Barrier and risk buffer Risk. If the underlying reference index breaches the specified barrier or falls below the risk buffer, principal and income protections may be reduced or lost, potentially resulting in significant losses of invested capital.
Geared Downside Risk. For the defensive fund, below the 50% risk buffer, losses on each autocallable accrue at 200% of the index decline beyond the buffer (a 200% gearing factor), which magnifies principal losses in severe declines, up to a total loss of a position’s principal.
Coupon/Contingent Income Risk. Coupon payments are contingent on barrier conditions being met and are not guaranteed; in unfavorable market environments, investors may receive little or no income.
Early Redemption Risk. Autocallable features can cause positions to be redeemed early in rising markets, forcing reinvestment at potentially lower yields and limiting participation in continued market gains.
Market Risk. The value of a Fund will fluctuate with overall market conditions and the performance of the underlying reference index, and investors could lose money, including principal.
Volatility Target Index Risk. The volatility-targeted reference index may underperform traditional equity indices because of its leverage caps, volatility adjustment mechanism, and embedded financing or cost overlays.
Derivatives and Swap Agreements Risk. A Fund’s use of derivatives and swaps may magnify gains and losses, introduce leverage, and create exposure to valuation, correlation, credit, counterparty, and operational risks that can adversely affect performance.
NAV Erosion and Distribution Risk. Distributions can significantly reduce NAV over time and may include return of capital, which may decrease a Fund’s NAV and trading price over time.
New Fund Risk. Because a Fund is newly formed, it has a limited operating history and there can be no assurance that it will be successful in implementing its investment strategy.
Non-Diversification, Concentration, Counterparty, Liquidity, and Cyber Security Risks also apply. Please see each Fund’s prospectus for the complete list of risks.
SOFR: (Secured Overnight Financing Rate) is a benchmark interest rate reflecting the cost of borrowing cash overnight using U.S. Treasury securities as collateral.
Funds distributed by: Foreside Fund Services, LLC, not affiliated with Rex Shares, LLC, or its affiliates.
