Q&A – Single, Twin or Triple Autocalls? 

Q1. Does the Fund hold twin- or triple-index autocalls? 

Yes. The portfolio uses dual-index swaps and may sometimes use three-index swaps. These positions form part of the Fund’s wider equity derivatives portfolio. 

Q2. Does using more than one index increase the risk in the same way as a retail structured product? 

No as in a retail structured product, each product normally follows a single, predetermined path and its exposure is fixed. In the Fund, index exposure is monitored and managed collectively across the portfolio. 

Q3. How is the “worst-of” exposure managed? 

The manager aggregates the portfolio’s “worst-of” exposures and assesses where the delta sits. If one index begins to underperform and the exposure to that index rises towards barrier levels, the team can pause adding new swaps linked to that index and direct new activity towards other indices until the portfolio rebalances. 

Q4. Can you give an example? 

If the Euro Stoxx 50 began to underperform, increasing the Fund’s exposure to it at barrier level, the team could stop adding new SX5E-linked swaps. New swaps could instead be placed on other indices until the portfolio’s index exposure had rebalanced. 

Q5. Why use dual- or triple-index swaps? 

At swap level, the Fund can receive additional return for selling correlation. Using two or, at times, three indices can therefore enhance the available return. The manager’s view is that avoiding selling this correlation would give up return without necessarily lowering portfolio-level risk, because the exposures are actively managed across the Fund in aggregate. 

Q6. How should the Fund’s strategy towards equity index exposure be viewed? 

The Fund is more representative of a defined-benefit pension managed process than with a collection of direct retail structured products: Gilts are used to support the return of capital, while equity derivative swaps, across an aggregate, carefully defined geographical allocation are used to generate the return on capital. 

Key distinction 

Retail structured product: A standalone product with a fixed exposure and path, with limited ability to rebalance the exposure after purchase. 

Fund portfolio approach: Exposures are assessed and adjusted across the complete portfolio. New swap activity can be redirected away from an index whose exposure has increased and vice-versa. 

Important context 

This Q&A summarises the explanation provided in the email chain. It is not a substitute for the Fund’s prospectus, factsheet or other relevant product literature. Capital is at risk, and investors should review the applicable risk disclosures and seek independent advice where appropriate. 

Source: Email correspondence dated 21–22 October 2026 concerning the Downing Active Defined Returns Fund and the use of dual- and triple-index swaps.