VYLD

JPMorgan Chase Financial Company LLC's Inverse VIX Short-Term Futures ETNs (the "ETNs") provide investors a way to gain exposure to the daily returns of the S&P 500 VIX Short-Term Futures Points-Change Inverse Daily Index TR, which we refer to as the Index. The Index is designed such that its level on a given day will increase or decrease by 1% from its closing level on the prior day if the weighted average price of the front- and the second-month VIX futures contracts decreases or increases, as applicable, by one point on that day. The Index implements this by tracking the daily "points-change" return from a rolling synthetic short position in the front- and the second-month VIX futures contracts (the "Underlying Futures Contracts"), which are futures contracts based on the Cboe Volatility Index. The Cboe Volatility Index is a benchmark index designed to measure the market price of volatility in large-capitalization U.S. stocks over 30 days in the future and calculated based on the real-time prices of certain put and call options on the S&P 500 Index. As a "total return" index, the return of the Index also reflects interest accrued at a rate equal to the Secured Overnight Financing Rate ("SOFR").