DLFE seek to provide investors with returns (before fees and expenses) that either match the positive price return of the SPDR S&P 500 ETF Trust ("SPY" or the "Underlying ETF") up to a predetermined upside cap (the "Cap") or match the absolute value of the negative price return of the Underlying ETF up to a specified threshold (the "Inverse Performance Threshold"), while also seeking to provide a 10% buffer (the "Buffer") against losses that exceed the Inverse Performance Threshold over an approximate one-year period (the "Target Outcome Period").