JPMorgan (JPM) launches Vix Short-Term Futures ETNs on NYSE Arca

JPMorgan Chase Financial Company LLC (NYSE: JPM) announced that today is the first day of trading on NYSE Arca for its Inverse VIX® Short-Term Futures ETNs due March 22, 2045 under the ticker symbol “VYLD”. Any payment on the ETNs is fully and unconditionally guaranteed by JPMorgan Chase & Co.

The ETNs seek to provide exposure to the daily returns of the S&P 500® VIX® Short-Term Futures Points-Change Inverse Daily Index TR, subject to the daily investor fee deduction at a rate of 0.85% per annum. The ETNs will also be redeemable at the sole discretion of JPMorgan Financial on any trading day after March 21, 2025 until maturity.

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, 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”).

The Index has been developed by S&P Dow Jones Indices LLC, as index sponsor, and is maintained and calculated by S&P Dow Jones Indices LLC, as index calculation agent. The Index is reported on a real-time basis under Bloomberg ticker symbol “SPVXSTIT.”

Selected Risk Considerations

The ETNs may not be suitable for all investors and should be purchased only by investors with sophistication and knowledge necessary to understand the risks and potential consequences of investing in the ETNs, including the risks inherent in the Index, the underlying VIX® futures contracts and short investments in volatility as an asset class generally. Investors should actively manage and monitor their investments in the ETNs.

The ETNs are subject to the credit risk of JPMorgan Financial, as issuer of the ETNs, and the credit risk of JPMorgan Chase, as guarantor of the ETNs. Investing in the ETNs is not equivalent to taking a long position directly in the Index or taking a short position directly in the VIX® futures contracts underlying the Index or the Cboe Volatility Index®. The ETNs do not provide direct short exposure to the Cboe Volatility Index®. The Investors in the ETNs do not have any ownership interests or rights with respect to the assets included in the Index, the VIX® futures contracts underlying the Index, the Cboe Volatility Index® or the S&P 500® Index.

An investment in the ETNs involves other significant risks. For further information regarding risks, please see the section entitled “Risk Factors” in the applicable pricing supplement.

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