Inverse Vix Short-Term Futures ETN (VYLD US) – Portfolio Construction Methodology

The underlying S&P 500 VIX Short Term Futures Points Change Inverse Daily Index TR provides daily inverse exposure to the S&P 500 VIX Short-Term Futures Index via a synthetic short in the first- and second-month VIX futures contracts. The parent short-term futures index maintains a constant one-month maturity by rolling a long position each day from the front VIX future into the second month in small increments; the points-change inverse index targets approximately −1 times the daily change in that futures index expressed in index points, rather than percentage terms. Each trading day, the index is rebalanced so that a 1-point move in the underlying futures index results in a −1-point move before fees. The total return version adds the daily return from cash collateral invested at a short-term US Treasury bill rate.

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