Inverse VIX Short-Term Futures ETNs due March 22, 2045 (VYLD)

The Inverse VIX Short-Term Futures ETNs due March 22, 2045 are exchange-traded notes that provide inverse exposure to an index of short-term futures contracts on the CBOE Volatility Index (VIX), the widely followed gauge of expected volatility in the S&P 500.

As notes rather than funds, they are unsecured debt obligations of the issuing bank, and their value depends on both the performance of the underlying volatility futures index and the issuer's credit. The inverse exposure is reset daily, so the notes are designed to gain when short-term VIX futures fall and lose when they rise on a given day.

Because volatility futures can spike sharply during market stress, returns over periods longer than one day can diverge significantly from the simple inverse of the index.