Risk Considerations Risk Considerations   

J.P. Morgan High Yield ETF Volatility
Target Index 3%

The J.P. Morgan High Yield ETF Volatility Target Index 3% is a notional dynamic index strategy designed to track the short-dated high yield corporate bond sector.


The J.P. Morgan High Yield ETF Volatility Target Index 3% (“JPUSHYS3E”):

  • Tracks the return of the Underlying ETF ("High Yield Constituent") which is the PIMCO 0-5 Year High Yield Corporate Bond Index ETF (“HYS”), to achieve the yield, volatility level and low or negative correlations with other asset classes inherent in short maturity high yield.
  • Seeks to provide total return that corresponds to the The BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM.
  • Aims to achieve a constant realized volatility of 3% by dynamically adjusting its exposure to the Underlying ETF based on the Underlying ETF’s historical volatility.
  • Calculates returns in excess of a synthetic borrowing cost component accruing interest at the 3-month LIBOR deducting a 1.00% per annum fee that accrues daily.

Underlying ETF Information



Volatility Target


Index Calculator and Index Sponsor

JPMS plc

Inception Date

August 16, 2011


For information relating to Certificates of Deposit that are linked to J.P. Morgan High Yield ETF Volatility Target Index 3%, please refer to the Broker-Dealer Offerings page or consult the respective offering documents.

The Index is calculated and published by the Calculation Agent. The Calculation Agent uses its best efforts to ensure that the Index is calculated correctly. The Calculation Agent does not warrant the accuracy or completeness of any information contained herein. Irrespective of its obligations towards the Issuer, the Calculation Agent has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the financial instrument. The calculation and publication of the Index by the Calculation Agent for the purpose of use in connection with the financial instrument does not constitute a recommendation by the Calculation Agent to invest capital in said financial instrument nor does it in any way represent an assurance or opinion of the Calculation Agent with regard to any investment in this financial instrument.

Risk Factors
The description of investment risks that follows is not, and does not purport to be, exhaustive. This document is a description of the proprietary Index and not of any particular product. Therefore, investors should carefully read and understand the terms of the particular product prior to investing in it.

Market Risk: Index derives its returns from the PIMCO 0-5 Year High Yield Corporate Bond ETF. The Underlying ETF presents investment risks.

Potential Conflicts of Interest: Potential conflicts of interest may exist in the structure and operation of the Index and in the course of the normal business activities of J.P. Morgan or any of its affiliates or subsidiaries or their respective directors, officers, employees, representatives, delegates or agents.

Lack of Operating History: The Index is under development and therefore has no history to evaluate its likely performance. Any back-testing or similar analysis performed in respect of the Index must be considered illustrative only and may be based on estimates or assumptions not used by the index calculation agent when determining the level of the Index pursuant to the Index Rules. Past performance should not be considered indicative of future performance.

Excess Return Indices: The Index is an excess return strategy which may include the returns accrued from notional investments in uncollateralized assets (ex. Futures and swaps). It doesn’t reflect the return you might receive on cash you don’t need to post as collateral.

The material contained herein is for informational purposes only, designed to illustrate an index created by the Index Sponsor that implies an investment strategy achieved through exposure to particular underlying financial instruments. The information contained herein is for illustrative purposes only and is not meant to forecast, imply, or guarantee the future performance of any particular investment or financial product, which will vary. An investment cannot be made directly in an index. An index is an unmanaged statistical composite and index performance does not include payment of any sales charges, expenses or fees an investor would pay to purchase the underlining securities or any financial product that may be linked to the index. Such costs would lower performance.

Incapital does not warrant the accuracy or completeness of any information contained herein and provides no assurance that this information is, in fact, accurate. The information contained herein is subject to change without notice. Any representations, projections and comparisons contained herein may not reflect the opinions of Incapital and may not be accurate either now or at a future date. Consequently, you should not rely on such representations, projections, comparisons or other opinions when selecting any investment product or making a recommendation to a customer. Current and future economic and other market events concerning an investment product or an index may cause the information provided herein to be incorrect. Past performance is not indicative of future results and should never be relied upon in making an investment decision or recommendation. Any investments or strategies referenced herein do not take into account the investment objectives, financial situation or particular needs of any specific person. Product suitability must be independently determined for each individual investor. Incapital explicitly disclaims any responsibility for product suitability or suitability determinations related to individual investors.

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