VAIE

VAIE is an ETF that seeks contingent periodic income with contingent downside protection through exposure to U.S. equity-linked autocallables. The fund uses swaps to gain exposure to the NYSE® U.S. 500 Adaptive Vol Autocallable Index, which contains a laddered portfolio of 52 synthetic autocallables. Investors access the strategy through a single ETF, seeking weekly distributions.

VAIE uses swaps to gain exposure to an index of 52 synthetic autocallables. An autocallable is a market-linked investment that can be called prior to its scheduled maturity date. In VAIE’s index, each autocallable has a coupon rate that is determined when each new autocallable is added to the index. A coupon is paid when that autocallable’s reference index is at or above the coupon barrier on its monthly coupon observation date. After an initial non-call period, the autocallable may be called early at its principal value if that autocallable’s reference index meets or exceeds the autocall barrier. Principal repayment at maturity depends on the reference index’s performance.

VAIE’s underlying index, the NYSE® U.S. 500 Adaptive Vol Autocallable Index, spreads exposure across 52 autocallables with staggered maturity dates, initial values, and barrier levels, reducing dependence on a single starting point and a single market condition. Called or matured autocallables are replaced immediately within the index with new autocallables. Each new autocallable is linked to a target-volatility index on the NYSE® U.S. 500 Index; the volatility target, within the range of 25% to 35%, is selected based on then-current market implied volatility at inception of each autocallable. An autocallable linked to a higher target-volatility index would yield higher contingent coupons than an autocallable linked to a lower target-volatility index. This is the first autocallable ETF in the U.S. with adaptive volatility.

VAIE seeks to pay distributions weekly, based on the amount of coupons received among the 52 autocallables. Amounts can vary and are not guaranteed. The fund seeks tax-efficient distributions with the goal of having the majority classified as return of capital. For U.S. investors in taxable accounts, return of capital generally is not taxable when received, but rather reduces the investor’s cost basis in their shares, potentially increasing a future capital gain or reducing a future capital loss. Amounts exceeding the remaining basis are generally taxed as capital gains. Final tax treatment is reported on Form 1099-DIV. This is not tax advice.

VAIE seeks to pay distributions weekly. Amounts can vary and are not guaranteed. Past distributions are listed on the Distributions tab of the VAIE fund page.

VAIE does not guarantee your principal. Its share price and net asset value (NAV) can decline before any autocallable matures. Coupons are missed when a reference index falls below its coupon barrier on a coupon observation date. Each autocallable has contingent principal protection at maturity. If its reference index finishes below 70% of its starting level, the autocallable bears the full decline from that starting level. See the prospectus for a complete list of the fund’s risk factors.

Covered call ETFs capture option premiums by selling call options against equity exposure. Covered call strategies generally limit equity upside beyond the call strike and experience immediate loss on equity downside. Autocallables, in general, capture option premiums by selling longer-dated barrier put options. Autocallables do not participate in any upside on equity exposure, but receive contingent downside protection at maturity as long as the underlying reference index does not fall below a barrier level. Keep in mind that the contingent principal protection on the autocallables is only provided at maturity of each autocallable. The autocallable ETF itself can still experience NAV declines should the reference indices on the autocallables decrease in level.

VAIE’s key distinction is its adaptive-volatility approach. Some autocallable ETFs use a reference index with a single volatility target. VAIE selects from a range of volatility targets for each new autocallable based on market implied volatility observed at each inception. Its 52-position ladder can therefore include autocallables linked to different volatility targets established under different market conditions.