| Definitions |
| Net - After fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee. |
| Reference Asset - The underlying ETF which the fund provides exposure to, and which the FLEX Options prices are based on. |
| Target Outcome Period - The period between when the FLEX Options were purchased and when they will expire. |
| Fund Cap - Maximum possible return that the fund can provide at the end of the Target Outcome Period. |
| Buffer - The amount of downside protection the fund seeks to provide if held for the full Target Outcome Period. |
| Starting Fund Value - The Net Asset Value (NAV) of the Fund at the start of the Target Outcome Period |
| Fund Cap Value - The maximum value of the Fund at the end of the Target Outcome Period if the fund realizes its maximum cap. |
| Starting Reference Asset Value - The value of the Reference Asset at the start of the Target Outcome Period. |
| Reference Asset Cap Value - The value of the reference asset at the end of the Target Outcome Period if the fund realizes its maximum cap. |
| Buffer Start / Buffer End - The percent shown represents the range of losses on the price return of the reference asset, before fees and expenses, that the buffer seeks to protect against. The values represent the reference asset values that trigger the start and end of the Buffer range. |
| Remaining Outcome Period - The number of days remaining until the end of the Outcome Period. |
| Fund Value/Return - The value and the price return of the Fund since the start of the Outcome Period. |
| Reference Asset/Value Return - The value and the price return of the Reference Asset since the start of the Outcome Period. |
| Remaining Cap - Based on the Fund's value, the best potential return if held to the end of the Outcome Period, assuming the Reference Asset meets or exceeds the Reference Asset Cap Value. |
| Reference Asset Return to Realize the Cap - The return of the Reference Asset currently needed in order for the Fund to realize the return of the Remaining Cap. |
| Remaining Buffer - The current amount of the Fund's stated buffer remaining. |
| Downside Before Buffer - Based on the Fund value, the amount of the Fund loss that can be incurred prior to the buffer taking effect. |
| Reference Asset to Buffer End - The loss of the Reference asset from its current value to the Buffer End Reference Asset Value. |
| Unrealized Option Payoff - Based on the Fund's value, the potential investment outcome of the Fund, before fees and expenses, if held to the end of the Target Outcome period assuming the current Reference Asset Value remains unchanged. This is due to the intrinsic value of the underlying options positions that create the Fund's buffer range. |
| Please Note: - The Fund values shown are based on the Fund’s Net Asset Value (NAV) as of the date stated. |