J.P. Morgan Commodity Target Volatility Index Series

The J.P. Morgan Commodity Curve Ex Front Month Agriculture 10 ER Index (JPMCCI Ex Front Month Agri 10 Index) is part of the family of J.P. Morgan Target Volatility Index Series and aims to provide diversified exposure to the agriculture sector with an added volatility control mechanism.

The J.P. Morgan Commodity Target Volatility Indices (together, the "Indices" and each, an "Index") provide exposure to one or more underlying indices and utilise a mathematical volatility targeting algorithm to dynamically adjust the exposure level to the underlying indices. The exposure level is adjusted on the specified rebalancing dates based on changes in volatility of the underlying indices with the aim that the realised volatility of the relevant Index should be equal to or less than a pre-determined target volatility. Where the historic realised volatility (and riskiness) of the underlying indices of the relevant Index increases, the exposure to the underlying indices will be reduced on the next rebalancing date and if the historic realised volatility of the underlying indices decreases, the exposure will be increased, subject to maximum and minimum exposure level restrictions.

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