S&P 500 10% Buffered Index Quarterly Series

The S&P 500® 10% Quarterly Buffered Index combines a long position in a zero-strike call option with three PM-settled S&P 500 (SPX) option positions of a three-month term, i.e., a long at-the-money (ATM) put option, a short out-of-the-money (OTM) put option and a short OTM call option, which are initiated once a quarter on the last business day and are held to maturity. The index aims to offer 10% downside protection while allowing for upside participation up to a variable level on a quarterly basis.