S&P 500 100% Buffered Index April 2-Year Series I

The S&P 500® 100% Buffered Index April - October Semiannual Series combines a long position in a zero-strike call option with two PM-settled S&P 500 (SPX) option positions of a six-month term, i.e., a long at-the-money (ATM) put option and a short out-of-the-money (OTM) call option. The option positions are initiated every six months on the last business day of March and the last business day of September, respectively, and are held to maturity. The index aims to offer 100% downside protection and variable upside participation on a semiannual basis.