S&P 500 100% Buffered Index January-July Semiannual Series

The S&P 500® 100% Buffered Index January 2-Year Series II combines a long position in a zero-strike call option with two PM-settled S&P 500 (SPX) option positions of a two-year term, i.e., a long at-the-money (ATM) put option and a short out-of-the-money (OTM) call option, which are initiated every two years on the last business day of December and are held to maturity. The Series II indices are initiated on odd years. The index aims to offer 100% downside protection and variable upside participation on a two-year basis.