S&P 500 5% to 35% Buffered Index December Series

The S&P 500® 5% to 35% Buffered Index December Series combines a long position in a zero-strike call option with three PM-settled S&P 500 (SPX) option positions with one-year terms; i.e., a long 5% out-of-the-money (OTM) put option, a short 35% OTM put option and a short OTM call option. The option positions are initiated once a year on the last business day of November and are held to maturity. The combination of put positions achieves downside protection up to the specified level, and their net cost is offset by writing a variable OTM call option. The index calculation uses theoretically priced options in order to achieve exact downside protection.