S&P 500 Accelerated Plus Index July Series

The S&P 500^® Accelerated Plus Index July Series combines a long position in a zero-strike call option with two PM-settled S&P 500 (SPX) option positions of a one-year term, i.e., a long at-the-money (ATM) call option and a short out-of-the-money (OTM) call option. The option positions are initiated once a year on the last business day of June and are held to maturity. The variable OTM call option offsets the net cost of the remaining option positions. The index measures the performance of a strategy that offers leveraged upside participation up to a variable level on an annual basis. The index calculation uses theoretically priced options in order to achieve the desired payoff.