Target Buffer and Floor Strategies:
Estimated Cap Levels
The Target Buffer and Floor Strategies are Target Outcome Strategies® that are designed to track the return of a reference asset, up to a maximum predetermined cap level (“Cap”), while seeking to offer varying levels of downside protection over a predetermined Target Outcome period. Target Buffer Strategies seek to shield investors from losses over a specific buffer zone during the Target Outcome Period, while Target Floor Strategies seek to provide a specified limit on loss potential over the Target Outcome Period. The Cap is set at the start of the Target Outcome period. Below are the estimated Caps for different Target Outcome periods starting on each day, for the prior 5 business days.
| Reference Asset | Term | Buffer % | Participation | 3-Aug | 4-Aug | 5-Aug | 6-Aug | 7-Aug | |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 3-Mos | -2.5% to -15% | 1x | 4.13% | 4.47% | 4.25% | 4.19% | 4.27% | |
| SPY | 3-Mos | 0% to -7.5% | 1x | 3.54% | 3.75% | 3.58% | 3.54% | 3.53% | |
| SPY | 3-Mos | -5% to -20% | 1x | 2.50% | 2.75% | 2.58% | 2.53% | 2.58% | |
| GLD | 3-Mos | -5% to -15% | 1x | 9.66% | 10.02% | 10.73% | 10.89% | 11.31% | |
| SPY | 6-Mos | 0% to -20% | 1x | 2.69% | 2.73% | 2.69% | 2.67% | 2.64% | |
| SPY | 12-Mos | 0% to -10% | 1x | 14.22% | 14.63% | 14.29% | 14.20% | 14.37% | |
| SPY | 12-Mos | 0% to -15% | 1x | 11.84% | 12.11% | 11.88% | 11.84% | 11.92% | |
| SPY | 12-Mos | 0% to -15% | 2x | 9.96% | 10.08% | 9.93% | 9.91% | 9.94% | |
| SPY | 12-Mos | 0% to -20% | 1x | 8.05% | 8.15% | 8.02% | 8.01% | 8.01% | |
| SPY | 12-Mos | -5% to -30% | 1x | 11.82% | 12.16% | 11.92% | 11.85% | 11.97% | |
| SPY | 12-Mos | -5% to -35% | 1x | 8.76% | 8.95% | 8.81% | 8.75% | 8.79% | |
| SPY | 12-Mos | 0% to -100% | 1x | 6.46% | 6.52% | 6.47% | 6.51% | 6.47% | |
| SPY | 12-Mos | 0% to -10% | 1x; 0% to -10% Inverse Cap** | 11.94% | 12.16% | 11.89% | 11.88% | 11.93% | |
| EFA | 12-Mos | 0% to -10% | 1x | 18.14% | 17.78% | 17.61% | 16.58% | 16.36% | |
| EFA | 12-Mos | 0% to -15% | 1x | 18.16% | 17.79% | 17.71% | 16.97% | 16.72% | |
| QQQ | 12-Mos | 0% to -10% | 1x | 21.27% | 23.08% | 22.10% | 21.69% | 21.17% | |
| QQQ | 12-Mos | 0% to -15% | 1x | 16.98% | 18.16% | 17.47% | 17.20% | 16.75% | |
| QQQ | 12-Mos | 0% to -20% | 1x | 14.37% | 15.20% | 14.66% | 14.46% | 14.13% | |
| IWM | 12-Mos | 0% to -15% | 1x | 16.25% | 16.58% | 16.19% | 15.64% | 15.76% | |
| RSP | 12-Mos | 0% to -10% | 1x | 15.66% | 14.64% | 16.28% | 16.18% | 18.30% | |
| EEM | 12-Mos | 0% to -10% | 1x | 36.49% | 35.36% | 35.34% | 35.34% | 34.62% | |
| MBTX | 12-Mos | -15% Floor* | 1x | 23.23% | 23.62% | 23.79% | 22.95% | 23.08% | |
| SPY | 15-Mos | 0% to -10% | 1x | 21.00% | 21.60% | 21.30% | 21.20% | 21.30% | |
| SPY | 15-Mos | 0% to -15% | 2x | 14.00% | 14.00% | 14.00% | 14.00% | 14.00% | |
| SPY | 15-Mos | 0% to -20% | 1x | 15.10% | 15.40% | 15.20% | 15.20% | 15.00% | |
| SPY | 15-Mos | 0% to -30% | 1x | 12.50% | 12.70% | 12.60% | 12.60% | 12.50% | |
| SPY | 15-Mos | -5% to -30% | 1x | 14.15% | 14.33% | 14.16% | 14.14% | 14.15% | |
| SPY | 15-Mos | 0% to -100% | 1x | 7.84% | 7.79% | 7.93% | 7.88% | 7.79% | |
| QQQ | 15-Mos | 0% to -10% | 1x | 30.60% | 31.70% | 31.20% | 30.90% | 30.40% | |
| QQQ | 15-Mos | 0% to -20% | 1x | 20.50% | 21.00% | 20.70% | 20.60% | 20.30% | |
| QQQ | 15-Mos | 0% to -30% | 1x | 15.60% | 16.00% | 16.20% | 16.30% | 16.00% | |
| IWM | 15-Mos | 0% to -20% | 1x | 20.10% | 20.60% | 20.50% | 20.70% | 20.20% | |
| SMH | 15-Mos | 0% to -20% | 1x | 45.20% | 45.10% | 44.00% | 43.50% | 42.80% | |
| SPY | 24-Mos | 0% to -20% | 1x | 24.90% | 25.40% | 25.00% | 25.00% | 24.90% | |
| SPY | 24-Mos | 0% to -100% | 1x | 15.40% | 15.60% | 15.50% | 15.60% | 15.40% | |
3-Month Term
6-Month Term
12-Month Term
15-Month Term
24-Month Term
* The -15% Floor seeks to limit losses to a maximum of 15% (before fees and expenses) of reference asset losses over the Target Outcome Period, with losses being absorbed when the reference asset declines between 0% and -15% over the Target Outcome Period.
** If the price return of the reference asset is positive, the strategy seeks to match those gains (before fees and expenses) up to the cap. If the price return of the reference asset is down by 10% or less, the strategy seeks to deliver a positive return (before fees and expenses) of the same size (the “inverse cap”).
IMPORTANT: This tool is for illustrative purposes only and is not intended to be indicative of future results of the strategy. The projections or other information generated by this tool are hypothetical in nature, do not reflect actual investment outcomes and are not a guarantee of future results. Results may vary with each use and over time. Hypothetical target outcomes or other information generated by this tool do not reflect fees or expenses that may apply.
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. Investors are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for them. The targeted outcomes may only be realized if investors are holding shares at the beginning of the outcome period and continue to hold them on the last day of the outcome period. There is no guarantee that the strategy will be successful in its attempt to provide the targeted outcomes. There is no guarantee that the strategy will be successful in its attempt to provide the targeted outcomes.
The Caps are estimated using a hypothetical investment strategy of purchasing and writing put and call options on the reference asset to replicate the Target Buffer or Floor Strategies during market conditions on the referenced dates. More specifically, the Caps are estimated using models that estimate implied market measures of volatility, dividends and interest rates from prices of standardized exchange-traded option contracts and use such measures to estimate prices of hypothetical options. The actual Cap of a traded strategy is dependent upon market conditions at the time of the trade and can be significantly different than the estimated Caps. The estimated Caps are not intended to be predictive. The protection intended by the Target Buffer and Floor Strategies is not guaranteed, and it is possible to lose more than the targeted buffer or floor.
