The Buffer Protect Strategy is a Target Outcome Strategy that is designed to track the return of a reference asset, up to a maximum predetermined cap level (“Cap”), while buffering a specific level of losses over a predetermined 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 | November 24 | November 27 | November 28 | November 29 | November 30 | |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 3-Mos | -5% to -20% | 1x | 5.84% | 5.57% | 5.78% | 5.76% | 5.55% | |
| GLD | 3-Mos | -5% to -15% | 1x | 8.78% | 8.77% | 10.03% | 9.84% | 9.54% | |
| SPY | 6-Mos | 0 to -20% | 1x | 5.53% | 4.99% | 5.52% | 5.12% | 5.46% | |
| SPY | 12-Mos | 0 to -10% | 1x | 16.76% | 15.71% | 16.80% | 16.17% | 16.44% | |
| SPY | 12-Mos | 0 to -15% | 1x | 14.45% | 14.25% | 14.47% | 13.88% | 14.09% | |
| SPY | 12-Mos | 0 to -15% | 2x | 12.16% | 11.41% | 12.38% | 12.04% | 11.94% | |
| SPY | 12-Mos | 0 to -20% | 1x | 12.72% | 11.93% | 12.62% | 12.15% | 12.35% | |
| SPY | 12-Mos | -5% to -30% | 1x | 16.06% | 14.89% | 15.26% | 14.65% | 14.79% | |
| SPY | 12-Mos | -5% to -35% | 1x | 14.65% | 13.65% | 14.55% | 13.90% | 14.07% | |
| EFA | 12-Mos | 0 to -10% | 1x | 19.09% | 18.21% | 18.92% | 18.76% | 19.49% | |
| QQQ | 12-Mos | 0 to -10% | 1x | 20.33% | 20.11% | 19.81% | 19.94% | 20.15% | |
| IWM | 12-Mos | 0 to -15% | 1x | 17.49% | 17.75% | 18.67% | 17.79% | 17.83% | |
| SPY | 15-Mos | 0 to -10% | 1x | 23.09% | 21.73% | 21.88% | 21.29% | 21.45% | |
| SPY | 15-Mos | 0 to -15% | 2x | 15.26% | 14.23% | 15.03% | 14.73% | 14.91% | |
| SPY | 15-Mos | 0 to -20% | 1x | 16.73% | 16.09% | 15.48% | 14.56% | 15.00% | |
| SPY | 15-Mos | 0 to -30% | 1x | 13.66% | 12.62% | 13.27% | 12.62% | 13.02% | |
| SPY | 15-Mos | -5% to -30% | 1x | 16.88% | 16.33% | 16.50% | 15.88% | 16.12% | |
| QQQ | 15-Mos | 0 to -20% | 1x | 17.65% | 17.43% | 16.98% | 17.01% | 17.15% | |
This is for information purposes only. It is not an offer to sell a strategy or an investment product. The Caps are estimated using a hypothetical investment strategy of purchasing and writing put and call options on the reference asset to replicate the Buffer Protect Strategy 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 Buffer Protect Strategy is not guaranteed, and it is possible to lose more than the targeted buffer.
