Structured Outcome ETFs
|Ticker||Name||Series||Fund Price||Period Returns||Index||Index Return||Est. Upside Market Participation Rate||Remaining Buffer||ETF Downside to Buffer||S&P Downside to Floor of Buffer||Remaining Outcome Period||Prospectus|
|SEPZ||SEPZ||September||$30.55||-1.52%||S&P 500||-2.02%||75-77%||9.64%||N/A||-8.14%||346 days|
|OCTZ||OCTZ||October||$31.05||24.2%||S&P 500||31.11%||80-82%||10%||-19.48%||-31.36%||11 days|
|NOVZ||NOVZ||November||$31.65||26.6%||S&P 500||33.92%||81-83%||10%||-21.01%||-32.79%||40 days|
|DECZ||DECZ||December||$28.98||15.92%||S&P 500||21.04%||77-79%||10%||-13.73%||-25.64%||72 days|
|JANZ||JANZ||January||$28.77||15.08%||S&P 500||19.78%||79-81%||10%||-13.1%||-24.86%||103 days|
|FEBZ||FEBZ||February||$28.45||13.8%||S&P 500||17.48%||78-80%||10%||-12.13%||-23.39%||134 days|
|MARZ||MARZ||March||$27.66||10.64%||S&P 500||13.61%||77-79%||10%||-9.62%||-20.78%||162 days|
|APRZ||APRZ||April||$26.88||7.52%||S&P 500||10.27%||75-77%||10%||-6.99%||-18.38%||193 days|
|MAYZ||MAYZ||May||$26.1||4.4%||S&P 500||5.73%||77-79%||10%||-4.21%||-14.88%||222 days|
|JUNZ||JUNZ||June||$26.01||4.04%||S&P 500||5.5%||76-78%||10%||-3.88%||-14.69%||254 days|
|JULZ||JULZ||July||$33.33||1.86%||S&P 500||2.61%||75-78%||10%||-1.83%||-12.29%||284 days|
|AUGZ||AUGZ||August||$31.89||0.85%||S&P 500||1.05%||75-77%||10%||-0.85%||-10.93%||313 days|
1. The estimated participation ranges represent the estimated highest and lowest upside participation rates are based on the historical daily options pricing for the options that would have been utilized to implement the strategy as described in the prospectus (out of the money puts and at the money calls) for the business days from 5/21/2021 -5/25/2021 and are shown gross of the 0.79% annual operating expenses for the ETF. It does not represent the actual upside participation rate that will be set on the first day of the investment period, which may fall outside the stated cap ranges, due to extreme market volatility.
S&P Downside to Floor of Buffer - How far the S&P 500 would need to fall from its current level before the downside buffer ends. A value of N/A is shown if the S&P 500 Price Index falls below the buffer. Note that this is not a reflection of how much of the buffer has been used, only how far the S&P is away from the lowest level of the buffer. To understand how much buffer remains, look at “Remaining Buffer”.
Remaining Buffer – How much of the downside buffer remains given the current price. ETF Downside Before Buffer – How much the ETF can to lose before the protection buffer level . Remaining Outcome Period – How long until the option structure expires.
Starting NAV – nav at start of the outcome period.
Period Return – Return of the ETF based on the closing NAV on the first day of the outcome period to the closing price on the current date.
SPX Index Reference Price – The S&P 500 Price Index that we will set the structured outcomes on. This is the price that the buffer starts on.
Downside Buffer – The % of downside return of the S&P 500 Price Index from the reference price that is designed to be buffered (gross of fees).
Estimated Upside Market Participation Rate - The estimated upside market participation rate represents the relative exposure of the fund's call options to participate (gross of fees) in the potential upside movement of the S&P 500 Price Index. This will be determined by the relative price of call and put options at the start of the investment period (12-month period).
Days Remaining – Amount of time until the option structure expires.
Call options - Give the buyer the right, not obligation, to buy shares of the underlying stock at the stated exercise price from the seller of the call option up until the option expires.
Put options - Give the buyer the right, not obligation, to sell shares of the underlying stock at the stated exercise price to the seller of the put option up until the option expires.
Current outcome period values should be data as of the previous close.
Current Price – Price as of date’s close.
Period Return – Return of the ETF from the start of the outcome period to the closing price on the current date.
Remaining Buffer – How much of the downside buffer remains given the current price.
ETF Downside Before Buffer – How much the ETF can to lose before the protection buffer level .
Remaining Outcome Period – How long until the option structure expires.
30-Day Yield - Represents net investment income earned by the Fund expressed as an annual percentage rate based on the Fund's share price at the end of a 30-Day period ended on the last day of the month.
Inestment Period - The period begins at the close of market on first day of trading in a period and finishes at the end of the month, 12 months later.