BGI 819-6 PDF

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This term sheet, together with 819–6 documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.

Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission.

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This means the Index reflects the net return of a synthetic long position and a synthetic short 81-96 and will suffer losses when the value of the VIX futures contracts underlying the synthetic short position increases. Even if there is a secondary market, 819–6 may not provide enough liquidity to allow you to trade or sell the notes easily. The Index is a rolling index, which rolls throughout each month.

The daily rebalancing adjustment amount, which is deducted from the level of the Index each day, is intended to approximate the slippage costs that would be experienced by a professional investor seeking to replicate the hypothetical portfolio contemplated by the Index at prices that approximate the ngi settlement prices which are not generally tradable of the relevant VIX futures contracts. Term 8119-6 To prospectus dated November 14,prospectus supplement dated November 14, and product supplement no.

The notes are offered pursuant to an exemption 8196 regulation under the Commodity Exchange Act that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, which is set out in section 2 f of that statute. However, the actual slippage costs that would be incurred if a professional investor were to seek to replicate such a portfolio may be higher or lower than the daily rebalancing adjustment amount used in the calculation of the Index.

The third business day following each Valuation Date. Any decline in our credit. The hypothetical back-tested and historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as bgk the Index closing level on the Inception Date or any Valuation Date.

In addition, the roll return generally will also be negative. Historical information with respect to the VIX Index is provided for reference purposes only. As a consequence, investors in the notes should understand that their investment is exposed to the performance of the VIX futures contracts, which can be volatile and move dramatically over short periods of time.


Term Sheet to Product Supplement 819. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors ngi as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income including any mandated accruals realized by non-U. Prospectus supplement dated November 14, Morgan Strategic Volatility Index, which seeks to replicate the returns from combining a long position and a contingent byi position in futures contracts on the VIX Index.

81-6 Back-tested Data and Historical Information. You may also choose to reject such changes in which case we may reject your offer to purchase. As a result, the level of the Index and the value of the notes may be adversely affected. Calculation and Publication of Index Levels — B. Accordingly, the liquidity of the market for the notes outside of an early repurchase request could vary materially over the term of the notes. Investing in the notes is not equivalent to investing directly in the Bgu or any of its component futures contracts.

The level of the Index incorporates the daily deduction of a an adjustment factor of 0. We may suspend or terminate market making at any time, at our own discretion and without notice to holders of the notes.

In some cases, the market for VIX futures contracts may not be in backwardation or contango, and the price of one VIX futures contract underlying a synthetic position may increase while the other VIX futures contracts underlying the same synthetic position may decrease. Furthermore, if we accept your repurchase request, our obligation to repurchase the notes prior to maturity may be postponed upon the occurrence of a market disruption event.

In addition, because it takes at least eight Index Business Days to activate byi deactivate fully the synthetic short position, by the time the synthetic short position is activated or deactivated fully, the prices of the VIX futures contracts may be moving bhi the opposite direction, which may adversely affect 89-6 level of the Index.

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Accordingly, a hypothetical investment that was linked directly to the performance of the VIX Index long or short could generate a higher return than the notes. Unlike other indices, the maintenance of the Index is not governed by an independent committee. You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. Past performance should not be considered indicative of future performance.


There can be no assurance that the synthetic positions will always correlate in a manner that will result in an increase in the level of the Index, resulting in an increase in the value of the notes. When activated, the synthetic short position rolls throughout each month from the first-month VIX futures contract into the second-month VIX futures contract.

In addition, the roll return generally will also be positive. The hypothetical returns and hypothetical payments on the notes shown above do not reflect fees or expenses that would be associated with any sale in the secondary market. Investors should make their own independent investigation of the merits of investing in the notes, the Index and the VIX futures contracts underlying the Index.

Due to this time lag, the exposure to the synthetic short position may not be adjusted quickly enough for the investment strategy on which the Index is based to be successful. Other Information — Item 1A. Accordingly, under these market conditions, when the synthetic short position is activated, generally, we expect the level of the Index and therefore the value of the notes to decline if the positive return from the synthetic short position is not sufficient to offset the negative return from the synthetic long position.

These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. Generally, we expect the level of the Index, and therefore the value of the notes, to increase in either of the following situations, assuming, in each case, that the return from the synthetic long position if the synthetic short position is not activated or the net return of the synthetic positions when the synthetic short position is activated is sufficient to offset the negative effect of the index fee and the daily rebalancing adjustment amount:.

Because of the timing requirements of the Repurchase Notice, settlement of the repurchase will be prolonged when compared to a sale and settlement in the secondary market. In this case, the impact on the Index performance due to the daily rebalancing adjustment amount will be substantially greater.