BGI 819-6 PDF

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As a result, you will be exposed to market risk in the event the market fluctuates after we accept your request that we repurchase your notes, and prior to the relevant Repurchase Date. If we do not receive such notice or we or our affiliates do not acknowledge receipt bgu such notice which means we have declined to accept your repurchase requestyour repurchase request will not be effective and we will not repurchase your notes on the corresponding Repurchase Date.

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. If you fail to comply with these procedures or if we fail to accept your request for repurchase, your notice will be deemed ineffective.

Accordingly, the Index Return will be negative if the performance of the VIX futures contracts included in the Index, based on their official settlement prices, is not sufficient to offset the deduction of the index fee and the daily bgii adjustment amount.

The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested daily Index closing levels from January 2, through July 29,gbi the historical performance of the Index based on the daily Index closing 8196- from July 30, through February 26, The numbers appearing in the following table and examples have been rounded for ease of analysis.

Return Notes Linked to the J. Accordingly, under these market conditions, when bgii synthetic short position is activated, generally, we expect the level of the Index and bbgi the value of the notes to decline if the positive return from the synthetic long position is not sufficient to offset the negative return from the synthetic short position. Backwardation in VIX futures contracts is typical in a high-volatility market environment.

On each Index Business Day, the calculation of the Index bfi the deduction of a an adjustment factor of 0. The Index closing level on February 26, was No assurance can be given that the investment strategy on which the Index is based will be successful or that the Bvi will outperform any alternative strategy that might be employed 8199-6 respect to the VIX futures contracts underlying the Index.

Under these circumstances, the absolute performance of the synthetic long position and the synthetic short position is not relevant to the return on your notes.

April Official Canvass

Investing in the Return Notes involves a number of risks. The hypothetical back-tested and historical levels of the Index should not be taken as an indication of 81-6 performance, and no assurance can be given as to the Index closing level on the Inception Date or any Valuation Date.

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The Index is a rolling index, which 819- throughout each month. Each hypothetical total return set forth below is for illustrative purposes only and may not be the actual total return at maturity or upon early repurchase applicable to a purchaser of the notes.

Because of the large and sudden price movements associated with VIX futures contracts, the historical 819–6 hypothetical back-tested performance of the Index has been highly volatile. 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 bbi effect of the index fee and the daily rebalancing adjustment amount:.

To address the potential for a negative roll yield when VIX futures contracts are in contango, the Index seeks to progressively activate a synthetic short position in VIX futures contracts with a weighted average maturity of approximately one month when the market for the relevant VIX futures contracts is in contango.

Nevertheless, we cannot provide any assurance that the VIX Index will consistently remain at or below 35 which corresponds to the lowest rate of 0. Therefore, generally under these market conditions, the synthetic short position, when activated, will generate a positive return.

This means the Index reflects the net return of a synthetic long position and a synthetic short position and will suffer losses when the value of the VIX futures contracts underlying the synthetic short position increases.

In addition, because it takes at least eight Index Business Days to activate or deactivate fully the synthetic short position, by the time the synthetic bg position is activated or deactivated fully, the prices of the VIX futures contracts may be moving in the opposite direction, which may adversely affect the level bhi the Index. Historical information with respect to the VIX Index is provided 8196 reference purposes only. Recent events affecting us have led to heightened regulatory scrutiny, may 819-66 to additional regulatory or legal proceedings against us and may adversely affect our credit ratings and credit spreads and, as a result, the market value of the notes.

For example, the exposure to the synthetic 891-6 position will not be adjusted if the level of the VIX Index is greater than or equal to the rolling, weighted average bgii of the first-month and second-month VIX futures contracts included in the synthetic short position for one hgi two Index Business Days, after which the level of the VIX Index is less than the rolling, weighted average price of the first-month and second-month VIX futures contracts included in the synthetic short position for one or two Index Business Days.

Your notice to us to repurchase your notes is irrevocable and must be received by us no later than 4: In addition, the roll return generally will also be positive.

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The return on your initial investment at maturity will reflect the deduction of the index fee and the daily rebalancing adjustment amount from the level of the Index. The Index may not activate or deactivate the synthetic short position at all due to short-term changes in the VIX futures contracts. Investors should be willing to forgo interest payments and, if, between the Inception Date and the relevant Valuation Date, the level of the Index which reflects the deductions described below decreases or, in the case of an early repurchase, does not increase sufficiently to offset the 0.

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You will lose some or all of your initial investment at maturity or upon early repurchase if, between the Inception Date and the relevant Valuation Date, the level of the Index decreases or, in the case of an early repurchase, does not increase sufficiently to offset the Repurchase Fee Amount. On any Index Business Day for which these conditions are not met, the synthetic short position will not be increased or decreased. Any decline in our credit.

No representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. In this case, the impact on the Index performance due to the daily rebalancing adjustment amount will be substantially greater. You will lose some or all of your initial investment upon early repurchase if, between the Inception Date and the relevant Valuation Date, the level of the Index decreases or does not increase sufficiently to offset the Repurchase Fee Amount.

Prospectus dated November 14, It is possible that hedging or trading activities of ours or our affiliates could result in substantial returns for us or our affiliates while the value of the notes declines.

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As 8199-6 in more detail below, the synthetic long position is maintained by synthetically selling VIX futures contracts on a daily basis that specify cash settlement on a nearby date and synthetically buying futures contracts on the VIX Index on a daily basis that specify cash settlement on a later date.

For example, if the level of the VIX Index is greater than 70 which corresponds to the highest rate of 0. Payment upon Early Repurchase: The weighted average maturity for the VIX futures contracts underlying the synthetic long 81-96 is approximately two months on any day and for the VIX futures contracts underlying the synthetic short position is approximately one month on any day.

Accordingly, at a minimum, ngi Index Business Days will elapse from the change in the futures market before the synthetic short position can be fully activated or deactivated, by which time market conditions may have changed. Index closing level on the relevant Valuation Date.

DTC and any relevant sub-account:. In this situation, whether synthetic position generates positive or negative returns will depend on the relative 891-6 and price movements of the VIX futures contracts underlying the synthetic position.

New York City time, on the Repurchase Date. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. 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.