BGI 819-6 PDF

Brazragore If we do not accept your request to repurchase your notes, you may be unable to sell your notes prior to maturity. You should be aware that other indices may be more diversified than the Index in terms of both the number and variety of VIX futures contracts. The daily rebalancing adjustment amount is intended to approximate the slippage costs that would be experienced by professional investor seeking to replicate the hypothetical portfolio contemplated the Index at prices that approximate the official settlement prices which are not generally tradable of the relevant VIX futures contracts. Therefore, under these market conditions, and if the synthetic short position is not activated, generally, we expect the level of the and therefore the value of the notes to decline. April Official Canvass Positive returns on the Index may therefore be reduced or eliminated entirely due to movements in any of these market parameters.

Author:JoJokazahn Duramar
Country:Comoros
Language:English (Spanish)
Genre:Relationship
Published (Last):22 March 2005
Pages:79
PDF File Size:18.91 Mb
ePub File Size:10.31 Mb
ISBN:776-1-76597-872-8
Downloads:23085
Price:Free* [*Free Regsitration Required]
Uploader:Mogrel



Brazragore If we do not accept your request to repurchase your notes, you may be unable to sell your notes prior to maturity. You should be aware that other indices may be more diversified than the Index in terms of both the number and variety of VIX futures contracts. The daily rebalancing adjustment amount is intended to approximate the slippage costs that would be experienced by professional investor seeking to replicate the hypothetical portfolio contemplated the Index at prices that approximate the official settlement prices which are not generally tradable of the relevant VIX futures contracts.

Therefore, under these market conditions, and if the synthetic short position is not activated, generally, we expect the level of the and therefore the value of the notes to decline. April Official Canvass Positive returns on the Index may therefore be reduced or eliminated entirely due to movements in any of these market parameters. We obtained the closing levels below from Bloomberg Financial Markets, without independent verification.

Terms not defined herein have the meanings given to such terms in the Supplement. The form of Repurchase Notice attached hereto as Annex A. If the notes priced today, J. You may access these documents on SEC website at www. Payment upon Early Bggi In addition, back-tested, hypothetical historical results have inherent limitations.

Accordingly, the notes should be purchased only by sophisticated investors who understand risks associated with investments linked to equity volatility and who intend to monitor and manage their investments actively.

In addition, the roll return generally will also be positive. Recent events affecting us have led to heightened regulatory scrutiny, may lead to additional regulatory or legal proceedings against us and may adversely affect our bvi ratings and credit spreads and, as a result, the market value of the notes. As a result, the level of the Index and the value of the notes may bgk adversely affected.

As the VIX futures contracts included in the Index approach expiration, they are replaced by similar contracts that have a later bgu. The level of the Index increases from the Initial Index Level of to an Index closing level of When activated, the synthetic short position rolls throughout each month from the first-month VIX futures contract into the second-month VIX futures contract.

There can be no assurance that the relevant synthetic exposures will not be subject to substantial negative returns. KEGG SSDB Best Search Result: myb Accordingly, at a minimum, eight 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.

The hypothetical back-tested performance of the Index set forth in the following graph was calculated on materially the same basis as the performance of the Index is now calculated, but does not represent the actual historical performance of the Index.

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 to the Index closing level on the Inception Date or any Valuation Date.

As time passes, the contract expiring in October may be gradually replaced by a contract for delivery in November, through incremental synthetic sales of a portion of the position in the October contract, accompanied by incremental synthetic purchases of the November contract.

There was a problem providing the content you requested However, recall that, for a long-short index, the absolute performance of each synthetic position is irrelevant and only the relative performance of the two synthetic positions matters. Under these circumstances, the absolute performance of the synthetic long position and the synthetic short position is not relevant to return on your notes. On any Valuation Date, the Index Return is equal to:.

Accordingly, the Index may not benefit from an activation of the synthetic short position in short periods of contango and the Index may bfi adversely affected if the short position is not deactivated during a short period of backwardation.

The level of the Index and the value of the notes will be adversely affected, perhaps significantly, if the performance of the synthetic long position and the contingent synthetic short position in the relevant VIX futures contracts, based on the official settlement prices the relevant Bfi futures contracts, is not sufficient to offset the daily deduction of the index fee and the daily rebalancing adjustment amount.

For example, if the level of the VIX Index is greater than 70 which corresponds to the highest rate of 0.

It is likely that the Index will continue to be highly volatile in the future, with the potential for significant fluctuations in the daily performance of the Index. Conversely, under these market conditions, when the synthetic short position is activated, although the price return of each VIX futures contract that composes the synthetic short position generally will also be negative, because this is a synthetic short position, the negative price return of the relevant VIX futures contracts will generate a positive return for the synthetic short position.

If, between the Inception Date and the relevant Valuation Date, the level of the Index decreases due to the index fee, daily rebalancing adjustment amount or otherwise or does not increase sufficiently to offset the Repurchase Fee Amount, if applicable, you will lose some or all of your initial investment at maturity or upon early repurchase.

As a result, you will be exposed to market risk in the event the market fluctuates after we accept your bti that we repurchase your notes, and prior to the relevant Repurchase Date. Therefore, bgii under these market conditions, the synthetic short position, when activated, will generate a negative return. Morgan Securities plc formerly known as J.

Any decline in our credit. The VIX Index is a benchmark index designed to measure the market price of volatility in large cap U. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the chart above.

Because the Index closing level on the relevant Valuation Date of Prospectus dated November 14, 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.

While the Index strategy is intended to cause the synthetic short position to be fully activated during periods when the market for VIX futures contracts is in contango so that positive roll yields from the synthetic short exposure will offset or possibly exceed negative roll yields from the synthetic long position, no assurance can be given that the investment strategy on which the Index is based will be successful.

As with actual historical data, hypothetical back-tested data should not be taken as an indication of future performance. Related Posts.

GLANDULAS DE SKENE PDF

BGI 819-6 PDF

Jule Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the chart above. Any representation to the contrary is a criminal offense. Under these market conditions, the price return of each VIX futures contract that composes the synthetic long position generally will be positive, and the roll return generally will also be positive. As your request that we repurchase your notes is irrevocable, this will subject you to market risk in the event the market fluctuates after we receive your request.

MAHAVAIROCANA TANTRA PDF

BGI 819-6 PDF

Because the notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due. There was a problem providing the content you requested Futures on the VIX Index allow investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX Index. Furthermore, the inclusion of the futures contracts in the Index is not an investment recommendation by us or JPMS plc of any of the futures contracts underlying the Index. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission. The level of the Index increases from the Initial Index Bbi of to an Index closing level of Unlike the index fee, the rebalancing adjustment factor is not a per annum fee. The weighted average maturity for the VIX futures contracts underlying the synthetic long position is approximately two months on any day and for the VIX bfi contracts underlying the synthetic short position is approximately one month on any day. April Official Canvass You may request that we repurchase your notes on a daily basis in a minimum denomination equal to the Principal Amount, subject to our acceptance of your request and your compliance with the procedural requirements described above.

LEGRIA HFS21 MANUAL PDF

Equality PDF

Jukree 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 such 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. If you request that we repurchase your notes, subject to our acceptance, the notification requirements and the other terms and conditions set forth in the accompanying product supplement no. When the level of the VIX is greater than 35, the rebalancing adjustment factor will be greater than 0. In addition, the number of notes outstanding or held by persons other than our affiliates could be reduced at any time due to early repurchases of the notes. On any Valuation Date, the Index Return is equal to: In addition, bbi, hypothetical historical results have inherent limitations. The notes are expected to price on or about March 25, and are expected to settle on or about March 28, As time passes, the contract expiring in October may be gradually replaced by a contract for delivery in November, through incremental synthetic sales of a portion of the position in the October contract, accompanied by incremental synthetic purchases of the November contract. Futures on the VIX Index allow investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX Index.

Related Articles