Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index Series

Introduction

The Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index Series (the "Indices") are part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns to the US domestic stock market.

The Indices measures the performance of a portfolio of hypothetical exchange traded Flexible Exchange^® Options ("FLEX^® Options") that are based on the S&P 500^® Index. Each series in the index is designed to track the returns of a hypothetical investment that over a period of approximately one year seeks to "buffer protect" against losses of 30% after the first 5% of losses due to a decline in the S&P 500 Index while providing participation up to a capped level. The capped level is determined on each annual roll date such that there is no premium or discount to enter into the hypothetical investment compared to an investment in the Index. The Index Series comprises 4 quarterly series.

There are 4 monthly series that roll on the last business day of each month:

• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index January Series (Ticker: SPRS01)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index April Series (Ticker: SPRS04)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index July Series (Ticker: SPRS07)
• Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index October Series (Ticker: SPRS10)

Target Outcome Returns

The Index is part of the family of Target Outcome Indices. Many investments target speculative returns, with uncertain levels of risk, over an uncertain period of time. While opportunistic, this approach to investing brings a high degree of uncertainty. Target Outcome Indexes encourage targeting a specific defined return or "payoff", with an allowance for a specific defined risk, at a specific point in time in the future.

Buffer Protection Option Strategy

A Buffer Protection Option Strategy is a protection strategy that is generally used in a bear, range-bound or modest bull market environment. It seeks to provide a buffer of protection against downside losses over a set period of time, while still providing the opportunity for growth to a maximum pre-determined level.

The strategy seeks to provide similar returns to the S&P 500 Index, with lower volatility and downside risks, in most market environments with the exception of when the stock market is rallying rapidly.

Index Methodology

• The Cboe S&P 500 30% (-5% to -35%) Buffer Protect Index Series Methodology Paper

Index Constituents

• Details of the Index Holdings

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Index History

• SPRS01
• SPRS04
• SPRS07
• SPRS10