ETRACS Quarterly Pay 1.5x Leveraged Alerian MLP Index ETN

  • Current Indicative Value
  • 10/29/2020 | 08:00 pm
  • USD 16.52
  • Current Spot Price USD 16.52
  • 10/29/2020 | 04:10 pm

Illustrative Examples

Capitalized terms used in the Illustrative Examples but not defined herein shall have the meanings attributed to them in the prospectus supplement for the ETRACS ETNs.

Quarterly Reset Valuation Dates

The below illustrative examples demonstrate how the leverage, deemed financing amount and Current Principal Amount (“CPA”) are reset on a Quarterly Reset Valuation Date in circumstances where (a) the Index Closing Level has increased from the Last Reset Index Closing Level, and (b) the Index Closing Level has decreased from the Last Reset Index Closing Level. For the ease of analysis and presentation, no Daily Fees or Daily Dividends are accrued and no Coupons are assumed to be paid in the example.


 

Loss Rebalancing Events

The below illustrative example demonstrates how the deemed financing amount and Current Principal Amount (“CPA”) are reset on a Reset Valuation Date following a Loss Rebalancing Event triggered in circumstances where the Intraday Index Value has decreased by 15% or more in value on a single Index Business Day. For the ease of analysis and presentation in the example, (a) no Daily Fees or Daily Dividends are accrued, (b) no Coupons are assumed to be paid, (c) the decrease in the Intraday Index Value occurs on a single day, (d) the Intraday Index Value decreases by 15% or more prior to 3:15 p.m. EST, and (e) the Loss Rebalance Valuation Date is on the next Index Business Day after the last Reset Valuation Date.

 

Permanent Deleveraging Event

The below illustrative example demonstrates how the deemed financing amount, leverage and Current Principal Amount (“CPA”) are reset over two Index Business Days following a Permanent Deleveraging Event triggered in circumstances where the Intraday Index Value has decreased by 50% or more in value on a single Index Business Day. For the ease of analysis and presentation in the example, (a) no Daily Fees or Daily Dividends are accrued, (b) no Coupons are assumed to be paid, (c) the decrease in the Intraday Index Value occurs on a single day, (d) the Intraday Index Value decreases by 50% or more prior to 3:15 p.m. EST, (e) the First Permanent Deleveraging Valuation Date is on the next Index Business Day after the last Reset Valuation Date, and (f) Index Closing Level remains unchanged between the close of trading on the First Permanent Deleveraging Valuation Date and the Second Permanent Deleveraging Valuation Date.

Automatic Acceleration Upon Zero Value Event

The below illustrative example demonstrates how the deemed financing amount, leverage and Current
Principal Amount (“CPA”) are reset following a Zero Value Event triggered in circumstances where the
Intraday Index Value has decreased by 66.66667% or more in value on a single Index Business Day. For
the ease of analysis and presentation in the example, (a) no Daily Fees or Daily Dividends are accrued,
(b) no Coupons are assumed to be paid, (c) the decrease in the Intraday Index Value occurs on a single
day, and (d) the Zero value Event occurs on the next Index Business Day after the last Reset Valuation
Date.

Calculation of Closing Indicative Value during a 4-day Measurement Period

The below illustrative example demonstrates how the Closing Indicative Value is calculated on each day during a 4-day Measurement Period. For the ease of analysis and presentation in the example, (a) no Daily Fees or Daily Dividends are accrued, (b) no Coupons are assumed to be paid, (c) Accrued Fees and Accrued Dividends are equal to zero on all days of the Measurement Period, (d) the Index Business Day immediately preceding the first day of the Measurement Period is a Reset Valuation Date, and (e) the Index Closing Level remains unchanged from the Last Reset Index Closing Level until the end of the Measurement Period.