It is more likely that we will call the Notes
in our sole discretion prior to maturity to the extent that the expected Contingent Coupon Payments payable on the Notes are greater
than the coupon that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading
in the market. The greater likelihood of us calling the Notes in that environment increases the risk that you will not be able
to reinvest the proceeds from the called Notes in an another investment that provides a similar yield with a similar level of risk.
We are less likely to call the Notes prior to maturity when the expected Contingent Coupon Payments payable on the Notes are less
than the coupon that would be payable on other comparable instruments issued by us, which includes when the level of any of the
Underlyings is less than its Coupon Barrier. Therefore, the Notes are more likely to remain outstanding when the expected Contingent
Coupon Payments payable on the Notes are less than what would be payable on other comparable instruments and when your risk of
not receiving a coupon is relatively higher.
any Underlying as compared to its Coupon Barrier,
Downside Threshold or Initial Value, as applicable. No assurance can be given as to what our financial condition or the financial
condition of the Guarantor will be on the Maturity Date. If we and the Guarantor become unable to meet our respective financial
obligations as they become due, you may not receive the amounts payable under the terms of the Notes and you could lose all of
your initial investment.
In addition, our credit ratings and the credit
ratings of the Guarantor are assessments by ratings agencies of our respective abilities to pay our obligations. Consequently,
our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our or the Guarantor’s credit
ratings or increases in the spread between the yield on our respective securities and the yield on U.S. Treasury securities (the
“credit spread”) prior to the Maturity Date of your Notes may adversely affect the market value of the Notes. However,
because your return on the Notes depends upon factors in addition to our ability and the ability of the Guarantor to pay our respective
obligations, such as the values of the Underlyings, an improvement in our or the Guarantor’s credit ratings will not reduce
the other investment risks related to the Notes.
The development of a trading market for the Notes
will depend on the Guarantor’s financial performance and other factors, including changes in the levels of the Underlyings.
The number of potential buyers of your Notes in any secondary market may be limited. We anticipate that BofAS will act as a market-maker
for the Notes, but none of us, the Guarantor or BofAS is required to do so. There is no assurance that any party will be willing
to purchase your Notes at any price in any secondary market. BofAS may discontinue its market-making activities as to the Notes
at any time. To the extent that BofAS engages in any market-making activities, it may bid for or offer the Notes. Any price at
which BofAS may bid for, offer, purchase, or sell any Notes may differ from the values determined by pricing models that it may
use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers, or completed transactions
may affect the prices, if any, at which the Notes might otherwise trade in the market. In addition, if at any time BofAS were to
cease acting as a market-maker as to the Notes,
it is likely that there would be significantly
less liquidity in the secondary market. In such a case, the price at which the Notes could be sold likely would be lower than if
an active market existed.
We, the Guarantor or one or more of our other
affiliates, including BofAS, and UBS and its affiliates also may issue or underwrite other financial instruments with returns based
upon the Underlyings. We expect to enter into arrangements or adjust or close out existing transactions to hedge our obligations
under the Notes. We, the Guarantor or our other affiliates, including BofAS, and UBS and its affiliates also may enter into hedging
transactions relating to other Notes or instruments, some of which may have returns calculated in a manner related to that of the
Notes offered hereby. We or UBS may enter into such hedging arrangements with one of our or their affiliates. Our affiliates or
their affiliates may enter into additional hedging transactions with other parties relating to the Notes and the Underlyings. This
hedging activity is expected to result in a profit to those engaging in the hedging activity, which could be more or less than
initially expected, or the hedging activity could also result in a loss. We and our affiliates and UBS and its affiliates will
price these hedging transactions with the intent to realize a profit, regardless of whether the value of the Notes increases or
decreases. Any profit in connection with such hedging activities will be in addition to any other compensation that we, the Guarantor
and our other affiliates, including BofAS, and UBS and its affiliates receive for the sale of the Notes, which creates an additional
incentive to sell the Notes to you. While we, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and
its affiliates may from time to time own securities represented by the Underlyings, except to the extent that BAC’s or UBS
Group AG’s common stock may be included in the Underlyings, as applicable, we, the Guarantor and our other affiliates, including
BofAS, and UBS and its affiliates do not control any company included in the Underlyings, and have not verified any disclosure
made by any other company. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates
may execute such purchases or sales for our own or their own accounts, for business reasons, or in connection with hedging our
obligations under the Notes. The transactions described above may present a conflict of interest between your interest in the Notes
and the interests we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates may have in our or their
proprietary accounts, in facilitating transactions, including block trades, for our or their other customers, and in accounts under
our or their management.
The transactions described above may adversely
affect the value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the Trade Date,
any purchases or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf, and UBS and its affiliates
(including for the purpose of hedging some or all of our anticipated exposure in connection with the Notes) may affect the value
of the Underlyings. Consequently, the value of the Underlyings may change subsequent to the Trade Date, which may adversely affect
the market value of the Notes. In addition, these activities may decrease the market value of your Notes prior to maturity, and
may affect the amounts to be paid on the Notes. We, the Guarantor or one or more of our other affiliates, including BofAS, and
UBS and its affiliates may purchase or otherwise acquire a long or short position in the Notes and may hold or resell the Notes.
For example, BofAS may enter into these transactions in connection with any market making activities in which it engages. We cannot
assure you that these activities will not adversely affect the value of the Underlyings, the market value of your Notes prior to
maturity or the amounts payable on the Notes.
made in the section entitled “U.S. Federal
Income Tax Summary.” You are urged to consult with your own tax advisor regarding all aspects of the U.S. federal income
tax consequences of investing in the Notes.
The examples below illustrate the hypothetical payment upon a call or at
maturity for a $10.00 Stated Principal Amount Note with the following assumptions* (the actual terms of the Notes will be determined
on the Trade Date; amounts may have been rounded for ease of reference and do not take into account any tax consequences from investing
in the Notes):
Since the Notes are called by us in our sole discretion on the Coupon Payment
Date related to the first Observation Period and the closing level of each Underlying on each trading day during the first Observation
Period was greater than its Coupon Barrier, we will pay you a total of $10.3325 per Note (equal to the Stated Principal Amount
plus the Contingent Coupon Payment) on that Coupon Payment Date, representing a 3.325% total return on the Notes over the approximately
three months the Notes were outstanding before they were called by us in our sole discretion. You will not receive any further
payments on the Notes.
Example 2 — Notes are NOT called prior to the Maturity Date and
the Final Value of the Least Performing Underlying on the Final Observation Date is at or above its Downside Threshold.
Date
|
|
Lowest Closing Level During Applicable Observation Period / Final Value on the Final Observation Date
|
Payment (per Note)
|
Russell 2000® Index
|
S&P 500® Index
|
EURO STOXX 50® Index
|
First Observation Period
|
99.00 (at or above Coupon Barrier)
|
99.00 (at or above Coupon Barrier)
|
85.00 (at or above Coupon Barrier)
|
$0.3325 (Contingent Coupon Payment — Not called
|
Second to Seventh Observation Periods
|
various (all at or above Coupon Barrier)
|
various (all at or above Coupon Barrier)
|
various (all below Coupon Barrier)
|
$0.00 (Notes are not called)
|
Final Observation Period
|
78.00 (at or above Coupon Barrier)
|
78.00 (at or above Coupon Barrier)
|
60.00 (below Coupon Barrier)
|
$0.00 (Not callable)
|
Final Observation Date
|
99.00 (at or above Downside Threshold)
|
99.00 (at or above Downside Threshold)
|
77.00 (at or above Downside Threshold)*
|
$10.00 (Stated Principal Amount)
|
|
|
|
Total Payment:
|
$10.3325 (3.325% total return)
|
* Denotes Least Performing Underlying
Since the closing level of each Underlying on each trading day during the
first Observation Period was greater than its Coupon Barrier, we will pay you the applicable Contingent Coupon Payment of $0.3325
per Note on the first Coupon Payment Date. However, because the closing level of one Underlying was below its Coupon Barrier on
at least one trading day during each of the second through seventh observation periods, you will not receive any Contingent Coupon
Payments on any of the related Coupon Payment Dates.
Because the Final Value of the Least Performing Underlying is greater than
its Downside Threshold, we will pay you $10.00 per Note (equal to the Stated Principal Amount) on the Maturity Date. However, because
the closing level of one Underlying was below its Coupon Barrier on at least one trading day during the final Observation Period,
you will not receive any Contingent Coupon Payment on the Maturity Date. When added to the Contingent Coupon Payment of $0.3325
received in respect of the first Observation Period, you would have been paid a total of $10.3325 per Note, representing a 3.325%
total return on the Notes over twenty-four months.
Example 3 — Notes are NOT called prior to the Maturity Date and
the Final Value of the Least Performing Underlying on the Final Observation Date is below its Downside Threshold.
Date
|
|
Lowest Closing Level During Applicable Observation Period / Final Value on the Final Observation Date
|
Payment (per Note)
|
Russell 2000® Index
|
S&P 500® Index
|
EURO STOXX 50® Index
|
First Observation Period
|
various (all below Coupon Barrier)
|
various (all below Coupon Barrier)
|
various (all below Coupon Barrier)
|
$0.00 (Not Called)
|
Second to Seventh Observation Periods
|
various (all below Coupon Barrier)
|
various (all below Coupon Barrier)
|
various (all below Coupon Barrier)
|
$0.00 (Notes are not called)
|
Final Observation Period
|
30.00 (below Coupon Barrier)
|
85.00 (at or above Coupon Barrier)
|
85.00 (at or above Coupon Barrier)
|
$0.00 (Not callable)
|
Final Observation Date
|
30.00 (below Downside Threshold)*
|
87.00 (at or above Downside Threshold)
|
87.00 (at or above Downside Threshold)
|
$10.00 × [1 + Underlying Return of the Least Performing
Underlying] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (Payment at Maturity)
|
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
* Denotes Least Performing Underlying
Since the closing level of at least one Underlying was below its Coupon
Barrier on at least one trading day during each Observation Period, no Contingent Coupon Payments are paid on any Coupon Payment
Date during the term of the Notes, including the Maturity Date. On the Final Observation Date, the Least Performing Underlying
closes below its Downside Threshold. Therefore, at maturity, investors are exposed to the proportionate downside performance of
the Least Performing Underlying and you will receive $3.00 per Note, which reflects the percentage decrease of the closing level
of the Least Performing Underlying from the Trade Date to the Final Observation Date.
The
Underlyings
All disclosures contained in this pricing supplement regarding
the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have been
derived from publicly available sources. The information reflects the policies of, and is subject to change by, each of FTSE Russell,
the sponsor of the RTY, S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX and STOXX Limited (“STOXX”),
the sponsor of the SX5E. We refer to FTSE Russell, SPJDI and STOXX as the “Underlying Sponsors.” The Underlying Sponsors,
which license the copyright and all other rights to the Underlyings, have no obligation to continue to publish, and may discontinue
publication of, the Underlyings. The consequences of any Underlying Sponsor discontinuing publication of the applicable Underlying
are discussed in “Description of the Notes—Discontinuance of an Index” in the accompanying product supplement.
None of us, the Guarantor, the calculation agent, or either Selling Agent accepts any responsibility for the calculation, maintenance
or publication of any Underlying or any successor index.
None of us, the Guarantor, the Selling Agents or any of our or their respective
affiliates makes any representation to you as to the future performance of the Underlyings.
You should make your own investigation into the Underlyings.
The Russell 2000® Index
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Additional information on the RTY is available at the following website: http://www.ftserussell.com. No information on that
website is deemed to be included or incorporated by reference in this pricing supplement.
Russell began dissemination of the RTY (Bloomberg L.P. index symbol
“RTY”) on January 1, 1984. FTSE Russell calculates and publishes the RTY. The RTY was set to 135 as of the close of
business on December 31, 1986. The RTY is designed to track the performance of the small capitalization segment of the U.S. equity
market. As a subset of the Russell 3000® Index, the RTY consists of the smallest 2,000 companies included in the Russell 3000®
Index. The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98%
of the investable U.S. equity market. The RTY is determined, comprised, and calculated by FTSE Russell without regard to the Notes.
Selection of Stocks Comprising the RTY
All companies eligible for inclusion in the RTY must be classified
as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated headquarters
location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the
company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell defines three Home
Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most liquid exchange
(as defined by a two-year average daily dollar trading volume) (“ADDTV”) from all exchanges within a country. Using
the HCIs, FTSE Russell compares the primary location of the company’s assets with the three HCIs. If the primary location
of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient
information to determine the country in which the company’s assets are primarily located, FTSE Russell will use the primary
country from which the company’s revenues are derived for the comparison with the three HCIs in a similar manner. FTSE Russell
uses the average of two years of assets or revenues data to reduce potential turnover. If conclusive country details cannot be
derived from assets or revenues data, FTSE Russell will assign the company to the country of its headquarters, which is defined
as the address of the company’s principal executive offices, unless that country is a Benefit Driven Incorporation “BDI”
country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla,
Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook
Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius,
Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including Puerto
Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the RTY must trade
on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the last trading day
in May to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing
member’s closing price is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily
closing prices (from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public offerings
are added each quarter and must have a closing price at or above $1.00 on the last day of their eligibility period in order to
qualify for index inclusion. If an existing stock does not trade on the “rank day” (typically the last trading day
in May but a confirmed timetable is announced each spring) but does have a closing price at or above $1.00 on another eligible
U.S. exchange, that stock will be eligible for inclusion.
An important criterion used to determine the list of securities
eligible for the RTY is total market capitalization, which is defined as the market price as of the last trading day in May for
those securities being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common
stock, non-restricted exchangeable shares and partnership units/membership interests are used to determine market capitalization.
Any other form of shares such as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock,
warrants and rights, installment receipts or trust receipts, are excluded from the calculation. If multiple share classes of common
stock exist, they are combined. In cases where the common stock share classes act independently of each other (e.g., tracking stocks),
each class is considered for inclusion separately. If multiple share classes exist, the pricing vehicle will be designated as the
share class with the highest two-year trading volume as of the rank day in May.
Companies with a total market capitalization of less than $30
million are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace are
not eligible for the RTY. Royalty trusts, limited liability companies, closed-end investment companies (companies that are required
to report Acquired Fund Fees and Expenses, as defined by the SEC, including business development companies), blank check companies,
special purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Bulletin board, pink sheets,
and over-the-counter (“OTC”) traded securities are not eligible for inclusion. Exchange traded funds and mutual funds
are also excluded.
Annual reconstitution is a process by which the RTY is completely rebuilt.
Based on closing levels of the company’s common stock on its primary exchange on the rank day of May of each year, FTSE Russell
reconstitutes the composition of the RTY using the then existing market capitalizations of eligible companies. Reconstitution of
the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the prior
Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization
ranking within the market-adjusted capitalization breaks established during the most recent reconstitution. After membership is
determined, a security’s shares are adjusted to include only those shares available to the public. This is often referred
to as “free float.” The purpose of the adjustment is to exclude from market calculations the capitalization that is
not available for purchase and is not part of the investable opportunity set.
Historical Performance of the RTY
The following graph sets forth the daily historical performance of the
RTY in the period from January 1, 2008 through June 19, 2020. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal orange line
in the graph represents the RTY’s hypothetical Coupon Barrier of 922.112 (rounded to three decimal places), which is 65%
of the RTY’s hypothetical Initial Value of 1,418.634, which was the RTY’s closing level on June 19, 2020. The horizontal
grey line in the graph represents the RTY’s hypothetical Downside Threshold of 780.249 (rounded to three decimal places),
which is 55% of the RTY’s hypothetical Initial Value. The actual Initial Value, Coupon Barrier and Downside Threshold will
be determined on the Trade Date.
This historical data on the RTY is not necessarily indicative of the
future performance of the RTY or what the value of the Notes may be. Any historical upward or downward trend in the level of the
RTY during any period set forth above is not an indication that the level of the RTY is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available
sources for the levels of the RTY.
License Agreement
“Russell 2000®”
and “Russell 3000®” are trademarks of FTSE Russell and have
been licensed for use by our affiliate, MLPF&S. The Notes are not sponsored, endorsed, sold, or promoted by FTSE Russell, and
FTSE Russell makes no representation regarding the advisability of investing in the Notes.
FTSE Russell and MLPF&S have entered into a non-exclusive license
agreement providing for the license to MLPF&S and its affiliates, including us, in exchange for a fee, of the right to use
indices owned and published by FTSE Russell in connection with some securities, including the Notes. The license agreement provides
that the following language must be stated in this pricing supplement:
The Notes are not sponsored, endorsed, sold, or promoted by FTSE Russell.
FTSE Russell makes no representation or warranty, express or implied, to the holders of the Notes or any member of the public regarding
the advisability of investing in securities generally or in the Notes particularly or the ability of the RTY to track general stock
market performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests or implies an opinion
by FTSE Russell as to the advisability of investment in any or all of the securities upon which the RTY is based. FTSE Russell’s
only relationship to MLPF&S and to us is the licensing of certain trademarks and trade names of FTSE Russell and of the RTY,
which is determined, composed, and calculated by FTSE Russell without regard to MLPF&S, us, or the Notes. FTSE Russell is not
responsible for and has not reviewed the Notes nor any associated literature or publications and FTSE Russell makes no representation
or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time
and without notice, to alter, amend, terminate, or in any way change the RTY. FTSE Russell has no obligation or liability in connection
with the administration, marketing, or trading of the Notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF
THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY MLPF&S, US, HOLDERS OF THE NOTES, OR ANY
OTHER PERSON
OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL FTSE RUSSELL
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
The S&P 500® Index
The SPX includes a representative sample of 500 companies in leading industries
of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price movement. The calculation
of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of 500 companies as of
a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base
period of the years 1941 through 1943.
The SPX includes companies from eleven main groups: Communication Services;
Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology; Real Estate; Materials;
and Utilities. SPDJI may from time to time, in its sole discretion, add companies to, or delete companies from, the SPX to achieve
the objectives stated above.
Company additions to the SPX must have an unadjusted company market capitalization
of $8.2 billion or more (an increase from the previous requirement of an unadjusted company market capitalization of $6.1 billion
or more).
SPDJI calculates the SPX by reference to the prices of the constituent
stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on the Notes will
not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid on those
stocks.
Computation of the SPX
While SPDJI currently employs the following methodology to calculate
the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect the Payment
at Maturity.
Historically, the market value of any component stock of the SPX was
calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March
2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula, before moving
the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not change
with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used in calculating the SPX
reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float adjustment excludes
shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing more than 5% of a stock’s
outstanding shares, other than holdings by “block owners,” were removed from the float for purposes of calculating
the SPX. Generally, these “control holders” will include officers and directors, private equity, venture capital and
special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares,
ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater
stake in a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds,
mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance
companies, asset managers and investment funds, independent foundations and savings and investment plans, will ordinarily be considered
part of the float.
Treasury stock, stock options, restricted shares, equity participation
units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors
in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the
float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or
non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”) is calculated
by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares
outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5%
of the company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However,
if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s
shares, SPDJI would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered
to be held for control. As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in
the SPX. Constituents of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to
be included in the SPX. If a constituent company of the SPX reorganizes into a multiple share class line structure, that company
will remain in the SPX at the discretion of the S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate methodology. The
level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941 through
1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has
been set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of
the SPX is computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the
index divisor is an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original
base period level of the SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments
to the SPX, which is index maintenance.
Index Maintenance
Index maintenance includes monitoring and completing the adjustments
for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring
or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding
and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
To prevent the level of the SPX from changing due to corporate actions,
corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting the index divisor
for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of individual
companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding of 5.00% or more due
to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably possible.
Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented when the
transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change.
All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of
options, warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of
less than 5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually
announced two to five days prior. If a change in a company’s shares outstanding of 5.00% or more causes a company’s
IWF to change by five percentage points or more, the IWF is updated at the same time as the share change. IWF changes resulting
from partial tender offers are considered on a case by case basis.
Historical Performance of the SPX
The following graph sets forth the daily historical performance of the
SPX in the period from January 1, 2008 through June 19, 2020. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal orange line
in the graph represents the SPX’s hypothetical Coupon Barrier of 2,013.53 (rounded to two decimal places), which is 65% of
the SPX’s hypothetical Initial Value of 3,097.74, which was the SPX’s closing level on June 19, 2020. The horizontal
grey line in the graph represents the SPX’s hypothetical Downside Threshold of 1,703.76 (rounded to two decimal places),
which is 55% of the SPX’s hypothetical Initial Value. The actual Initial Value, Coupon Barrier and Downside Threshold will
be determined on the Trade Date.
This historical data on the SPX is not necessarily indicative of the
future performance of the SPX or what the value of the Notes may be. Any historical upward or downward trend in the level of the
SPX during any period set forth above is not an indication that the level of the SPX is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available
sources for the levels of the SPX.
License Agreement
S&P® is a registered trademark of Standard & Poor’s
Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings
LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC. “Standard &
Poor’s®,” “S&P 500®” and “S&P®” are trademarks
of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, MLPF&S. The SPX is a product of S&P
Dow Jones Indices LLC and/or its affiliates and has been licensed for use by MLPF&S.
The Notes are not sponsored, endorsed, sold or promoted by S&P Dow
Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).
S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the Notes or any member of
the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the SPX
to track general market performance. S&P Dow Jones Indices’ only relationship to MLPF&S with respect to the SPX is
the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third
party licensors. The SPX is determined, composed
and calculated by S&P Dow Jones Indices without regard to us, MLPF&S,
or the Notes. S&P Dow Jones Indices have no obligation to take our needs, BAC’s needs or the needs of MLPF&S or holders
of the Notes into consideration in determining, composing or calculating the SPX. S&P Dow Jones Indices are not responsible
for and have not participated in the determination of the prices, and amount of the Notes or the timing of the issuance or sale
of the Notes or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&P Dow
Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the Notes. There is
no assurance that investment products based on the SPX will accurately track index performance or provide positive investment returns.
S&P Dow Jones Indices LLC and its subsidiaries are not investment advisors. Inclusion of a security or futures contract within
an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security or futures contract, nor is it
considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or
sponsor financial products unrelated to the Notes currently being issued by us, but which may be similar to and competitive with
the Notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the
SPX. It is possible that this trading activity will affect the value of the Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS
AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY
DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED
BY US, BAC, MLPF&S, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE SPX OR WITH RESPECT TO ANY DATA
RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES,
LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY,
OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND MLPF&S,
OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The EURO STOXX 50® Index
The SX5E was created by STOXX, which is owned by Deutsche Börse
AG. Publication of the SX5E began in February 1998, based on an initial index level of 1,000 at December 31, 1991.
Index Composition and Maintenance
The SX5E is composed of 50 stocks from 11 Eurozone countries
(Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) of the STOXX Europe
600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European
countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil &
gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure and utilities.
For each of the 19 EURO STOXX regional supersector indices,
the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the
coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index.
If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list.
All current stocks in the SX5E are then added to the selection list. All of the stocks on the selection list are then ranked in
terms of free-float market capitalization to produce the final index selection list. The largest 40 stocks on the selection list
are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number
of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50 stocks. In exceptional
cases, STOXX’s management board can add stocks to and remove them from the selection list.
The index components are subject to a capped maximum index weight
of 10%, which is applied on a quarterly basis.
The composition of the SX5E is reviewed annually, based on the
closing stock data on the last trading day in August. Changes in the composition of the SX5E are made to ensure that the SX5E includes
the 50 market sector leaders from within the EURO STOXX® Index.
The free float factors for each component stock used to calculate
the SX5E, as described below, are reviewed, calculated, and implemented on a quarterly basis and are fixed until the next quarterly
review.
The SX5E is subject to a “fast exit rule.” The index
components are monitored for any changes based on the monthly selection list ranking. A stock is deleted from the SX5E if: (a)
it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive period of two months
in the monthly selection list. The highest-ranked stock that is not an index component will replace it. Changes will be implemented
on the close of the fifth trading day of the month, and are effective the next trading day.
The SX5E is also subject to a “fast entry rule.”
All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly
basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated end of February, May, August
or November and (b) it ranks within the “lower buffer” on this selection list.
The SX5E is also reviewed on an ongoing monthly basis. Corporate
actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect the index
composition are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.
Index Calculation
The SX5E is calculated with the “Laspeyres formula,” which
measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating
the index value can be expressed as follows:
EURO STOXX 50® Index =
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Free float market capitalization of the EURO STOXX 50® Index
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Divisor
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The “free float market capitalization of the Index”
is equal to the sum of the product of the price, the number of shares and the free float factor and the weighting cap factor for
each component stock as of the time the SX5E is being calculated.
The SX5E is also subject to a divisor, which is adjusted to
maintain the continuity of the index values across changes due to corporate actions, such as the deletion and addition of stocks,
the substitution of stocks, stock dividends, and stock splits.
Neither we nor any of our affiliates, including MLPF&S,
accepts any responsibility for the calculation, maintenance, or publication of, or for any error, omission, or disruption in, the
SX5E or any successor to the SX5E. STOXX does not guarantee the accuracy or the completeness of the SX5E or any data included in
the SX5E. STOXX assumes no liability for any errors, omissions, or disruption in the calculation and dissemination of the SX5E.
STOXX disclaims all responsibility for any errors or omissions in the calculation and dissemination of the SX5E or the manner in
which the SX5E is applied in determining the amount payable on the Notes at maturity.
Historical Performance of the SX5E
The following graph sets forth the daily historical performance of the
SX5E in the period from January 1, 2008 through June 19, 2020. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal orange line
in the graph represents the SX5E’s hypothetical Coupon Barrier of 2,124.92 (rounded to two decimal places), which is 65%
of the SX5E’s hypothetical Initial Value of 3,269.10, which was the SX5E’s closing level on June 19, 2020. The horizontal
grey line in the graph represents the SX5E’s hypothetical Downside Threshold of 1,798.01 (rounded to two decimal places),
which is 55% of the SX5E’s hypothetical Initial Value. The actual Initial Value, Coupon Barrier and Downside Threshold will
be determined on the Trade Date.
This historical data on the SX5E is not necessarily indicative of the
future performance of the SX5E or what the value of the Notes may be. Any historical upward or downward trend in the level of the
SX5E during any period set forth above is not an indication that the level of the SX5E is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available sources
for the levels of the SX5E.
License Agreement
One of our affiliates has entered into a non-exclusive license agreement
with STOXX providing for the license to it and certain of its affiliated companies, including us, of the right to use indices owned
and published by STOXX (including the SX5E) in connection with certain securities, including the Notes.
The license agreement requires that the following language be stated in
this pricing supplement:
“STOXX Limited, Deutsche Börse Group and their licensors, research
partners or data providers have no relationship to us other than the licensing of the SX5E and the related trademarks for use in
connection with the Notes.
STOXX, Deutsche Börse Group and their licensors,
research partners or data providers do not:
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sponsor, endorse, sell or
promote the Notes.
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recommend that any person
invest in the Notes or any other securities.
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have any responsibility or liability for or make any decisions about the timing, amount or pricing
of the Notes.
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have any responsibility or liability for the administration, management or marketing of the Notes.
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consider the needs of the Notes or the owners of the Notes in determining, composing or calculating
the SX5E or have any obligation to do so.
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STOXX, Deutsche Börse Group and their licensors, research
partners or data providers give no warranty, and exclude any liability (whether in negligence or otherwise), in connection with
the Notes or their performance.
STOXX does not assume any contractual relationship
with the purchasers of the Notes or any other third parties.
Specifically,
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not
give any warranty, express or implied, and exclude any liability about:
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The results to be obtained by the Notes, the owner of the Notes or any other person in connection
with the use of the SX5E and the data included in the SX5E;
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The accuracy, timeliness, and completeness of the SX5E and its data;
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The merchantability and the fitness for a particular purpose or use of the SX5E and its data;
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The performance of the Notes generally.
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STOXX, Deutsche Börse Group and their licensors, research partners or data providers give
no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data;
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Under no circumstances will STOXX, Deutsche Börse Group or their licensors, research partners
or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential
damages or losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation
to the Notes, even in circumstances where STOXX, Deutsche Börse Group or their licensors, research partners or data providers
are aware that such loss or damage may occur.
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The licensing agreement discussed above is solely for our benefit and that
of STOXX, and not for the benefit of the owners of the Notes or any other third parties.”
Correlation of the Underlyings
The graph below illustrates the daily performance of the RTY, the SPX and the
SX5E from January 1, 2008 through June 19, 2020. For comparison purposes, each Underlying has been “normalized” to
have a closing level of 100 on January 1, 2008 by dividing the closing level of that Underlying on each trading day by the closing
level of that Underlying on January 1, 2008 and multiplying by 100. We obtained the closing levels used to determine the normalized
closing levels set forth below from Bloomberg L.P., without independent verification.
The correlation of a group of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a group of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e.,
the value of all Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that group of Underlyings)
and -1.0 indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other
Underlyings decrease and the ratio of their returns has been constant).
The graph below illustrates the historical performance of each Underlying relative
to each other over the time period shown and provides an indication of how close the relative performance of each Underlying has
historically been to the other Underlyings. A closer relationship between the daily returns of two or more underlying assets over
a given period indicates that such underlying assets have been more positively correlated. Lower (or more-negative) correlation
among two or more underlying assets over a given period may indicate that it is less likely that those underlying assets will subsequently
move in the same direction. Therefore, lower correlation among the Underlyings may indicate a greater potential for one of the
Underlyings to close below its respective Coupon Barrier on any trading day during an Observation Period or below its respective
Downside Threshold on the Final Observation Date, as applicable, because there may be a greater likelihood that at least one of
the Underlyings will decrease in value significantly. However, even if the Underlyings have a higher positive correlation, one
or all of the Underlyings may close below the respective Coupon Barrier(s) on any trading day during an Observation Period or below
the respective Downside Threshold(s) on the Final Observation Date, as applicable, as the Underlyings may each decrease in value.
Moreover, the actual correlation among the Underlyings may differ, perhaps significantly, from their historical correlation. Although
the correlation of the Underlyings’ performance may change over the term of the Notes, the economic terms of the Notes, including
the Contingent Coupon Rate, Downside Threshold and Coupon Barrier are determined, in part, based on the correlation of the Underlyings’
performance calculated using our and our affiliates' pricing models at the time when the terms of the Notes are finalized. All
other things being equal, a higher Contingent Coupon Rate and lower Downside Threshold and Coupon Barrier is generally associated
with lower correlation among the Underlyings, which may indicate a greater potential for missed Contingent Coupon Payments and/or
a significant loss on your investment at maturity. See “Risk Factors — You are exposed to the market risk of each Underlying”,
“—Because the Notes are linked to the performance of the least performing among the RTY, the SPX and the SX5E, you
are exposed to greater risk of receiving no Contingent Coupon Payments or sustaining a significant loss on your investment than
if the Notes were linked to just the RTY, just the SPX or just the SX5E” and “—A higher Contingent Coupon Rate
and/or a lower Coupon Barrier and/or Downside Threshold may reflect greater expected volatility of the Underlyings, which is generally
associated with a greater risk of loss” herein.
Past performance and correlation of the Underlyings are not indicative of the
future performance or correlation of the Underlyings.