The Underlying Shares close above the Coupon Barrier on the first
Observation Date, and therefore a Contingent Coupon is paid on the related Coupon Payment Date. MSFL calls the Securities on the
second Observation Date. On the call settlement date, MSFL will pay you a total of $10.28125 per Security, reflecting your principal
amount plus the Contingent Coupon with respect to the relevant Observation Date. When added to the Contingent Coupon Payment of
$0.28125 received in respect of the prior Observation Date, MSFL will have paid you a total of $10.5625 per Security for a 5.625%
total return on the Securities over a 6-month term. No further amount will be owed to you under the Securities, and you will not
participate in any appreciation of the Underlying Shares.
Example 2 — Securities are Called on the Fourth Observation
Date
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$80.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Second Observation Date
|
$96.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Third Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Fourth Observation Date
|
$125.00 (at or above Initial Price)
|
$10.28125 (Settlement Amount)
|
|
Total Payment:
|
$11.125 (11.25% return)
|
Since the Securities are called on the fourth Observation Date
(which is approximately one year after the Trade Date), MSFL will pay you on the call settlement date a total of $10.28125 per
Security, reflecting your principal amount plus the Contingent Coupon. When added to the Contingent Coupon payments of $0.84375
received in respect of prior Observation Dates, MSFL will have paid you a total of $11.125 per Security for a 11.25% total return
on the Securities over a 1-year term. No further amount will be owed to you under the Securities, and you will not participate
in any appreciation of the Underlying Shares.
Example 3 — Securities are NOT Called and the Final
Price of the Underlying Shares is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$92.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Second Observation Date
|
$50.00 (below Coupon Barrier and Initial Price)
|
$0.00 (Not Called)
|
Third to Seventh Observation Dates
|
Various (all below Coupon Barrier and Initial Price)
|
$0.00 (Not Called)
|
Final Observation Date
|
$90.00 (at or above Downside Threshold and Coupon Barrier; below Initial Price)
|
$10.28125 (Payment at Maturity)
|
|
Total Payment:
|
$10.5625 (5.625% return)
|
Since the Securities are not called and the Final Price is greater
than or equal to the Downside Threshold, at maturity, MSFL will pay you a total of $10.28125 per Security, reflecting your principal
amount plus the Contingent Coupon. When added to the Contingent Coupon payment of $0.28125 received in respect of prior Observation
Dates, MSFL will have paid you a total of $10.5625 per Security for a 5.625% total return on the Securities over the 2-year term.
You will not participate in any appreciation of the Underlying Shares.
Example 4 — Securities are NOT Called and the Final
Price of the Underlying Shares is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$84.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Second Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Price)
|
$0.28125 (Contingent Coupon — Not Called)
|
Third to Seventh Observation Dates
|
Various (all below Coupon Barrier; below Initial Price)
|
$0.00 (Not Called)
|
Final Observation Date
|
$30.00 (below Downside Threshold and Coupon Barrier; below Initial Price)
|
$10 + [$10 × Underlying Share Return] =
$10 + [$10 × -70%] = $3 (Payment at Maturity)
|
|
Total Payment:
|
$3.5625 (-64.375% return)
|
Since the Securities are not called and the
Final Price of the Underlying Shares is below the Downside Threshold, at maturity MSFL will pay you $3.00 per Security. When added
to the Contingent Coupon payments of $0.5625 received in respect of prior Observation Dates, MSFL will have paid you $3.5625 per
Security over the 2-year term, for a loss on the Securities of 64.375%.
The Securities differ from ordinary debt securities in that,
among other features, MSFL is not necessarily obligated to repay the full amount of your initial investment. If the Securities
are not called on any Observation Date, you may lose a significant portion or all of your initial investment. Specifically, if
the Securities are not called and the Final Price is less than the Downside Threshold, you will lose 1% (or a fraction thereof)
of your principal amount for each 1% (or a fraction thereof) that the Underlying Share Return is less than zero. Any payment on
the Securities, including any payment upon an automatic call, any Contingent Coupon or the Payment at Maturity, is dependent on
our ability to satisfy our obligations when they come due. If we are unable to meet our obligations, you may not receive any amounts
due to you under the Securities.
What
Are the Tax Consequences of the Securities?
|
Prospective investors should note that the discussion under
the section called “United States Federal Taxation” in the accompanying product supplement does not apply to the Securities
issued under this pricing supplement and is superseded by the following discussion.
The following is a general discussion of
the material U.S. federal income tax consequences and certain estate tax consequences of the ownership and disposition of the Securities.
This discussion applies only to investors in the Securities who:
|
t
|
purchase
the Securities in the original offering; and
|
|
t
|
hold
the Securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”).
|
This discussion does not describe all of the
tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject
to special rules, such as:
|
t
|
certain
financial institutions;
|
|
t
|
certain
dealers and traders in securities or commodities;
|
|
t
|
investors
holding the Securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction or constructive
sale transaction;
|
|
t
|
U.S.
Holders (as defined below) whose functional currency is not the U.S. dollar;
|
|
t
|
partnerships
or other entities classified as partnerships for U.S. federal income tax purposes;
|
|
t
|
regulated
investment companies;
|
|
t
|
real
estate investment trusts; or
|
|
t
|
tax-exempt
entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408 or 408A
of the Code, respectively.
|
If an entity that is classified as a partnership
for U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend
on the status of the partner and the activities of the partnership. If you are a partnership holding the Securities or a partner
in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing
of the Securities to you.
As the law applicable to the U.S. federal income
taxation of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general
summary. The effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax consequences
or consequences resulting from the Medicare tax on investment income. Moreover, the discussion below does not address the consequences
to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, changes to
any of which subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase of
the Securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular
situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
General
Due to the absence of statutory, judicial or
administrative authorities that directly address the treatment of the Securities or instruments that are similar to the Securities
for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described
herein. We intend to treat a Security for U.S. federal income tax purposes as a single financial contract that provides for a coupon
that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax accounting.
In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the Securities is reasonable under current law;
however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to
be upheld, and that alternative treatments are possible.
You should consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the Securities (including possible alternative treatments
of the Securities). Unless otherwise stated, the following discussion is based on the treatment of each Security as described in
the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are
a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal
income tax purposes:
|
t
|
a
citizen or individual resident of the United States;
|
|
t
|
a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state
thereof or the District of Columbia; or
|
|
t
|
an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
|
Tax Treatment of the Securities
Assuming the treatment of the Securities as set forth above is
respected, the following U.S. federal income tax consequences should result.
Tax Basis. A U.S. Holder’s
tax basis in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Tax Treatment of Coupon Payments.
Any coupon payment on the Securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued, in
accordance with the U.S. Holder’s regular method of accounting for U.S. federal income tax purposes.
Sale, Exchange or Settlement of the
Securities. Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the
difference between the amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities
sold, exchanged or settled. For this purpose, the amount realized does not include any coupon paid at settlement and may not include
sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Any such gain or loss recognized should
be long-term capital gain or loss if the U.S. Holder has held the Securities for more than one year at the time of the sale, exchange
or settlement, and should be short-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in
conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the Securities, could
result in adverse tax consequences to holders of the Securities because the deductibility of capital losses is subject to limitations.
Possible Alternative Tax Treatments of an Investment in
the Securities
Due to the absence of authorities that directly address the proper
tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities
under Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the
IRS were successful in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income
thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue into income original issue
discount on the Securities every year at a “comparable yield” determined at the time of their issuance, adjusted upward
or downward to reflect the difference, if any, between the actual and the projected amount of any contingent payments on the Securities.
Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the Securities would
be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s
prior accruals of original issue discount and as capital loss thereafter. The risk that financial instruments providing for buffers,
triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than the
risk of recharacterization for comparable financial instruments that do not have such features.
Other alternative federal income tax treatments of the Securities
are possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the
Securities. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses on whether to require holders
of “prepaid forward contracts” and similar instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether
short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange–traded
status of the instruments and the nature of the underlying property to which the instruments are linked; whether these instruments
are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose an interest charge; and appropriate transition rules and effective dates.
While it is not clear whether instruments such as the Securities would be viewed as similar to the prepaid forward contracts described
in the notice, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the Securities, possibly with retroactive effect. U.S. Holders should
consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Securities, including possible
alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of payments on the Securities
and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S. Holder provides proof of
an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements of the
backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely
furnished to the IRS. In addition, information returns will be filed with the IRS in connection with payments on the Securities
and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof
of an applicable exemption from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S. Holder.
As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is for U.S. federal income tax
purposes:
|
t
|
an
individual who is classified as a nonresident alien;
|
|
t
|
a
foreign corporation; or
|
|
t
|
a
foreign estate or trust.
|
The term “Non-U.S. Holder” does
not include any of the following holders:
|
t
|
a
holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not
otherwise a resident of the United States for U.S. federal income tax purposes;
|
|
t
|
certain
former citizens or residents of the United States; or
|
|
t
|
a
holder for whom income or gain in respect of the Securities is effectively connected with the conduct of a trade or business in
the United States.
|
Such holders should consult their tax advisers regarding the
U.S. federal income tax consequences of an investment in the Securities.
Although significant aspects of the tax treatment of each Security
are uncertain, we intend to withhold on any coupon paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified
by an applicable income tax treaty under an “other income” or similar provision. We will not be required to pay any
additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding
tax, a Non-U.S. Holder of the Securities must comply with certification requirements to establish that it is not a U.S. person
and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult
your tax adviser regarding the tax treatment of the Securities, including the possibility of obtaining a refund of any withholding
tax and the certification requirement described above.
Section 871(m) Withholding Tax on Dividend Equivalents
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally
applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined
based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS
notice, Section 871(m) will not apply to securities issued before January 1, 2023 that do not have a delta of one with respect
to any Underlying Security. Based on our determination that the Securities do not have a delta of one with respect to any Underlying
Security, our counsel is of the opinion that the Securities should not be Specified Securities and, therefore, should not be subject
to Section 871(m).
Our determination is not binding on the IRS, and the IRS may
disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If Section 871(m) withholding is required, we
will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser
regarding the potential application of Section 871(m) to the Securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property of which
is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers) should note that,
absent an applicable treaty exemption, the Securities may be treated as U.S.-situs property subject to U.S. federal estate tax.
Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers
regarding the U.S. federal estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns will be filed with the IRS in connection
with any coupon payment and may be filed with the IRS in connection with the payment at maturity on the Securities and the payment
of proceeds from a sale, exchange or other disposition. A Non-U.S. Holder may be subject to backup withholding in respect of amounts
paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish that it is not a U.S.
person for U.S. federal income tax purposes or otherwise establishes an exemption. The amount of any backup withholding from a
payment to a Non-U.S. Holder will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income tax liability
and may entitle the Non-U.S. Holder to a refund, provided that the required information is timely furnished to the IRS.
FATCA
Legislation
commonly referred to as “FATCA” generally imposes a withholding tax of 30% on payments to certain non-U.S. entities
(including financial intermediaries) with respect to certain financial instruments, unless various U.S. information reporting
and due diligence requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S.
entity’s jurisdiction may modify these requirements. FATCA generally applies to certain financial instruments that are treated
as paying U.S.-source interest or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP
income”). Withholding (if applicable) applies to payments of U.S.-source FDAP income and to payments of gross proceeds of
the disposition (including upon retirement) of certain financial instruments treated as providing for U.S.-source interest or
dividends. Under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending
finalization), no withholding will apply on payments of gross proceeds (other than amounts treated as FDAP income). While the
treatment of the Securities is unclear, you should assume that any coupon payment with respect to the Securities will be subject
to the FATCA rules. If withholding applies to the Securities, we will not be required to pay any additional amounts with respect
to amounts withheld. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the potential application of FATCA
to the Securities.
The discussion in the preceding paragraphs under “What
Are the Tax Consequences of the Securities,” insofar as it purports to describe provisions of U.S. federal income tax laws
or legal conclusions with respect thereto, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material
U.S. federal tax consequences of an investment in the Securities.
The Invesco S&P 500® Equal Weight ETF
|
The Invesco S&P 500® Equal Weight ETF, or
RSP, is an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance, before
fees and expenses, of the S&P 500® Equal Weight Index. The Invesco S&P 500® Equal Weight
ETF is managed by Invesco Exchange-Traded Fund Trust, a registered investment company that consists of numerous separate investment
portfolios, including the Invesco S&P 500® Equal Weight ETF. Information provided to or filed with the Securities
and Exchange Commission (the “Commission”) by Invesco Exchange-Traded Fund Trust pursuant to the Securities Act of
1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-102228 and 811-21265, respectively,
through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available sources.
Neither the issuer nor the agent makes any representation that any such publicly available information regarding the Invesco
S&P 500® Equal Weight ETF is accurate or complete. The Underlying Shares are listed on The NYSE Arca Exchange
under the ticker symbol “RSP UP.”
The S&P 500® Equal Weight Index is the equal-weight
version of the S&P 500® Index. The index includes the same constituents as the capitalization-weighted S&P
500® Index, but each company in the S&P 500® Equal Weight Index is allocated a fixed weight of
0.2% of the index total at each quarterly rebalancing. Therefore, the performances of the S&P 500® Equal Weight
Index and the Underlying Shares will differ, perhaps materially, from the performance of the S&P 500® Index,
which is weighted unevenly based on market capitalization.
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500® Index, see the information set forth under “S&P
500® Index” in the accompanying index supplement.
We and/or our affiliates may presently or from time to time engage
in business with the Invesco S&P 500® Equal Weight ETF. In the course of such business, we and/or our affiliates
may acquire non-public information with respect to the Invesco S&P 500® Equal Weight ETF, and neither we nor
any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish
research reports with respect to the Underlying Shares. The statements in the preceding two sentences are not intended to affect
the rights of investors in the Securities under the securities laws. As a prospective purchaser of the Securities, you should undertake
an independent investigation of the Invesco S&P 500® Equal Weight ETF as in your judgment is appropriate to
make an informed decision with respect to an investment linked to the Underlying Shares.
“Standard & Poor’s®”, “S&P®”,
“S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”).
The Securities are not sponsored, endorsed, sold, or promoted by S&P or RSP. S&P and RSP make no representations or warranties
to the owners of the Securities or any member of the public regarding the advisability of investing in the Securities. S&P
and RSP have no obligation or liability in connection with the operation, marketing, trading or sale of the Securities.
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the Invesco S&P 500® Equal Weight ETF for each quarter
in the period from January 1, 2015 through August 12, 2020. The closing price of the Invesco S&P 500® Equal
Weight ETF on August 12, 2020 was $111.20. We obtained the information in the table below from Bloomberg Financial Markets, without
independent verification. The historical closing prices of the Invesco S&P 500® Equal Weight ETF should not
be taken as an indication of future performance, and no assurance can be given as to the closing price of the Invesco S&P 500®
Equal Weight ETF on any Observation Date, including the Final Observation Date.
Quarter Begin
|
Quarter End
|
Quarterly High ($)
|
Quarterly Low ($)
|
Quarterly Close ($)
|
1/1/2015
|
3/31/2015
|
82.65
|
77.13
|
81.05
|
4/1/2015
|
6/30/2015
|
83.03
|
79.60
|
79.80
|
7/1/2015
|
9/30/2015
|
81.46
|
71.96
|
73.56
|
10/1/2015
|
12/31/2015
|
79.86
|
73.40
|
76.64
|
1/1/2016
|
3/31/2016
|
78.53
|
68.09
|
78.53
|
4/1/2016
|
6/30/2016
|
81.91
|
76.14
|
80.35
|
7/1/2016
|
9/30/2016
|
84.71
|
79.63
|
83.59
|
10/1/2016
|
12/31/2016
|
88.51
|
80.04
|
86.64
|
1/1/2017
|
3/31/2017
|
92.27
|
87.33
|
90.82
|
4/1/2017
|
6/30/2017
|
93.59
|
89.55
|
92.68
|
7/1/2017
|
9/30/2017
|
95.54
|
91.58
|
95.54
|
10/1/2017
|
12/31/2017
|
101.44
|
95.95
|
101.03
|
1/1/2018
|
3/31/2018
|
107.43
|
96.79
|
99.48
|
4/1/2018
|
6/30/2018
|
104.54
|
97.30
|
101.89
|
7/1/2018
|
9/30/2018
|
108.58
|
101.80
|
106.81
|
10/1/2018
|
12/31/2018
|
106.81
|
86.19
|
91.40
|
1/1/2019
|
3/31/2019
|
104.84
|
89.68
|
104.44
|
4/1/2019
|
6/30/2019
|
108.19
|
100.69
|
107.80
|
7/1/2019
|
9/30/2019
|
110.18
|
102.40
|
108.08
|
10/1/2019
|
12/31/2019
|
115.93
|
103.92
|
115.72
|
1/1/2020
|
3/31/2020
|
118.71
|
71.66
|
84.02
|
4/1/2020
|
6/30/2020
|
113.09
|
79.83
|
101.76
|
7/1/2020
|
8/12/2020*
|
111.20
|
100.38
|
111.20
|
|
*
|
Available information for the indicated
period includes data for less than the entire calendar quarter, and accordingly, the
“Quarterly High,” “Quarterly Low” and “Quarterly Close”
data indicated are for this shortened period.
|
The graph below illustrates the performance of the Invesco S&P
500® Equal Weight ETF from January 1, 2008 through August 12, 2020, based on information from Bloomberg. Past
performance of the Invesco S&P 500® Equal Weight ETF is not indicative of the future performance of the Invesco
S&P 500® Equal Weight ETF.
* The dashed line indicates the Coupon Barrier and Downside Threshold
of $83.40, which is 75% of the Initial Price.
Past performance is not indicative of future results.
Additional Terms of the Securities
|
If the terms described herein are inconsistent with those described
in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
The accompanying product supplement refers to the Principal
Amount as the “Stated Principal Amount,” the Initial Price as the “Initial Share Price” the Trade Date
as the “Pricing Date,” the Observation Dates as the “Determination Dates,” the Final Observation Date as
the “Final Determination Date,” the Coupon Barrier/Downside Threshold” as the “Downside Threshold Level”
and the day on which any automatic call occurs as the “Early Redemption Date.”
“Share Underlying Index” means
the S&P 500® Equal Weight Index.
“Share Underlying Index Publisher”
means S&P Dow Jones Indices LLC or any successor thereto.
“Closing Price” means, on any Trading
Day for the Underlying Shares, the closing price of one Underlying Share times the Adjustment Factor on such Trading Day
(as defined under “—Discontinuance of the Underlying Shares of an Exchange-Traded Fund and/or Share Underlying Index;
Alteration of Method of Calculation” in the accompanying product supplement). In certain circumstances, the Closing Price
will be based on the alternate calculation of the Underlying Shares or the Share Underlying Index as described under “—Discontinuance
of the Underlying Shares of an Exchange-Traded Fund and/or Share Underlying Index; Alteration of Method of Calculation” in
the accompanying product supplement.
Day-Count Convention
Interest will be computed on the basis of a 360-day year of twelve
30-day months.
Issuer Notice to Registered Security Holders, the Trustee
and the Depositary
In the event that the Maturity Date of the Securities is postponed
due to a postponement of the Final Observation Date, the Issuer shall give notice of such postponement and, once it has been determined,
of the date to which the Maturity Date has been rescheduled (i) to each registered holder of the Securities by mailing notice of
such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon
the registry books, (ii) to the Trustee by facsimile confirmed by mailing such notice to the Trustee by first class mail, postage
prepaid, at its New York office and (iii) to The Depository Trust Company (the “Depositary”) by telephone or facsimile
confirmed by mailing such notice to the Depositary by first class mail, postage prepaid. Any notice that is mailed to a registered
holder of the Securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered
holder, whether or not such registered holder receives the notice. The Issuer shall give such notice as promptly as possible, and
in no case later than (i) with respect to notice of postponement of the Maturity Date, the Business Day immediately preceding the
scheduled Maturity Date and (ii) with respect to notice of the date to which the Maturity Date has been rescheduled, the Business
Day immediately following the Final Observation Date as postponed.
In the event that the Securities are subject to Automatic Call,
the Issuer shall, (i) on the Business Day following the applicable Observation Date, give notice of the Automatic Call and the
applicable automatic call payment, including specifying the payment date of the applicable amount due upon the Automatic Call,
(x) to each registered holder of the Securities by mailing notice of such Automatic Call by first class mail, postage prepaid,
to such registered holder’s last address as it shall appear upon the registry books, (y) to the Trustee by facsimile confirmed
by mailing such notice to the Trustee by first class mail, postage prepaid, at its New York office and (z) to the Depositary by
telephone or facsimile confirmed by mailing such notice to the Depositary by first class mail, postage prepaid and (ii) on or prior
to the Automatic Call Date, deliver the aggregate cash amount due with respect to the Securities to the Trustee for delivery to
the Depositary, as holder of the securities. Any notice that is mailed to a registered holder of the Securities in the manner
herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered
holder receives the notice. This notice shall be given by the Issuer or, at the Issuer’s request, by the Trustee in the name
and at the expense of the Issuer, with any such request to be accompanied by a copy of the notice to be given.
The Issuer shall, or shall cause the Calculation Agent to, (i)
provide written notice to the Trustee, on which notice the Trustee may conclusively rely, and to the Depositary of the amount of
cash to be delivered as Contingent Coupon, if any, with respect to the Securities on or prior to 10:30 a.m. (New York City time)
on the Business Day preceding each Coupon Payment Date, and (ii) deliver the aggregate cash amount due, if any, with respect to
the Contingent Coupon to the Trustee for delivery to the Depositary, as holder of the Securities, on or prior to the applicable
Coupon Payment Date.
The Issuer shall, or shall cause the Calculation Agent to, (i)
provide written notice to the Trustee and to the Depositary of the amount of cash, if any, to be delivered with respect to the
Securities, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver the
aggregate cash amount due with respect to the Securities, if any, to the Trustee for delivery to the Depositary, as holder of the
Securities, on or prior to the Maturity Date.
Additional Information About the Securities
|