Both the MXEF Index and the RTY Index close above their respective
Coupon Barriers on the first Observation Date and therefore a Contingent Coupon is paid on the related Coupon Payment Date. Because
both the MXEF Index and the RTY Index close above their respective Initial Underlying Values on the second Observation Date (which
is six months after the Trade Date and is the first Observation Date on which the Securities are callable), the Securities are
called after such Observation Date. MSFL will pay you on the call settlement date a total of $10.195 per Security, reflecting your
principal amount plus the applicable Contingent Coupon. When added to the Contingent Coupon payment of $0.195 received in respect
of the prior Observation Date, MSFL will have paid you a total of $10.39 per Security for a 3.90% total return on the Securities.
No further amount will be owed to you under the Securities, and you do not participate in the appreciation of the Underlyings.
Example 2 — Securities are Called on the Fourth Observation
Date
Date
|
Index Closing Value
|
Payment (per Security)
|
MXEF Index
|
RTY Index
|
First Observation Date
|
1,000 (at or above Coupon Barrier)
|
1,200 (at or above Coupon Barrier)
|
$0.195 (Contingent Coupon — Not Callable)
|
Second Observation Date
|
900 (at or above Coupon Barrier)
|
1,100 (at or above Coupon Barrier)
|
$0.195 (Contingent Coupon — Not Called)
|
Third Observation Date
|
950 (at or above Coupon Barrier)
|
1,350 (at or above Coupon Barrier)
|
$0.195 (Contingent Coupon — Not Called)
|
Fourth Observation Date
|
1,400 (at or above Coupon Barrier and Initial Underlying Value)
|
1,700 (at or above Coupon Barrier and Initial Underlying Value)
|
$10.195 (Settlement Amount)
|
|
|
Total Payment:
|
$10.78 (7.80% return)
|
Both the MXEF Index and RTY Index close above their respective
Coupon Barriers on the first three Observation Dates and therefore a Contingent Coupon is paid on each related Coupon Payment Date.
Because both the MXEF Index and the RTY Index close above their respective Initial Underlying Values on the fourth Observation
Date (which is one year after the Trade Date), the Securities are called after such Observation Date. MSFL will pay you on the
call settlement date a total of $10.195 per Security, reflecting your principal amount plus the applicable Contingent Coupon. When
added to the total Contingent Coupon payments of $0.585 received in respect of the prior Observation Dates, MSFL will have
paid you a total of $10.78 per Security for a 7.80% total return on the Securities. No further amount will
be owed to you under the Securities, and you do not participate in the appreciation of the Underlyings.
Example 3 — Securities are NOT Called and the Final
Underlying Values of both the MXEF Index and the RTY Index are at or above their respective Coupon Barriers and Downside Thresholds.
Date
|
Index
Closing Value
|
Payment
(per Security)
|
MXEF
Index
|
RTY
Index
|
First
Observation Date
|
1,000
(at or above Coupon Barrier)
|
1,150
(at or above Coupon Barrier)
|
$0.195
(Contingent Coupon — Not Callable)
|
Second
Observation Date
|
900
(at or above Coupon Barrier)
|
1,200
(at or above Coupon Barrier)
|
$0.195
(Contingent Coupon — Not Called)
|
Third
to Eleventh Observation Dates
|
Various
(all at or above Coupon Barrier; all below Initial Underlying Value)
|
Various
(all below Coupon Barrier and Initial Underlying Value)
|
$0
(Not Called)
|
Final
Observation Date
|
1,500
(at or above Coupon Barrier and Downside Threshold)
|
1,600
(at or above Coupon Barrier and Downside Threshold)
|
$10.195
(Settlement Amount)
|
|
|
Total
Payment:
|
$10.585
(5.85% return)
|
Both the MXEF Index and the RTY Index close above their respective
Coupon Barriers on the first two Observation Dates and therefore a Contingent Coupon is paid on each related Coupon Payment Date.
On each of the third to eleventh Observation Dates, the MXEF Index closes at or above its Coupon Barrier (but below its Initial
Underlying Value) but the RTY Index closes below its Coupon Barrier. Therefore, no Contingent Coupon is paid on any related Coupon
Payment Date. On the Final Observation Date, both the MXEF Index and the RTY Index close above their respective Coupon Barriers
and Downside Thresholds. Therefore, at maturity, MSFL will pay you a total of $10.195 per Security, reflecting your principal amount
plus the applicable Contingent Coupon. When added to the total Contingent Coupon payments of $0.39 received in respect of the prior
Observation Dates, MSFL will have paid you a total of $10.585 per Security for a 5.85% total return on the Securities over five
years. You do not participate in any appreciation of the Underlyings.
Example 4 — Securities are NOT Called and the Final
Underlying Value of one of the Underlyings is below its respective Downside Threshold
Date
|
Index
Closing Value
|
Payment
(per Security)
|
MXEF
Index
|
RTY
Index
|
First
Observation Date
|
1,000
(at or above Coupon Barrier)
|
1,500
(at or above Coupon Barrier)
|
$0.195
(Contingent Coupon — Not Callable)
|
Second
Observation Date
|
900
(at or above Coupon Barrier)
|
750
(below Coupon Barrier)
|
$0
(Not Called)
|
Third
to Eleventh Observation Dates
|
Various
(all below Coupon Barrier and Initial Underlying Value)
|
Various
(all below Coupon Barrier and Initial Underlying Value)
|
$0
(Not Called)
|
Final
Observation Date
|
1,100
(at or above Coupon Barrier and Downside Threshold)
|
600
(below Coupon Barrier and Downside Threshold)
|
$10
+ [$10 × Underlying Return of the Least Performing Underlying] =
$10 +
[$10 × -60%] =
$10 -
$6 =
$4 (Payment
at Maturity)
|
|
|
Total
Payment:
|
$4.195
(-58.05% return)
|
Both the MXEF Index and the RTY Index close above their respective
Coupon Barriers on the first Observation Date, and, therefore a Contingent Coupon is paid on the related Coupon Payment Date. On
the second Observation Date, the MXEF Index closes at or above its Coupon Barrier (but below its Initial Underlying Value), but
the RTY Index closes below its Coupon Barrier. Therefore, no Contingent Coupon is paid on the related Coupon Payment Date. On
each of the third to eleventh Observation Dates, both the MXEF Index and the RTY Index close below their respective Coupon Barriers
and thus no Contingent Coupon is paid on any related Coupon Payment Date. On the Final Observation Date, the MXEF Index closes
above its Coupon Barrier and Downside Threshold but the RTY Index closes below its Coupon Barrier and Downside Threshold. Therefore,
at maturity, investors are exposed to the downside performance of the Least Performing Underlying and MSFL will pay you $4 per
Security, which reflects the percentage decrease of the Least Performing Underlying from the Trade Date to the Final Observation
Date. When added to the Contingent Coupon payment of $0.195 received in respect of the prior Observation Dates, MSFL will have
paid you $4.195 per Security, for a loss on the Securities of 58.05%.
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 Underlying Value of either Underlying is less than its respective Downside Threshold,
you will lose 1% (or a fraction thereof) of your Principal Amount for each 1% (or a fraction thereof) that the Underlying Return
of the Least Performing Underlying is less than zero. Any payment on the Securities, including any Contingent Coupon, payment upon
an automatic call 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.
The Issuer will not pay a quarterly Contingent Coupon if
the Observation Date Closing Value for either of the Underlyings is below its respective Coupon Barrier. The Issuer will not automatically
call the Securities if the Observation Date Closing Value of either of the Underlyings is below its respective Initial Underlying
Value. You will lose a significant portion or all of your principal amount
at maturity if the Securities are not called and the
Final Underlying Value of either of the Underlyings is below its respective Downside Threshold.
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:
|
♦
|
purchase the Securities in the original offering; and
|
|
♦
|
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:
|
♦
|
certain financial institutions;
|
|
♦
|
certain dealers and traders in securities or commodities;
|
|
♦
|
investors holding the Securities as part of a “straddle,”
wash sale, conversion transaction, integrated transaction or constructive sale transaction;
|
|
♦
|
U.S. Holders (as defined below) whose functional currency is not the
U.S. dollar;
|
|
♦
|
partnerships or other entities classified as partnerships for U.S.
federal income tax purposes;
|
|
♦
|
regulated investment companies;
|
|
♦
|
real estate investment trusts; or
|
|
♦
|
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:
|
♦
|
a citizen or individual resident of the United States;
|
|
♦
|
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
|
|
♦
|
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:
|
♦
|
an individual who is classified as a nonresident alien;
|
|
♦
|
a foreign corporation; or
|
|
♦
|
a foreign estate or trust.
|
The term “Non-U.S. Holder”
does not include any of the following holders:
|
♦
|
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;
|
|
♦
|
certain former citizens or residents of the United States; or
|
|
♦
|
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 MSCI Emerging Markets IndexSM
|
The MSCI Emerging Markets IndexSM is a stock index
calculated, published and disseminated daily by MSCI Inc. (“MSCI”) and is intended to provide performance benchmarks
for certain emerging equity markets including Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary,
India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan,
Thailand, Turkey and United Arab Emirates. For additional information about the MSCI Emerging Markets IndexSM, see the
information set forth under “MSCI Emerging Markets IndexSM” in the accompanying index supplement.
The following table sets forth the published high and low
closing values, as well as the end-of-quarter closing values, of the MSCI Emerging Markets IndexSM for each quarter
in the period from January 1, 2016 through January 21, 2021. The closing value of the MSCI Emerging Markets IndexSM
on January 21, 2021 was 1,406.07. We obtained the information in the table below from Bloomberg Financial Markets, without independent
verification. The historical closing values of the MSCI Emerging Markets IndexSM should not be taken as an indication
of future performance, and no assurance can be given as to the level of the MSCI Emerging Markets IndexSM on any Observation
Date, including the Final Observation Date.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/1/2016
|
3/31/2016
|
836.80
|
688.52
|
836.80
|
4/1/2016
|
6/30/2016
|
853.69
|
781.84
|
834.10
|
7/1/2016
|
9/30/2016
|
927.29
|
819.19
|
903.46
|
10/1/2016
|
12/31/2016
|
918.68
|
838.96
|
862.27
|
1/1/2017
|
3/31/2017
|
973.08
|
861.88
|
958.37
|
4/1/2017
|
6/30/2017
|
1,019.11
|
952.92
|
1,010.80
|
7/1/2017
|
9/30/2017
|
1,112.92
|
1,002.48
|
1,081.72
|
10/1/2017
|
12/31/2017
|
1,158.45
|
1,082.97
|
1,158.45
|
1/1/2018
|
3/31/2018
|
1,273.07
|
1,142.85
|
1,170.88
|
4/1/2018
|
6/30/2018
|
1,184.13
|
1,046.71
|
1,069.52
|
7/1/2018
|
9/30/2018
|
1,092.36
|
1,003.33
|
1,047.91
|
10/1/2018
|
12/31/2018
|
1,046.40
|
934.80
|
965.78
|
1/1/2019
|
3/31/2019
|
1,070.95
|
949.57
|
1,058.13
|
4/1/2019
|
6/30/2019
|
1,096.39
|
984.81
|
1,054.86
|
7/1/2019
|
9/30/2019
|
1,064.63
|
960.81
|
1,001.00
|
10/1/2019
|
12/31/2019
|
1,118.61
|
989.20
|
1,114.66
|
1/1/2020
|
3/31/2020
|
1,146.83
|
758.20
|
848.58
|
4/1/2020
|
6/30/2020
|
1,014.62
|
827.26
|
995.10
|
7/1/2020
|
9/30/2020
|
1,121.60
|
1,001.08
|
1,082.00
|
10/1/2020
|
12/31/2020
|
1,291.26
|
1,081.71
|
1,291.26
|
1/1/2021
|
1/21/2021*
|
1,406.07
|
1,291.75
|
1,406.07
|
*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 only.
The graph below illustrates
the performance of the MSCI Emerging Markets IndexSM from January 1, 2008 through January 21, 2021, based on information
from Bloomberg.
*
The dotted line indicates the Coupon Barrier and Downside Threshold of 984.25, which is approximately 70% of the Initial Underlying
Value.
Past performance is not indicative
of future results.
The
Russell 2000® Index
is an index calculated, published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000
companies incorporated in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000
smallest securities that form the Russell 3000® Index.
The Russell 3000® Index
is composed of the 3,000 largest U.S. companies as determined by market capitalization and represents approximately 98% of the
U.S. equity market. The Russell 2000® Index
consists of the smallest 2,000 companies included in the Russell 3000® Index and represents a small portion of the
total market capitalization of the Russell 3000® Index.
The Russell 2000® Index
is designed to track the performance of the small-capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index,
see the information set forth under “Russell 2000® Index”
in the accompanying index supplement.
The
“Russell 2000® Index”
is a trademark of FTSE Russell. For more information, see “Russell 2000® Index”
in the accompanying index supplement.
The following table sets forth the published high and low closing
values, as well as the end-of-quarter closing values, of the Russell 2000® Index for each quarter in the period
from January 1, 2016 through January 21, 2021. The closing value of the Russell 2000® Index on January 21, 2021
was 2,141.421. We obtained the information in the table below from Bloomberg Financial Markets, without independent verification.
The historical closing values of the Russell 2000® Index should not be taken as an indication of future performance,
and no assurance can be given as to the level of the Russell 2000® Index on any Observation Date, including the
Final Observation Date.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/1/2016
|
3/31/2016
|
1,114.028
|
953.715
|
1,114.028
|
4/1/2016
|
6/30/2016
|
1,188.954
|
1,089.646
|
1,151.923
|
7/1/2016
|
9/30/2016
|
1,263.438
|
1,139.453
|
1,251.646
|
10/1/2016
|
12/31/2016
|
1,388.073
|
1,156.885
|
1,357.130
|
1/1/2017
|
3/31/2017
|
1,413.635
|
1,345.598
|
1,385.920
|
4/1/2017
|
6/30/2017
|
1,425.985
|
1,345.244
|
1,415.359
|
7/1/2017
|
9/30/2017
|
1,490.861
|
1,356.905
|
1,490.861
|
10/1/2017
|
12/31/2017
|
1,548.926
|
1,464.095
|
1,535.511
|
1/1/2018
|
3/31/2018
|
1,610.706
|
1,463.793
|
1,529.427
|
4/1/2018
|
6/30/2018
|
1,706.985
|
1,492.531
|
1,643.069
|
7/1/2018
|
9/30/2018
|
1,740.753
|
1,653.132
|
1,696.571
|
10/1/2018
|
12/31/2018
|
1,672.992
|
1,266.925
|
1,348.559
|
1/1/2019
|
3/31/2019
|
1,590.062
|
1,330.831
|
1,539.739
|
4/1/2019
|
6/30/2019
|
1,614.976
|
1,465.487
|
1,566.572
|
7/1/2019
|
9/30/2019
|
1,585.599
|
1,456.039
|
1,523.373
|
10/1/2019
|
12/31/2019
|
1,678.010
|
1,472.598
|
1,668.469
|
1/1/2020
|
3/31/2020
|
1,705.215
|
991.160
|
1,153.103
|
4/1/2020
|
6/30/2020
|
1,536.895
|
1,052.053
|
1,441.365
|
7/1/2020
|
9/30/2020
|
1,592.287
|
1,398.920
|
1,507.692
|
10/1/2020
|
12/31/2020
|
2,007.104
|
1,531.202
|
1,974.855
|
1/1/2021
|
1/21/2021*
|
2,160.617
|
1,945.914
|
2,141.421
|
*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 only.
The graph below illustrates the performance of the Russell
2000® Index from January 1, 2008 through January 21, 2021, based on information from Bloomberg.
* The dotted line indicates the
Coupon Barrier and Downside Threshold of 1,498.995, which is approximately 70% of the Initial Underlying Value.
Past performance is not indicative of future results.
Correlation of the Underlyings
|
The graph below illustrates the daily performance of the MSCI
Emerging Markets IndexSM and the Russell 2000® Index from January 1, 2008 through January 14, 2021. For
comparison purposes, each Underlying has been “normalized” to have a closing value of 100 on January 1, 2008 by dividing
the closing value of that Underlying on each Index Business Day by the closing value of that Underlying on January 1, 2008 and
multiplying by 100. We obtained the closing values used to determine the normalized closing values set forth below from Bloomberg,
without independent verification.
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 or Downside Threshold on an Observation Date, including
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 both of the Underlyings
may close below the respective Coupon Barrier(s) or Downside Threshold(s) on an Observation Date or the Final Observation Date,
as applicable, as the Underlyings may both decrease in value. Moreover, the actual correlation among the Underlyings may
differ, perhaps significantly, from their historical correlation. A higher Contingent Coupon Rate is generally associated
with lower correlation among the Underlyings, which may indicate a greater potential for missed Contingent Coupons and/or a significant
loss on your investment at maturity. See “Key Risks — You are exposed to the market risk of both Underlyings”,
“—Because the Securities are linked to the performance of the least performing between the MXEF Index and the RTY Index,
you are exposed to greater risk of receiving no Contingent Coupon payments or sustaining a significant loss on your investment
than if the Securities were linked to just the MXEF Index or just the RTY Index” and “—A higher Contingent Coupon
Rate and/or lower Coupon Barriers and Downside Thresholds may reflect greater expected volatility of the Underlyings, and greater
expected volatility generally indicates an increased risk of declines in the levels of the Underlyings and, potentially, a significant
loss at maturity.” herein.
Past performance and correlation of the Underlyings are not
indicative of the future performance or correlation of the Underlyings.
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 Level as the “Initial Index Value,” 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.”
Index Publishers
With respect to the MXEF Index, MSCI Inc., or any successor thereto.
With respect to the RTY Index, FTSE Russell, or any successor thereto.
“Index Closing Value” on any Index Business Day means,
with respect to each Underlying, the closing value of such Underlying or any Successor Index reported by Bloomberg Financial Services,
or any successor reporting service the Calculation Agent may select, on that Index Business Day. In certain circumstances, the
Index Closing Value for an Underlying will be based on the alternate calculation of such Underlying as described under “—Discontinuance
of Any 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
|