Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Nasdaq-100 Index® due February 2, 2024
Term Sheet to Preliminary Pricing Supplement dated July 6, 2022
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Issuers:
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Jefferies Group LLC and Jefferies Group Capital Finance Inc., its wholly owned subsidiary.
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Market Measure:
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Nasdaq-100 Index® (the “Index”)
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Pricing Date*:
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July 28, 2022
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Issue Date*:
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August 2, 2022
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Face Amount and Original Offering Price:
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$1,000 per security
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Maturity Payment Amount (per
security):
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• if the ending level is greater than the
starting level:
$1,000 plus the lesser of: (i) $1,000 × index return × upside participation rate; and (ii)
the maximum return;
• if the ending level
is less than or equal to the starting level, but greater than or equal to the threshold level:
$1,000; or
• if the ending level is less than the
threshold level:
$1,000 + [$1,000 × (index return + buffer amount)]
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Stated Maturity
Date*:
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February 2, 2024
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Starting Level:
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The closing level of the Index on the pricing date
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Ending Level:
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The closing level of the Index on the calculation day
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Maximum Return:
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At least 20.00% of the face amount per security, to be determined on the pricing date
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Threshold Level:
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90% of the starting level
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Buffer Amount:
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10%
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Upside Participation Rate:
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200%
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Index Return:
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(ending level – starting level) / starting level
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Calculation Day*:
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January 26, 2024
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Calculation Agent:
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Jefferies Financial Services Inc. (“JFSI”), a wholly owned subsidiary of Jefferies Group LLC and an affiliate of Jefferies Group Capital Finance Inc.
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Denominations:
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$1,000 and any integral multiple of $1,000
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Agent Discount**:
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Up to 3.00%; dealers, including those using the trade name Wells Fargo Advisors (“WFA”), may receive a selling concession of up to 1.50% and WFS may pay 0.075% of the
agent’s discount to WFA as a distribution expense fee
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CUSIP:
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47233JJU3
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Material Tax Consequences:
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See the preliminary pricing supplement.
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*subject to change
** In addition, selected dealers may receive a fee of up to 0.10% for marketing and other services
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If The Ending Level Is Less Than The Threshold Level, You Will Lose Some, And Possibly Up To 90%, Of The Face Amount Of Your Securities At Maturity.
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No Periodic Interest Will Be Paid On The Securities.
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Your Return Will Be Limited To The Maximum Return And May Be Lower Than The Return On A Direct Investment In The Index.
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The Stated Maturity Date May Be Postponed If The Calculation Day Is Postponed.
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The Tax Consequences Of An Investment In Your Securities Are Uncertain.
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The Securities Are Subject To Our Credit Risk.
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The Estimated Value Of The Securities On The Pricing Date, Based On Jefferies LLC Proprietary Pricing Models At That Time And Our Internal Funding Rate, Will Be Less Than The Original Offering
Price.
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The Estimated Value Of The Securities Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
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The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Our Secondary Market Rate.
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The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which Jefferies LLC Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary
Market.
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The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
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The Securities Will Not Be Listed On Any Securities Exchange And The Issuer Does Not Expect A Trading Market For The Securities To Develop.
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The Maturity Payment Amount Will Depend Upon The Performance Of The Index And Therefore The Securities Are Subject To The Risks Associated With The Index, As Discussed In The Accompanying
Pricing Supplement and Product Supplement.
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Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.
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An Investment In The Securities Is Subject To Risks Associated With Investing In Non-U.S. Companies.
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