Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Index due April 5, 2027
Term Sheet to Preliminary Pricing Supplement dated September 21, 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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S&P 500® Index (the “Index”)
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Pricing Date*:
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September 30, 2022
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Issue Date*:
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October 5, 2022
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Principal Amount
and Original
Offering Price:
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$1,000 per note
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Maturity Payment
Amount (per note):
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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: $1,000;
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Stated Maturity
Date*:
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April 5, 2027
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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 50.00% of the principal amount per note, to be determined on the pricing date
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Upside Participation
Rate:
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100%
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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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March 29, 2027
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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 4.50%; dealers, including those using the trade name Wells Fargo Advisors (“WFA”), may receive a selling concession of up to 2.25% 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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47233JKF4
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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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You May Not Receive Any Positive Return On The Notes.
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No Periodic Interest Will Be Paid On The Notes.
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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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Your Notes Will Be Treated as Debt Instruments Subject to Special Rules Governing Contingent Payment Debt Instruments for U.S. Federal Income Tax Purposes.
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Foreign Account Tax Compliance Act (FATCA) Withholding May Apply to Payments on Your Notes, Including as a Result of the Failure of the Bank or Broker Through Which You
Hold the Notes to Provide Information to Tax Authorities
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The Notes Are Subject To Our Credit Risk.
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The Estimated Value Of The Notes 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 Notes Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
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The Estimated Value Of The Notes Would Be Lower If It Were Calculated Based On Our Secondary Market Rate.
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The Estimated Value Of The Notes Is Not An Indication Of The Price, If Any, At Which Jefferies LLC Or Any Other Person May Be Willing To Buy The Notes
From You In The Secondary Market.
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The Value Of The Notes Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
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The Notes Will Not Be Listed On Any Securities Exchange And The Issuer Does Not Expect A Trading Market For The Notes To Develop.
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Investing In The Notes Is Not The Same As Investing In the Index.
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Historical Values Of the Index Should Not Be Taken As An Indication Of The Future Performance Of the Index During The Term Of The Notes.
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Changes That Affect The Index May Adversely Affect The Value Of The Notes And Any Payments On The Notes.
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We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included in the Index.
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We And Our Affiliates Have No Affiliation With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.
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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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