0001144204-12-021969.txt : 20120416 0001144204-12-021969.hdr.sgml : 20120416 20120416165834 ACCESSION NUMBER: 0001144204-12-021969 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 7 FILED AS OF DATE: 20120416 DATE AS OF CHANGE: 20120416 FILER: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-180289 FILM NUMBER: 12761735 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 424B2 1 v309515_424b2.htm PRICING SUPPLEMENT

 

CALCULATION OF REGISTRATION FEE
Title of Each Class of
Securities Offered		   Maximum Aggregate
Offering Price		   Amount of
Registration Fee (1)
HSBC USA Inc. Coupon-Bearing Notes Linked to the Common Stock of Corning Incorporated due April 26, 2013   $11,442,360   $1,311.29

 

(1) Calculated in accordance with Rule 457 (r) of the Securities Act of 1933, as amended.

 

1,144,236 Units 

 Pricing Date April 12, 2012

$10 principal amount per unit 

 Settlement Date April 19, 2012

CUSIP No. 40433K181

 Maturity Date April 26, 2013

 

 

 

Coupon-Bearing Notes Linked to the Common Stock of Corning Incorporated

 

§Maturity of approximately one year and one week

 

§Interest payable quarterly at the rate of 8.00% per annum

 

§No participation in any increase in the price of the Underlying Stock, and the Redemption Amount at maturity will not exceed the Original Offering Price per unit

 

§1-to-1 downside exposure to decreases in the Underlying Stock beyond a 8.85% decline, with up to 91.15% of the Original Offering Price at risk

 

§All payments on the notes subject to the credit risk of HSBC USA Inc.

 

§No listing on any securities exchange

 

 

The notes are being issued by HSBC USA Inc. (“HSBC”). Investing in the notes involves a number of risks. There are important differences between the notes and a conventional debt security, including different investment risks. See “Risk Factors” on page TS-5 of this term sheet and beginning on page S-8 of product supplement CBN-2.

 

 

 

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document, the accompanying product supplement, prospectus or prospectus supplement. Any representation to the contrary is a criminal offense.

 

 

    Per Unit    Total 
Public offering price(1)   $10.000   $11,442,360.00 
Underwriting discount(2)   $0.175   $200,241.30 
Proceeds, before expenses, to HSBC  $9.825   $11,242,118.70 

 

(1)Plus accrued interest from the scheduled settlement date, if settlement occurs after that date.

 

(2)See as well “Supplement to the Plan of Distribution.”

  

 

The notes:

 

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

Merrill Lynch & Co.

April 12, 2012

 

  
 

 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

Summary

The Coupon-Bearing Notes Linked to the Common Stock of Corning Incorporated, due April 26, 2013 (the “notes”) are our senior unsecured debt securities and are not a direct or indirect obligation of any third party. The notes are not deposit liabilities or other obligations of a bank and are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction. The notes will rank equally with all of our other senior unsecured debt. Any payments due on the notes, including any repayment of principal, depends on the credit risk of HSBC and its ability to satisfy its obligations as they come due. The notes provide quarterly interest payments. If the Ending Value is at or above the Threshold Value, the Redemption Amount will equal the principal amount. If the Ending Value is less than the Threshold Value, the Redemption Amount will be less, and possibly significantly less, than the principal amount of your notes.

The terms and risks of the notes are contained in this term sheet and the documents listed below (together, the “Note Prospectus”). The documents have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated below or obtained from MLPF&S by calling 1-866-500-5408:

§Product supplement CBN-2 dated March 27, 2012:
http://www.sec.gov/Archives/edgar/data/83246/000114420412017454/v307211_424b2.pdf

§Prospectus supplement dated March 22, 2012:
http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm

§Prospectus dated March 22, 2012:
http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm

Our Central Index Key, or CIK, on the SEC Website is 83246.

Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the section indicated on the cover of this term sheet. The notes involve risks not associated with conventional debt securities. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement CBN-2. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to HSBC.

 

Terms of the Notes

 

Issuer: HSBC USA Inc. (“HSBC”)
Original Offering Price: $10 per unit
Term: Approximately one year and one week
Underlying Stock: Common stock of Corning Incorporated (the “Underlying Company”) (NYSE symbol: GLW)
Starting Value: 13.74 (the Volume Weighted Average Price on the pricing date)
Volume Weighted Average Price: The volume weighted average price (rounded to two decimal places) shown on page “AQR” on Bloomberg L.P. for trading in shares of the Underlying Stock taking place from approximately 9:30 a.m. to 4:02 p.m. on all U.S. exchanges.
Ending Value: The Closing Market Price of the Underlying Stock on the Valuation Date, multiplied by the Price Multiplier. The Valuation Date is subject to postponement in the event of Market Disruption Events, as described beginning on page S-20 of product supplement CBN-2.
Valuation Date: April 19, 2013
Interest Rate: 8.00% per year. 
Interest Payment Dates: Quarterly on July 26, 2012, October 26, 2012, January 26, 2013, and April 26, 2013.
Threshold Value: 12.52 (91.15% of the Starting Value, rounded to two decimal places)
Price Multiplier: 1, subject to adjustment for certain corporate events relating to the Underlying Stock described beginning on page S-21 of product supplement CBN-2.
Calculation Agent: Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) and HSBC USA Inc., acting jointly.
Fees Charged: The public offering price of the notes includes the underwriting discount of $0.175 per unit as listed on the cover page and an additional charge of $0.075 per unit more fully described on page TS-7.

 

Redemption Amount Determination

 

In addition to interest payable, on the maturity date, you will receive a cash payment per unit determined as follows:

 

 

 

Coupon-Bearing NotesTS-2
 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

 

Investor Considerations 

You may wish to consider an investment in the notes if: The notes may not be an appropriate investment for you if:

§     You anticipate that the Ending Value will be greater than or equal to the Threshold Value.

 

§      You seek interest payments on your investment.

 

§      You accept that the maximum return on the notes is limited to the sum of the quarterly interest payments, and that you will not participate in any increases in the price of the Underlying Stock.

 

§      You accept that your investment will result in a loss, which could be significant, if the Ending Value is below the Threshold Value.

 

§      You are willing to forego dividends or other benefits of owning shares of the Underlying Stock.

 

§     You are willing to accept that a secondary market is not expected to develop for the notes, and understand that the market prices for the notes, if any, may be less than the Original Offering Price and will be affected by various factors, including our actual and perceived creditworthiness, and the fees charged, as described on page TS-2.

 

§      You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount. 

§      You anticipate that the Ending Value will be less than the Threshold Value.

 

§     You anticipate that the price of the Underlying Stock will increase substantially and seek to participate in that increase.

 

§     You seek 100% return of principal at maturity.

 

§      In addition to interest payments, you seek an additional guaranteed return above the principal amount.

 

§      You seek to receive dividends or other distributions paid on the Underlying Stock.

 

§      You seek an investment for which there will be a liquid secondary market.

 

§      You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.

 

 

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

 

Hypothetical Payments at Maturity

The following examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical payments on the notes. The actual amount you receive and the resulting return will depend on the actual Starting Value, Threshold Value, Ending Value, and term of your investment. The following examples do not take into account any tax consequences from investing in the notes. These examples are based on:

 

1)a Starting Value of 100;

 

2)a Threshold Value of 91.15 (equal to 91.15% of the Starting Value);

 

3)the expected term of the notes from April 19, 2012 to April 26, 2013; and

 

4)the interest rate of 8% per year.

 

The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only, and does not represent a likely actual Starting Value of the Underlying Stock. For recent actual prices of the Underlying Stock, see “The Underlying Stock” section below. In addition, all payments on the notes are subject to issuer credit risk.

 

Example 1

 

The Ending Value is 115.00 (115% of the Starting Value)

 

The Ending Value is greater than the Starting Value and the Threshold Value. Consequently, in addition to the quarterly interest payments, you will receive the principal amount of $10.000 on the maturity date. You will not participate in the increase of the value of the Underlying Stock.

 

Example 2

 

The Ending Value is 98.00 (98% of the Starting Value)

 

The Ending Value is less than the Starting Value but greater than the Threshold Value. Consequently, in addition to the quarterly interest payments, you will receive the principal amount of $10.000 on the maturity date.

 

Example 3

 

The Ending Value is 80.00 (80% of the Starting Value)

 

The Ending Value is less than the Starting Value and the Threshold Value. Consequently, you will receive the quarterly interest payments, however, you will also participate on a 1-for-1 basis in the decrease in the price of the Underlying Stock below the Threshold Value. The Redemption Amount per unit will equal:

 

On the maturity date, you will receive the Redemption Amount per unit of $8.885.

 

Coupon-Bearing NotesTS-3
 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

 

Summary of the Hypothetical
 Examples		 Example 1 Example 2 Example 3
  The Ending Value is
 greater than or equal to
 the Starting Value and
 the Threshold Value		 The Ending Value is
 less than the Starting
 Value and greater than
 or equal to the
Threshold Value		 The Ending Value is
less than the
Threshold Value
Starting Value 100.00 100.00 100.00
Ending Value 115.00 98.00 80.00
Threshold Value 91.15 91.15 91.15
Interest Rate (per annum) 8.00% 8.00% 8.00%
Redemption Amount per Unit $10.000 $10.000 $8.885

Total Return of

the Underlying Stock (1)

 17.22% 0.22% -17.78%
Total Return on the Notes (2) 8.16% 8.16% -2.99%

 

(1)The total return of the Underlying Stock assumes:

 

(a)the percentage change in the price of the Underlying Stock from the Starting Value to the Ending Value;

 

(b)a constant dividend yield of 2.18% per annum; and

 

(c)no transaction fees or expenses.

 

(2)The total return on the notes includes interest paid on the notes from April 19, 2012 to April 26, 2013.

 

 

Coupon-Bearing NotesTS-4
 

 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

Risk Factors

We urge you to read the section “Risk Factors” in the product supplement and in the accompanying prospectus supplement. Investing in the notes is not equivalent to investing directly in the Underlying Stock. You should understand the risks of investing in the notes and should reach an investment decision only after careful consideration, with your advisers, with respect to the notes in light of your particular financial and other circumstances and the information set forth in this free writing prospectus and the accompanying product supplement, prospectus supplement and prospectus.

 

In addition to the risks in the product supplement identified below, you should review “Risk Factors” in the accompanying prospectus supplement, including the explanation of risks relating to the notes described in the section “— Risks Relating to All Note Issuances” in the prospectus supplement.

 

§Your investment may result in a loss; there is no guaranteed return of principal.

 

§Your yield may be less than the yield on a conventional debt security of comparable maturity.

 

§Payments on the notes are subject to our credit risk.

 

§You will not participate in any increases in the price of the Underlying Stock

 

§Your return, if any, is limited to the return represented by the periodic interest payments over the term of the notes.

 

§Your investment return may be less than a comparable investment directly in the Underlying Stock.

 

§You must rely on your own evaluation of the merits of an investment linked to the Underlying Stock.

 

§Commissions, fees and hedging costs as described on page TS-7 may affect the price at which you will be able to sell the notes in secondary market transactions.

 

§We cannot assure you that a trading market for your notes will ever develop or be maintained. MLPF&S is not obligated to make a market for, or to repurchase, the notes.

 

§The Redemption Amount will not reflect changes in the value of the Underlying Stock prior to the Valuation Date.

 

§If you attempt to sell the notes prior to maturity, their market value, if any, will be affected by various factors that interrelate in complex ways and their market value may be less than the Original Offering Price.

 

§Purchases and sales by us, MLPF&S and our respective affiliates of the Underlying Stock may affect your return.

 

§Our trading and hedging activities, and those of MLPF&S, may create conflicts of interest with you.

 

§Our hedging activities, and those of MLPF&S, may affect your return on the notes and their market value.

 

§There may be potential conflicts of interest involving the calculation agent. We may appoint and remove the calculation agent.

 

§The notes are not insured by any governmental agency of the United States or any other jurisdiction.

 

§You will have no rights as a holder of the Underlying Stock, you will have no rights to receive shares of the Underlying Stock, and you will not be entitled to dividends or other distributions by the Underlying Company.

 

§The Redemption Amount will not be adjusted for all corporate events that could affect the Underlying Stock. See “Description of the Notes—Anti-Dilution Adjustments” beginning on page S-21 of product supplement CBN-2.

 

§We and MLPF&S do not control the Underlying Company, and are not responsible for any disclosure made by the Underlying Company.

 

§Our business activities and those of MLPF&S relating to the Underlying Company may create conflicts of interest with you.

 

§The U.S. federal income tax consequences of the notes are uncertain and may be adverse to a holder of the notes. See “Summary Tax Consequences” below and “U.S. Federal Income Tax Summary” beginning on page 34 of product supplement CBN-2.

 

 

Coupon-Bearing NotesTS-5
 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

The Underlying Stock

We have derived the following information from publicly available documents published by the Underlying Company. We make no representation or warranty as to the accuracy or completeness of the following information. The Underlying Company is a global, technology-based company. The Underlying Company produces optical fiber, cable, and photonic components for the telecommunications industry, as well as manufactures glass panels, funnels, liquid crystal display glass, and projection video lens assemblies for the information display industry.

 

Because the Underlying Stock is registered under the Securities Exchange Act of 1934, the Underlying Company is required to file periodically certain financial and other information specified by the SEC. Information provided to or filed with the SEC by the Underlying Company can be located at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549 or through the SEC’s web site at http://www.sec.gov by reference to SEC CIK number : 24741 and file number 001-03247.

 

This term sheet relates only to the notes and does not relate to the Underlying Stock or to any other securities of the Underlying Company. The Underlying Company will have no obligations with respect to the notes. None of us, MLPF&S, or any of our respective affiliates has participated or will participate in the preparation of the Underlying Company’s publicly available documents. None of us, MLPF&S, or any of our respective affiliates has made any due diligence inquiry with respect to the Underlying Company in connection with the offering of the notes. None of us, MLPF&S, or any of our respective affiliates makes any representation that the publicly available documents or any other publicly available information regarding the Underlying Company are accurate or complete. Furthermore, there can be no assurance that all events occurring prior to the date of this term sheet, including events that would affect the accuracy or completeness of these publicly available documents that would affect the trading price of the Underlying Stock, have been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events concerning the Underlying Company could affect the value of the Underlying Stock and therefore could affect your return on the notes. The selection of the Underlying Stock is not a recommendation to buy or sell the Underlying Stock.

 

The Underlying Stock trades on the New York Stock Exchange under the symbol “GLW.”

 

Historical Data

 

The following table shows the quarterly high and low Closing Market Prices of the shares of the Underlying Stock from the first quarter of 2007 through the pricing date on its primary exchange. We obtained this historical data from Bloomberg L.P. We make no representation or warranty as to the accuracy or completeness of the information from Bloomberg L.P.

 

 

High ($)

 

Low ($)

 
     
2007           First Quarter 23.12 18.46
                   Second Quarter 26.34 22.72
                   Third Quarter 27.22 22.46
                   Fourth Quarter 26.29 21.31
     
2008           First Quarter 25.14 21.31
                   Second Quarter 27.77 23.05
                   Third Quarter 22.60 14.51
                   Fourth Quarter 15.30 7.82
     
2009           First Quarter 14.23 9.13
                   Second Quarter 16.37 13.46
                   Third Quarter 17.00 14.22
                   Fourth Quarter 19.34 14.52
     
2010           First Quarter 20.49 17.21
                   Second Quarter 20.92 16.00
                   Third Quarter 19.24 15.68
                   Fourth Quarter 19.43 17.44
                      
2011           First Quarter 23.37 18.98
                   Second Quarter 21.08 17.37
                   Third Quarter 18.54 12.13
                   Fourth Quarter 15.53 11.88
     
2012           First Quarter 14.62 12.61
                   Second Quarter (through the pricing date) 13.90 13.39

 

 

This historical data on the Underlying Stock is not necessarily indicative of the future performance of the Underlying Stock or what the value of the notes may be. Any historical upward or downward trend in the price per share of the Underlying Stock during any period set forth above is not an indication that the price per share of the Underlying Stock 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 prices and trading pattern of the Underlying Stock.

 

Coupon-Bearing NotesTS-6
 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

Supplement to the Plan of Distribution

We will deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

 

The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units.

 

If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.

 

MLPF&S may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices. MLPF&S may act as principal or agent in these market-making transactions; however it is not obligated to engage in any such transactions. The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding HSBC or for any purpose other than that described in the immediately preceding sentence.

 

Role of MLPF&S

 

MLPF&S will participate as selling agent in the distribution of the notes. Under our distribution agreement with MLPF&S, MLPF&S will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount. In connection with hedging our obligations under the notes, we will enter into a hedge transaction with an affiliate of MLPF&S, which will include a charge of up to $0.075 per unit representing an estimated profit credited to MLPF&S through the hedge transaction. The public offering price you pay for the notes includes this charge and the underwriting discount. This charge and fee reduce the economic terms of the notes. In arranging the hedge transaction for the notes, MLPF&S seeks competitive terms from third parties, which could include one of our affiliates.

 

Additional profits and losses may be realized by the hedge providers from these hedging transactions. For further information regarding how these fees and hedging costs may affect the price at which you will be able to sell the notes in secondary market transaction and conflicts of interest, see “Risk Factors—General Risks Relating to the Notes” beginning on page S-8 and “Use of Proceeds” on page S-16 in product supplement CBN-2.

 

Coupon-Bearing NotesTS-7
 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

Summary Tax Consequences

You should consider the U.S. federal income tax consequences of an investment in the notes, including the following:

 

§There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes.

 

§You agree with us (in the absence of an administrative determination, or judicial ruling to the contrary) to characterize and treat the notes for all tax purposes as income-bearing pre-paid executory contracts linked to the Underlying Stock.

 

§Under this characterization and tax treatment of the notes, we intend to take the position that the stated interest payments constitute taxable ordinary income to a U.S. Holder (as defined in product supplement CBN-2) at the time received or accrued in accordance with the U.S. Holder’s regular method of accounting. Upon receipt of a cash payment at maturity or upon a sale or exchange of the notes prior to maturity (other than with respect to amounts representing accrued stated periodic interest payments), a U.S. Holder generally will recognize capital gain or loss. This capital gain or loss generally will be long-term capital gain or loss if you hold the notes for more than one year.

 

§Because the U.S. federal income tax treatment (including the applicability of withholding) of the stated periodic interest payments on the notes is uncertain, we will withhold U.S. federal income tax at a 30% rate (or at a lower rate under an applicable income tax treaty) on the entire amount of stated periodic interest payments made to Non-U.S. Holders (as defined in product supplement CBN-2). We will not pay any additional amounts in respect of such withholding.

 

§No assurance can be given that the IRS or any court will agree with this characterization and tax treatment.

 

You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. You should review carefully the discussion under the section entitled “U.S. Federal Income Tax Summary” beginning on page S-34 of product supplement CBN-2.

 

Validity of the Notes

In the opinion of Sidley Austin llp, as counsel to the Issuer, when the Notes offered by this pricing supplement have been executed and issued by the Issuer and authenticated by the trustee pursuant to the Senior Indenture referred to in the prospectus supplement dated March 22, 2012, and delivered against payment as contemplated herein, such Notes will be valid and binding obligations of the Issuer, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the Federal laws of the United States, the laws of the State of New York and the Maryland General Corporation Law as in effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of such counsel dated March 22, 2012, which has been filed as Exhibit 5.3 to the Issuer’s registration statement on Form S-3 filed with the Securities and Exchange Commission on March 22, 2012.

 

Coupon-Bearing NotesTS-8
 

 

Coupon-Bearing Notes

Linked to the Common Stock of Corning Incorporated, due April 26, 2013

  

Where You Can Find More Information

We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S toll-free at 1-866-500-5408.

 

Market-Linked Investments Classification

 

MLPF&S classifies certain market-linked investments (the “Market-Linked Investments”) into categories, each with different investment characteristics. The following description is meant solely for informational purposes and is not intended to represent any particular Enhanced Income Market-Linked Investment or guarantee any performance.

 

Enhanced Income Market-Linked Investments are short- to medium-term market-linked notes that offer you a way to enhance your income stream, either through variable or fixed-interest coupons, an added payout at maturity based on the performance of the linked asset, or both. In exchange for receiving current income, you will generally forfeit upside potential on the linked asset. Even so, the prospect of higher interest payments and/or an additional payout may equate to a higher return potential than you may be able to find through other fixed-income securities. Enhanced Income Market-Linked Investments generally do not include market downside protection. The degree to which your principal is repaid at maturity is generally determined by the performance of the linked asset. Although enhanced income streams may help offset potential declines in the asset, you can still lose part or all of your original investment.

 

Coupon-Bearing NotesTS-9
 

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