Both the RTY Index and the SPX 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
RTY Index and the SPX 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 $10.2075 per Security, reflecting your principal amount plus the applicable
Contingent Coupon. When added to the Contingent Coupon payment of $0.2075 received in respect of the prior Observation Date, MSFL will
have paid you a total of $10.415 per Security for a 4.15% 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) |
RTY Index |
SPX Index |
First Observation Date |
1,600 (at or above Coupon
Barrier) |
3,000 (at or above Coupon
Barrier) |
$0.2075 (Contingent Coupon —
Not Callable) |
Second Observation Date |
1,700 (at or above Coupon Barrier) |
3,600 (at or above Coupon Barrier) |
$0.2075 (Contingent Coupon — Not Called) |
Third Observation Date |
1,550 (at or above Coupon Barrier) |
3,750 (at or above Coupon Barrier) |
$0.2075 (Contingent Coupon — Not Called) |
Fourth Observation Date |
2,200 (at or above Coupon Barrier and
Initial Underlying Value) |
3,800 (at or above Coupon Barrier and
Initial Underlying Value) |
$10.2075 (Settlement Amount) |
|
|
Total Payment: |
$10.83 (8.30% return) |
Both the RTY Index and SPX 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 RTY Index and the SPX 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 $10.2075 per Security, reflecting your principal amount plus the applicable Contingent Coupon. When added to the total
Contingent Coupon payments of $0.6225 received in respect of the prior Observation Dates, MSFL will have
paid you a total of $10.83 per Security for an 8.30% 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 RTY Index and the SPX Index are at or above their respective Coupon Barriers and Downside Thresholds.
Date |
Index Closing Value |
Payment (per Security) |
RTY Index |
SPX Index |
First Observation Date |
1,600 (at or above Coupon
Barrier) |
2,700 (at or above Coupon
Barrier) |
$0.2075 (Contingent Coupon —
Not Callable) |
Second Observation Date |
1,700 (at or above Coupon Barrier) |
3,600 (at or above Coupon Barrier) |
$0.2075 (Contingent Coupon — Not Called) |
Third Observation Date |
1,550 (at or above Coupon Barrier) |
2,000 (below Coupon Barrier) |
$0 (Not Called) |
Fourth Observation Date |
1,800 (at or above Coupon Barrier;
below Initial Underlying Value) |
1,500 (below Coupon Barrier and Initial
Underlying Value) |
$0 (Not Called) |
Fifth 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 |
1,650 (at or above Coupon Barrier and
Downside Threshold) |
3,700 (at or above Coupon Barrier and
Downside Threshold) |
$10.2075 (Settlement Amount) |
|
|
Total Payment: |
$10.6225 (6.225% return) |
Both the RTY Index and the SPX 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 RTY Index closes at or above its Coupon Barrier (but below its Initial Underlying Value,
where applicable) but the SPX 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 RTY Index and the SPX Index close above their respective Coupon Barriers and Downside Thresholds.
Therefore, at maturity, MSFL will pay you a total of $10.2075 per Security, reflecting your principal amount plus the applicable
Contingent Coupon. When added to the total Contingent Coupon payments of $0.415 received in respect of the prior Observation Dates, MSFL
will have paid you a total of $10.6225 per Security for a 6.225% total return on the Securities over three 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) |
RTY Index |
SPX Index |
First Observation Date |
1,750 (at or above Coupon
Barrier) |
3,600 (at or above Coupon
Barrier) |
$0.2075 (Contingent Coupon —
Not Callable) |
Second Observation Date |
1,500 (at or above Coupon Barrier) |
3,400 (at or above Coupon Barrier) |
$0.2075 (Contingent Coupon — Not Called) |
Third Observation Date |
1,450 (at or above Coupon Barrier) |
2,300 (below Coupon Barrier) |
$0 (Not Called) |
Fourth Observation Date |
1,700 (at or above Coupon Barrier;
below Initial Underlying Value) |
1,900 (below Coupon Barrier and Initial
Underlying Value) |
$0 (Not Called) |
Fifth 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 |
1,650 (at or above Coupon Barrier and
Downside Threshold) |
1,400 (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: |
$4.415 (-55.85% return) |
Both the RTY Index and the SPX 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 and fourth Observation Dates, the RTY Index closes at or above its Coupon Barrier (but below its Initial Underlying Value,
where applicable), but the SPX Index closes below its Coupon Barrier. Therefore, no Contingent Coupon is paid on either related Coupon
Payment Date. On each of the fifth to the eleventh Observation Dates, both the RTY Index and the SPX 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 RTY Index
closes above its Coupon Barrier and Downside Threshold but the SPX 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 total Contingent Coupon payments of $0.415 received in respect of the prior Observation Dates, MSFL will have paid you $4.415
per Security, for a loss on the Securities of 55.85%.
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:
| 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 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 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,
2017 through May 18, 2022. The closing value of the Russell 2000® Index on May 18, 2022 was 1,774.846. 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 |
1/1/2017 |
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 |
3/31/2021 |
2,360.168 |
1,945.914 |
2,220.519 |
4/1/2021 |
6/30/2021 |
2,343.758 |
2,135.139 |
2,310.549 |
7/1/2021 |
9/30/2021 |
2,329.359 |
2,130.680 |
2,204.372 |
10/1/2021 |
12/31/2021 |
2,442.742 |
2,139.875 |
2,245.313 |
1/1/2022 |
3/31/2022 |
2,272.557 |
1,931.288 |
2,070.125 |
4/1/2022 |
5/18/2022* |
2,095.440 |
1,718.144 |
1,774.846 |
*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 May 18, 2022, based on information from Bloomberg.
* The dotted line indicates the Coupon
Barrier and Downside Threshold of 1,242.392, each of which is approximately 70% of the Initial Underlying Value.
Past performance is not indicative of future results.
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.
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard
and Poor’s Financial Services LLC. For more information, see “S&P 500® 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 S&P 500® Index for each quarter in the period from January 1,
2017 through May 18, 2022. The closing value of the S&P 500® Index on May 18, 2022 was 3,923.68. We obtained the information
in the table below from Bloomberg Financial Markets, without independent verification. The historical closing values of the S&P 500®
Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the S&P
500® Index on any Observation Date, including the Final Observation Date.
Quarter Begin |
Quarter End |
Quarterly
High |
Quarterly
Low |
Quarterly
Close |
1/1/2017 |
3/31/2017 |
2,395.96 |
2,257.83 |
2,362.72 |
4/1/2017 |
6/30/2017 |
2,453.46 |
2,328.95 |
2,423.41 |
7/1/2017 |
9/30/2017 |
2,519.36 |
2,409.75 |
2,519.36 |
10/1/2017 |
12/31/2017 |
2,690.16 |
2,529.12 |
2,673.61 |
1/1/2018 |
3/31/2018 |
2,872.87 |
2,581.00 |
2,640.87 |
4/1/2018 |
6/30/2018 |
2,786.85 |
2,581.88 |
2,718.37 |
7/1/2018 |
9/30/2018 |
2,930.75 |
2,713.22 |
2,913.98 |
10/1/2018 |
12/31/2018 |
2,925.51 |
2,351.10 |
2,506.85 |
1/1/2019 |
3/31/2019 |
2,854.88 |
2,447.89 |
2,834.40 |
4/1/2019 |
6/30/2019 |
2,954.18 |
2,744.45 |
2,941.76 |
7/1/2019 |
9/30/2019 |
3,025.86 |
2,840.60 |
2,976.74 |
10/1/2019 |
12/31/2019 |
3,240.02 |
2,887.61 |
3,230.78 |
1/1/2020 |
3/31/2020 |
3,386.15 |
2,237.40 |
2,584.59 |
4/1/2020 |
6/30/2020 |
3,232.39 |
2,470.50 |
3,100.29 |
7/1/2020 |
9/30/2020 |
3,580.84 |
3,115.86 |
3,363.00 |
10/1/2020 |
12/31/2020 |
3,756.07 |
3,269.96 |
3,756.07 |
1/1/2021 |
3/31/2021 |
3,974.54 |
3,700.65 |
3,972.89 |
4/1/2021 |
6/30/2021 |
4,297.50 |
4,019.87 |
4,297.50 |
7/1/2021 |
9/30/2021 |
4,536.95 |
4,258.49 |
4,307.54 |
10/1/2021 |
12/31/2021 |
4,793.06 |
4,300.46 |
4,766.18 |
1/1/2022 |
3/31/2022 |
4,796.56 |
4,170.70 |
4,530.41 |
4/1/2022 |
5/18/2022* |
4,582.64 |
3,923.68 |
3,923.68 |
*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 S&P 500®
Index from January 1, 2008 through May 18, 2022, based on information from Bloomberg.
* The dotted line indicates the Coupon
Barrier and Downside Threshold of 2,746.58, each of 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 Russell 2000®
Index and the S&P 500® Index from January 1, 2008 through May 13, 2022. 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 RTY Index and the SPX 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 RTY Index or just the SPX 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 Publisher
With respect to the RTY Index, FTSE Russell, or any successor thereto.
With respect to the SPX Index, S&P Dow Jones Indices LLC, or any
successor thereto.
“Index Closing Value” on any Index Business Day means,
(i) with respect to the RTY Index, 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, and (ii) with respect to the SPX Index,
the closing value of such Underlying, or any relevant Successor Index (as defined under “—Discontinuance of Any Underlying
Index; Alteration of Method of Calculation” in the accompanying product supplement) published at the regular weekday close of trading
on that Index Business Day by the relevant Index Publisher. 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 |