Product
Supplement No. STOCK ACCN-1
(To Prospectus dated September 2, 2021
and Prospectus Supplement dated September 2, 2021)
December 16, 2021
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Filed
Pursuant to Rule 424(b)(5)
Registration No. 333-257113
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Autocallable
Contingent Coupon Notes Linked to One or More Equity Securities
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The
notes are unsecured senior notes issued by Canadian Imperial Bank of Commerce. Any payments
due on the notes, including any repayment of principal, will be subject to the credit risk
of Canadian Imperial Bank of Commerce.
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The
notes do not guarantee the return of principal at maturity. The return on the notes will
be based on the performance of an underlying “Market Measure,” which will
be either the common equity securities or American Depositary Receipts (“ADRs”)
of a company other than us, the agents, and our respective affiliates (the “Underlying
Stock”). The Market Measure may also consist of a “Basket” of
two or more Underlying Stocks.
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The
notes provide Contingent Coupon Payments (as defined below), with or without memory, as specified
in the term sheet, based on the performance of the Market Measure during the term of the
notes and until the notes are automatically called. If the notes are not called prior to
maturity, you will be exposed to any negative performance of the Market Measure below the
Threshold Value (as defined below) on a 1-to-1 basis.
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The
notes will be automatically called if the Observation Value of the Market Measure on any
Call Observation Date is greater than or equal to its Call Value. If the notes are called,
you will receive a cash payment per unit (the “Call Amount”) that equals
the principal amount plus the final Contingent Coupon Payment, if payable, on the applicable
Call Settlement Date (each as defined below). The notes will cease to be outstanding after
the automatic call.
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During
the term of the notes and until the notes are automatically called, you will receive a Contingent
Coupon Payment if the Observation Value of the Market Measure on the applicable Coupon Observation
Date is greater than or equal to its Coupon Value (each as defined below).
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The
notes do not guarantee the return of principal at maturity. If the notes have not been called,
and if the Ending Value is greater than or equal to the Threshold Value, you will receive
at maturity a cash payment per unit (the “Redemption Amount”) that equals
the principal amount. However, if the Ending Value is less than the Threshold Value, you
will be subject to 1-to-1 downside exposure to the decrease of the Market Measure below the
Threshold Value. In such a case, you may lose all or a significant portion of the principal
amount of your notes. In each case above, at maturity, you may also receive a final Contingent
Coupon Payment, if otherwise payable.
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This
product supplement describes the general terms of the notes, the risk factors to consider
before investing, the general manner in which they may be offered and sold, and other relevant
information.
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For
each offering of the notes, we will provide you with a pricing supplement (which we refer
to as a “term sheet”) that will describe the specific terms of that offering,
including the specific Market Measure, the relevant Coupon Feature (as described in “Summary”),
the Coupon Value, the Call Value, the Threshold Value, the Coupon Observation Dates, the
Call Observation Dates, the Coupon Payment Dates and the Call Settlement Dates, and certain
related risk factors. The applicable term sheet will identify, if applicable, any additions
or changes to the terms specified in this product supplement.
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The
notes will be issued in denominations of whole units. Unless otherwise set forth in the applicable
term sheet, each unit will have a principal amount of $10. The applicable term sheet may
also set forth a minimum number of units that you must purchase.
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Unless
otherwise specified in the applicable term sheet, the notes will not be listed on a securities
exchange.
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BofA
Securities, Inc. (“BofAS”) and one or more of its affiliates may act as
our agents to offer the notes, and will act in a principal capacity in such role.
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The notes are unsecured and are not savings
accounts or insured deposits of a bank. The notes are not insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit
Insurance Corporation (the “FDIC”) or any other governmental agency of the United States, Canada, or any other jurisdiction.
Potential purchasers of the notes should consider the information in “Risk Factors” beginning on page PS-7 of this product
supplement, page S-1 of the accompanying prospectus supplement, and page 1 of the accompanying prospectus. You may lose all or a significant
portion of your investment in the notes.
None of the Securities and Exchange Commission
(the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities
or passed upon the adequacy or accuracy of this product supplement, the prospectus supplement, or the prospectus. Any representation
to the contrary is a criminal offense.
BofA
Securities
TABLE
OF CONTENTS
Page
SUMMARY
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PS-3
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RISK FACTORS
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PS-7
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DESCRIPTION OF THE NOTES
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PS-17
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SUPPLEMENTAL PLAN OF DISTRIBUTION
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PS-33
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CANADIAN FEDERAL INCOME TAX SUMMARY
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PS-34
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U.S. FEDERAL INCOME TAX SUMMARY
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PS-34
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SUMMARY
The
information in this “Summary” section is qualified in its entirety by the more detailed explanation set forth elsewhere in
this product supplement, the prospectus supplement, and the prospectus, as well as the applicable term sheet. Neither we nor BofAS have
authorized any other person to provide you with any information different from the information set forth in these documents. If anyone
provides you with different or inconsistent information about the notes, you should not rely on it.
Key
Terms:
General:
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The
notes are senior unsecured debt securities issued by Canadian Imperial Bank of Commerce, and are not guaranteed or insured by the
Canada Deposit Insurance Corporation, the FDIC or any other governmental agency of the United States, Canada or any other jurisdiction,
and are not, either directly or indirectly, an obligation of any third party. They rank equally with all of our other unsecured senior
debt from time to time outstanding. Any payments due on the notes, including any repayment of principal, will be subject to our credit
risk.
The
return on the notes will be based on the performance of a Market Measure and there is no guaranteed return of principal at maturity.
Therefore, you may lose all or a significant portion of your investment if the notes are not automatically called prior to maturity,
and the value of the Market Measure decreases from the Starting Value to an Ending Value that is less than the Threshold Value. In
addition, the notes provide the opportunity for coupons to be payable on a contingent basis.
Each
issue of the notes will mature on the date set forth in the applicable term sheet, unless the notes are automatically called on an
earlier date. We cannot redeem the notes at our option at any earlier date, except under the limited circumstances as set forth in
the section “Description of the Notes—Anti-Dilution Adjustments—Reorganization Events.” You should be aware
that the automatic call feature may shorten the term of an investment in the notes, and you must be willing to accept that your notes
may be called prior to maturity.
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Market
Measure:
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The
Underlying Stock of a company other than us, the agents and our respective affiliates (the “Underlying Company”)
represented either by a class of common equity securities registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), or by ADRs registered under the Exchange Act, which will be set forth in the applicable term sheet.
The
Market Measure may consist of a group, or “Basket,” of Underlying Stocks. We refer to each Underlying Stock included
in any Basket as a “Basket Stock.” If the Market Measure to which your notes are linked is a Basket, the Basket
Stocks will be set forth in the applicable term sheet.
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Market
Measure Performance:
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The
performance of the Market Measure will be measured according to the percentage change of the Market Measure from its Starting Value
to its Observation Value or Ending Value, as applicable.
Unless
otherwise specified in the applicable term sheet:
The
“Starting Value” will be the price of the Underlying Stock on the date when the notes are priced for initial sale
to the public (the “pricing date”), determined as set forth in the applicable term sheet.
If
the Market Measure consists of a Basket, the Starting Value will be equal to 100. See “Description of the Notes—Basket
Market Measures.”
The
“Threshold Value” will be a value of the Market Measure that equals a specified percentage (100% or less) of the
Starting Value. The Threshold Value will be determined on the pricing date and set forth in the applicable term sheet. If the notes
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are
called and the Threshold Value is equal to 100% of the Starting Value, you will be exposed to any decrease in the value of the Market
Measure from the Starting Value to the Ending Value on a 1-to-1 basis, and you may lose all of your investment in the notes.
The
“Observation Value” will equal the Closing Market Price of the Underlying Stock on the relevant Coupon Observation
Date or Call Observation Date multiplied by its Price Multiplier on that day (each as defined below).
The
“Ending Value” will equal the Closing Market Price of the Underlying Stock on the calculation day multiplied by
its Price Multiplier on that day.
If
the Market Measure consists of a Basket, each Observation Value and the Ending Value will be determined as described in “Description
of the Notes—Basket Market Measures—Observation Value or Ending Value of the Basket.”
If
a Market Disruption Event (as defined below) occurs and is continuing on a scheduled Coupon Observation Date, Call Observation Date
or the scheduled calculation day or if such day is a non-Trading Day, the calculation agent will determine the Observation Value
or Ending Value, as applicable, as set forth in the section “Description of the Notes—The Starting Value, the Observation
Value and the Ending Value” and “—Basket Market Measures—Observation Value or Ending Value of the Basket.”
For the avoidance of doubt, if your notes are linked to more than one Underlying Stock, the occurrence of a Market Disruption Event
or non-Trading Day as to any Underlying Stock will not impact any other Underlying Stock that is not so affected.
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Price
Multiplier:
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Unless
otherwise set forth in the applicable term sheet, the “Price Multiplier” for an Underlying Stock will be 1, and
will be subject to adjustment for certain corporate events relating to that Underlying Stock described below under “Description
of the Notes—Anti-Dilution Adjustments.”
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Automatic
Call:
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The
notes will be automatically called in whole prior to maturity if the Observation Value of the Market Measure on any Call Observation
Date is greater than or equal to its Call Value. If the notes are called, the Call Amount will be paid on the applicable Call Settlement
Date set forth in the applicable term sheet, and the notes will cease to be outstanding. You will not receive any notice from us
if the notes are automatically called.
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Call
Value:
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A
percentage of the Starting Value of the Market Measure, as set forth in the term sheet.
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Call
Amount:
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The
principal amount plus the final Contingent Coupon Payment, if payable.
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Coupon
Feature:
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The
applicable term sheet will indicate the Coupon Feature applicable to the notes. The following is a summary of the Coupon Features
we may offer on the notes:
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Contingent Coupon Payments: Contingent Coupon
Payments are coupons which are payable if the Observation Value of the Market Measure on the applicable Coupon Observation Date is
greater than or equal to its “Coupon Value”, which will be a percentage of the Starting Value of the Market Measure,
as set forth in the term sheet. If a Contingent Coupon Payment is payable, it will be paid on the related Coupon Payment Date. The
amount of each Contingent Coupon Payment will be specified in the applicable term sheet.
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Contingent Coupon Payments (with Memory): Contingent
Coupon Payments (with Memory) are coupons which are payable if the Observation Value of the Market Measure on the applicable Coupon
Observation Date is greater than or equal to its Coupon Value. If a Contingent Coupon Payment is payable, it will
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be
paid on the related Coupon Payment Date. If any Contingent Coupon Payment is not payable on a Coupon Payment Date because the Observation
Value of the Market Measure on the applicable Coupon Observation Date is less than its Coupon Value, such missed Contingent Coupon
Payment(s) will be payable on the next subsequent Coupon Payment Date that a Contingent Coupon Payment (with Memory) is payable with
respect to such date, if any. The amount of the Contingent Coupon Payment (with Memory) applicable to a single Coupon Payment Date
will be specified in the applicable term sheet.
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Redemption
Amount at Maturity:
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If
the notes are not called, at maturity, in addition to the final Contingent Coupon Payment, if payable, you will receive a Redemption
Amount that is equal to the principal amount if the Ending Value is greater than or equal to the Threshold Value. If the Ending Value
is less than the Threshold Value, you will be subject to 1-to-1 downside exposure to the decrease in the value of the Market Measure
below the Threshold Value, and will receive a Redemption Amount that is less than the principal amount. If the Threshold Value is
equal to 100% of the Starting Value, the Redemption Amount could be zero.
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Any
payments due on the notes, including any repayment of principal, are subject to our credit risk as issuer of the notes.
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The
Redemption Amount, denominated in U.S. dollars, will be calculated as follows:
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You
may lose all or a significant portion of the principal amount of the notes if the notes are not called and the Ending Value is less
than the Threshold Value. Even with any Contingent Coupon Payments, the return on the notes could be negative.
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Principal
at Risk:
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You
may lose all or a significant portion of the principal amount of the notes. Further, if you sell your notes prior to maturity
or automatic call in the secondary market (if any), you may find that the market value per note is less than the price that you paid
for the notes.
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Calculation
Agent:
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The
calculation agent will make all determinations associated with the notes. Unless otherwise set forth in the applicable
term sheet, we will appoint BofAS or one of its affiliates to act as the calculation agent for the notes. See the section
entitled “Description of the Notes—Role of the Calculation Agent.”
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Agents:
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BofAS
and one or more of its affiliates will act as our agents in connection with each offering of the notes and will receive an underwriting
discount based on the number of units of the notes sold. None of the agents is your fiduciary or advisor solely as a result
of the making of any offering of the notes, and you should not rely upon this
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product
supplement, the applicable term sheet, or the accompanying prospectus or prospectus supplement as investment advice or a recommendation
to purchase the notes.
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Listing:
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Unless
otherwise specified in the applicable term sheet, the notes will not be listed on a securities exchange.
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ERISA
Considerations:
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See
“Certain Considerations for U.S. Plan Investors” beginning on page 37 of the accompanying prospectus.
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This
product supplement relates only to the notes and does not relate to any Underlying Stock described in any applicable term sheet. You
should read carefully the entire prospectus, prospectus supplement, and this product supplement, together with the applicable term sheet,
to understand fully the terms of your notes, as well as the tax and other considerations important to you in making a decision about
whether to invest in any notes. In particular, you should review carefully the sections in this product supplement and the accompanying
prospectus supplement and prospectus entitled “Risk Factors,” which highlight a number of risks of an investment in the notes,
to determine whether an investment in the notes is appropriate for you. Additional risk factors may be set forth in the applicable term
sheet. If information in this product supplement is inconsistent with information in the prospectus or prospectus supplement, this product
supplement will supersede those documents. However, if information in any term sheet is inconsistent with information in this product
supplement, that term sheet will supersede this product supplement. You should carefully review the applicable term sheet to understand
the specific terms of your notes.
Neither
we nor any agent is making an offer to sell the notes in any jurisdiction where the offer or sale is not permitted.
Certain
capitalized terms used and not defined in this product supplement have the meanings ascribed to them in the prospectus supplement and
prospectus. Unless otherwise indicated or unless the context requires otherwise, all references in this product supplement to “we,”
“us,” “our,” or similar references are to Canadian Imperial Bank of Commerce.
You
are urged to consult with your own attorneys and business and tax advisors before making a decision to purchase any notes.
RISK
FACTORS
Your
investment in the notes is subject to investment risks, many of which differ from those of a conventional debt security. Your decision
to purchase the notes should be made only after carefully considering the risks, including those discussed below, in light of your particular
circumstances. The notes are not an appropriate investment for you if you are not knowledgeable about the material terms of the notes
or investments in equity or equity-based securities in general.
Structure-related
Risks
If
the notes are not called, your investment may result in a loss; there is no guaranteed return of principal. There is no fixed principal
repayment amount on the notes at maturity. The return on the notes will be based on the performance of the Market Measure. If the notes
are not called and the Ending Value is less than the Threshold Value, then you will receive a Redemption Amount at maturity that will
be less than the principal amount of your notes and, if the Threshold Value is equal to 100% of the Starting Value, could be zero. You
may lose all or a significant portion of your investment.
Your
investment return will be limited to the return represented by the Contingent Coupon Payments, if any, and may be less than a comparable
investment directly in the Market Measure. Your investment return will be limited to the return represented by the Contingent Coupon
Payments, if any, paid over the term of the notes. You will not receive a payment on the notes greater than the principal amount plus
any Contingent Coupon Payments, regardless of the extent of the increase in the value of the Market Measure. Furthermore, whether the
notes are automatically called or not, you will not be able to participate in any increase in the Market Measure. In contrast, a direct
investment in the Market Measure would allow you to receive the full benefit of any appreciation in the value of the Market Measure.
In
addition, unless otherwise set forth in the applicable term sheet or in the event of an adjustment as described in this product supplement
under “Description of the Notes—Anti-Dilution Adjustments”, the Observation Value or the Ending Value will not reflect
the value of dividends paid, or distributions made, on any Underlying Stock or any other rights associated with any Underlying Stock.
Thus, any return on the notes will not reflect the return you would realize if you actually owned shares of any Underlying Stock.
You
may not receive any Contingent Coupon Payments. You will not necessarily receive any Contingent Coupon Payments on the notes. If
the Observation Value is less than the Coupon Value on each Coupon Observation Date, you will not receive any coupon payments
over the term of the notes. In this case, you will not receive a positive return on the notes. In addition, if your notes have Contingent
Coupon Payments (i.e., not with Memory), if the Observation Value is less than the Coupon Value on any Coupon Observation Date,
you will not receive a coupon payment on the related Coupon Payment Date (and will not have the opportunity to have that coupon paid
during the term of the note). Even with any Contingent Coupon Payments, you may not receive a positive return on the notes.
Reinvestment
Risk. Because the notes could be called as early as the first Call Observation Date, the term of the notes could be short. In such
a case, your ability to receive any Contingent Coupon Payments over the term of the notes will be limited. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk in the
event the notes are called prior to maturity.
Payments
on the notes will not reflect changes in the value of the Market Measure that occur other than on the Coupon Observation Dates, the Call
Observation Dates or the calculation day. Changes in the value of the Market Measure during the term of the notes other than on the
Coupon Observation Dates, the Call Observation Dates or the calculation day will not be reflected in the determinations with respect
to the Contingent Coupon Payments or whether the notes will be automatically called, or in the calculation of the Redemption Amount.
To make these determinations and calculations, the calculation agent will refer only to the value of the Market Measure on the Coupon
Observation Dates, the Call Observations Dates or the calculation day. No other values of the Market Measure will be taken into account.
As a result, even if the value of the Market Measure has increased at certain times during the term of the notes, you will not receive
any Contingent Coupon Payments if the Observation Value on each Coupon Observation Date is less than its Coupon Value, your notes will
not be called if the Observation Value on each Call Observation Date is less than its Call Value, and you will receive a Redemption Amount
that is less than the principal amount if the Ending Value is less than the Threshold Value.
If
your notes are linked to a Basket, changes in the prices of one or more of the Basket Stocks may be offset by changes in the prices of
one or more of the other Basket Stocks. The Market Measure of your notes may be a Basket. In such a case, changes in the prices of
one or more of the Basket Stocks may not correlate with changes in the prices of one or more of the other Basket Stocks. The prices of
one or more Basket Stocks may increase, while the prices of one or more of the other Basket Stocks may decrease or not increase as much.
Therefore, in calculating the value of the Basket at any time, increases in the price of one Basket Stock may be moderated or wholly
offset by decreases or lesser increases in the prices of one or more of the other Basket Stocks. If the weightings of the applicable
Basket Stocks are not equal, adverse changes in the prices of the Basket Stocks which are more heavily weighted could have a greater
impact upon the value of the Basket and, consequently, the return on your notes.
Your
return on the notes may be less than the yield on a conventional fixed or floating rate debt security of comparable maturity. Any
return that you receive on the notes may be less than the return you would earn if you purchased a conventional debt security with the
same maturity date. As a result, your investment in the notes may not reflect the full opportunity cost to you when you consider factors,
such as inflation, that affect the time value of money.
Payments
on the notes are subject to our credit risk, and any actual or perceived changes in our creditworthiness are expected to affect the value
of the notes. The notes are our senior unsecured debt securities and are not, either directly or indirectly, an obligation of any
third party. As a result, your receipt of any payments on the notes is dependent upon our ability to repay our obligations on the applicable
payment date, regardless of the performance of the Market Measure. No assurance can be given as to what our financial condition will
be on any applicable payment date. If we become unable to meet our financial obligations as they become due, you may not receive the
amounts payable under the terms of the notes.
In
addition, our credit ratings are an assessment by ratings agencies of our ability to pay our obligations. Consequently, our perceived
creditworthiness and actual or anticipated decreases in our credit ratings or increases in the spread between the yield on our securities
and the yield on U.S. Treasury securities (the “credit spread”) prior to maturity or automatic call may adversely
affect the market value of the notes. However, because your return on the notes depends upon factors in addition to our ability to pay
our obligations, such as the value of the Market Measure, an improvement in our credit ratings will not reduce the other investment risks
related to the notes.
Valuation-
and Market-related Risks
Our
initial estimated value of the notes will be lower than the public offering price of the notes. The public offering price of the
notes will exceed our initial estimated value because costs associated with selling and structuring the notes, as well as hedging the
notes, are included in the public offering price of the notes.
Our
initial estimated value does not represent future values of the notes and may differ from others’ estimates. Our initial estimated
value is only an estimate, which will be determined by reference to our internal pricing models when the terms of the notes are set.
This estimated value will be based on market conditions and other relevant factors existing at that time, our internal funding rate on
the pricing date and our assumptions about market parameters, which can include volatility, dividend rates, interest rates and other
factors. Different pricing models and assumptions could provide valuations for the notes that are greater or less than our initial estimated
value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.
On future dates, the market value of the notes could change significantly based on, among other things, changes in market conditions,
including the value of the Market Measure, our creditworthiness, interest rate movements and other relevant factors, which may impact
the price at which BofAS or any other party would be willing to buy the notes from you in any secondary market transactions. Our estimated
value does not represent a minimum price at which BofAS or any other party would be willing to buy your notes in any secondary market
(if any exists) at any time.
Our
initial estimated value of the notes will not be determined by reference to credit spreads for our conventional fixed-rate debt.
The internal funding rate to be used in the determination of our initial estimated value of the notes generally represents a discount
from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value
of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs
for our conventional fixed-rate debt. If we were to use the interest rate implied by our conventional fixed-rate debt, we would expect
the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate for market-linked notes
would have an adverse effect on the economic terms of the notes, the initial estimated value of the notes on the pricing date and any
secondary market prices of the notes.
We
cannot assure you that there will be a trading market for your notes. If a secondary market exists, we cannot predict how the notes
will trade, or whether that market will be liquid or illiquid. The development of a trading market for the notes will depend on various
factors, including our financial performance and changes in the value of the Market Measure. The number of potential buyers of your notes
in any secondary market may be limited. There is no assurance that any party will be willing to purchase your notes at any price in any
secondary market.
We
anticipate that one or more of the agents or their affiliates will act as a market-maker for the notes, but none of them is required
to do so and may cease to do so at any time. Any price at which an agent or its affiliates may bid for, offer, purchase, or sell any
notes may be higher or lower than the applicable public offering price, and that price may differ from the values determined by pricing
models that it may use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers, or transactions
may adversely affect the prices, if any, at which the notes might otherwise trade in the market. In addition, if at any time any entity
were to cease acting as a market-maker for any issue of the notes, it is likely that there would be significantly less liquidity in that
secondary market. In such a case, the price at which those notes could be sold would likely be lower than if an active market existed.
Unless
otherwise stated in the applicable term sheet, we will not list the notes on any securities exchange. Even if an application were made
to list your notes, we cannot assure you that the application will be approved or that your notes will be listed and, if listed, that
they will remain listed for their entire term. The listing of the notes on any securities exchange will not necessarily ensure that a
trading market will develop, and if a trading market does develop, that there will be liquidity in the trading market.
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 principal amount. The notes are not designed to be short-term trading instruments.
The limited protection, if any, against the risk of losses provided by the Threshold Value will only apply if you hold the notes to maturity
or automatic call. You have no right to have your notes redeemed at your option prior to maturity. If you wish to liquidate your investment
in the notes prior to maturity, your only option would be to sell them. At that time, there may be an illiquid market for your notes
or no market at all. Even if you were able to sell your notes, there are many factors outside of our control that may affect their market
value, some of which, but not all, are stated below. These factors may interact with each other in complex and unpredictable ways, and
the impact of any one factor may be offset or magnified by the effect of another factor. The following paragraphs describe a specific
factor’s expected impact on the market value of the notes, assuming all other conditions remain constant.
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Value
of the Market Measure. We anticipate that the market value of the notes prior to maturity
generally will depend to a significant extent on the value of the Market Measure. In general,
it is expected that the market value of the notes will decrease as the value of the Market
Measure decreases. However, as the value of the Market Measure increases, the market value
of the notes may decrease or may not increase at the same rate. If you sell your notes when
the value of the Market Measure is less than, or not sufficiently above, the applicable Starting
Value, then you may receive less than the principal amount of your notes.
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In
addition, because the return on the notes will not exceed the return represented by the Contingent Coupon Payments, we do not expect
that the notes will trade in any secondary market at a price that is greater than the sum of the principal amount and the value of any
expected remaining Contingent Coupon Payments.
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Volatility
of the Market Measure. Volatility is the term used to describe the size and frequency
of market fluctuations. The volatility of the Market Measure during the term of the notes
may vary. In addition, an unsettled international environment and related uncertainties may
result in greater market volatility, which may continue over the term of the notes. Increases
or decreases in the volatility of the Market Measure may have an adverse impact on the market
value of the notes. Even if the value of the Market Measure increases after the applicable
pricing date, if you are able to sell your notes before their maturity date, you may receive
substantially less than the amount that would be payable upon a call or at maturity based
on that value because of the anticipation that the value of the Market Measure will continue
to fluctuate until the notes are called or the Ending Value is determined.
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Economic
and Other Conditions Generally. The general economic conditions of the capital markets
in the United States, as well as geopolitical conditions and other financial, political,
regulatory, and judicial events and related uncertainties that affect stock markets generally,
may adversely affect the value of the Market Measure and the market value of the notes. If
an Underlying Stock is an ADR, the value of your notes may also be adversely affected by
similar events in the markets of the relevant foreign country.
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Interest
Rates. We expect that changes in interest rates will affect the market value of the notes.
In general, if U.S. interest rates increase, we expect that the market value of the notes
will decrease. In general, we expect that the longer the amount of time that remains until
maturity, the more significant the impact of these changes will be on the value of the notes.
The level of interest rates also may affect the U.S. economy and any applicable market outside
of the U.S., and, in turn, the value of the Market Measure, and, thus, the market value of
the notes may be adversely affected. If any Underlying Stock is an ADR, the level of interest
rates in the relevant foreign country may affect the economy of that foreign country and,
in turn, the value of the ADR, and, thus, the market value of the notes may be adversely
affected.
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Dividend
Yields. In general, if the cumulative dividend yield on any Underlying Stock increases,
we anticipate that the market value of the notes will decrease.
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Our
Financial Condition and Creditworthiness. Our perceived creditworthiness, including any
increases in our credit spreads and any actual or anticipated decreases in our credit ratings,
may adversely affect the market value of the notes. In general, we expect the longer the
amount of time that remains until maturity, the more significant the impact will be on the
value of the notes. However, a decrease in our credit spreads or an improvement in our credit
ratings will not necessarily increase the market value of the notes.
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Time
to Maturity or the Next Call Observation Date. There may be a disparity between the market
value of the notes prior to maturity or prior to a Call Observation Date, and their value
at maturity or as of the next Call Observation Date. This disparity is often called a time
“value,” “premium,” or “discount,” and reflects expectations
concerning the value of the Market Measure during the term of the notes. As the time to maturity
or the next Call Observation Date decreases, this disparity will likely decrease, such that
the market value of the notes will approach the expected Redemption Amount to be paid at
maturity or the Call Amount to be paid at the next Call Settlement Date.
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Conflict-related
Risks
Trading
and hedging activities by us, the agents, and our respective affiliates may affect your return on the notes and their market value. We,
the agents, and our respective affiliates may buy or sell shares of any Underlying Stock, futures or options contracts or exchange-traded
instruments on any Underlying Stock, or other listed or over-the counter derivative instruments linked to any Underlying Stock. We, the
agents or our respective affiliates may execute such purchases or sales for our own or their own accounts, for business reasons, or in
connection with hedging our obligations under the notes. These transactions could adversely affect the value of an Underlying Stock in
a manner that could be adverse to your investment in the notes. On or before the applicable pricing date, any purchases or sales by us,
the agents and our respective affiliates, or others on our or their behalf (including those for the purpose of hedging some or all of
our anticipated exposure in connection with the notes), may increase the value of an Underlying Stock. Consequently, the value of that
Underlying Stock may decrease subsequent to the pricing date of an issue of the notes, adversely affecting the market value of the notes.
We,
the agents, or one or more of our respective affiliates expect to also engage in hedging activities that could increase the price of
an Underlying Stock on the applicable pricing date. In addition, these activities, including the unwinding of a hedge, may decrease the
market value of your notes prior to maturity, including on each Coupon Observation Date, Call Observation Date and on the calculation
day, and may adversely affect the payments on the notes. We, the agents, or one or more of our respective affiliates may purchase or
otherwise
acquire
a long or short position in the notes and may hold or resell the notes. For example, the agents may enter into these transactions in
connection with any market making activities in which they engage. We cannot assure you that these activities will not adversely affect
the price of any Underlying Stock, the market value of your notes prior to maturity, or the payments on the notes.
Our
trading, hedging and other business activities, and those of the agents or one or more of our respective affiliates, may create conflicts
of interest with you. We, the agents, or one or more of our respective affiliates may engage in trading activities related to an
Underlying Stock that are not for your account or on your behalf. We, the agents, or one or more of our respective affiliates also may
issue or underwrite other financial instruments with returns based upon the applicable Market Measure. In addition, in the ordinary course
of their business activities, the agents or their affiliates may hold and trade our or our affiliates’ debt and equity securities
(or related derivative securities) and financial instruments (including bank loans) for their own account and for the accounts of their
customers. Certain of the agents or their affiliates may also have a lending or other financial relationship with us. In order to hedge
such exposure, the agents or their affiliates may enter into transactions such as the purchase of credit default swaps or the creation
of short positions in our or our affiliates’ securities, including potentially the notes. Any such short positions could adversely
affect future trading prices of the notes. These trading and other business activities may present a conflict of interest between your
interest in the notes and the interests we, the agents and our respective affiliates may have in our proprietary accounts, in facilitating
transactions, including block trades, for our or their other customers, and in accounts under our or their management. These trading
and other business activities, if they influence the value of the Market Measure or secondary trading in your notes, could be adverse
to your interests as a beneficial owner of the notes.
We,
the agents, and our respective affiliates expect to enter into arrangements or adjust or close out existing transactions to hedge our
obligations under the notes. We, the agents, or our respective affiliates also may enter into hedging transactions relating to other
securities or instruments that we or they issue, some of which may have returns calculated in a manner related to that of a particular
issue of the notes. We may enter into such hedging arrangements with one or more of our subsidiaries or affiliates, or with one or more
of the agents or their affiliates. Such a party may enter into additional hedging transactions with other parties relating to the notes
and an Underlying Stock. This hedging activity is expected to result in a profit to those engaging in the hedging activity, which could
be more or less than initially expected, but could also result in a loss. We, the agents, and our respective affiliates will price these
hedging transactions with the intent to realize a profit, regardless of whether the value of the notes increases or decreases, whether
the notes will be automatically called or not, whether a Contingent Coupon Payment is payable or not, or whether the Redemption Amount
on the notes is more or less than the principal amount of the notes. Any profit in connection with such hedging activities will be in
addition to any other compensation that we, the agents, and our respective affiliates receive for the sale of the notes, which creates
an additional incentive to sell the notes to you.
There
may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.
We expect to appoint BofAS or one of its affiliates as the calculation agent for the notes and, as such, it will determine the Starting
Value, the Price Multiplier, the Threshold Value, the Call Value, the Coupon Value, each Observation Value, the Ending Value, whether
the Contingent Coupon Payments are payable, whether the notes will be called, and the Redemption Amount. As the calculation agent, BofAS
or one of its affiliates will have discretion in making various determinations that affect your notes. The exercise of this discretion
by the calculation agent could adversely affect the value of your notes and may present the calculation agent with a conflict of interest
of the
kind
described under “—Trading and hedging activities by us, the agents, and our respective affiliates may affect your return
on the notes and their market value” and “—Our trading, hedging and other business activities, and those of the agents
or one or more of our respective affiliates, may create conflicts of interest with you” above.
Market
Measure-related Risks
An
Underlying Company will have no obligations relating to the notes and we will not perform any due diligence procedures with respect to
any Underlying Company. An Underlying Company will not have any financial or legal obligation with respect to the notes or the amounts
to be paid to you, including any obligation to take our needs or the needs of holders of the notes into consideration for any reason,
including when taking any corporate actions that might adversely affect the value of an Underlying Stock or the value of the notes. An
Underlying Company will not receive any of the proceeds from any offering of the notes, and will not be responsible for, or participate
in, the offering of the notes. No Underlying Company will be responsible for, or participate in, the determination or calculation of
any payments on the notes.
None
of us, the agents, or our respective affiliates will conduct any due diligence inquiry with respect to any Underlying Stock or any Underlying
Company in connection with an offering of the notes. None of us, the agents, or our respective affiliates has made any independent investigation
as to the completeness or accuracy of publicly available information regarding any Underlying Stock or any Underlying Company or as to
the future performance of any Underlying Stock. Any prospective purchaser of the notes should undertake such independent investigation
of any Underlying Stock and any Underlying Company as in its judgment is appropriate to make an informed decision with respect to an
investment in the notes.
You
must rely on your own evaluation of the merits of an investment linked to any applicable Underlying Stock. In the ordinary course
of business, we, the agents, and our respective affiliates may have expressed views on expected movements in an Underlying Stock, and
may do so in the future. These views or reports may be communicated to our clients and clients of these entities. However, these views
are subject to change from time to time. Moreover, other professionals who deal in markets relating to any Underlying Stock may at any
time have significantly different views from our views and the views of these entities. For these reasons, you are encouraged to derive
information concerning an Underlying Stock from multiple sources, and you should not rely on our views or the views expressed by these
entities.
As
a holder of the notes, you will have no rights to receive any shares of any Underlying Stock, and you will not be entitled to receive
dividends or other distributions by any Underlying Company. The notes are our debt securities. They are not equity instruments, shares
of stock, or securities of any other issuer. Investing in the notes will not make you a holder of any Underlying Stock. You will not
have any voting rights, any rights to receive dividends or other distributions, or any other rights with respect to any Underlying Stock.
As a result, the return on your notes may not reflect the return you would realize if you actually owned shares of an Underlying Stock
and received the dividends paid or other distributions made in connection with them. Your notes will be paid in cash and you have no
right to receive any shares of an Underlying Stock.
If
shares of an Underlying Company are also listed on a foreign exchange, your return may be affected by factors affecting international
securities markets. The value of securities traded outside of the U.S. may be adversely affected by a variety of factors relating
to
the
relevant securities markets. Factors which could affect those markets, and therefore the return on your notes, include:
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Market
Liquidity and Volatility. The relevant foreign securities markets may be less liquid
and/or more volatile than U.S. or other securities markets and may be affected by market
developments in different ways than U.S. or other securities markets.
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Political,
Economic, and Other Factors. The prices and performance of securities of companies in
foreign countries may be affected by political, economic, financial, and social factors in
those regions. Direct or indirect government intervention to stabilize a particular securities
market and cross-shareholdings in companies in the relevant foreign markets may affect prices
and the volume of trading in those markets. In addition, recent or future changes in government,
economic, and fiscal policies in the relevant jurisdictions, the possible imposition of,
or changes in, currency exchange laws, or other laws or restrictions, and possible fluctuations
in the rate of exchange between currencies, are factors that could adversely affect the relevant
securities markets. The relevant foreign economies may differ from the U.S. economy in economic
factors such as growth of gross national product, rate of inflation, capital reinvestment,
resources, and self-sufficiency.
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In
particular, many emerging nations are undergoing rapid change, involving the restructuring of economic, political, financial and legal
systems. Regulatory and tax environments may be subject to change without review or appeal, and many emerging markets suffer from underdevelopment
of capital markets and tax systems. In addition, in some of these nations, issuers of the relevant securities face the threat of expropriation
of their assets, and/or nationalization of their businesses. The economic and financial data about some of these countries may be unreliable.
Additionally, the accounting, auditing and financial reporting standards and requirements applicable to companies in foreign countries
may differ from those applicable to U.S. reporting companies.
We,
the agents and our respective affiliates do not control any Underlying Company and have not verified any disclosure made by any Underlying
Company. We, the agents, or our respective affiliates currently, or in the future, may engage in business with any Underlying Company,
and we, the agents or our respective affiliates may from time to time own securities of any Underlying Company. However, none of us,
the agents, or any of our respective affiliates has the ability to control the actions of any Underlying Company or has undertaken any
independent review of, or made any due diligence inquiry with respect to, any Underlying Stock or Underlying Company. Any information
in the term sheet regarding an Underlying Stock and an Underlying Company is derived from publicly available information. You should
make your own investigation into any Underlying Stock and any Underlying Company.
Our
business activities and those of the agents relating to any Underlying Company or the notes may create conflicts of interest with you.
We, the agents, and our respective affiliates, at the time of any offering of the notes or in the future, may engage in business
with any Underlying Company, including making loans to, equity investments in, or providing investment banking, asset management, or
other services to that company, its affiliates, and its competitors.
In
connection with these activities, any of these entities may receive information about those companies that we will not divulge to you
or other third parties. We, the agents, and our respective affiliates have published, and in the future may publish, research reports
on one or more of these companies. The agents may also publish research reports relating to our or our
affiliates’
securities, including the notes. This research is modified from time to time without notice and may express opinions or provide recommendations
that are inconsistent with purchasing or holding your notes. Any of these activities may adversely affect the price of any Underlying
Stock and, consequently, the market value of your notes. None of us, the agents, or any of our respective affiliates makes any representation
to any purchasers of the notes regarding any matters whatsoever relating to any Underlying Stock or any Underlying Company. Any prospective
purchaser of the notes should undertake an independent investigation into any Underlying Stock and any Underlying Company as in its judgment,
is appropriate to make an informed decision with respect to an investment in the notes. The selection of an Underlying Stock does not
reflect any investment recommendations from us, the agents, or our respective affiliates.
The
payment on the notes will not be adjusted for all corporate events that could affect an Underlying Company. The
Price Multiplier(s), the Observation Values, the Ending Value, the amount payable on the notes, and other terms of the notes may be adjusted
for the specified corporate events affecting an Underlying Stock, as described in the section entitled “Description of the Notes—Anti-Dilution
Adjustments.” However, these adjustments do not cover all corporate events that could affect the market price of an Underlying
Stock, such as offerings of common shares for cash or in connection with certain acquisition transactions. The occurrence of any event
that does not require the calculation agent to adjust the applicable Price Multiplier or other terms of the notes may adversely affect
the Closing Market Price of an Underlying Stock, an Observation Value, the Ending Value and the amount payable on the notes, and, as
a result, the market value of the notes.
Risks
Relating to Underlying Stocks that Are ADRs
The
value of an ADR may not accurately track the value of the common shares of the related Underlying Company. If an Underlying Stock
is an ADR, each ADR will represent shares of the relevant Underlying Company. Generally, the ADRs are issued under a deposit agreement
that sets forth the rights and responsibilities of the depositary, the Underlying Company and the holders of the ADRs. The trading patterns
of the ADRs will generally reflect the characteristics and valuations of the underlying common shares; however, the value of the ADRs
may not completely track the value of those shares. There are important differences between the rights of holders of ADRs and the rights
of holders of the underlying common shares. In addition, trading volume and pricing on the applicable non-U.S. exchange may, but will
not necessarily, have similar characteristics as the ADRs. For example, certain factors may increase or decrease the public float of
the ADRs and, as a result, the ADRs may have less liquidity or lower market value than the underlying common shares.
Exchange
rate movements may adversely impact the value of an Underlying Stock that is an ADR. If an Underlying Stock is an ADR, the market
price of that Underlying Stock will generally track the U.S. dollar value of the market price of its underlying common shares. Therefore,
if the value of the related foreign currency in which the underlying common shares are traded decreases relative to the U.S. dollar,
the market price of that Underlying Stock may decrease while the market price of its underlying common shares remains stable or increases,
or does not decrease to the same extent. As a result, changes in, and the volatility of, the exchange rates between the U.S. dollar and
the relevant non-U.S. currency could have an adverse impact on the value of that Underlying Stock and consequently, the value of your
notes and the amount payable on the notes.
Adverse
trading conditions in the applicable non-U.S. market may negatively affect the value of an Underlying Stock that is an ADR. Holders
of an Underlying Company’s ADRs may usually surrender the ADRs in order to receive and trade the underlying common shares. This
provision permits investors in the ADRs to take advantage of price
differentials
between markets. However, this provision may also cause the market prices of the applicable Underlying Stock to more closely correspond
with the values of the common shares in the applicable non-U.S. markets. As a result, a market outside of the United States for the underlying
common shares that is not liquid may also result in an illiquid market for the ADRs, which may negatively impact the value of such ADRs
and, consequently, the value of your notes.
Delisting
of an Underlying Stock that is an ADR may adversely affect the value of the notes. If an Underlying Stock that is an ADR is no longer
listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act or included in the Over-The-Counter Bulletin
Board Service (the “OTC Bulletin Board”) operated by the Financial Industry Regulatory Authority, Inc. (“FINRA”),
or if the ADR facility between the Underlying Company and the ADR depositary is terminated for any reason, the Market Measure for the
notes will be deemed to be the Underlying Company’s common equity securities rather than the ADRs, and the calculation agent will
determine the price of the Market Measure by reference to those common shares, as described below under “Description of the Notes—Delisting
of ADRs or Termination of ADR Facility.” Replacing the original ADRs with the underlying common shares may adversely affect the
value of the notes and the amount payable on the notes.
Other
Risk Factors Relating to an Underlying Stock
The
applicable term sheet may set forth additional risk factors as to an Underlying Stock that you should review prior to purchasing the
notes.
Tax-related
Risks
The
U.S. federal income tax consequences of an investment in the notes are uncertain, and may be adverse to a holder of the notes. No
statutory, judicial, or administrative authority directly addresses the characterization of the notes or securities similar to the notes
for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment in
the notes are not certain. Under the terms of the notes, you will have agreed with us to treat the notes as pre-paid cash settled derivative
contracts, as described under “U.S. Federal Income Tax Summary.” If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative characterization for the notes, the timing and character of gain or loss with respect to
the notes may differ. No ruling will be requested from the IRS with respect to the notes and no assurance can be given that the IRS will
agree with the statements made in the section entitled “U.S. Federal Income Tax Summary.”
You
are urged to consult with your own tax advisor regarding all aspects of the U.S. federal income tax consequences of investing in the
notes.
DESCRIPTION
OF the notes
General
Each
issue of the notes will be part of a series of medium-term notes entitled “Senior Global Medium-Term Notes” that will be
issued under the indenture, as amended and supplemented from time to time. The indenture is described more fully in the prospectus and
prospectus supplement. The following description of the notes supplements and, to the extent it is inconsistent with, supersedes the
description of the general terms and provisions of the notes and debt securities set forth under the headings “Description of the
Notes We May Offer” in the prospectus supplement and “Description of Senior Debt Securities” in the prospectus. These
documents should be read in connection with the applicable term sheet.
The
maturity date of the notes and the aggregate principal amount of each issue of the notes will be stated in the applicable term sheet.
If any scheduled Coupon Payment Date, Call Settlement Date or the scheduled maturity date is not a business day, we will make the required
payment on the next business day, and no interest will accrue as a result of such delay.
“Business
day” means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a legal holiday nor a day on which banking institutions
are authorized or required by law or executive order to close in New York City.
The
notes do not guarantee the return of principal at maturity. The notes will be payable only in U.S. dollars. Unless automatically called
prior to the maturity date, the notes will mature on the date set forth in the applicable term sheet. Prior to the maturity date, the
notes are not redeemable at our option, except under the limited circumstances as set forth below in “—Anti-Dilution Adjustments—Reorganization
Events,” or repayable at the option of any holder. The notes are not subject to any sinking fund. The notes are not subject to
the defeasance provisions described in the section “Description of Senior Debt Securities—Defeasance” beginning on
page 8 of the accompanying prospectus.
We
will issue the notes in denominations of whole units. Unless otherwise set forth in the applicable term sheet, each unit will have a
principal amount of $10. The CUSIP number for each issue of the notes will be set forth in the applicable term sheet. You may transfer
the notes only in whole units.
Automatic
Call
Your
notes will be automatically called in whole prior to maturity if the Observation Value of the Market Measure on any Call Observation
Date is greater than or equal to its Call Value. If the notes are called, the Call Amount will be paid on the applicable Call Settlement
Date and the notes will cease to be outstanding.
With
respect to the notes:
The
“Call Value” will be specified in the applicable term sheet and will be a percentage of the Starting Value of the
Market Measure.
The
“Call Amount” will equal the principal amount plus any Coupon otherwise due on the applicable Call Settlement
Date.
The
“Call Observation Dates” will be specified in the applicable term sheet, subject to postponement if a Market Disruption
Event or non-Trading Day occurs.
The
“Call Settlement Dates” will be specified in the applicable term sheet.
Coupon
Feature
The
applicable term sheet will indicate the Coupon Feature applicable to the notes. The following is a summary of the Coupon Features we
may offer on the notes:
Contingent
Coupon Payments
Contingent
Coupon Payments are coupons which are payable if the Observation Value of the Market Measure on the applicable Coupon Observation Date
is greater than or equal to its Coupon Value. If a Contingent Coupon Payment is payable, it will be paid on the related Coupon Payment
Date. The amount of each Contingent Coupon Payment will be specified in the applicable term sheet.
Contingent
Coupon Payments (with Memory)
Contingent
Coupon Payments (with Memory) are coupons which are payable if the Observation Value of the Market Measure on the applicable Coupon Observation
Date is greater than or equal to its Coupon Value. If a Contingent Coupon Payment is payable, it will be paid on the related Coupon Payment
Date. If any Contingent Coupon Payment is not payable on a Coupon Payment Date because the Observation Value of the Market Measure on
the applicable Coupon Observation Date is less than its Coupon Value, such missed Contingent Coupon Payment(s) will be payable on the
next subsequent Coupon Payment Date that a Contingent Coupon Payment is payable with respect to such date, if any. The amount of the
Contingent Coupon Payment (with Memory) applicable to a single Coupon Payment Date will be specified in the applicable term sheet.
The
Contingent Coupon Payment (with Memory) payable on any Coupon Payment Date will be calculated according to the following formula:
(i)
the product of the Contingent Coupon Payment (with Memory) applicable to a single Coupon Payment Date times the number
of Coupon Payment Dates that have occurred up to the relevant Coupon Payment Date (inclusive of the relevant Coupon Payment Date) minus
(ii) the sum of all Contingent Coupon Payments (with Memory) previously paid.
Regardless
of which Coupon Feature applies to the notes:
The
“Coupon Value” will be specified in the applicable term sheet and will be a percentage of the Starting Value of the
Market Measure.
The
“Coupon Observation Dates” will be specified in the applicable term sheet, subject to postponement if a Market Disruption
Event or non-Trading Day occurs.
The
“Coupon Payment Dates” will be specified in the applicable term sheet.
Unless
otherwise specified in the applicable term sheet, for so long as the notes are held in book-entry form only, we will pay any Contingent
Coupon Payments to the persons in whose names the notes are registered at the close of business one business day prior to the relevant
Coupon Payment Date.
Notwithstanding
the foregoing, the final Contingent Coupon Payment and the Call Amount or the Redemption Amount, as applicable, will be paid to the person
in whose names the notes are registered on the applicable Call Settlement Date or the maturity date.
Payment
at Maturity
If
the notes are not called, at maturity, subject to our credit risk as issuer of the notes, in addition to the final Contingent Coupon
Payment, if payable, you will receive a Redemption Amount, denominated in U.S. dollars. Unless otherwise specified in the applicable
term sheet, the “Redemption Amount” will be calculated as follows:
·
If the Ending
Value is greater than or equal to the Threshold Value, then the Redemption Amount will equal the principal amount.
·
If the Ending Value is less than
the Threshold Value, then the Redemption Amount will equal:
The
Redemption Amount will not be less than zero.
You
may lose all or a significant portion of the principal amount of the notes if the notes are not called and the Ending Value is less than
the Threshold Value. Even with any Contingent Coupon Payments, the return on the notes could be negative.
The
“Threshold Value” will be a value of the Market Measure that equals a specified percentage of the Starting Value,
which will be less than or equal to 100%. The Threshold Value will be determined on the pricing date and set forth in the applicable
term sheet. If the Threshold Value is equal to 100% of the Starting Value, then the Redemption Amount for the notes will be less than
the principal amount if the notes are not called and there is any decrease in the value of the Market Measure from the Starting Value
to the Ending Value, and you may lose all of your investment in the notes.
Each
term sheet will provide examples of hypothetical Contingent Coupon Payments and Redemption Amounts, as applicable, based on certain hypothetical
Observation Values and Ending Values.
The
applicable term sheet will set forth information as to the specific Market Measure, including information as to the historical prices
of the Underlying Stock or Underlying Stocks. However, historical prices of any Underlying Stock are not indicative of its future performance
or the performance of your notes.
An
investment in the notes does not entitle you to any ownership interest in or any other rights with respect to the Underlying Stock, including
any voting rights, dividends paid or other distributions made by any Underlying Company.
The
Starting Value, the Observation Value and the Ending Value
Starting
Value
Unless
otherwise specified in the applicable term sheet, the “Starting Value” will be the price of the Underlying Stock on
the pricing date, determined as set forth in the applicable term sheet.
If
the Market Measure consists of a Basket, the Starting Value will be equal to 100. See “—Basket Market Measures.”
Observation
Value
Unless
otherwise specified in the term sheet, the “Observation Value” will equal the Closing Market Price of the Underlying
Stock on the relevant Coupon Observation Date or Call Observation Date multiplied by its Price Multiplier on that day.
If
the Market Measure consists of a Basket, the Observation Value will be determined as described in “—Basket Market Measures—Observation
Value or Ending Value of the Basket.”
If
a scheduled Coupon Observation Date (other than the final Coupon Observation Date) or Call Observation Date is determined by the calculation
agent not to be a Trading Day (as defined below) by reason of an extraordinary event, occurrence, declaration or otherwise, or, if there
is a Market Disruption Event on that day, the applicable Coupon Observation Date or Call Observation Date will be the immediately succeeding
Trading Day during which no Market Disruption Event occurs or is continuing; provided that the Observation Value will not be determined
on a date later than the fifth scheduled Trading Day after the scheduled Coupon Observation Date or Call Observation Date, and if such
date is not a Trading Day, or if there is a Market Disruption Event on that date, the calculation agent will determine (or, if not determinable,
estimate) the Observation Value in a manner which the calculation agent considers commercially reasonable under the circumstances on
that fifth scheduled Trading Day.
If,
due to a Market Disruption Event or otherwise, a scheduled Coupon Observation Date (other than the final Coupon Observation Date) or
Call Observation Date is postponed, the applicable Coupon Payment Date or Call Settlement Date, as applicable, will be approximately
the fifth business day following the Coupon Observation Date or Call Observation Date as postponed, unless otherwise specified in the
applicable term sheet.
Notwithstanding
the foregoing, if the scheduled final Coupon Observation Date is determined by the calculation agent not to be a Trading Day by reason
of an extraordinary event, occurrence, declaration or otherwise, or, if there is a Market Disruption Event on that day, such Coupon Observation
Date will be postponed, and the Closing Market Price of the applicable Underlying Stock for such Coupon Observation Date will be determined
as described under “—Ending Value” below.
For
the avoidance of doubt, if your notes are linked to more than one Underlying Stock, the occurrence of a Market Disruption Event or non-Trading
Day as to any Underlying Stock will not impact any other Underlying Stock that is not so affected.
Ending
Value
Unless
otherwise specified in the applicable term sheet, the “Ending Value” will equal the Closing Market Price of the Underlying
Stock on the calculation day multiplied by its Price Multiplier on that day.
The
“calculation day” means a Trading Day shortly before the maturity date. The calculation day will be set forth in the
applicable term sheet.
A
“Trading Day” means a day on which trading is generally conducted (or was scheduled to have been generally conducted,
but for the occurrence of a Market Disruption Event) on the New York Stock Exchange (the “NYSE”), The Nasdaq Stock
Market, the Chicago Board Options Exchange, and in the over-the-counter market for equity securities in the United States, or any successor
exchange or market, or in the case of a security traded on one or more non-U.S. securities exchanges or markets, on the principal non-U.S.
securities exchange or market for such security.
The
“Closing Market Price” for one share of any Underlying Stock (or one unit of any other security for which a Closing
Market Price must be determined) on any Trading Day means any of the following:
|
·
|
if
the Underlying Stock (or such other security) is listed or admitted to trading on a national
securities exchange, the last reported sale price, regular way (or, in the case of The Nasdaq
Stock Market, the official closing price), of the principal trading session on that day on
the principal U.S. securities exchange registered under the Exchange Act on which the Underlying
Stock (or such other security) is listed or admitted to trading;
|
|
·
|
if
the Underlying Stock (or such other security) is not listed or admitted to trading on any
national securities exchange but is included in the OTC Bulletin Board, the last reported
sale price of the principal trading session on the OTC Bulletin Board on that day;
|
|
·
|
if
the Underlying Stock (or such other security) is issued by a foreign issuer and its closing
price cannot be determined as set forth in the two bullet points above, and the Underlying
Stock (or such other security) is listed or admitted to trading on a non-U.S. securities
exchange or market, the last reported sale price, regular way, of the principal trading session
on that day on the primary non-U.S. securities exchange or market on which the Underlying
Stock (or such other security) is listed or admitted to trading (converted to U.S. dollars
using such exchange rate as the calculation agent, in its sole discretion, determines to
be commercially reasonable); or
|
|
·
|
if
the Closing Market Price cannot be determined as set forth in the prior bullets, the mean,
as determined by the calculation agent, of the bid prices for the Underlying Stock (or such
other security) obtained from as many dealers in that security (which may include us, BofAS
and/or any of our respective affiliates), but not exceeding three, as will make the bid prices
available to the calculation agent. If no such bid price can be obtained, the Closing Market
Price will be determined (or, if not determinable, estimated) by the calculation agent in
its sole discretion in a commercially reasonable manner.
|
If,
with respect to an Underlying Stock, the scheduled calculation day is determined by the calculation agent not to be a Trading Day by
reason of an extraordinary event, occurrence, declaration or otherwise, or, if there is a Market Disruption Event on that day, the calculation
day
will be the immediately succeeding Trading Day during which no Market Disruption Event occurs or is continuing; provided that the Ending
Value will be determined (or, if not determinable, estimated) by the calculation agent in a manner which the calculation agent considers
commercially reasonable on a date no later than the second scheduled Trading Day prior to the maturity date, regardless of the occurrence
of a Market Disruption Event or non-Trading Day on that day.
The
initial “Price Multiplier” for each Underlying Stock will be 1, unless otherwise set forth in the applicable term
sheet. The Price Multiplier for each Underlying Stock will be subject to adjustment for certain corporate events relating to that Underlying
Stock described below under “—Anti-Dilution Adjustments.”
If
the Market Measure consists of a Basket, the Ending Value of the Basket will be determined as described in “—Basket Market
Measures—Observation Value or Ending Value of the Basket.”
For
the avoidance of doubt, if your notes are linked to more than one Underlying Stock, the occurrence of a Market Disruption Event or non-Trading
Day as to any Underlying Stock will not impact any other Underlying Stock that is not so affected.
Market
Disruption Events
As
to any Underlying Stock (or any “successor Underlying Stock”, which is the common equity securities or the ADRs of
a Successor Entity (as defined below)), a “Market Disruption Event” means any one or more of the following events,
as determined by the calculation agent in its sole discretion:
|
(A)
|
the
suspension of or material limitation on trading, in each case, for more than two consecutive
hours of trading, or during the one-half hour period preceding the close of trading, of the
shares of the Underlying Stock (or the successor Underlying Stock) on the primary exchange
where such shares trade, as determined by the calculation agent (without taking into account
any extended or after-hours trading session); and
|
|
(B)
|
the
suspension of or material limitation on trading, in each case, for more than two consecutive
hours of trading, or during the one-half hour period preceding the close of trading, on the
primary exchange that trades options contracts or futures contracts related to the shares
of the Underlying Stock (or the successor Underlying Stock) as determined by the calculation
agent (without taking into account any extended or after-hours trading session), in options
contracts or futures contracts related to the shares of the Underlying Stock (or the successor
Underlying Stock).
|
For
the purpose of determining whether a Market Disruption Event has occurred:
|
(1)
|
a
limitation on the hours in a Trading Day and/or number of days of trading will not constitute
a Market Disruption Event if it results from an announced change in the regular business
hours of the relevant exchange;
|
|
(2)
|
a
decision to permanently discontinue trading in the shares of the Underlying Stock (or the
successor Underlying Stock) or the relevant futures or options contracts relating to such
shares will not constitute a Market Disruption Event;
|
|
(3)
|
a
suspension in trading in a futures or options contract on the shares of the Underlying Stock
(or the successor Underlying Stock), by a major securities market by reason of (a) a price
change violating limits set by that securities
|
market,
(b) an imbalance of orders relating to those contracts, or (c) a disparity in bid and ask quotes relating to those contracts, will each
constitute a suspension of or material limitation on trading in futures or options contracts relating to the Underlying Stock;
|
(4)
|
subject
to paragraph (3) above, a suspension of or material limitation on trading on the relevant
exchange will not include any time when that exchange is closed for trading under ordinary
circumstances; and
|
|
(5)
|
for
the purpose of clause (A) above, any limitations on trading during significant market fluctuations
under NYSE Rule 80B, or any applicable rule or regulation enacted or promulgated by the NYSE
or any other self-regulatory organization or the SEC of similar scope as determined by the
calculation agent, will be considered “material.”
|
Anti-Dilution
Adjustments
As
to any Underlying Stock (or successor Underlying Stock), the calculation agent, in its sole discretion, may adjust the Price Multiplier
(and as a result, the Observation Values or Ending Value), and any other terms of the notes (such as the Starting Value), if an event
described below occurs after the pricing date and on or before the calculation day and if the calculation agent determines that such
event has a diluting or concentrative effect on the theoretical value of the shares of the Underlying Stock (or the successor Underlying
Stock).
The
Price Multiplier for an Underlying Stock resulting from any of the adjustments specified below will be rounded to the eighth decimal
place with five one-billionths being rounded upward. No adjustments to the Price Multiplier will be required unless the adjustment would
require a change of at least 0.1% in the Price Multiplier then in effect. Any adjustment that would require a change of less than 0.1%
in the Price Multiplier which is not applied at the time of the event may be reflected at the time of any subsequent adjustment that
would require a change of the Price Multiplier. The required adjustments specified below do not cover all events that could affect an
Underlying Stock.
No
adjustments to the Price Multiplier for any Underlying Stock or any other terms of the notes will be required other than those specified
below. However, the calculation agent may, at its sole discretion, make additional adjustments or adjustments that differ from those
described herein to the Price Multiplier or any other terms of the notes to reflect changes to any Underlying Stock if the calculation
agent determines that the adjustment is appropriate to ensure an equitable result.
The
calculation agent will be solely responsible for the determination of any adjustments to the Price Multiplier for any Underlying Stock
or any other terms of the notes and of any related determinations with respect to any distributions of stock, other securities or other
property or assets, including cash, in connection with any corporate event described below; its determinations and calculations will
be conclusive absent a determination of a manifest error.
No
adjustments are required to be made for certain other events, such as offerings of common equity securities by any Underlying Company
for cash or in connection with the occurrence of a partial tender or exchange offer for any Underlying Stock by the Underlying Company.
Following
an event that results in an adjustment to the Price Multiplier for any Underlying Stock or any of the other terms of the notes, the calculation
agent may (but is not
required
to) provide holders of the notes with information about that adjustment as it deems appropriate, depending on the nature of the adjustment.
Upon written request by any holder of the notes, the calculation agent will provide that holder with information about such adjustment.
Anti-Dilution
Adjustments to Underlying Stocks that Are Common Equity
The
calculation agent, in its sole discretion and as it deems reasonable, may adjust the Price Multiplier for any Underlying Stock and other
terms of the notes, and hence the Observation Values or Ending Value, as a result of certain events related to an Underlying Stock, which
include, but are not limited to, the following:
Stock
Splits and Reverse Stock Splits. If an Underlying Stock is subject to a stock split or reverse stock
split, then once such split has become effective, the Price Multiplier for that Underlying Stock will be adjusted such that the new Price
Multiplier will equal the product of:
|
·
|
the
prior Price Multiplier; and
|
|
·
|
the
number of shares that a holder of one share of the Underlying Stock before the effective
date of the stock split or reverse stock split would have owned immediately following the
applicable effective date.
|
For
example, a two-for-one stock split would ordinarily change a Price Multiplier of one into a Price Multiplier of two. In contrast, a one-for-two
reverse stock split would ordinarily change a Price Multiplier of one into a Price Multiplier of one-half.
Stock
Dividends. If an Underlying Stock is subject to (i) a stock dividend (i.e., an issuance of additional
shares of Underlying Stock) that is given ratably to all holders of the Underlying Stock or (ii) a distribution of additional shares
of the Underlying Stock as a result of the triggering of any provision of the organizational documents of the Underlying Company, then,
once the dividend has become effective and the Underlying Stock is trading ex-dividend, the Price Multiplier for that Underlying Stock
will be adjusted on the ex-dividend date such that the new Price Multiplier will equal the prior Price Multiplier plus the
product of:
|
·
|
the
prior Price Multiplier; and
|
|
·
|
the
number of additional shares issued in the stock dividend with respect to one share of the
Underlying Stock;
|
provided
that no adjustment will be made for a stock dividend for which the number of shares of the Underlying Stock paid or distributed is based
on a fixed cash equivalent value, unless such distribution is an Extraordinary Dividend (as defined below).
For
example, a stock dividend of one new share for each share held would ordinarily change a Price Multiplier of one into a Price Multiplier
of two.
Extraordinary
Dividends. There will be no adjustments to the Price Multiplier of an Underlying Stock to reflect any
cash dividends or cash distributions paid with respect to that Underlying Stock other than Extraordinary Dividends, as described below,
and distributions described under the section entitled “—Reorganization Events” below.
An
“Extraordinary Dividend” means, with respect to a cash dividend or other distribution with respect to an Underlying
Stock, a dividend or other distribution that the calculation agent determines, in its sole discretion, is not declared or otherwise made
according
to
the Underlying Company’s then existing policy or practice of paying such dividends on a quarterly or other regular basis. If an
Extraordinary Dividend occurs, the Price Multiplier for that Underlying Stock will be adjusted on the ex-dividend date so that the new
Price Multiplier will equal the product of:
|
·
|
the
prior Price Multiplier; and
|
|
·
|
a
fraction, the numerator of which is the Closing Market Price per share of the Underlying
Stock on the Trading Day preceding the ex-dividend date and the denominator of which is the
amount by which the Closing Market Price per share of the Underlying Stock on that preceding
Trading Day exceeds the Extraordinary Dividend Amount.
|
The
“Extraordinary Dividend Amount” with respect to an Extraordinary Dividend will equal:
|
·
|
in
the case of cash dividends or other distributions that constitute regular dividends, the
amount per share of the Underlying Stock of that Extraordinary Dividend minus the amount
per share of the immediately preceding non-Extraordinary Dividend for that share; or
|
|
·
|
in
the case of cash dividends or other distributions that do not constitute regular dividends,
the amount per share of the Underlying Stock of that Extraordinary Dividend.
|
To
the extent an Extraordinary Dividend is not paid in cash, the value of the non-cash component will be determined by the calculation agent,
whose determination will be conclusive. A distribution on the Underlying Stock described in the section “—Issuance
of Transferable Rights or Warrants” or clause (a), (d) or (e) of the section entitled “—Reorganization Events”
below that also constitutes an Extraordinary Dividend will only cause an adjustment under those respective sections.
Issuance
of Transferable Rights or Warrants. If an Underlying Company issues transferable rights or warrants
to all holders of record of the Underlying Stock to subscribe for or purchase the Underlying Stock, including new or existing rights
to purchase the Underlying Stock under a shareholder rights plan or arrangement, then the Price Multiplier will be adjusted on the Trading
Day immediately following the issuance of those transferable rights or warrants so that the new Price Multiplier will equal the prior
Price Multiplier plus the product of:
|
·
|
the
prior Price Multiplier; and
|
|
·
|
the
number of shares of the Underlying Stock that can be purchased with the cash value of those
warrants or rights distributed on one share of the Underlying Stock.
|
The
number of shares that can be purchased will be based on the Closing Market Price of the Underlying Stock on the date the new Price Multiplier
is determined. The cash value of those warrants or rights, if the warrants or rights are traded on a registered national securities exchange,
will equal the closing price of that warrant or right. If the warrants or rights are not traded on a registered national securities exchange,
the cash value will be determined by the calculation agent and will equal the average of the bid prices obtained from three dealers at
3:00 p.m., New York time on the date the new Price Multiplier is determined, provided that if only two of those bid prices are available,
then the cash value of those warrants or rights will
equal
the average of those bids and if only one of those bids is available, then the cash value of those warrants or rights will equal that
bid.
Reorganization
Events
If
after the pricing date and on or prior to the calculation day, as to any Underlying Stock:
|
(a)
|
there
occurs any reclassification or change of the Underlying Stock, including, without limitation, as a result of the issuance of tracking
stock by the Underlying Company;
|
|
(b)
|
the
Underlying Company, or any surviving entity or subsequent surviving entity of the Underlying Company (a “Successor Entity”),
has been subject to a merger, combination, or consolidation and is not the surviving entity;
|
|
(c)
|
any
statutory exchange of securities of the Underlying Company or any Successor Entity with another corporation occurs, other than under
clause (b) above;
|
|
(d)
|
the
Underlying Company is liquidated or is subject to a proceeding under any applicable bankruptcy, insolvency, or other similar law;
|
|
(e)
|
the
Underlying Company issues to all of its shareholders securities of an issuer other than the Underlying Company, including equity
securities of an affiliate of the Underlying Company, other than in a transaction described in clauses (b), (c), or (d) above;
|
|
(f)
|
a
tender or exchange offer or going-private transaction is consummated for all the outstanding shares of the Underlying Company;
|
|
(g)
|
there
occurs any reclassification or change of the Underlying Stock that results in a transfer or an irrevocable commitment to transfer
all such outstanding shares of the Underlying Stock to another entity or person;
|
|
(h)
|
the
Underlying Company or any Successor Entity is the surviving entity of a merger, combination, or consolidation, that results in the
outstanding Underlying Stock (other than Underlying Stock owned or controlled by the other party to such transaction) immediately
prior to such event collectively representing less than 50% of the outstanding Underlying Stock immediately following such event;
or
|
|
(i)
|
the
Underlying Company ceases to file the financial and other information with the SEC in accordance with Section 13(a) of the Exchange
Act
|
(an
event in clauses (a) through (i), a “Reorganization Event”), then, on or after the date of the occurrence of a Reorganization
Event, the calculation agent shall, in its sole discretion, make an adjustment to the Price Multiplier, to the method of determining
the Redemption Amount, or to any other terms of the notes as the calculation agent, in its sole discretion, determines appropriate to
account for the economic effect on the notes of that Reorganization Event (including adjustments to account for changes in volatility,
expected dividends, stock loan rate, or liquidity relevant to the Underlying Stock or to the notes), which may, but need not, be determined
by reference to the adjustment(s) made in respect of such Reorganization Event by
an
options exchange to options on the relevant Underlying Stock traded on that options exchange and determine the effective date of that
adjustment. If the calculation agent determines that no adjustment that it could make will produce a commercially reasonable result,
then the calculation agent may cause the maturity date of the notes to be accelerated to the fifth business day following the date of
that determination and the Redemption Amount payable to you will be calculated as though the date of acceleration were the stated maturity
date of the notes and as if the calculation day were the fifth Trading Day prior to the date of acceleration. In addition, the notes
will not bear a default interest rate.
If
the Underlying Company ceases to file the financial and other information with the SEC in accordance with Section 13(a) of the Exchange
Act, as contemplated by clause (i) above, and the calculation agent determines in its sole discretion that sufficiently similar information
is not otherwise available to you, then the calculation agent may cause the maturity date of the notes to be accelerated to the fifth
business day following the date of that determination and the Redemption Amount payable to you will be calculated as though the date
of acceleration were the stated maturity date of the notes and as if the calculation day were the fifth Trading Day prior to the date
of acceleration. In addition, the notes will not bear a default interest rate. If the calculation agent determines that sufficiently
similar information is available to you, the Reorganization Event will be deemed to have not occurred.
Alternative
Anti-Dilution and Reorganization Adjustments
The
calculation agent may elect at its discretion not to make any of the adjustments to the Price Multiplier for any Underlying Stock or
to any other terms of the notes, including the method of determining payments under the notes, described in this section, but may instead
make adjustments, in its discretion, to the Price Multiplier for any Underlying Stock or any other terms of the notes (such as the Starting
Value) that will reflect the adjustments to the extent practicable made by the Options Clearing Corporation on options contracts on an
Underlying Stock or any successor common stock. For example, if an Underlying Stock is subject to a two-for-one stock split, and the
Options Clearing Corporation adjusts the strike prices of the options contract on that Underlying Stock by dividing the strike price
by two, then the calculation agent may also elect to divide the Starting Value by two. In this case, the Price Multiplier will remain
one. This adjustment would have the same economic effect on holders of the notes as if the Price Multiplier had been adjusted.
Anti-Dilution
Adjustments to Underlying Stocks that Are ADRs
For
purposes of the anti-dilution adjustments set forth above, if an Underlying Stock is an ADR (an “Underlying ADR”),
the calculation agent will consider the effect of any of the relevant events on the Underlying ADR, and adjustments will be made as if
the Underlying ADR was the Underlying Stock described above. For example, if the stock represented by the Underlying ADR is subject to
a two-for-one stock split, and assuming an initial Price Multiplier of 1, the Price Multiplier for the Underlying ADR would be adjusted
so that it equals two. Unless otherwise specified in the applicable term sheet, with respect to the notes linked to an Underlying ADR
(or an Underlying Stock issued by a non-U.S. Underlying Company), the term “dividend” means the dividends paid to holders
of the Underlying ADR (or the Underlying Stock issued by the non-U.S. Underlying Company), and such dividends may reflect the netting
of any applicable foreign withholding or similar taxes that may be due on dividends paid to a U.S. person.
The
calculation agent may determine not to make an adjustment if:
|
(A)
|
holders
of the Underlying ADR are not eligible to participate in any of the events that would otherwise
require anti-dilution adjustments as set forth above if the
|
notes
had been linked directly to the common shares of the Underlying Company represented by the Underlying ADR; or
|
(B)
|
to
the extent that the calculation agent determines that the Underlying Company or the depositary
for the ADRs has adjusted the number of common shares of the Underlying Company represented
by each share of the Underlying ADR, so that the market price of the Underlying ADR would
not be affected by the corporate event.
|
If
the Underlying Company or the depositary for the ADRs, in the absence of any of the events described above, elects to adjust the number
of common shares of the Underlying Company represented by each share of the Underlying ADR, then the calculation agent may make the appropriate
anti-dilution adjustments to reflect such change. The depositary for the ADRs may also make adjustments in respect of the ADRs for share
distributions, rights distributions, cash distributions and distributions other than shares, rights, and cash. Upon any such adjustment
by the depositary, the calculation agent may adjust the Price Multiplier or other terms of the notes as the calculation agent determines
commercially reasonable to account for that event.
Delisting
of ADRs or Termination of ADR Facility
If
an Underlying ADR is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act or included
in the OTC Bulletin Board operated by FINRA, or if the ADR facility between the Underlying Company and the ADR depositary is terminated
for any reason, then, on and after the date that the Underlying ADR is no longer so listed or admitted to trading or the date of such
termination, as applicable (the “termination date”), the Underlying Stock will be deemed to be the Underlying Company’s
common equity securities rather than the Underlying ADR. The calculation agent will determine the price of the Underlying Stock by reference
to those common shares. Under such circumstances, the calculation agent may modify any terms of the notes as it deems necessary, in its
sole discretion, to ensure an equitable result. On and after the termination date, for all purposes, the Closing Market Price of the
Underlying Company’s common shares on their primary exchange will be converted to U.S. dollars using such exchange rate as the
calculation agent, in its sole discretion, determines to be commercially reasonable.
Underlying
Stock
Any
information regarding any Underlying Stock or any Underlying Company will be derived from publicly available documents. Any Underlying
Stock will be registered under the Exchange Act. Information provided to or filed with the SEC by any Underlying Company can be located
at the SEC’s facilities or through the SEC’s website, www.sec.gov. None of us, the agents, or our respective affiliates will
have independently verified the accuracy or completeness of any of the information or reports of an Underlying Company.
The
selection of an Underlying Stock is not a recommendation to buy or sell that Underlying Stock. None of us, the agents or any of our respective
subsidiaries or affiliates makes any representation to any purchaser of the notes as to the performance of any Underlying Stock.
Basket
Market Measures
If
the Market Measure to which your notes are linked is a Basket, the Basket Stocks will be set forth in the applicable term sheet. We will
assign each Basket Stock a weighting (the “Initial Component Weight”) so that each Basket Stock represents a percentage
of the
Starting
Value of the Basket on the pricing date. The Basket Stocks may or may not have equal Initial Component Weights, as set forth in the applicable
term sheet.
Determination
of the Component Ratio for Each Basket Stock
The
“Starting Value” of the Basket will be equal to 100. We will set a fixed factor (the “Component Ratio”)
for each Basket Stock on the pricing date, based upon the weighting of that Basket Stock. The Component Ratio for each Basket Stock will
equal:
|
·
|
the
Initial Component Weight (expressed as a percentage) for that Basket Stock, multiplied by
100; divided by
|
|
·
|
the
Closing Market Price of that Basket Stock on the pricing date.
|
Each
Component Ratio will be rounded to eight decimal places.
The
Component Ratios will be calculated in this way so that the Starting Value of the Basket will equal 100 on the pricing date. The Component
Ratios will not be revised subsequent to their determination on the pricing date, except that the calculation agent may in its good faith
judgment adjust the Component Ratio of any Basket Stock in the event that Basket Stock is materially changed or modified in a manner
that does not, in the opinion of the calculation agent, fairly represent the value of that Basket Stock had those material changes or
modifications not been made.
The
following table is for illustration purposes only, and does not reflect the actual composition, Initial Component Weights, or Component
Ratios, which will be set forth in the applicable term sheet.
Example:
The hypothetical Basket Stocks are Basket Stock ABC, Basket Stock XYZ, and Basket Stock RST, with their Initial Component Weights
being 50.00%, 25.00% and 25.00%, respectively, on a hypothetical pricing date:
Basket
Stock
|
|
Initial
Component
Weight
|
|
|
Hypothetical
Closing Market Price(1)
|
|
|
Hypothetical
Component Ratio(2)
|
|
|
Initial Basket
Value
Contribution
|
|
Basket
Stock ABC
|
|
|
50.00
|
%
|
|
|
50.00
|
|
|
|
1.00000000
|
|
|
|
50.00
|
|
Basket
Stock XYZ
|
|
|
25.00
|
%
|
|
|
24.00
|
|
|
|
1.04166667
|
|
|
|
25.00
|
|
Basket
Stock RST
|
|
|
25.00
|
%
|
|
|
10.00
|
|
|
|
2.50000000
|
|
|
|
25.00
|
|
Starting Value
|
|
|
|
|
|
|
|
|
|
|
100.00
|
|
(1)
|
This
column sets forth the hypothetical Closing Market Price of each Basket Stock on the hypothetical pricing date.
|
(2)
|
The
hypothetical Component Ratio for each Basket Stock equals its Initial Component Weight (expressed as a percentage) multiplied
by 100, and then divided by the hypothetical Closing Market Price of that Basket Stock on the hypothetical pricing
date, with the result rounded to eight decimal places.
|
Observation
Value or Ending Value of the Basket
The
“Observation Value” of the Basket will be the value of the Basket on the applicable Coupon Observation Date or Call
Observation Date.
The
“Ending Value” of the Basket will be the value of the Basket on the calculation day.
The
calculation agent will calculate the value of the Basket for an applicable day by summing the products of the Closing Market Price of
each Basket Stock on such day multiplied by (a) its Price Multiplier on such day and (b) the Component Ratio for each Basket Stock. The
value of the Basket will vary based on the increase or decrease in the price of each Basket Stock. Any increase in the price of a Basket
Stock (assuming no change in the price of the other Basket Stock or Basket Stocks) will result in an increase in the value of the Basket.
Conversely, any decrease in the price of a Basket Stock (assuming no change in the price of the other Basket Stock or Basket Stocks)
will result in a decrease in the value of the Basket.
Unless
otherwise specified in the applicable term sheet, if, for any Basket Stock (an “Affected Basket Stock”), (i) a
Market Disruption Event occurs on a scheduled Coupon Observation Date, Call Observation Date or the calculation day or (ii) any such
date is determined by the calculation agent not to be a Trading Day by reason of an extraordinary event, occurrence, declaration, or
otherwise (any such day in either (i) or (ii) being a “non-calculation day”), the calculation agent will determine
the Closing Market Prices of the Basket Stocks for that non-calculation day, and as a result, the relevant Observation Values or Ending
Value, as follows:
|
·
|
The
Closing Market Price of each Basket Stock that is not an Affected Basket Stock will be its
Closing Market Price on that non-calculation day.
|
|
·
|
The
Closing Market Price of each Basket Stock that is an Affected Basket Stock for the applicable
non-calculation day will be determined in the same manner as described in “—The
Starting Value, the Observation Value and the Ending Value—Observation Value,”
and “—The Starting Value, the Observation Value and the Ending Value—Ending
Value,” as applicable, provided that references to “Observation Value”
or “Ending Value” will be references to “Closing Market Price of the Basket
Stock.”
|
For
purposes of determining whether a Market Disruption Event has occurred as to any Basket Stock, “Market Disruption Event”
will have the meaning stated above in
“—Market Disruption Events.”
Role
of the Calculation Agent
The
calculation agent has the sole discretion to make all determinations regarding the notes as described in this product supplement, including
determinations regarding the Starting Value, the Threshold Value, the Call Value, the Coupon Value, the Observation Values, the Ending
Value, the Market Measure, the Price Multiplier, the Closing Market Price, whether the notes will be called, whether a Contingent Coupon
Payment is payable, the Redemption Amount, any Market Disruption Events, any anti-dilution adjustments, a successor Underlying Stock,
Trading Days, non- Trading Days, business days, and non-calculation days. Absent manifest error, all determinations of the calculation
agent will be conclusive for all purposes and final and binding on you and us, without any liability on the part of the calculation agent.
We
expect to appoint BofAS or one of its affiliates as the calculation agent for each issue of the notes. However, we may change the calculation
agent at any time without notifying you. The identity of the calculation agent will be set forth in the applicable term sheet.
Payment
of Additional Amounts
We
will pay any amounts to be paid by us on the notes without deduction or withholding for, or on account of, any and all present or future
income, stamp and other taxes, levies, imposts, duties, charges, fees, deductions, or withholdings (“taxes”) now or
hereafter imposed, levied, collected, withheld, or assessed by or on behalf of Canada or any Canadian political subdivision or authority
that has the power to tax, unless the deduction or withholding is required by law or by the interpretation or administration thereof
by the relevant governmental authority. At any time a Canadian taxing authority requires us to deduct or withhold for or on account of
taxes from any payment made under or in respect of the notes, we will pay such additional amounts (“Additional Amounts”)
as may be necessary, so that the net amounts received by each holder (including Additional Amounts), after such deduction or withholding,
shall not be less than the amount the holder would have received had no such deduction or withholding been required.
However,
no Additional Amounts will be payable with respect to a payment made to a holder of a note or of a right to receive payments in respect
thereto (a “Payment Recipient”), which we refer to as an “Excluded Holder,” in respect of any taxes
imposed because the beneficial owner or Payment Recipient:
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(i)
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is someone
with whom we do not deal at arm’s length (within the meaning of the Income Tax Act
(Canada)), or is entitled to the payment in respect of a debt or other obligation to
pay an amount to such a person, at the time of making such payment;
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(ii)
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is subject
to such taxes by reason of the holder being connected presently or formerly with Canada or
any province or territory thereof otherwise than by reason of the holder’s activity
in connection with purchasing the notes, the holding of the notes or the receipt of payments
thereunder;
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(iii)
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is or does
not deal at arm’s length with a person who is, a “specified shareholder”
(within the meaning of subsection 18(5) of the Income Tax Act (Canada)) of Canadian
Imperial Bank of Commerce (generally a person will be a “specified shareholder”
for this purpose if that person, either alone or together with persons with whom the person
does not deal at arm’s length for purposes of the Income Tax Act (Canada), owns 25%
or more of (a) our voting shares, or (b) the fair market value of all of our issued and outstanding
shares);
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(iv)
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presents
such notes for payment (where presentation is required) more than 30 days after the relevant
date; for this purpose, the “relevant date” in relation to any payments on any
note means:
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(a)
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the due date
for payment thereof (whether at maturity or upon an earlier acceleration), or
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(b)
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if the full
amount of the monies payable on such date has not been received by the trustee on or prior
to such due date, the date on which the full amount of such monies has been received and
notice to that effect is given to holders of the notes in accordance with the indenture;
or
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(v)
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who could
lawfully avoid (but has not so avoided) such withholding or deduction by complying, or requiring
that any agent comply with, any statutory requirements or administrative practice of the
relevant taxing authority necessary to establish qualification for an exemption from withholding
or by making, or requiring that any agent make, a declaration of non-residence or other similar
claim for exemption to any relevant tax authority.
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For
purposes of clause (iv) above, if the notes are presented for payment more than 30 days after the relevant date, we shall only be required
to pay such Additional Amounts as would have been payable if the notes had been presented for payment on such 30th day, and no further
Additional Amounts shall accrue or become payable after such date.
For
the avoidance of doubt, we will not have any obligation to pay any holders Additional Amounts on any tax which is payable otherwise than
by deduction or withholding from payments made under or in respect of the notes.
We
will also make such withholding or deduction and remit the full amount deducted or withheld to the relevant taxing authority in accordance
with applicable law. We will furnish to the trustee, within 30 days after the date the payment of any taxes is due pursuant to applicable
law, certified copies of tax receipts evidencing that such payment has been made or other evidence of such payment satisfactory to the
trustee. We will indemnify and hold harmless each holder of the notes (other than an Excluded Holder) and upon written request reimburse
each such holder for the amount of (x) any taxes so levied or imposed and paid by such holder as a result of payments made under or with
respect to the notes and (y) any taxes levied or imposed and paid by such holder with respect to any reimbursement under (x) above, but
excluding any such taxes on such holder’s net income or capital.
For
additional information, see the section entitled “Material Income Tax Consequences—Canadian Taxation” in the accompanying
prospectus and, where applicable, any supplement thereto in the applicable term sheet.
Same-Day
Settlement and Payment
The
notes will be delivered in book-entry form only through The Depository Trust Company against payment by purchasers of the notes in immediately
available funds. We will pay the amounts payable on the notes in immediately available funds so long as the notes are maintained in book-entry
form.
Events
of Default and Acceleration
Events
of default are defined in the indenture. If such an event occurs and is continuing, unless otherwise stated in the applicable term sheet,
the amount payable to a holder of the notes upon any acceleration permitted under the indenture will be equal to the Redemption Amount
described under the caption “—Payment at Maturity,” determined as if the date of acceleration were the maturity date
of the notes and as if the calculation day were the fifth Trading Day prior to the date of acceleration.
If
a bankruptcy proceeding is commenced in respect of us, your claim may be limited under applicable bankruptcy law. In case of a default
in payment of the notes, whether at their maturity or upon acceleration, they will not bear a default interest rate. For additional discussion
of these matters, please see the discussion in the accompanying prospectus under the headings “Description of Senior Debt Securities—Modification
and Waiver of the Senior Debt Securities” beginning on page 5 and “—Events of Default” beginning on page 9.
Listing
Unless
otherwise specified in the applicable term sheet, the notes will not be listed on a securities exchange.
SUPPLEMENTAL
PLAN OF DISTRIBUTION
BofAS
and one or more of its affiliates may act as our agents for any offering of the notes. The agents may act on either a principal basis
or an agency basis, as set forth in the applicable term sheet. Each agent will be a party to the distribution agreement described in
the “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-48 of the accompanying prospectus supplement.
Each
agent will receive an underwriting discount that is a percentage of the aggregate principal amount of the notes sold through its efforts,
which will be set forth in the applicable term sheet. You must have an account with the applicable agent in order to purchase the notes.
None
of the agents is acting as your fiduciary or advisor solely as a result of the making of any offering of the notes, and you should not
rely upon this product supplement, the applicable term sheet, or the accompanying prospectus or prospectus supplement as investment advice
or a recommendation to purchase any notes. You should make your own investment decision regarding the notes after consulting with your
legal, tax, and other advisors.
BofAS
and its affiliates may use this product supplement, the prospectus supplement, and the prospectus, together with the applicable term
sheet, in market-making transactions for any notes after their initial sale solely for the purpose of providing investors with the description
of the terms of the notes that were made available to investors in connection with the initial distribution of the notes. Secondary market
investors should not, and will not be authorized to rely on these documents for information regarding Canadian Imperial Bank of Commerce
or for any purpose other than that described in the immediately preceding sentence.
CANADIAN FEDERAL INCOME TAX SUMMARY
An
investor should read carefully the description of material Canadian federal income tax considerations relevant to a Non-Resident Holder
owning debt securities under “Material Income Tax Consequences—Canadian Taxation” in the accompanying prospectus (as
defined therein). Canadian federal income tax considerations applicable to the notes may be described particularly when such notes are
offered in the applicable term sheet related thereto and, in that event, the disclosure in the accompanying prospectus will be superseded
in such term sheet to the extent indicated therein.
U.S.
FEDERAL INCOME TAX SUMMARY
The
following summary of the material U.S. federal income tax considerations of the acquisition, ownership, and disposition of the notes
is based upon the Internal Revenue Code of 1986, as amended (the “Code”), regulations promulgated under the Code by
the U.S. Treasury Department (“Treasury”) (including proposed and temporary regulations), rulings, current administrative
interpretations and official pronouncements of the IRS, and judicial decisions, all as currently in effect and all of which are subject
to differing interpretations or to change, possibly with retroactive effect. The following discussion supplements, and to the extent
inconsistent supersedes, the discussion under “Material Income Tax Consequences—United States Taxation” in the accompanying
prospectus and is not exhaustive of all possible tax considerations. No assurance can be given that the IRS would not assert, or that
a court would not sustain, a position contrary to any of the tax consequences described below. This summary does not include any description
of the tax laws of any state or local governments, or of any foreign government, that may be applicable to a particular holder. If the
tax consequences associated with the notes are different than those described below, they will be described in the applicable term sheet.
This
summary is directed solely to U.S. holders and non-U.S. holders (each as defined in the prospectus) that, except as otherwise specifically
noted, will purchase the notes upon original issuance and will hold the notes as capital assets within the meaning of Section 1221 of
the Code, which generally means property held for investment, and that are not excluded from the discussion under “Material Income
Tax Consequences—United States Taxation” in the accompanying prospectus.
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.
General
Although
there is no statutory, judicial, or administrative authority directly addressing the characterization of the notes, we intend to treat
the notes for all tax purposes as prepaid cash-settled derivative contracts with respect to the Market Measure and under the terms of
the notes, we and every investor in the notes agree, in the absence of an administrative determination or judicial ruling to the contrary,
to treat the notes in accordance with such characterization. In the opinion of Mayer Brown LLP, our special U.S. tax counsel, it is reasonable
to treat the notes as prepaid cash-settled derivative contracts with respect to the Market Measure. This discussion assumes that the
notes constitute prepaid cash-settled derivative contracts with respect to the Market Measure for U.S. federal income tax purposes. If
the notes did not constitute prepaid cash-settled derivative contracts, the tax consequences described below would be materially different.
This
characterization of the notes is not binding on the IRS or the courts. No statutory, judicial, or administrative authority directly addresses
the characterization of the notes or any similar instruments for U.S. federal income tax purposes, and no ruling is being requested from
the IRS with respect to their proper characterization and treatment. Due to the absence of authorities on point, significant aspects
of the U.S. federal income tax consequences of an investment in the notes are not certain, and no assurance can be given that the IRS
or any court will agree with the characterization and tax treatment described in this product supplement. Accordingly, you are urged
to consult your tax advisor regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative characterizations.
Unless
otherwise stated, the following discussion is based on the characterization described above. The discussion in this section assumes that
there is a significant possibility of a significant loss of principal on an investment in the notes.
We
will not attempt to ascertain whether the issuer of a Market Measure would be treated as a “passive foreign investment company”
(“PFIC”), within the meaning of Section 1297 of the Code, or a United States real property holding corporation, within
the meaning of Section 897(c) of the Code. If the issuer of a Market Measure were so treated, certain adverse U.S. federal income tax
consequences could possibly apply to a holder of the notes. You should refer to information filed with the SEC by the issuer of any Market
Measure and consult your tax advisor regarding the possible consequences to you, if any, if any issuer of a Market Measure is or becomes
a PFIC or is or becomes a United States real property holding corporation.
U.S.
Holders
Upon
receipt of a cash payment at maturity or upon a sale or exchange of the notes prior to maturity, a U.S. holder generally will recognize
capital gain or loss equal to the difference between the amount realized and the U.S. holder’s tax basis in the notes. A U.S. holder’s
tax basis in the notes will equal the amount paid by that holder to acquire them. This capital gain or loss generally will be long-term
capital gain or loss if the U.S. holder held the notes for more than one year. The deductibility of capital losses is subject to limitations.
Although
the tax treatment of the coupon payments is unclear, we intend to treat any such payments, including on the Maturity Date, as ordinary
income includible in income by U.S. holders at the time it accrues or is received in accordance with such holder’s normal method
of accounting for U.S. federal income tax purposes.
Alternative
Tax Treatments. Due to the absence of authorities that directly address the proper tax treatment of the notes, prospective investors
are urged to consult their tax advisors regarding all possible alternative tax treatments of an investment in the notes. In particular,
if the notes have a term that exceeds one year, the IRS could seek to subject the notes to the Treasury regulations governing contingent
payment debt instruments. If the IRS were successful in that regard, the timing and character of income on the notes would be affected
significantly. Among other things, a U.S. holder would be required to accrue original issue discount every year at a “comparable
yield” determined at the time of issuance. In addition, any gain realized by a U.S. holder at maturity, or upon a sale or exchange
of the notes generally would be treated as ordinary income, and any loss realized at maturity or upon a sale or exchange of the notes
generally 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. If the notes have a term of one year or less, a U.S. holder who uses the accrual method of accounting generally
should be required to accrue any original issue discount on the notes on a straight-line basis. At maturity or upon a sale or exchange,
a U.S. holder using either a cash or accrual
method of
accounting generally should recognize taxable gain (all or a portion of which may be treated as ordinary income) or loss in an amount
equal to the difference between the amount realized and such holder’s tax basis in the notes.
The
IRS released Notice 2008-2 (“Notice”) which sought comments from the public on the taxation of financial instruments
currently taxed as “prepaid forward contracts.” This Notice addresses instruments such as the notes. According to the Notice,
the IRS and Treasury are considering whether a holder of an instrument such as the notes should be required to accrue ordinary income
on a current basis, regardless of whether any payments are made prior to maturity. It is not possible to determine what guidance the
IRS and Treasury will ultimately issue, if any. Any such future guidance may affect the amount, timing and character of income, gain,
or loss in respect of the notes, possibly with retroactive effect.
The
IRS and Treasury are also considering additional issues, including whether additional gain or loss from such instruments should be treated
as ordinary or capital, whether foreign holders of such instruments should be subject to withholding tax on any deemed income accruals,
whether Section 1260 of the Code, concerning certain “constructive ownership transactions,” generally applies or should generally
apply to such instruments, and whether any of these determinations depend on the nature of the underlying asset.
In
addition, proposed Treasury regulations require the accrual of income on a current basis for contingent payments made under certain notional
principal contracts. The preamble to the regulations states that the “wait and see” method of accounting does not properly
reflect the economic accrual of income on those contracts, and requires current accrual of income for some contracts already in existence.
While the proposed regulations do not apply to prepaid forward contracts, the preamble to the proposed regulations expresses the view
that similar timing issues exist in the case of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring
current economic accrual for contingent payments on prepaid forward contracts, it is possible that you could be required to accrue income
over the term of the notes.
Because
of the absence of authority regarding the appropriate tax characterization of the notes, it is also possible that the IRS could seek
to characterize the notes in a manner that results in tax consequences that are different from those described above. For example, the
IRS could possibly assert that any gain or loss that a holder may recognize at maturity or upon the sale or exchange of the notes should
be treated as ordinary gain or loss.
It
is possible that the IRS could assert that a U.S. holder’s holding period in respect of the notes should end on the calculation
day, even though such holder will not receive any amounts in respect of the notes prior to the redemption or maturity of the notes. In
such case, if the calculation day is not in excess of one year from the original issue date, a U.S. holder may be treated as having a
holding period in respect of the notes equal to one year or less, in which case any gain or loss such holder recognizes at such time
would be treated as short-term capital gain or loss.
Non-U.S.
Holders
Except
as provided below, a non-U.S. holder will generally not be subject to U.S. federal income or withholding tax on amounts paid in respect
of the notes, provided that the non-U.S. holder complies with applicable certification requirements and that the payment is not effectively
connected with the conduct by the non-U.S. holder of a U.S. trade or business. Notwithstanding the foregoing, payments on the notes may
be subject to U.S. federal income tax if that non-U.S. holder is a non-resident alien individual and is present in the U.S. for 183
days or
more during the taxable year of such payments and certain other conditions are satisfied.
If
a non-U.S. holder of the notes is engaged in the conduct of a trade or business within the U.S. and payments in respect of the notes
are effectively connected with the conduct of such trade or business (and, if certain tax treaties apply, is attributable to a permanent
establishment maintained by the non-U.S. holder in the U.S.), the non-U.S. holder generally will be subject to U.S. federal income tax
on payments in respect of the notes on a net income basis in the same manner as if it were a U.S. holder. Such non-U.S. holders should
read the material under the heading “—U.S. Holders,” for a description of the U.S. federal income tax consequences
of acquiring, owning, and disposing of the notes. In addition, if such non-U.S. holder is a foreign corporation, it may also be subject
to a branch profits tax equal to 30% (or such lower rate provided by any applicable tax treaty) of a portion of its earnings and profits
for the taxable year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
A
“dividend equivalent” payment is treated as a dividend from sources within the United States and such payments generally
would be subject to a 30% U.S. withholding tax if paid to a non-U.S. holder. Under Treasury regulations, payments (including deemed payments)
with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend
equivalents if such specified ELIs reference an interest in an “underlying security,” which is generally any interest in
an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to
a U.S. source dividend. However, Internal Revenue Service guidance provides that withholding on dividend equivalent payments will not
apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2023. Except as otherwise set forth
in any applicable pricing supplement, we expect that the delta of notes issued pursuant to this product supplement with respect to the
Market Measure will not be one, and therefore, we expect that non-U.S. holders should not be subject to withholding on dividend equivalent
payments, if any, under the notes. However, it is possible that the notes could be treated as deemed reissued for U.S. federal income
tax purposes upon the occurrence of certain events affecting the Market Measure or the notes, and following such occurrence the notes
could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other
transactions in respect of the Market Measure or the notes should consult their tax advisors as to the application of the dividend equivalent
withholding tax in the context of the notes and their other transactions. If any payments are treated as dividend equivalents subject
to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to pay any additional
amounts with respect to amounts so withheld.
As
discussed above, alternative characterizations of the notes for U.S. federal income tax purposes are possible. Should an alternative
characterization, by reason of change or clarification of the law, by regulation or otherwise, cause payments as to the notes to become
subject to withholding tax, tax will be withheld at the applicable statutory rate. As discussed above, the IRS has indicated in the Notice
that it is considering whether income in respect of instruments such as the notes should be subject to withholding tax. Prospective non-U.S.
holders of the notes should consult their own tax advisors in this regard.
Backup
Withholding and Information Reporting
Please
see the discussions under “Material Income Tax Consequences—United States Taxation— Tax Consequences to U.S. Holders—U.S.
Backup Withholding and Information Reporting” and “Material Income Tax Consequences—United States Taxation—Tax
Consequences to Non-U.S. Holders—Backup Withholding and Information Reporting for Non-U.S. Holders” in the accompanying prospectus
for a description of the applicability of the backup withholding and information reporting rules to payments made on the notes.