On the stated maturity date, you will receive a cash payment per security (the redemption amount) calculated
as follows:
The following profile is based on a hypothetical participation rate of 116% (the midpoint of the specified
range for the participation rate) and a threshold price equal to 90% of the starting price. This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending price, the actual participation rate and
whether you hold your securities to maturity.
The securities have complex features and investing in the securities will involve risks not associated with an
investment in conventional debt securities. These risks are explained in more detail in the Risk Factors section in the product supplement. You should reach an investment decision only after you have carefully considered with your
advisors the suitability of an investment in the securities in light of your particular circumstances. The indices underlying the basket components are sometimes referred to collectively as the
underlying indices
and individually
as an
underlying index
.
|
|
Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To
Your Interests.
You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a
participating dealer
, are
potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take actions that may adversely affect the value of
and your return on the securities, and in so doing they will have no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize a profit from these activities even
if investors do not receive a favorable investment return on the securities.
|
|
|
|
The calculation agent is our affiliate and may be required to make discretionary judgments that affect
the return you receive on the securities.
WFS, which is our affiliate, will be the calculation agent for the securities. As calculation agent, WFS will determine the fund closing prices of the basket components on the calculation day and may
be required to make other determinations that affect the return you receive on the securities at maturity. In making these determinations, the calculation agent may be required to make discretionary judgments, including determining whether a market
disruption event has occurred with respect to a basket component on the scheduled calculation day, which may result in postponement of the calculation day with respect to that basket component; determining the fund closing price of a basket
component if the calculation day is postponed with respect to that basket component to the last day to which it may be postponed and a market disruption event occurs on that day; adjusting the adjustment factor and other terms of the securities in
certain circumstances; if a basket component undergoes a liquidation event, selecting a successor basket component or, if no successor basket component is available, determining the fund closing price of such basket component; and determining
whether to adjust the fund closing price of a basket component on the calculation day in the event of certain changes in or modifications to such basket component or its underlying index. In making these discretionary judgments, the fact that WFS is
our affiliate may cause it to have economic interests that are adverse to your interests as an investor in the securities, and WFSs determinations as calculation agent may adversely affect your return on the securities.
|
|
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|
The estimated value of the securities was calculated by our affiliate and is therefore not an
independent third-party valuation.
WFS calculated the estimated value of the securities set forth on the cover page of this pricing supplement, which
|
PRS-14
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
Selected Risk Considerations (Continued)
|
|
involved discretionary judgments by WFS, as described under Selected Risk ConsiderationsThe Estimated Value Of The Securities Is Determined By Our Affiliates Pricing Models,
Which May Differ From Those Of Other Dealers above. Accordingly, the estimated value of the securities set forth on the cover page of this pricing supplement is not an independent third-party valuation.
|
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|
Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent
with an investment in the securities and may adversely affect the prices of the basket components.
Our affiliates or any dealer participating in the offering of the securities or its affiliates may, at present or in the future, publish
research reports on a basket component or its underlying index or the companies whose securities are included in a basket component or its underlying index (such research reports referred to as research reports relating to a basket component). This
research is modified from time to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research reports relating to a basket
component could adversely affect the price of that basket component and, therefore, adversely affect the value of and your return on the securities. You are encouraged to derive information concerning the basket components from multiple sources and
should not rely on the views expressed by us or our affiliates or any participating dealer or its affiliates. In addition, any research reports relating to a basket component published on or prior to the pricing date could result in an increase in
the price of that basket component on the pricing date, which would adversely affect investors in the securities by increasing the prices at which the basket components must close on the calculation day in order for investors in the securities to
receive a favorable return.
|
|
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|
Business activities of our affiliates or any participating dealer or its affiliates with the companies
whose securities are included in the basket components may adversely affect the prices of the basket components.
Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage in business with the
companies whose securities are included in the basket components or the underlying indices, including making loans to those companies (including exercising creditors remedies with respect to such loans), making equity investments in those
companies or providing investment banking, asset management or other advisory services to those companies. These business activities could adversely affect the prices of the basket components and, therefore, adversely affect the value of and your
return on the securities. In addition, in the course of these business activities, our affiliates or any participating dealer or its affiliates may acquire non-public information about one or more of the companies whose securities are included in
the basket components or the underlying indices. If our affiliates or any participating dealer or its affiliates do acquire such non-public information, we and they are not obligated to disclose such non-public information to you.
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Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect
the prices of the basket components.
We expect to hedge our obligations under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or its affiliates. Pursuant to such hedging
activities, our hedge counterparties may acquire shares of the basket components, securities included in the basket components or the underlying indices or listed or over-the-counter derivative or synthetic instruments related to the basket
components or such securities. Depending on, among other things, future market conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent that our hedge counterparties have a long hedge
position in shares of the basket components or any of the securities included in the basket components or the underlying indices, or derivative or synthetic instruments related to the basket components or such securities, they may liquidate a
portion of such holdings at or about the time of the calculation day or at or about the time of a change in the securities included in the basket components or the underlying indices. These hedging activities could potentially adversely affect the
prices of the shares of the basket components and, therefore, adversely affect the value of and your return on the securities.
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|
Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect
the prices of the basket components.
Our affiliates or any participating dealer or its affiliates may engage in trading in the shares of the basket components or the securities included in the basket components or the underlying indices and
other instruments relating to the basket components or such securities on a regular basis as part of their general broker-dealer and other businesses. Any of these trading activities could potentially adversely affect the prices of the shares of the
basket components and, therefore, adversely affect the value of and your return on the securities.
|
PRS-15
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
Selected Risk Considerations (Continued)
|
|
|
|
A participating dealer or its affiliates may realize hedging profits projected by its proprietary
pricing models in addition to any selling concession and/or distribution expense fee, creating a further incentive for the participating dealer to sell the securities to you.
If any participating dealer or any of its affiliates conducts
hedging activities for us in connection with the securities, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities and this projected profit will be in addition to the concession and/or
distribution expense fee that the participating dealer realizes for the sale of the securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities to you.
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The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.
There is no direct
legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court
might not agree with the treatment of the securities as prepaid derivative contracts that are open transactions for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative treatment of the securities, the
tax consequences of ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities as prepaid derivative contracts that are open transactions is respected, a security may
be treated as a constructive ownership transaction, with potentially adverse consequences described below under United States Federal Tax Considerations.
|
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Furthermore, Section 871(m) of the Internal Revenue Code of 1986, as amended (the
Code
), imposes a
withholding tax of up to 30% on dividend equivalents paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS regulations providing a general exemption for financial
instruments issued in 2017 that do not have a delta of one, as of the date of this preliminary pricing supplement the securities should not be subject to withholding under Section 871(m). However, information about the application
of Section 871(m) to the securities will be updated in the final pricing supplement. Moreover, the IRS could challenge a conclusion that the securities should not be subject to withholding under Section 871(m). If withholding applies to
the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
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In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues
regarding the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the
tax consequences of an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect.
You should read carefully the sections of this pricing supplement and the accompanying product supplement entitled United States Federal Tax Considerations. You should also consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
PRS-16
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
The following table illustrates, for a hypothetical participation rate of 116% (the midpoint of the specified
range for the participation rate) and a range of hypothetical ending prices of the Basket:
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the hypothetical percentage change from the starting price to the hypothetical ending price;
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|
|
the hypothetical redemption amount payable at stated maturity per security;
|
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|
the hypothetical total pre-tax rate of return; and
|
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|
|
the hypothetical pre-tax annualized rate of return.
|
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|
|
|
|
|
|
|
|
Hypothetical
ending price
|
|
Hypothetical
percentage change
from the starting price to the
hypothetical ending price
|
|
Hypothetical
redemption amount
payable at
stated maturity
per security
|
|
Hypothetical
pre-tax total
rate of return
|
|
Hypothetical
pre-tax
annualized
rate of return
(1)
|
175.00
|
|
75.00%
|
|
$1,870.00
|
|
87.00%
|
|
22.01%
|
150.00
|
|
50.00%
|
|
$1,580.00
|
|
58.00%
|
|
15.86%
|
140.00
|
|
40.00%
|
|
$1,464.00
|
|
46.40%
|
|
13.13%
|
130.00
|
|
30.00%
|
|
$1,348.00
|
|
34.80%
|
|
10.22%
|
120.00
|
|
20.00%
|
|
$1,232.00
|
|
23.20%
|
|
7.08%
|
110.00
|
|
10.00%
|
|
$1,116.00
|
|
11.60%
|
|
3.70%
|
105.00
|
|
5.00%
|
|
$1,058.00
|
|
5.80%
|
|
1.89%
|
100.00
(2)
|
|
0.00%
|
|
$1,000.00
|
|
0.00%
|
|
0.00%
|
95.00
|
|
-5.00%
|
|
$1,000.00
|
|
0.00%
|
|
0.00%
|
90.00
|
|
-10.00%
|
|
$1,000.00
|
|
0.00%
|
|
0.00%
|
89.00
|
|
-11.00%
|
|
$990.00
|
|
-1.00%
|
|
-0.34%
|
80.00
|
|
-20.00%
|
|
$900.00
|
|
-10.00%
|
|
-3.48%
|
70.00
|
|
-30.00%
|
|
$800.00
|
|
-20.00%
|
|
-7.31%
|
50.00
|
|
-50.00%
|
|
$600.00
|
|
-40.00%
|
|
-16.34%
|
25.00
|
|
-75.00%
|
|
$350.00
|
|
-65.00%
|
|
-32.13%
|
(1)
|
The annualized rates of return are calculated on a semi-annual bond equivalent basis with compounding.
|
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive at stated
maturity and the resulting pre-tax rate of return will depend on the actual ending price and the actual participation rate.
PRS-17
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
Hypothetical Payments at Stated Maturity
|
Set forth below are three examples of payment at stated maturity calculations, reflecting a hypothetical
participation rate of 116% (the midpoint of the specified range for the participation rate) and assuming component returns as indicated in the examples. These examples are for purposes of illustration only and the values used in the examples may
have been rounded for ease of analysis.
Example 1. Redemption amount is greater than the original offering price:
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|
SPDR S&P 500
ETF Trust
|
|
iShares Russell 2000 ETF
|
|
iShares MSCI
EAFE
ETF
|
Initial Component Price
|
|
$243.01
|
|
$139.80
|
|
$65.07
|
Final Component Price
|
|
$291.61
|
|
$173.35
|
|
$75.48
|
Component Return
|
|
20.00%
|
|
24.00%
|
|
16.00%
|
Based on the component returns set forth above, the hypothetical ending price would equal:
100 × [1 + (50% × 20.00%) + (25% × 24.00%) + (25% × 16.00%)] = 120.00
Since the hypothetical ending price is greater than the starting price, the redemption amount would equal:
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|
|
|
|
|
|
|
|
|
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|
$1,000 +
|
|
|
|
$1,000 ×
|
|
|
|
120.00 100.00
|
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|
|
× 116%
|
|
|
|
= $1,232.00
|
|
|
|
|
|
|
100.00
|
|
|
|
|
|
|
On the stated maturity date you would receive $1,232.00 per security.
Example 2. Redemption amount is equal to the original offering price:
|
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|
|
|
|
|
|
|
SPDR S&P 500
ETF Trust
|
|
iShares Russell
2000 ETF
|
|
iShares MSCI
EAFE
ETF
|
Initial Component Price
|
|
$243.01
|
|
$139.80
|
|
$65.07
|
Final Component Price
|
|
$145.81
|
|
$188.73
|
|
$81.34
|
Component Return
|
|
-40.00%
|
|
35.00%
|
|
25.00%
|
Based on the component returns set forth above, the hypothetical ending price would equal:
100 × [1 + (50% × -40.00%) + (25% × 35.00%) + (25% × 25.00%)] = 95.00
In this example, the 40.00% decrease in the SPDR S&P 500 ETF Trust has a significant impact on the ending price notwithstanding the
percentage increases in the other basket components due to the 50% weighting of the SPDR S&P 500 ETF Trust.
Since the hypothetical
ending price is less than the starting price, but not by more than 10%, you would not lose any of the original offering price of your securities.
On the stated maturity date you would receive $1,000.00 per security.
PRS-18
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
Hypothetical Payments at Stated Maturity (Continued)
|
Example 3. Redemption amount is less than the original offering price:
|
|
|
|
|
|
|
|
|
SPDR S&P 500
ETF Trust
|
|
iShares Russell
2000 ETF
|
|
iShares MSCI
EAFE
ETF
|
Initial Component Price
|
|
$243.01
|
|
$139.80
|
|
$65.07
|
Final Component Price
|
|
$85.05
|
|
$90.87
|
|
$42.30
|
Component Return
|
|
-65.00%
|
|
-35.00%
|
|
-35.00%
|
Based on the component returns set forth above, the hypothetical ending price would equal:
100 × [1 + (50% × -65.00%) + (25% × -35.00%) + (25% × -35.00%)] = 50.00
Since the hypothetical ending price is less than the starting price by more than 10%, you would lose a portion of the original offering price
of your securities and receive the redemption amount equal to:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 -
|
|
|
|
$1,000 ×
|
|
|
|
90.00 50.00
|
|
|
|
|
|
|
|
= $600.00
|
|
|
|
|
|
|
100.00
|
|
|
|
|
|
|
On the stated maturity date you would receive $600.00 per security.
To the extent that the component returns, ending price and participation rate differ from the values assumed above, the results indicated above
would be different.
PRS-19
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
Hypothetical Historical Performance of the Basket
|
The Basket will represent a weighted portfolio of the following three basket components, with the return of
each basket component having the weighting noted parenthetically: the SPDR S&P 500 ETF Trust (50%); the iShares Russell 2000 ETF (25%); and the iShares MSCI EAFE ETF (25%). The value of the Basket will increase or decrease depending upon the
performance of the basket components. For more information regarding the basket components, see The SPDR S&P 500 ETF Trust, The iShares Russell 2000 ETF and The iShares MSCI EAFE ETF. The Basket does not
reflect the performance of all major securities markets.
While historical information on the value of the Basket does not exist for dates
prior to the pricing date, the following graph sets forth the hypothetical historical daily values of the Basket for the period from January 1, 2007 to June 20, 2017 assuming that the Basket was constructed on January 1, 2007 with a
starting price of 100 and that each of the basket components had the applicable weighting as of such day. We obtained the closing prices and other information used by us in order to create the graph below from Bloomberg Financial Markets
(
Bloomberg
) without independent verification.
The hypothetical historical basket values, as calculated solely for the
purposes of the offering of the securities, fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the value of the Basket during any period shown below is not an indication
that the percentage change in the value of the Basket is more likely to be positive or negative during the term of the securities. The hypothetical historical values do not give an indication of future values of the Basket.
PRS-20
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The SPDR S&P 500 ETF Trust
|
The SPDR S&P 500 ETF Trust is an exchange traded fund that seeks to track the S&P 500 Index, an equity
index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the United States equity market. Wells Fargo & Company is one of the companies currently included in the
SPDR S&P 500 ETF Trust and the S&P 500 Index. In addition to the criteria for addition to the S&P 500 Index set forth in the accompanying market measure supplement, a company must have a primary listing to its common stock on the NYSE,
NYSE Arca, NYSE MKT, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Bats BZX, Bats BYX, Bats EDGA or Bats EDGX. Companies included in the S&P 500 Index must have a market capitalization of $6.1 billion or more (an
increase from the previous market capitalization requirement of $5.3 billion or more). See Description of Exchange Traded FundsThe SPDR
®
S&P 500 ETF Trust in the
accompanying market measure supplement for additional information about the SPDR S&P 500 ETF Trust.
Historical Information
We obtained the closing prices of the SPDR S&P 500 ETF Trust listed below from Bloomberg without independent verification.
The following graph sets forth daily closing prices of the SPDR S&P 500 ETF Trust for the period from January 1, 2007 to June 20,
2017. The closing price on June 20, 2017 was $243.01. The historical performance of the SPDR S&P 500 ETF Trust should not be taken as an indication of the future performance of the SPDR S&P 500 ETF Trust during the term of the
securities.
PRS-21
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The SPDR S&P 500 ETF Trust (Continued)
|
The following table sets forth the high and low closing prices, as well as end-of-period
closing prices, of the SPDR S&P 500 ETF Trust for each quarter in the period from January 1, 2007 through March 31, 2017 and for the period from April 1, 2017 to June 20, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$146.04
|
|
|
|
$137.35
|
|
|
|
$142.00
|
|
Second Quarter
|
|
|
$154.10
|
|
|
|
$142.16
|
|
|
|
$150.43
|
|
Third Quarter
|
|
|
$155.07
|
|
|
|
$141.04
|
|
|
|
$152.58
|
|
Fourth Quarter
|
|
|
$156.48
|
|
|
|
$140.95
|
|
|
|
$146.21
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$144.93
|
|
|
|
$128.00
|
|
|
|
$131.97
|
|
Second Quarter
|
|
|
$143.05
|
|
|
|
$127.53
|
|
|
|
$127.98
|
|
Third Quarter
|
|
|
$130.71
|
|
|
|
$111.38
|
|
|
|
$115.99
|
|
Fourth Quarter
|
|
|
$116.06
|
|
|
|
$75.45
|
|
|
|
$90.24
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$93.47
|
|
|
|
$68.11
|
|
|
|
$79.52
|
|
Second Quarter
|
|
|
$95.08
|
|
|
|
$81.06
|
|
|
|
$91.95
|
|
Third Quarter
|
|
|
$107.32
|
|
|
|
$87.96
|
|
|
|
$105.59
|
|
Fourth Quarter
|
|
|
$112.72
|
|
|
|
$102.49
|
|
|
|
$111.44
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$117.41
|
|
|
|
$105.89
|
|
|
|
$117.00
|
|
Second Quarter
|
|
|
$121.81
|
|
|
|
$103.22
|
|
|
|
$103.22
|
|
Third Quarter
|
|
|
$114.82
|
|
|
|
$102.20
|
|
|
|
$114.13
|
|
Fourth Quarter
|
|
|
$125.92
|
|
|
|
$113.75
|
|
|
|
$125.75
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$134.53
|
|
|
|
$126.18
|
|
|
|
$132.59
|
|
Second Quarter
|
|
|
$136.43
|
|
|
|
$126.81
|
|
|
|
$131.97
|
|
Third Quarter
|
|
|
$135.36
|
|
|
|
$112.26
|
|
|
|
$113.15
|
|
Fourth Quarter
|
|
|
$128.63
|
|
|
|
$109.93
|
|
|
|
$125.50
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$141.61
|
|
|
|
$127.50
|
|
|
|
$140.81
|
|
Second Quarter
|
|
|
$141.84
|
|
|
|
$128.10
|
|
|
|
$136.11
|
|
Third Quarter
|
|
|
$147.24
|
|
|
|
$133.51
|
|
|
|
$143.97
|
|
Fourth Quarter
|
|
|
$146.20
|
|
|
|
$135.70
|
|
|
|
$142.41
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$156.73
|
|
|
|
$145.55
|
|
|
|
$156.67
|
|
Second Quarter
|
|
|
$167.17
|
|
|
|
$154.14
|
|
|
|
$160.42
|
|
Third Quarter
|
|
|
$173.05
|
|
|
|
$161.21
|
|
|
|
$168.01
|
|
Fourth Quarter
|
|
|
$184.69
|
|
|
|
$165.48
|
|
|
|
$184.69
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$188.26
|
|
|
|
$174.17
|
|
|
|
$187.01
|
|
Second Quarter
|
|
|
$196.48
|
|
|
|
$181.51
|
|
|
|
$195.72
|
|
Third Quarter
|
|
|
$201.82
|
|
|
|
$191.03
|
|
|
|
$197.02
|
|
Fourth Quarter
|
|
|
$208.72
|
|
|
|
$186.27
|
|
|
|
$205.54
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$211.99
|
|
|
|
$199.02
|
|
|
|
$206.43
|
|
Second Quarter
|
|
|
$213.50
|
|
|
|
$205.42
|
|
|
|
$205.85
|
|
Third Quarter
|
|
|
$212.59
|
|
|
|
$187.27
|
|
|
|
$191.63
|
|
Fourth Quarter
|
|
|
$211.00
|
|
|
|
$192.13
|
|
|
|
$203.87
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$206.02
|
|
|
|
$182.86
|
|
|
|
$205.52
|
|
Second Quarter
|
|
|
$212.37
|
|
|
|
$199.60
|
|
|
|
$209.48
|
|
Third Quarter
|
|
|
$219.09
|
|
|
|
$208.41
|
|
|
|
$216.30
|
|
Fourth Quarter
|
|
|
$227.76
|
|
|
|
$208.55
|
|
|
|
$223.53
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$239.78
|
|
|
|
$225.24
|
|
|
|
$235.74
|
|
April 1, 2017 to June 20, 2017
|
|
|
$244.66
|
|
|
|
$232.51
|
|
|
|
$243.01
|
|
PRS-22
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The iShares Russell 2000 ETF
|
The iShares Russell 2000 ETF is an exchange traded fund that seeks to track the Russell 2000 Index, an equity
index that is designed to reflect the performance of the small capitalization segment of the United States equity market. See Description of Exchange Traded FundsThe iShares
®
Russell 2000 ETF in the accompanying market measure supplement for additional information about the iShares Russell 2000 ETF.
Historical
Information
We obtained the closing prices of the iShares Russell 2000 ETF listed below from Bloomberg without independent
verification.
The following graph sets forth daily closing prices of the iShares Russell 2000 ETF for the period from January 1, 2007
to June 20, 2017. The closing price on June 20, 2017 was $139.80. The historical performance of the iShares Russell 2000 ETF should not be taken as an indication of the future performance of the iShares Russell 2000 ETF during the term of
the securities.
PRS-23
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The iShares Russell 2000 ETF (Continued)
|
The following table sets forth the high and low closing prices, as well as end-of-period
closing prices, of the iShares Russell 2000 ETF for each quarter in the period from January 1, 2007 through March 31, 2017 and for the period from April 1, 2017 to June 20, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$82.39
|
|
|
|
$75.17
|
|
|
|
$79.51
|
|
Second Quarter
|
|
|
$84.79
|
|
|
|
$79.75
|
|
|
|
$82.96
|
|
Third Quarter
|
|
|
$85.74
|
|
|
|
$75.20
|
|
|
|
$80.04
|
|
Fourth Quarter
|
|
|
$84.18
|
|
|
|
$73.02
|
|
|
|
$75.92
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$75.16
|
|
|
|
$64.50
|
|
|
|
$68.29
|
|
Second Quarter
|
|
|
$76.20
|
|
|
|
$68.53
|
|
|
|
$69.05
|
|
Third Quarter
|
|
|
$75.30
|
|
|
|
$65.05
|
|
|
|
$68.00
|
|
Fourth Quarter
|
|
|
$67.02
|
|
|
|
$38.53
|
|
|
|
$49.24
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$51.25
|
|
|
|
$34.39
|
|
|
|
$42.05
|
|
Second Quarter
|
|
|
$53.20
|
|
|
|
$42.78
|
|
|
|
$51.08
|
|
Third Quarter
|
|
|
$62.02
|
|
|
|
$47.87
|
|
|
|
$60.24
|
|
Fourth Quarter
|
|
|
$63.36
|
|
|
|
$56.22
|
|
|
|
$62.44
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$69.23
|
|
|
|
$58.68
|
|
|
|
$67.80
|
|
Second Quarter
|
|
|
$74.13
|
|
|
|
$61.12
|
|
|
|
$61.12
|
|
Third Quarter
|
|
|
$67.67
|
|
|
|
$59.04
|
|
|
|
$67.50
|
|
Fourth Quarter
|
|
|
$79.20
|
|
|
|
$66.94
|
|
|
|
$78.24
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$84.17
|
|
|
|
$77.19
|
|
|
|
$84.17
|
|
Second Quarter
|
|
|
$86.39
|
|
|
|
$77.78
|
|
|
|
$82.80
|
|
Third Quarter
|
|
|
$85.65
|
|
|
|
$64.30
|
|
|
|
$64.30
|
|
Fourth Quarter
|
|
|
$76.42
|
|
|
|
$60.99
|
|
|
|
$73.75
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$84.40
|
|
|
|
$74.56
|
|
|
|
$82.81
|
|
Second Quarter
|
|
|
$83.83
|
|
|
|
$73.65
|
|
|
|
$79.56
|
|
Third Quarter
|
|
|
$86.40
|
|
|
|
$76.65
|
|
|
|
$83.44
|
|
Fourth Quarter
|
|
|
$84.66
|
|
|
|
$76.84
|
|
|
|
$84.32
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$94.80
|
|
|
|
$86.60
|
|
|
|
$94.43
|
|
Second Quarter
|
|
|
$99.51
|
|
|
|
$89.58
|
|
|
|
$97.00
|
|
Third Quarter
|
|
|
$107.09
|
|
|
|
$98.08
|
|
|
|
$106.61
|
|
Fourth Quarter
|
|
|
$115.36
|
|
|
|
$103.64
|
|
|
|
$115.36
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$119.83
|
|
|
|
$108.65
|
|
|
|
$116.34
|
|
Second Quarter
|
|
|
$118.81
|
|
|
|
$108.88
|
|
|
|
$118.81
|
|
Third Quarter
|
|
|
$120.02
|
|
|
|
$109.35
|
|
|
|
$109.35
|
|
Fourth Quarter
|
|
|
$121.05
|
|
|
|
$104.32
|
|
|
|
$119.62
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$125.99
|
|
|
|
$114.83
|
|
|
|
$124.37
|
|
Second Quarter
|
|
|
$129.01
|
|
|
|
$120.85
|
|
|
|
$124.86
|
|
Third Quarter
|
|
|
$126.31
|
|
|
|
$107.53
|
|
|
|
$109.20
|
|
Fourth Quarter
|
|
|
$119.89
|
|
|
|
$109.01
|
|
|
|
$112.62
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$110.63
|
|
|
|
$94.79
|
|
|
|
$110.63
|
|
Second Quarter
|
|
|
$118.43
|
|
|
|
$108.68
|
|
|
|
$114.98
|
|
Third Quarter
|
|
|
$125.70
|
|
|
|
$113.69
|
|
|
|
$124.21
|
|
Fourth Quarter
|
|
|
$138.31
|
|
|
|
$115.00
|
|
|
|
$134.85
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$140.36
|
|
|
|
$133.75
|
|
|
|
$137.48
|
|
April 1, 2017 to June 20, 2017
|
|
|
$142.10
|
|
|
|
$133.72
|
|
|
|
$139.80
|
|
PRS-24
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The iShares MSCI EAFE ETF
|
The iShares MSCI EAFE ETF is an exchange traded fund that seeks to track the MSCI EAFE Index, an equity index
that is designed to measure equity performance in developed markets, excluding the United States and Canada. See Description of Exchange Traded FundsThe iShares
®
MSCI EAFE
ETF in the accompanying market measure supplement for additional information about the iShares MSCI EAFE ETF.
MSCI, Inc. has
announced that, effective with the November 2015 semi-annual index review, companies traded outside of their country of classification (i.e., foreign listed companies) will become eligible for inclusion in the component country indices
included in the MSCI EAFE Index. In order for a component country index to be eligible to include foreign listed companies, it must meet the Foreign Listing Materiality Requirement. To meet the Foreign Listing Materiality Requirement, the aggregate
market capitalization of all securities represented by foreign listings should represent at least (i) 5% of the free float-adjusted market capitalization of the relevant component country index and (ii) 0.05% of the free-float adjusted
market capitalization of the MSCI ACWI Investable Market Index (an index that measures equity performance in both the developed and emerging markets). In connection with the November 2015 semi-annual index review, three of the component country
indices included in the MSCI EAFE Index, the MSCI Hong Kong Index, the MSCI Israel Index and the MSCI Netherlands Index, became eligible to include foreign listed companies. The newly eligible foreign listed securities were added at half their free
float-adjusted market capitalization as part of the November 2015 semi-annual index review, and their remaining free float-adjusted market capitalization were added as part of the May 2016 semi-annual index review.
The information about the MSCI EAFE Index contained herein updates the information included in the accompanying market measure supplement. See
Description of Equity IndicesThe MSCI EAFE
®
Index in the accompanying market measure supplement for additional information about the MSCI EAFE Index.
Historical Information
We obtained the
closing prices of the iShares MSCI EAFE ETF listed below from Bloomberg without independent verification.
The following graph sets forth
daily closing prices of the iShares MSCI EAFE ETF for the period from January 1, 2007 to June 20, 2017. The closing price on June 20, 2017 was $65.07. The historical performance of the iShares MSCI EAFE ETF should not be taken as an
indication of the future performance of the iShares MSCI EAFE ETF during the term of the securities.
PRS-25
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
The iShares MSCI EAFE ETF (Continued)
|
The following table sets forth the high and low closing prices, as well as end-of-period
closing prices, of the iShares MSCI EAFE ETF for each quarter in the period from January 1, 2007 through March 31, 2017 and for the period from April 1, 2017 to June 20, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$76.72
|
|
|
|
$70.90
|
|
|
|
$76.26
|
|
Second Quarter
|
|
|
$81.78
|
|
|
|
$76.50
|
|
|
|
$80.77
|
|
Third Quarter
|
|
|
$83.62
|
|
|
|
$73.94
|
|
|
|
$82.59
|
|
Fourth Quarter
|
|
|
$86.10
|
|
|
|
$78.24
|
|
|
|
$78.50
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$78.35
|
|
|
|
$68.34
|
|
|
|
$71.90
|
|
Second Quarter
|
|
|
$78.52
|
|
|
|
$68.08
|
|
|
|
$68.67
|
|
Third Quarter
|
|
|
$68.00
|
|
|
|
$53.08
|
|
|
|
$56.30
|
|
Fourth Quarter
|
|
|
$55.88
|
|
|
|
$35.73
|
|
|
|
$44.86
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$45.44
|
|
|
|
$31.70
|
|
|
|
$37.59
|
|
Second Quarter
|
|
|
$49.04
|
|
|
|
$38.57
|
|
|
|
$45.81
|
|
Third Quarter
|
|
|
$55.81
|
|
|
|
$44.01
|
|
|
|
$54.68
|
|
Fourth Quarter
|
|
|
$57.28
|
|
|
|
$52.66
|
|
|
|
$55.28
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$57.96
|
|
|
|
$50.46
|
|
|
|
$55.98
|
|
Second Quarter
|
|
|
$58.04
|
|
|
|
$46.29
|
|
|
|
$46.51
|
|
Third Quarter
|
|
|
$55.42
|
|
|
|
$47.09
|
|
|
|
$54.92
|
|
Fourth Quarter
|
|
|
$59.46
|
|
|
|
$54.26
|
|
|
|
$58.22
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$61.92
|
|
|
|
$55.29
|
|
|
|
$60.08
|
|
Second Quarter
|
|
|
$63.87
|
|
|
|
$57.10
|
|
|
|
$60.14
|
|
Third Quarter
|
|
|
$60.80
|
|
|
|
$46.66
|
|
|
|
$47.78
|
|
Fourth Quarter
|
|
|
$55.57
|
|
|
|
$46.45
|
|
|
|
$49.53
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$55.80
|
|
|
|
$49.15
|
|
|
|
$54.89
|
|
Second Quarter
|
|
|
$55.53
|
|
|
|
$46.55
|
|
|
|
$49.96
|
|
Third Quarter
|
|
|
$55.15
|
|
|
|
$47.62
|
|
|
|
$53.00
|
|
Fourth Quarter
|
|
|
$56.86
|
|
|
|
$51.95
|
|
|
|
$56.86
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$59.87
|
|
|
|
$56.90
|
|
|
|
$58.98
|
|
Second Quarter
|
|
|
$63.53
|
|
|
|
$57.03
|
|
|
|
$57.30
|
|
Third Quarter
|
|
|
$65.05
|
|
|
|
$57.55
|
|
|
|
$63.80
|
|
Fourth Quarter
|
|
|
$67.10
|
|
|
|
$62.70
|
|
|
|
$67.10
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$68.03
|
|
|
|
$62.31
|
|
|
|
$67.20
|
|
Second Quarter
|
|
|
$70.67
|
|
|
|
$66.26
|
|
|
|
$68.37
|
|
Third Quarter
|
|
|
$69.22
|
|
|
|
$64.12
|
|
|
|
$64.12
|
|
Fourth Quarter
|
|
|
$64.51
|
|
|
|
$59.53
|
|
|
|
$60.84
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$65.99
|
|
|
|
$58.48
|
|
|
|
$64.17
|
|
Second Quarter
|
|
|
$68.42
|
|
|
|
$63.49
|
|
|
|
$63.49
|
|
Third Quarter
|
|
|
$65.46
|
|
|
|
$56.25
|
|
|
|
$57.32
|
|
Fourth Quarter
|
|
|
$62.06
|
|
|
|
$57.50
|
|
|
|
$58.72
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$57.82
|
|
|
|
$51.38
|
|
|
|
$57.16
|
|
Second Quarter
|
|
|
$59.87
|
|
|
|
$52.63
|
|
|
|
$55.82
|
|
Third Quarter
|
|
|
$59.86
|
|
|
|
$54.42
|
|
|
|
$59.13
|
|
Fourth Quarter
|
|
|
$59.20
|
|
|
|
$56.20
|
|
|
|
$57.73
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$62.60
|
|
|
|
$58.09
|
|
|
|
$62.29
|
|
April 1, 2017 to June 20, 2017
|
|
|
$67.22
|
|
|
|
$61.44
|
|
|
|
$65.07
|
|
PRS-26
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
United States Federal Tax Considerations
|
You should read carefully the discussion under United States Federal Tax Considerations in the
accompanying product supplement and Selected Risk Considerations in this pricing supplement.
In the opinion of our counsel,
Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as a prepaid derivative contract that is an open transaction for U.S. federal income tax purposes. By purchasing a security,
you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject to the discussion in United States Federal Tax Considerations in
the accompanying product supplement, the following U.S. federal income tax consequences should result under current law:
|
|
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant
to a sale or exchange.
|
|
|
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss
equal to the difference between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of the constructive ownership rules under Section 1260 of the Code, any
gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
|
Even if the treatment of the securities as prepaid derivative contracts that are open transactions is respected, your purchase of a
security may be treated as entry into a constructive ownership transaction, within the meaning of Section 1260 of the Code, with respect to the shares of the basket components. In that case, all or a portion of any long-term capital
gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent such gain exceeded the net underlying long-term capital gain. Although the matter is unclear, the net
underlying long-term capital gain may equal the amount of long-term capital gain you would have realized if on the issue date you had purchased shares of the basket components with a value equal to the amount you paid to acquire your
securities and subsequently sold those shares for their fair market value at the time your securities are sold, exchanged or retired (which would reflect the percentage increase, without regard to the participation rate, in the value of the shares
of the basket components over the term of the securities). Alternatively, the net underlying long-term capital gain could be calculated using a number of shares of the basket components that reflects the participation rate used to
calculate the payment that you will receive on your securities. Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities, and you
would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how
Section 1260 applies to the securities. You should read the section entitled United States Federal Tax ConsiderationsTax Consequences to U.S. HoldersPotential Application of Section 1260 of the Code in the
accompanying product supplement for additional information and consult your tax adviser regarding the potential application of the constructive ownership rule.
Subject to the discussion below, if you are a non-U.S. holder (as defined in the accompanying product supplement) of the securities, you
generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct
of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed in the
section of the accompanying product supplement entitled United States Federal Tax ConsiderationsFATCA Legislation, withholding under legislation commonly referred to as
FATCA
might (if the securities were
recharacterized as debt instruments) apply to amounts treated as interest or dividend equivalents paid with respect to the securities. However, under an IRS notice, withholding under FATCA will apply to the payment of gross proceeds (other than any
amount treated as interest) only with respect to a disposition of the securities after December 31, 2018. You should consult your tax adviser regarding the potential application of FATCA to the securities.
In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of
prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the
nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or
should be subject to the constructive ownership
PRS-27
Market Linked SecuritiesLeveraged Upside Participation
and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a Global ETF Basket due June 26, 2020
|
United States Federal Tax Considerations (Continued)
|
regime described above. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to
withholding tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m) of the Code
. Section 871(m)
of the Code and Treasury regulations promulgated thereunder (
Section 871(m)
) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial instruments
linked to U.S. equities (
U.S. underlying equities
) or indices that include U.S. underlying equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S.
underlying equities, as determined based on tests set forth in the applicable Treasury regulations (a
specified security
). However, the regulations exempt financial instruments issued in 2017 that do not have a delta
of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a delta of one within the meaning of the regulations with
respect to any U.S. underlying equity and, therefore, should not be specified securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. underlying equity, you could be subject to withholding tax or
income tax liability under Section 871(m) even if the securities are not specified securities subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section 871(m) to
the securities.
This information is indicative and will be updated in the final pricing supplement or may otherwise be updated by us in
writing from time to time. Non-U.S. holders should be warned that Section 871(m) may apply to the securities based on circumstances as of the pricing date for the securities and, therefore, it is possible that the securities will be subject to
withholding tax under Section 871(m).
If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
You should read the section entitled United States Federal Tax Considerations
in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and
disposing of the securities.
You should consult your tax adviser regarding all aspects of the U.S. federal income and estate tax
consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
PRS-28