representation of general funding conditions in the overnight Treasury repo market. However, as a rate based on transactions secured by U.S. Treasury securities, it does not measure bank-specific
credit risk and, as a result, is less likely to correlate with the unsecured short-term funding costs of banks. This may mean that market participants would not consider SOFR a suitable substitute or successor for all of the purposes for which LIBOR
historically has been used (including, without limitation, as a representation of the unsecured short-term funding costs of banks), which may, in turn, lessen market acceptance of SOFR. Any failure of SOFR to gain market acceptance could adversely
affect the return on the notes and the price at which you can sell such notes.
The composition and characteristics of SOFR are not the same as
those of LIBOR and there is no guarantee that SOFR is a comparable substitute for LIBOR.
In June 2017, the New York Federal
Reserves Alternative Reference Rates Committee (the ARRC) announced SOFR as its recommended alternative to U.S. dollar LIBOR. However, the composition and characteristics of SOFR are not the same as those of LIBOR. SOFR is a broad
Treasury repo financing rate that represents overnight secured funding transactions. This means that SOFR is fundamentally different from LIBOR for two key reasons. First, SOFR is a secured rate, while LIBOR is an unsecured rate. Second, SOFR is an
overnight rate, while LIBOR represents interbank funding over different maturities. As a result, we cannot assure you that SOFR will perform in the same way that LIBOR would have performed at any time, including, without limitation, as a result of
changes in interest and yield rates in the market, market volatility or global or regional economic, financial, political, regulatory, judicial or other events. For example, since publication of SOFR began on April 3, 2018, daily changes in
SOFR have, on occasion, been more volatile than daily changes in comparable benchmark or other market rates. For additional information regarding SOFR, see Description of the NotesInterestSecured Overnight Financing Rate
(SOFR) below.
The administrator of SOFR may make changes that could change the value of SOFR or discontinue SOFR and has no
obligation to consider your interests in doing so.
The New York Federal Reserve (or a successor), as administrator of SOFR, may make
methodological or other changes that could change the value of SOFR, including changes related to the method by which SOFR is calculated, eligibility criteria applicable to the transactions used to calculate SOFR, or timing related to the
publication of SOFR. In addition, the administrator may alter, discontinue or suspend calculation or dissemination of SOFR (in which case a fallback method of determining the interest rate on the notes during the floating rate period as further
described under Description of the NotesInterestDetermination of SOFR will apply). The administrator has no obligation to consider your interests in calculating, adjusting, converting, revising or discontinuing SOFR.
If SOFR is discontinued, the notes will bear interest during the floating rate period by reference to a different base rate, which could adversely
affect the value of the notes, the return on the notes and the price at which you can sell such notes during the floating rate period; there can be no guarantee that any Benchmark Replacement will be a comparable substitute for SOFR.
If we or our designee determine that a Benchmark Transition Event and its related Benchmark Replacement Date have occurred in respect of SOFR, then the
interest rate on the notes during the floating rate period will no longer be determined by reference to SOFR, but instead will be determined by reference to a different rate, which will be a different benchmark from SOFR, plus a spread adjustment,
which we refer to as a Benchmark Replacement, as further described under Description of the NotesInterestDetermination of SOFR below.
If a particular Benchmark Replacement or Benchmark Replacement Adjustment cannot be determined, then the next-available Benchmark Replacement or Benchmark
Replacement Adjustment will apply. These replacement rates and adjustments may be selected, recommended or formulated by (i) the Relevant Governmental Body (such as the ARRC), (ii) ISDA or (iii) us or our designee. In addition, the terms
of the notes expressly authorize us or our designee to make Benchmark Replacement Conforming Changes with respect to, among other things, the definition of floating rate interest payment period, timing and frequency of determining rates
and making
S-16