Filed Pursuant to Rule 424(b)(2)
Registration Statement
Nos. 333-273353
333-273353-01
The information in this preliminary pricing supplement
is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these
securities in any jurisdiction where the offer or sale is not permitted.
|
| |
Subject
to Completion. Dated January 3, 2025 |
|
 |
Nomura America Finance,
LLC
$
Callable Contingent Coupon
Index-Linked Notes due 2027
guaranteed by
Nomura Holdings, Inc. |
|
Payment at Maturity: The amount that you will be paid on your
notes at maturity, if they have not been redeemed by us, in addition to the final coupon, if any, is based on the performance of the
underlier with the lowest underlier return. You could lose your entire investment in the notes.
Coupon Payments: The notes will pay a contingent monthly coupon
on a coupon payment date if the closing level of each underlier is greater than or equal to its coupon trigger level on
the related coupon observation date.
Company’s Redemption Right: Prior to the stated maturity
date, we may redeem your notes at our option on any coupon payment date commencing in May 2025.
The terms included in the “Key Terms” table below are
expected to be as indicated, but such terms will be set on the trade date. You should read the disclosure herein to better understand
the terms and risks of your investment, including the credit risk of Nomura America Finance, LLC and Nomura Holdings, Inc. See page PS-9.
| Key
Terms |
|
| Issuer
/ Guarantor: |
Nomura
America Finance, LLC / Nomura Holdings, Inc. |
| Aggregate
face amount: |
$ |
| Cash
settlement amount: |
subject
to the early redemption feature, on the stated maturity date, in addition to any coupon then due, the issuer will pay, for each $1,000
face amount of the notes, an amount in cash equal to: |
| |
· if
the final underlier level of each underlier is greater than or equal to its trigger buffer level: $1,000; or |
| |
· if
the final underlier level of any underlier is less than its trigger buffer level: |
| |
$1,000
+ ($1,000 × the least performing underlier return) |
| Underliers: |
the
S&P 500® Index (current Bloomberg symbol: “SPX Index”), the Russell 2000® Index (current
Bloomberg symbol: “RTY Index”), and the NASDAQ-100 Index® (current Bloomberg symbol: “NDX Index”) |
| Coupon
trigger level: |
for
each underlier, 70% of its initial underlier level (rounded to two decimal places with respect to SPX and NDX, and three decimal
places with respect to RTY) |
| Trigger
buffer level: |
for
each underlier, 70% of its initial underlier level (rounded to two decimal places with respect to SPX and NDX, and three decimal
places with respect to RTY) |
| Initial
underlier level: |
with
respect to an underlier, an intra-day level or the closing level of such underlier on the trade date |
| Final
underlier level: |
with
respect to an underlier, the closing level of such underlier on the determination date* |
| Underlier
return: |
with
respect to an underlier: (its final underlier level - its initial underlier level) / its initial underlier level |
| Least
performing underlier return: |
the
underlier return of the least performing underlier (the underlier with the lowest underlier return) |
| Calculation
agent: |
Nomura
Securities International, Inc. |
| CUSIP
/ ISIN: |
65541KAQ7
/ US65541KAQ76 |
* subject to adjustment as described in the accompanying
product prospectus supplement
Investing in the notes involves significant risks, including
Nomura America Finance, LLC and Nomura Holdings, Inc.’s credit risk. You should carefully consider the risk factors under
“Selected Risk Factors” beginning on page PS-9 of this pricing supplement, under “Additional Risk Factors Specific
to the Notes” beginning on page PS-18 of the accompanying product prospectus supplement, under “Risk Factors”
beginning on page 6 in the accompanying prospectus and any risk factors incorporated by reference into the accompanying prospectus
before you invest in the notes.
The estimated value of your notes at the time the terms of your notes
are set on the trade date (as determined by reference to pricing models used by Nomura Securities International, Inc.) is expected
to be between $920.00 and $970.00 per $1,000 face amount, which is expected to be less than the original issue price.
The expected delivery of the notes will be made against payment therefor
on or about the original issue date.
The notes will be unsecured obligations of Nomura America Finance,
LLC. Nomura America Finance, LLC is not a bank, and the notes will not constitute deposits insured by the U.S. Federal Deposit Insurance
Corporation or any other governmental agency or instrumentality.
| |
Original
issue price |
Underwriting
discount(1) |
Net
proceeds to the issuer |
| Per
Note |
100.00%
of the face amount |
Up
to 0.75% |
At
least 99.25% |
| Total |
$ |
$ |
$ |
(1) See “Supplemental Plan of Distribution.”
Neither the Securities and Exchange Commission nor any other regulatory
body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing supplement. Any representation
to the contrary is a criminal offense.
January
, 2025
| Key
Terms (continued) |
|
| Coupon: |
subject to the early redemption feature, on each coupon payment
date, the issuer will pay, for each $1,000 of the outstanding face amount, an amount in cash equal to:
· if
the closing level of each underlier on the related coupon observation date is greater than or equal to its coupon trigger level:
$7.50 (0.75% monthly, or the potential for up to 9.00% per annum); or
· if
the closing level of any underlier on the related coupon observation date is less than its coupon trigger level: $0 |
| Early
redemption feature: |
The notes may be redeemed by the issuer at its option, in whole
but not in part, on each coupon payment date commencing in May 2025 and ending in January 2027, for an amount in cash for
each $1,000 of the outstanding face amount on the redemption date equal to $1,000 (along with the coupon then due).
If the issuer chooses to exercise the issuer’s redemption
right, it will notify the holder of this note (The Depository Trust Company) and the trustee by giving at least three business days’
prior notice. We will have no independent obligation to notify you directly. The day the issuer gives the notice, which will be a
business day, will be the redemption notice date and the immediately following coupon payment date, which the company will state
in the redemption notice, will be the redemption date.
The company will not give a redemption notice that results in
a redemption date later than the January 2027 coupon payment date. A redemption notice, once given, shall be irrevocable. |
| Trade
date: |
expected
to be January 31, 2025 |
| Original
issue date: |
expected
to be February 5, 2025 |
| Determination
date: |
the
last coupon observation date, expected to be February 1, 2027* |
| Stated
maturity date: |
expected
to be February 4, 2027* |
| Coupon
observation dates* |
Coupon
payment dates* |
| February 28,
2025 |
March 5,
2025 |
| March 31,
2025 |
April 3,
2025 |
| April 30,
2025 |
May 5,
2025 |
| June 2,
2025 |
June 5,
2025 |
| June 30,
2025 |
July 3,
2025 |
| July 31,
2025 |
August 5,
2025 |
| September 2,
2025 |
September 5,
2025 |
| September 30,
2025 |
October 3,
2025 |
| October 31,
2025 |
November 5,
2025 |
| December 1,
2025 |
December 4,
2025 |
| December 31,
2025 |
January 6,
2026 |
| February 2,
2026 |
February 5,
2026 |
| March 2,
2026 |
March 5,
2026 |
| March 31,
2026 |
April 3,
2026 |
| April 30,
2026 |
May 5,
2026 |
| June 1,
2026 |
June 4,
2026 |
| June 30,
2026 |
July 3,
2026 |
| July 31,
2026 |
August 5,
2026 |
| August 31,
2026 |
September 3,
2026 |
| September 30,
2026 |
October 5,
2026 |
| November 2,
2026 |
November 5,
2026 |
| November 30,
2026 |
December 3,
2026 |
| December 31,
2026 |
January 6,
2027 |
| February 1,
2027 |
February 4,
2027 |
* subject to adjustment as described in the accompanying
product prospectus supplement
| The issue
price, underwriting discount and net proceeds listed above relate to the notes we sell initially. We may decide to sell additional
notes after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that differ from
the amounts set forth above. The return (whether positive or negative) on your investment in notes will depend in part on the issue
price you pay for such notes. |
| |
| Nomura America Finance,
LLC may use this prospectus in the initial sale of the notes. In addition, Nomura Securities International, Inc. or any other
affiliate of Nomura America Finance, LLC may use this prospectus in a market-making transaction in a note after its initial sale.
Unless Nomura America Finance, LLC or its agent informs the purchaser otherwise in the confirmation of sale, this prospectus
is being used in a market-making transaction. |
| |
| ADDITIONAL
INFORMATION |
| You
should read this pricing supplement together with the prospectus, dated July 20, 2023 (the “prospectus”), and the
product prospectus supplement, dated February 29, 2024 (the “product prospectus supplement”), relating to our Senior
Global Medium-Term Notes, Series A, of which these notes are a part. In the event of any conflict between the terms of this
pricing supplement and the terms of the prospectus or the product prospectus supplement, the terms of this pricing supplement will
control. |
| |
| This
pricing supplement, together with the prospectus and the product prospectus supplement, contains the terms of the notes. You should
carefully consider, among other things, the matters set forth under “Risk Factors” in the accompanying prospectus, under
“Additional Risk Factors Specific to the Notes” in the accompanying product prospectus supplement, and under “Selected
Risk Factors” beginning on page PS-9 of this pricing supplement. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the notes. |
| |
| We
have not authorized anyone to provide any information or to make any representations other than those contained or incorporated by
reference in this pricing supplement. We take no responsibility for, and can provide no assurance as to the reliability of, any other
information that others may provide. This pricing supplement is an offer to sell only the securities offered hereby, but only under
circumstances and in jurisdictions where it is lawful to do so. The information contained in this pricing supplement is current only
as of its date. |
| |
| You
may access the prospectus and the product prospectus supplement on the SEC website at www.sec.gov as follows: |
| |
| · Prospectus
dated July 20, 2023: |
| https://www.sec.gov/Archives/edgar/data/1383951/000110465923082805/tm2320650-3_424b3.htm |
| |
| · Product
Prospectus Supplement dated February 29, 2024: |
| https://www.sec.gov/Archives/edgar/data/1163653/000110465924029404/tm247408-1_424b3.htm |
| |
| Some
of the terms or features described in the listed documents may not apply to your notes. |
SUPPLEMENTAL TERMS OF THE NOTES
For purposes of the notes offered by this pricing
supplement, all references to each of the following terms used in the accompanying product prospectus supplement will be deemed to refer
to the corresponding term used in this pricing supplement, as set forth in the table below:
| Product Prospectus Supplement Term |
Pricing Supplement Term |
| redemption settlement
date |
redemption date |
| contingent coupon barrier |
coupon trigger level |
| final valuation date |
determination date |
| initial valuation date |
trade date |
| principal amount |
face amount |
| reference asset |
underlier |
| reference asset performance |
underlier return |
| reference asset sponsor |
underlier sponsor |
| scheduled
trading day |
trading day |
| closing
value |
closing
level |
| initial
value |
initial underlier level |
| final
value |
final underlier level |
| barrier percentage |
trigger buffer level |
Market Disruption Event
The following description supersedes the market disruption event disclosure
in “General Terms of the Notes — Market Disruption Events — Reference Assets Consisting of an Index” in the accompanying
product prospectus supplement:
Any of the following will be a market disruption event with respect
to any underlier:
| · | a
suspension, absence or material limitation of trading in the underlying securities of such
underlier constituting 20% or more, by weight, of the applicable underlier on their respective
primary markets, in each case for more than two hours of trading or during the one-half hour
before the close of trading in the relevant equity market or markets, as determined by the
calculation agent in its sole discretion; |
| | | |
| · | a
suspension, absence or material limitation of trading in options or futures contracts relating
to such underlier or to underlying securities constituting 20% or more, by weight, of such
underlier, if available, in the respective primary markets for those contracts, in each case
for more than two hours of trading or during the one-half hour before the close of trading
in that market, as determined by the calculation agent in its sole discretion; or |
| | | |
| · | underlying
securities constituting 20% or more, by weight, of such underlier, or options or futures
contracts relating to such underlier or to underlying securities constituting 20% or more,
by weight, of such underlier, if available, do not trade on what were the respective primary
markets for those underlying securities or contracts, as determined by the calculation agent
in its sole discretion; |
and, in the case of any of these events, the calculation agent determines
in its sole discretion that such event materially interferes with our ability or the ability of any of our affiliates to unwind all or
a portion of a hedge with respect to the notes. For more information about hedging by us or our affiliates, see “Use of Proceeds
and Hedging” in the accompanying product prospectus supplement.
The following events will not be market disruption events with respect
to any underlier:
| · | a
limitation on the hours or numbers of days of trading, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or |
| | | |
| · | a
decision to permanently discontinue trading in the options or futures contracts relating
to such underlier or any underlying security. |
| HYPOTHETICAL
EXAMPLES |
| |
| The following examples
are provided for purposes of illustration only. The examples should not be taken as an indication or prediction of future investment
results and merely are intended to illustrate (i) the impact that the various hypothetical closing levels of the underliers
on a coupon observation date could have on the coupon payable, if any, on the related coupon payment date and (ii) the impact
that the various hypothetical closing levels of the least performing underlier on the determination date could have on the cash settlement
amount at maturity assuming all other variables remain constant and are not intended to predict the closing levels of the underliers. |
| |
| The information in the
following examples reflects hypothetical rates of return on the offered notes assuming that they are purchased on the original issue
date at the face amount and held to the stated maturity date or date of early redemption. If you sell your notes in a secondary market
prior to a the stated maturity date or date of early redemption, as the case may be, your return will depend upon the market value
of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the examples below, such
as interest rates, the volatility of the underliers, the creditworthiness of Nomura America Finance, LLC, as issuer, and the creditworthiness
of Nomura Holdings, Inc., as guarantor. The information in the examples also reflects the key terms and assumptions in the box
below. |
| Key
Terms and Assumptions |
|
| Face
amount |
$1,000 |
| Coupon |
$7.50
(0.75% monthly, or the potential for up to 9.00% per annum) |
| Coupon
trigger level |
with
respect to each underlier, 70% of its initial underlier level |
| Trigger
buffer level |
with
respect to each underlier, 70% of its initial underlier level |
| The
notes are not redeemed, unless otherwise indicated below |
| Neither
a market disruption event nor a non-trading day occurs on any originally scheduled coupon observation date or the originally scheduled
determination date |
| No
change in or affecting any of the stocks comprising an underlier or the method by which the applicable underlier sponsor calculates
any underlier |
| Notes
purchased on original issue date at the face amount and held to the stated maturity date or date of early redemption |
| For these reasons, the actual performance
of the underliers over the life of your notes, the actual underlier levels on any coupon observation date, as well as the coupon
payable, if any, on each coupon payment date, may bear little relation to the hypothetical examples shown below or to the historical
underlier levels shown elsewhere in this pricing supplement. |
| |
| Also, the hypothetical examples shown below do
not take into account the effects of applicable taxes. |
| Hypothetical
Coupon Payments |
| |
| The examples below show
the hypothetical coupon, if any, that we would pay on each coupon payment date with respect to each $1,000 face amount of the notes
if the hypothetical closing level of each underlier on the applicable coupon observation date was the percentage of its initial underlier
level shown. |
Scenario 1
Coupon
Observation
Date |
Hypothetical
Closing
Level of the
NASDAQ-100 Index®
(as Percentage of
Initial Underlier Level) |
Hypothetical
Closing
Level of the Russell
2000® Index
(as
Percentage of Initial
Underlier Level) |
Hypothetical
Closing
Level of the S&P 500®
Index (as Percentage
of Initial Underlier
Level) |
Hypothetical
Coupon |
| 1 |
130.000% |
75.000% |
65.000% |
$0.00 |
| 2 |
69.000% |
130.000% |
135.000% |
$0.00 |
| 3 |
85.000% |
70.000% |
87.000% |
$7.50 |
| 4 |
65.000% |
60.000% |
65.000% |
$0.00 |
| 5 |
65.000% |
68.000% |
30.000% |
$0.00 |
| 6 |
90.000% |
55.000% |
95.000% |
$0.00 |
| 7 |
100.000% |
75.000% |
110.000% |
$7.50 |
| 8 |
110.000% |
105.000% |
50.000% |
$0.00 |
| 9 |
100.000% |
69.000% |
55.000% |
$0.00 |
| 10 |
90.000% |
65.000% |
65.000% |
$0.00 |
| 11 |
110.000% |
50.000% |
55.000% |
$0.00 |
| 12
- 24 |
65.000% |
65.000% |
68.000% |
$0.00 |
| |
|
|
Total
Hypothetical Coupons |
$15.00 |
| In Scenario 1, the hypothetical closing
level of each underlier has increased or decreased relative to the initial underlier level on each hypothetical coupon observation
date. On the coupon payment dates relating to coupon observation dates on which the hypothetical closing level of each underlier
is greater than or equal to its coupon trigger level, you will receive a coupon payment. However, on the coupon payment dates relating
to coupon observation dates on which the hypothetical closing level of at least one underlier is less than its coupon trigger level,
you will not receive a coupon payment. |
Scenario 2
Coupon
Observation
Date |
Hypothetical
Closing
Level of the
NASDAQ-100 Index®
(as Percentage of
Initial Underlier Level) |
Hypothetical
Closing
Level of the Russell
2000® Index (as
Percentage of Initial
Underlier Level) |
Hypothetical
Closing
Level of the S&P 500®
Index (as Percentage
of Initial Underlier
Level) |
Hypothetical
Coupon |
| 1 |
130.000% |
60.000% |
65.000% |
$0.00 |
| 2 |
90.000% |
65.000% |
125.000% |
$0.00 |
| 3 |
90.000% |
65.000% |
82.000% |
$0.00 |
| 4 |
90.000% |
135.000% |
65.000% |
$0.00 |
| 5 |
90.000% |
65.000% |
65.000% |
$0.00 |
| 6 |
90.000% |
70.000% |
65.000% |
$0.00 |
| 7 |
100.000% |
60.000% |
105.000% |
$0.00 |
| 8 |
110.000% |
50.000% |
83.000% |
$0.00 |
| 9 |
100.000% |
60.000% |
55.000% |
$0.00 |
| 10 |
90.000% |
69.000% |
75.000% |
$0.00 |
| 11 |
110.000% |
55.000% |
50.000% |
$0.00 |
| 12
- 24 |
65.000% |
65.000% |
65.000% |
$0.00 |
| |
|
|
Total
Hypothetical Coupons |
$0.00 |
| In Scenario 2, the hypothetical closing
level of each underlier has increased or decreased relative to the initial underlier level on each hypothetical coupon observation
date. However, you will not receive a coupon payment on any coupon payment date because in each case the hypothetical closing level
of at least one underlier on the related coupon observation date is less than its coupon trigger level. The overall return you earn
on your notes will be less than zero. |
Scenario 3
Coupon
Observation
Date |
Hypothetical
Closing
Level of the
NASDAQ-100 Index®
(as Percentage of
Initial Underlier Level) |
Hypothetical
Closing
Level of the Russell
2000® Index (as
Percentage of Initial
Underlier Level) |
Hypothetical
Closing
Level of the S&P 500®
Index (as Percentage
of Initial Underlier
Level) |
Hypothetical
Coupon |
| 1 |
40.000% |
50.000% |
50.000% |
$0.00 |
| 2 |
25.000% |
30.000% |
45.000% |
$0.00 |
| 3 |
110.000% |
105.000% |
105.000% |
$7.50 |
| |
|
|
Total
Hypothetical Coupons |
$7.50 |
| In Scenario 3, the hypothetical closing
level of each underlier is less than its coupon trigger level on the first two hypothetical coupon observation dates, but increases
to a level that is greater than its initial underlier level on the third hypothetical coupon observation date. Further, we also exercise
our early redemption right with respect to a redemption on the third hypothetical coupon payment date (which is also the first hypothetical
date with respect to which we could exercise such right). Therefore, on the third coupon payment date (the redemption date), in addition
to the coupon payment, you will receive an amount in cash equal to $1,000 for each $1,000 face amount of your notes. |
| |
| Hypothetical
Payment at Maturity |
| |
| If the notes are not
redeemed, the cash settlement amount that we would deliver for each $1,000 face amount of your notes on the stated maturity date
will depend on the performance of the least performing underlier on the determination date, as shown in the table below. The table
below assumes that the notes have not been redeemed and does not include the final coupon, if any. If the final underlier
level of the least performing underlier is less than its coupon trigger level, you will not be paid a final coupon at maturity. |
| |
| The levels in the left
column of the table below represent hypothetical final underlier levels of the least performing underlier and are expressed as percentages
of the initial underlier level of the least performing underlier. The amounts in the right column represent the hypothetical cash
settlement amounts, based on the corresponding hypothetical final underlier level of the least performing underlier, and are expressed
as percentages of the face amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical cash settlement
amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding face amount
of the offered notes on the stated maturity date would equal 100.000% of the face amount of a note, based on the corresponding hypothetical
final underlier level of the least performing underlier and the assumptions noted above. |
| The
Notes Have Not Been Redeemed |
Hypothetical
Final Underlier Level
of
the Least Performing Underlier (as Percentage of
Its Initial Underlier Level) |
Hypothetical
Cash Settlement Amount
(as
Percentage of Face Amount) |
| 200.000% |
100.000%* |
| 175.000% |
100.000%* |
| 150.000% |
100.000%* |
| 125.000% |
100.000%* |
| 100.000% |
100.000%* |
| 90.000% |
100.000%* |
| 75.000% |
100.000%* |
| 70.000% |
100.000%* |
| 69.999% |
69.999% |
| 60.000% |
60.000% |
| 50.000% |
50.000% |
| 25.000% |
25.000% |
| 12.500% |
12.500% |
| 0.000% |
0.000% |
*Does not include the final coupon
| As shown in the table above, if the notes have not been
redeemed: |
| |
| · |
If the final underlier level of the least performing underlier
were determined to be 12.500% of its initial underlier level, the cash settlement amount that we would deliver on your notes at maturity
would be 12.500% of the face amount of your notes. |
| |
|
| |
○ |
As a result, if you purchased your notes on the original
issue date at the face amount and held them to the stated maturity date, you would lose 87.500% of your investment (if you purchased
your notes at a premium to face amount you would lose a correspondingly higher percentage of your investment). |
| |
|
|
| · |
If the final underlier level of the least performing underlier
were determined to be 200.000% of its initial underlier level, the cash settlement amount that we would deliver on your notes at
maturity would be limited to 100.000% of each $1,000 face amount of your notes. |
| |
|
| |
○ |
As a result, if you held your notes to the stated maturity date, you
would not benefit from any increase in the final underlier level of the least performing underlier over its initial underlier level. |
SELECTED RISK FACTORS
Risks Relating to the Structure or Features of the Notes
The Notes Do Not Guarantee Any Return of Principal
and You May Lose All of Your Face Amount.
The notes do not guarantee any return of principal. The notes differ
from ordinary debt securities in that we will not pay you 100% of the face amount of your notes if the notes are not redeemed and the
final underlier level of any underlier is less than its trigger buffer level. In this case, the payment at maturity you will be entitled
to receive will be less than the face amount and you will lose 1% for each 1% that the underlier performance of the least performing
underlier is less than -30.00%. You may lose up to 100% of your investment at maturity. Even with any contingent coupons received prior
to maturity, your return on the notes may be negative in this case.
The Return on Your Notes May Change Significantly Despite
Only a Small Change in the Level of the Least Performing Underlier
If your notes are not redeemed by us and the final underlier level
of the least performing underlier is less than its trigger buffer level, you will receive less than the face amount of your notes and
you could lose all or a substantial portion of your investment in the notes. This means that while a decrease in the final underlier
level of the least performing underlier to its trigger buffer level will not result in a loss of principal on the notes, a decrease in
the final underlier level of the least performing underlier to less than its trigger buffer level will result in a loss of a significant
portion of the face amount of the notes despite only a small change in the level of the least performing underlier.
The Amount Payable on the Notes Is Not Linked
to the Levels of the Underliers at Any Time Other Than the Coupon Observation Dates, Including the Determination Date.
The payments on the notes will be based on the closing level of each
underlier on the coupon observation dates, including the determination date, subject to postponement for non-trading days and certain
market disruption events. Even if the level of the least performing underlier is greater than or equal to its coupon trigger level during
the term of the notes other than on a coupon observation date but then decreases on a coupon observation date to a level that is less
than its coupon trigger level, the contingent coupon will not be payable for the relevant monthly period. Similarly, if the notes are
not redeemed, even if the level of the least performing underlier is greater than or equal to its trigger buffer level during the term
of the notes other than on the determination date but then decreases on the determination date to a level that is less than its trigger
buffer level, the payment at maturity will be less, possibly significantly less, than it would have been had the payment at maturity
been linked to the level of the least performing underlier prior to such decrease. Although the actual level of the least performing
underlier on the maturity date or at other times during the term of the notes may be higher than its level on the coupon observation
dates, whether each contingent coupon will be payable and the payment at maturity will be based solely on the closing level of the least
performing underlier on the applicable coupon observation dates.
You May Not Receive Any Contingent Coupons.
We will not necessarily make periodic coupon payments on the notes.
If the closing level of any underlier on a coupon observation date is less than its coupon trigger level, we will not pay you the contingent
coupon applicable to that coupon observation date. If on each of the coupon observation dates, the closing level of any underlier is
less than its coupon trigger level, we will not pay you any contingent coupons during the term of, and you will not receive a positive
return on, the notes. Generally, this non-payment of the contingent coupon coincides with a period of greater risk of principal loss
on the notes.
Your Return on the Notes Is Limited to the
Face Amount Plus the Contingent Coupons, If Any, Regardless of Any Appreciation in the Level of Any Underlier.
You will not participate in any appreciation of the underliers. In
addition to any contingent coupon payments received prior to maturity or early redemption, for each $1,000 face amount, at maturity or
upon early redemption, you will receive $1,000 plus the final contingent coupon if the closing level of the least performing underlier
on the relevant coupon observation date is equal to or greater than its coupon trigger level, regardless of any appreciation in the level
of any underlier, which may be significant. Accordingly, the return on the notes may be significantly less than the return on a security,
the return of which was directly linked to the performance of any underlier during the term of the notes.
We Are Able to Redeem Your Notes at Our Option.
On each coupon payment date commencing in May 2025 and ending
in January 2027, we will be permitted to redeem your notes at our option. Even if we do not exercise our option to redeem your notes,
our ability to do so may adversely affect the value of your notes. It is our sole option whether to redeem your notes prior to maturity
and we may or may not exercise this option for any reason. Because of this redemption option, the term of your notes could be reduced.
The Notes May Be Redeemed Prior to the
Maturity Date.
If the notes are redeemed early, the holding period over which you
may receive contingent coupon payments may be significantly reduced. It is more likely that we will redeem the notes prior to maturity
if we expect that the contingent
coupon payments are likely to be payable on most or all of the coupon
payment dates during the term of the notes, resulting in a return on the notes which is greater than the interest that would be payable
on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. 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 redeemed prior to the maturity date.
The Coupon Does Not Reflect the Actual Performance of the Underliers
from the Trade Date to Any Coupon Observation Date or from Coupon Observation Date to Coupon Observation Date
The coupon for each coupon payment date is different from, and may
be less than, a coupon determined based on the percentage difference of the closing levels of the underliers between the trade date and
any coupon observation date or between two coupon observation dates. Accordingly, the coupons, if any, on the notes may be less than
the return you could earn on another instrument linked to the underliers that pays coupons based on the performance of the underliers
from the trade date to any coupon observation date or from coupon observation date to coupon observation date.
Since the Notes Are Linked to the Performance
of More Than One Underlier, You Will Be Fully Exposed to the Risk of Fluctuations in the Level of Each Underlier.
Since the notes are linked to the performance of more than one underlier,
the notes will be linked to the individual performance of each underlier. Because such notes are not linked to a basket, in which the
risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the level
of each underlier. For example, in the case of notes linked to a basket, the return would depend on the aggregate performance of the
basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation
of another basket component. However, in the case of notes linked to the performance of more than one underlier, the individual performance
of each of the underliers would not be combined to calculate your return and the depreciation of any underlier would not be mitigated
by the appreciation of the other underliers. Instead, your return would depend on the least performing underlier.
Because the Notes Are Linked to the Performance
of the Least Performing Underlier, You are Exposed to Greater Risks of Sustaining a Significant Loss on Your Investment Than if the Notes
Were Linked to Just One Underlier.
The risk that you will suffer a significant loss on your investment
is greater if you invest in such notes as opposed to substantially similar securities that are linked to the performance of just one
underlier. With multiple underliers, it is more likely that the level of one of the underliers will be below its trigger buffer level
on the determination date, than if the notes were linked to only one underlier. Therefore, it is more likely that you will suffer a significant
loss on your investment.
Higher Contingent Coupon Rates or Lower Barrier
Levels Are Generally Associated With Underliers With Greater Expected Volatility and Therefore Can Indicate a Greater Risk of Loss.
"Volatility" refers to the frequency and magnitude of changes
in the level of an underlier. The greater the expected volatility with respect to an underlier on the trade date, the higher the expectation
as of the trade date that the level of the underlier could close below its coupon trigger level on a coupon observation date or its trigger
buffer level on the determination date, indicating a higher expected risk of non-payment of contingent coupons or loss on the notes.
This greater expected risk will generally be reflected in a higher contingent coupon rate than the yield payable on our conventional
debt securities with a similar maturity, or in more favorable terms (such as a lower trigger buffer level, a lower coupon trigger level
or a higher contingent coupon rate) than for similar securities linked to the performance of underliers with lower expected volatility
as of the trade date. You should therefore understand that a relatively higher contingent coupon rate may indicate an increased risk
of loss. Further, a relatively lower trigger buffer level may not necessarily indicate that the notes have a greater likelihood of a
repayment of principal at maturity. The volatility of any underlier can change significantly over the term of the notes. The level of
any underlier for your notes could fall sharply, which could result in a significant loss of principal. You should be willing to accept
the downside market risk of the underlier and the potential to lose some or all of your principal at maturity and to not receive any
contingent coupons.
General Risk Factors
You Are Subject to Nomura’s Credit Risk, and the Value of
Your Notes May Be Adversely Affected by Negative Changes in the Market’s Perception of Nomura’s Creditworthiness.
By purchasing the notes, you are making, in part, a decision about
Nomura’s ability to pay you the amounts you are owed pursuant to the terms of your notes. Substantially all of our assets consist
of loans to and other receivables from Nomura and its subsidiaries. Our obligations under your notes are guaranteed by Nomura. Therefore,
as a practical matter, our ability to pay you amounts we owe on the notes is directly or indirectly linked solely to Nomura’s creditworthiness.
In addition, the market’s perception of Nomura’s creditworthiness generally will directly impact the value of your notes.
If Nomura becomes or is perceived as becoming less creditworthy following your purchase of notes, you should expect that the notes will
decline in value in the secondary market, perhaps substantially. If you sell your notes in the secondary market in such an environment,
you may incur a substantial loss.
The Estimated Value of Your Notes at the Time
the Terms of Your Notes Are Set on the Trade Date (as Determined by Reference to Our Pricing Models) Will Be Less Than the Original Issue
Price of Your Notes.
The original issue price for your notes will exceed the estimated
value of your notes as of the time the terms of your notes are set on the trade date, as determined by reference to our pricing models.
Such estimated value will be set forth on the front cover of the final pricing supplement. After the trade date, the estimated value,
as determined by reference to these pricing models, may be affected by changes in market conditions, our and Nomura’s creditworthiness
and other relevant factors. If Nomura Securities International, Inc. buys or sells your notes, it will do so at prices that reflect
the estimated value determined by reference to such pricing models at that time. The price at which Nomura Securities International, Inc.
will buy or sell your notes at any time also will reflect, among other things, its then current bid and ask spread for similar sized
trades of structured notes.
In estimating the value of your notes as of the time the terms of
your notes are set on the trade date, as will be disclosed on the front cover of the final pricing supplement, our pricing models consider
certain variables, including principally Nomura’s internal funding rates, interest rates (forecasted, current and historical rates),
volatility, price-sensitivity analysis and the time to maturity of the notes. These pricing models are proprietary and rely in part on
certain assumptions about future events, which may prove to be incorrect. In addition, our internal funding rate used in our models generally
results in a higher estimated value of your notes than would result if we estimated the value using our credit spreads for our conventional
fixed rate debt. As a result, the actual value you would receive if you sold your notes in the secondary market may differ, possibly
even materially, from the estimated value of your notes that we will determine by reference to our pricing models as of the time the
terms of your notes are set on the trade date due to, among other things, any differences in pricing models, third-parties’ use
of our credit spreads in their models, or assumptions used by other market participants.
The difference between the estimated value of your notes as of the
time the terms of your notes are set on the trade date and the original issue price is a result of certain factors, including principally
the underwriting discount and commissions, the expenses incurred in creating, documenting and marketing the notes, and an estimate of
the difference between the amounts we pay to our affiliates and the amounts our affiliates pay to us in connection with their agreement
to hedge our obligations on your notes. These costs will be used or retained by us or one of our affiliates, except for underwriting
discounts paid to unaffiliated distributors.
If We Were to Repurchase Your Notes Immediately After the Original
Issue Date, the Price You Receive May Be Higher Than the Estimated Value of The Notes.
Assuming that all relevant factors remain constant after the original
issue date, the price at which we may initially buy or sell the notes in the secondary market, if any, and the value that may initially
be used for customer account statements, if any, may exceed the estimated value on the trade date for a temporary period expected to
be approximately 1 month after the original issue date. This temporary price difference may exist because, in our discretion, we may
elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the notes and other costs
in connection with the notes that we will no longer expect to incur over the term of the notes. We will make such discretionary election
and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the notes and any agreement
we may have with the distributors of the notes. The amount of our estimated costs which we effectively reimburse to investors in this
way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise
the duration of the reimbursement period after the original issue date of the notes based on changes in market conditions and other factors
that cannot be predicted.
Because Nomura Is a Holding Company, Your Right to Receive Payments
on Nomura’s Guarantee of the Notes Is Subordinated to the Liabilities of Nomura’s Other Subsidiaries.
The ability of Nomura to make payments, as guarantor, on the notes,
depends upon Nomura’s receipt of dividends, loan payments and other funds from subsidiaries. In addition, if any of Nomura’s
subsidiaries becomes insolvent, the direct creditors of that subsidiary will have a prior claim on its assets, and Nomura’s rights
and the rights of Nomura’s creditors, including your rights as an owner of the notes, will be subject to that prior claim.
Nomura’s subsidiaries are subject to various laws and regulations
that may restrict Nomura’s ability to receive dividends, loan payments and other funds from subsidiaries. In particular, many of
Nomura’s subsidiaries, including its broker-dealer subsidiaries, are subject to laws and regulations, including regulatory capital
requirements, that authorize regulatory bodies to block or reduce the flow of funds to the parent holding company, or that prohibit such
transfers altogether in certain circumstances. For example, Nomura Securities Co., Ltd., Nomura Securities International, Inc.,
Nomura International plc and Nomura International (Hong Kong) Limited, Nomura’s main broker-dealer subsidiaries, are subject to
regulatory capital requirements that could limit the transfer of funds to Nomura. These laws and regulations may hinder Nomura’s
ability to access funds needed to make payments on Nomura’s obligations.
You Must Rely on Your Own Evaluation of the Merits of an Investment
Linked to the Underliers.
In the ordinary course of business, Nomura or any of its affiliates
may have expressed views on expected movements in the underliers, and may do so in the future. These views or reports may be communicated
to Nomura’s clients and clients of its affiliates. However, any such views are and will be subject to change from time to time.
Moreover, other
professionals who deal in markets relating to the underliers may at
any time have significantly different views from those of Nomura or its affiliates. For these reasons, you are encouraged to derive information
concerning the underliers from multiple sources, and you should not rely on any of the views that may have been expressed or that may
be expressed in the future by Nomura or any of its affiliates. Neither the offering of the notes nor any view which Nomura or any of
its affiliates from time to time may express in the ordinary course of business constitutes a recommendation as to the merits of an investment
in the notes or any of the component securities.
Your Return May Be Lower Than the Return on Other Debt Securities
of Comparable Maturity.
Any contingent coupons payable on your notes may represent a return
that is below the prevailing market rate for other debt securities of comparable maturity that are not linked to an underlier. Consequently,
unless the cash settlement amount you receive on the maturity date substantially exceeds the amount you paid for your notes, the overall
return you earn on your notes could be less than what you would have earned by investing in non–underlier-linked debt securities
that bear interest at prevailing market rates. For example, your return may be less than the return you would earn if you bought a traditional
interest-bearing debt security with the same maturity date. Your investment may not reflect the full opportunity cost to you when you
take into account factors that affect the time value of money.
The Historical Performance of the Underliers Should Not Be Taken
as an Indication of Its Future Performance.
The historical levels of the underliers included in this pricing supplement
should not be taken as an indication of its future performance. Changes in the levels of the underliers will affect the market value
of the notes, but it is impossible to predict whether the levels of the underliers will rise or fall during the term of the notes. The
levels of the underliers will be influenced by complex and interrelated political, economic, financial and other factors.
Our or Our Affiliates’ Hedging and Trading Activities May Adversely
Affect the Market Value of the Notes.
As described under “Use of Proceeds and Hedging”
in the accompanying product prospectus supplement, we or one or more of our affiliates may hedge our obligations under the notes by entering
into transactions involving purchases of futures and/or other derivative instruments linked to the underliers. We also expect that we
or one or more of our affiliates will adjust these hedges by, among other things, purchasing or selling any of the foregoing, and perhaps
other instruments linked to any of the foregoing, at any time and from time to time, and unwind the hedge by selling any of the foregoing
on or before the determination date for the notes or in connection with the redemption of the notes. Our or our affiliates’ hedging
activities may result in our or our affiliates’ receiving a substantial return on these hedging activities even if your investment
in the notes results in a loss to you. These hedging activities could adversely affect the levels of the underliers and, therefore, the
market value of the notes and the cash settlement amount payable on the notes.
We or one or more of our affiliates may also issue or underwrite other
securities or financial or derivative instruments with returns linked or related to changes in the performance of the underliers. By
introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market
value of the notes and the cash settlement amount payable on the notes.
We or one or more of our affiliates may also engage in business with
the component securities issuers or trading activities related to the component securities, which may present a conflict of interest
between us (or our affiliates) and you.
There Are Potential Conflicts of Interest between You and the Calculation
Agent and between You and Our Other Affiliates.
The calculation agent will make important determinations as to the
notes. Among other things, the calculation agent will determine the applicable closing levels of the underliers. We have initially appointed
our affiliate, Nomura Securities International, Inc., to act as the calculation agent. We may change the calculation agent after
the original issue date without notice to you. For a fuller description of the calculation agent’s role, see “General
Terms of the Notes— Role of Calculation Agent” in the accompanying product prospectus supplement. The calculation agent
will exercise its judgment when performing its functions and will make any determination required or permitted of it in its sole discretion.
For example, the calculation agent may have to determine whether a market disruption event affecting an underlier has occurred and may
also have to determine its closing level in such case. This determination may, in turn, depend on the calculation agent’s judgment
whether the event has materially interfered with our ability or the ability of one of our affiliates to unwind our hedge positions. The
calculation agent may also have to select a substitute index if an underlier is discontinued. All determinations by the calculation agent
are final and binding on you absent manifest error. Since this determination by the calculation agent will affect the cash settlement
amount payable on the notes, the calculation agent may have a conflict of interest if it needs to make a determination of this kind,
and the cash settlement amount payable on your notes may be adversely affected. In addition, if the calculation agent determines that
a market disruption event has occurred, it can postpone any relevant valuation date, which may have the effect of postponing the maturity
date. If this occurs, you will receive the cash settlement amount, if any, after the originally scheduled stated maturity date but will
not receive any additional payment or any interest on such postponed cash settlement amount.
We or our affiliates may have other conflicts of interest with holders
of the notes. See “Additional Risk Factors Specific to the Notes—Our or Our Affiliates’ Business Activities May Create
Conflicts of Interest” in the accompanying product prospectus supplement.
There May Not Be an Active Trading Market for the Notes—Sales
in the Secondary Market May Result in Significant Losses.
The notes will not be listed on any securities exchange, and there
may be little or no secondary market for the notes. Nomura Securities International, Inc. and other affiliates of ours currently
intend to make a market for the notes, although they are not required to do so. Nomura Securities International, Inc. or any other
affiliate of ours may stop any such market-making activities at any time. Even if a secondary market for the notes develops, it may not
provide significant liquidity and the notes may not trade at prices advantageous to you. We expect that transaction costs in any secondary
market would be high. As a result, the difference between bid and ask prices for your notes in any secondary market could be substantial.
Furthermore, if you sell your notes, you will likely be charged a
commission for secondary market transactions, or the price will likely reflect a dealer discount.
If you sell your notes before the maturity date, you may have to do
so at a substantial discount from the issue price and as a result you may suffer substantial losses.
You Have No Shareholder Rights or Rights to Receive Any Underlier
Stock.
Investing in your notes will not make you a holder of any of the underlier
stocks. Neither you nor any other holder or owner of your notes will have any rights with respect to the underlier stocks, including
any voting rights, any rights to receive dividends or other distributions, any rights to make a claim against the underlier stocks or
any other rights of a holder of the underlier stocks. Your notes will be paid in cash, as will any coupon payments, and you will have
no right to receive delivery of any underlier stocks.
Risks Relating to the Underliers
Except to the Extent The Goldman Sachs Group, Inc. Is One
of the Companies Whose Common Stock Comprises the S&P 500® Index, There Is No Affiliation Between the Underlier Stock
Issuers or the Underlier Sponsor and Us or Goldman Sachs & Co. LLC.
The common stock of The Goldman Sachs Group, Inc. is one of the
underlier stocks comprising the S&P 500® Index. Neither we nor Goldman Sachs & Co. LLC (GS&Co.) are not
otherwise affiliated with the issuers of the underlier stocks or the underlier sponsors. As we have told you above, however, we or our
affiliates may currently or from time to time in the future own securities of, or engage in business with, the underlier sponsors or
the underlier stock issuers. Neither we nor any of our affiliates have participated in the preparation of any publicly available information
or made any “due diligence” investigation or inquiry with respect to the underliers or the other underlier stock issuers.
You, as an investor in your notes, should make your own investigation into the underliers and the underlier stock issuers. See “The
Underliers” below for additional information about the underliers.
Neither the underlier sponsors nor any of the
other underlier stock issuers are involved in the offering of your notes in any way and none of them have any obligation of any sort
with respect to your notes. Thus, neither the underlier sponsors nor any of the other underlier stock issuers have any obligation to
take your interests into consideration for any reason, including in taking any corporate actions that might affect the market value of
your notes.
Changes That Affect the Underliers May Affect
the Level of the Underliers and the Market Value of the Notes and the Amount You Will Receive on the Notes and the Amount You Will Receive
at Maturity.
The policies of the underlier sponsors of the underliers concerning
additions, deletions and substitutions of the stocks included in the underliers, and the manner in which the reference sponsor takes
account of certain changes affecting those stocks, may affect the level of the underliers. The policies of the underlier sponsors with
respect to the calculation of the underliers could also affect the level of the underliers. The underlier sponsors may discontinue or
suspend calculation or dissemination of the underliers. Any such actions could affect the level of the underliers and the level of and
the return on the notes.
An Investment In the Notes Is Subject to Small-capitalization
Risks.
The RTY tracks companies that are considered small-capitalization.
These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies
and therefore the level of the RTY may be more volatile than an investment in stocks issued by large-capitalization companies. Stock
prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and
economic developments, and the stocks of small-capitalization companies may be thinly traded, making it difficult for the RTY to track
them. In addition, small-capitalization companies are typically less stable financially than large-capitalization companies and may depend
on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject
to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have
smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less
competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products
or services. Any of these factors may adversely affect the performance of the RTY and consequently, the return on the notes.
Non-U.S. Securities Risk.
Some of the equity securities included in the NDX are issued by non-U.S.
companies. Investments in securities linked to the value of such non-U.S. equity securities, such as the notes, involve risks associated
with the home countries of the issuers of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected
by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws.
As Compared to Other Index Sponsors, Nasdaq, Inc. Retains
Significant Control and Discretionary Decision-Making Over the Underlier, Which May Have an Adverse Effect on the Level of the Underlier
and on Your Notes.
Pursuant to the underlier methodology, Nasdaq, Inc. retains the
right, from time to time, to exercise reasonable discretion as it deems appropriate in order to ensure underlier integrity, including,
but not limited to, changes to quantitative inclusion criteria. Nasdaq, Inc. may also, due to special circumstances, apply discretionary
adjustments to ensure and maintain quality of the underlier. Although it is unclear how and to what extent this discretion could or would
be exercised, it is possible that it could be exercised by Nasdaq, Inc. in a manner that materially and adversely affects the level
of the underlier and therefore your notes. Nasdaq, Inc. is not obligated to, and will not, take account of your interests in exercising
the discretion described above.
Government Regulatory Action, Including Legislative Acts and
Executive Orders, Could Result in Material Changes to the Composition of an Underlier with Underlier Stocks from One or More Foreign
Securities Markets and Could Negatively Affect Your Investment in the Notes.
Government regulatory action, including legislative
acts and executive orders, could cause material changes to the composition of an underlier with underlier stocks from one or more foreign
securities markets and could negatively affect your investment in the notes in a variety of ways, depending on the nature of such government
regulatory action and the underlier stocks that are affected. For example, recent executive orders issued by the United States Government
prohibit United States persons from purchasing or selling publicly traded securities of certain companies that are determined to operate
or have operated in the defense and related materiel sector or the surveillance technology sector of the economy of the People’s
Republic of China, or publicly traded securities that are derivative of, or that are designed to provide investment exposure to, those
securities (including indexed notes). If the prohibitions in those executive orders (or prohibitions under other government regulatory
action) become applicable to underlier stocks that are currently included in an underlier or that in the future are included in an underlier,
such underlier stocks may be removed from an underlier. If government regulatory action results in the removal of underlier stocks that
have (or historically have had) significant weight in an underlier, such removal could have a material and negative effect on the level
of such underlier and, therefore, your investment in the notes. Similarly, if underlier stocks that are subject to those executive orders
or subject to other government regulatory action are not removed from an underlier, the value of the notes could be materially and negatively
affected, and transactions in, or holdings of, the notes may become prohibited under United States law. Any failure to remove such underlier
stocks from an underlier could result in the loss of a significant portion or all of your investment in the notes, including if you attempt
to divest the notes at a time when the value of the notes has declined.
THE UNDERLIERS
Description of the SPX
S&P Publishes the SPX
The SPX, which we also refer to in this description as the “index,”
was first launched on March 4, 1957 based on an initial value of 10 from 1941-1943, and it is sponsored by S&P. The SPX includes
a representative sample of 500 companies in leading industries of the U.S. economy. The 500 companies are not the 500 largest companies
listed on the NYSE and not all 500 companies are listed on the NYSE. S&P chooses companies for inclusion in the SPX with an aim of
achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population
of the U.S. domiciled equity market. Although the SPX contains 500 constituent companies, at any one time it may contain greater
than 500 constituent trading lines since some companies included in the SPX prior to July 31, 2017 may be represented by multiple share
class lines in the SPX. The SPX is calculated, maintained and published by S&P and is part of the S&P Dow Jones Indices
family of indices. Additional information is available on the following websites: spglobal.com/spdji/en/indices/equity/sp-500 and spglobal.com.
We are not incorporating by reference the websites or any material they include in this pricing supplement.
S&P
intends for the SPX to provide a performance benchmark for the large-cap U.S. domiciled equity markets. Constituent changes are made
on an as-needed basis and there is no schedule for constituent reviews. Index additions and deletions are announced with at least three
business days advance notice. Less than three business days’ notice may be given at the discretion of the S&P Index Committee.
Relevant criteria for additions to the SPX that are employed by S&P include: the company proposed for addition should have an unadjusted
company market capitalization of $18.0 billion or more and a security level float-adjusted market capitalization of at least 50% of such
threshold (for spin-offs, eligibility is determined using when-issued prices, if available); the float-adjusted liquidity ratio of the
stock (defined as the annual dollar value traded divided by the float-adjusted market capitalization) should be greater than or equal
to 0.75 at the time of the addition to the S&P 500® Index and the stock should trade a minimum of 250,000 shares in
each of the six months leading up to the evaluation date (current constituents have
no minimum requirement), where the annual dollar value traded is calculated as the average closing price multiplied by the historical
volume over the 365 calendar days prior to the evaluation date (reduced to the available trading period for IPOs, spin-offs or public
companies considered to be U.S. domiciled for index purposes that do not have 365 calendar days of trading history on a U.S. exchange);
the company must be a U.S.-domiciled company (characterized as a company that satisfies U.S. Securities Exchange Act’s periodic
reporting obligations by filing certain required forms for domestic issuers (e.g., Form 10-K annual reports, Form 10-Q quarterly reports
and Form 8-K current reports, among others) and with a primary listing of the common stock on the NYSE, NYSE Arca, NYSE American, Nasdaq
Global Select Market, Nasdaq Global Market, Nasdaq Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA or Cboe EDGX (each, an “eligible
exchange”)); the proposed constituent has an investable weight factor (“IWF”) of 10% or more; the inclusion of the
company will contribute to sector balance in the SPX relative to sector balance in the market in the relevant market capitalization range;
financial viability (the sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings
(net income excluding discontinued operations) should be positive as should the most recent quarter); and, for IPOs, the company must
be traded on an eligible exchange for at least twelve months (for former SPACs, S&P considers the de-SPAC transaction to be an event
equivalent to an IPO, and 12 months of trading post the de-SPAC event are required before a former SPAC can be considered for inclusion
in the S&P 500® Index; spin-offs or in-specie distributions from existing constituents do not need to be traded on
an eligible exchange for twelve months prior to their inclusion in the SPX). In addition, constituents of the S&P MidCap 400® Index
and the S&P SmallCap 600® Index can be added to the SPX provided they meet the unadjusted company level market
capitalization eligibility criteria for the SPX. Migrations from the S&P MidCap 400® Index or the S&P SmallCap
600® Index do not need to meet the financial viability, liquidity, or 50% of the SPX’s unadjusted company level
minimum market capitalization threshold criteria. Further, constituents of the S&P Total Market Index Ex S&P Composite 1500 (which
includes all eligible U.S. common equities except for those included in the SPX, the S&P MidCap 400® Index and
the S&P SmallCap 600® Index) that acquire a constituent of the SPX, the S&P MidCap 400® Index
or the S&P SmallCap 600® Index that do not fully meet the all of the eligibility criteria may still be added
to the SPX at the discretion of the Index Committee if the merger consideration includes the acquiring company issuing stock to target
company shareholders, and the Index Committee determines that the addition could minimize turnover and enhance the representativeness
of the SPX as a market benchmark. Certain types of organizational structures and securities are always excluded, including, but not limited
to, business development companies (BDCs), limited partnerships, master limited partnerships, limited liability companies (LLCs),
OTC bulletin board issues, closed-end funds, ETFs, ETNs, royalty trusts, tracking stocks, special purpose acquisition companies
(SPACs), preferred stock and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights
and American depositary receipts (ADRs). Stocks are deleted from the SPX when they are involved in mergers, acquisitions or significant
restructurings such that they no longer meet the inclusion criteria, and when they substantially violate one or more of the addition
criteria. Stocks that are delisted or moved to the pink sheets or the bulletin board are removed, and those that experience a trading
halt may be retained or removed in S&P’s discretion. S&P evaluates additions and deletions with a view to maintaining SPX
continuity.
For constituents included in the SPX prior to July 31, 2017, all publicly
listed multiple share class lines are included separately in the SPX, subject to, in the case of any such share class line, that share
class line satisfying the liquidity
and float criteria discussed above and subject to certain exceptions. It
is possible that one listed share class line of a company may be included in the SPX while a second listed share class line of the same
company is excluded. For companies that issue a second publicly traded share class to index share class holders, the newly issued
share class line is considered for inclusion if the event is mandatory and the market capitalization of the distributed class is not
considered to be de minimis.
As of July 31, 2017, companies with multiple share class lines are
no longer eligible for inclusion in the SPX. Only common shares are considered when determining whether a company has a multiple share
class structure. Constituents of the SPX prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue
to be included in the SPX. If an SPX constituent reorganizes into a multiple share class line structure, that company will be reviewed
for continued inclusion in the SPX at the discretion of the S&P Index Committee.
Calculation of the SPX
The SPX is calculated using a base-weighted aggregative methodology.
This discussion describes the “price return” calculation of the SPX. The value of the SPX on any day for which an index value
is published is determined by a fraction, the numerator of which is the aggregate of the market price of each stock in the SPX times the
number of shares of such stock included in the SPX, and the denominator of which is the divisor, which is described more fully below.
The “market value” of any index stock is the product of the market price per share of that stock times the
number of the then-outstanding shares of such index stock that are then included in the SPX.
The SPX is also sometimes called a “base-weighted aggregative
index” because of its use of a divisor. The “divisor” is a value calculated by S&P that is intended to maintain
conformity in index values over time and is adjusted for all changes in the index stocks’ share capital after the “base date”
as described below. The level of the SPX reflects the total market value of all index stocks relative to the index’s base period
of 1941-1943.
In addition, the SPX is float-adjusted, meaning that the share counts
used in calculating the SPX reflect only those shares available to investors rather than all of a company’s outstanding shares.
S&P seeks to exclude shares held by long-term, strategic shareholders concerned with the control of a company, a group that generally
includes the following: officers and directors and related individuals whose holdings are publicly disclosed, private equity, venture
capital, special equity firms, asset managers and insurance companies with board of director representation, publicly traded companies
that hold shares in another company, holders of restricted shares (except for shares held as part of a lock-up agreement),
company-sponsored employee share plans/trusts, defined contribution plans/savings, investment plans, foundations or family trusts associated
with the company, government entities at all levels (except government retirement or pension funds), sovereign wealth funds and any individual
person listed as a 5% or greater stakeholder in a company as reported in regulatory filings (collectively, “strategic holders”).
To this end, S&P excludes all share-holdings (other than depositary banks, pension funds (including government pension and retirement
funds), mutual funds, exchange traded fund providers, investment funds, hedge funds, asset managers that do not have direct board of
director representation (including stakeholders who may have the right to appoint a board of director member but choose not to do so,
stakeholders who have exercised a right to appoint a board of director “observer” even if that observer is employed by the
stakeholder and stakeholders who have exercised a right to appoint an independent director who is not employed by the stakeholder), investment
funds of insurance companies and independent foundations not associated with the company) with a position greater than 5% of the outstanding
shares of a company from the float-adjusted share count to be used in SPX calculations.
The exclusion is accomplished by calculating an IWF for each stock
that is part of the numerator of the float-adjusted index fraction described above:
IWF = (available float shares)/(total shares outstanding)
where available float shares is defined as total shares outstanding
less shares held by strategic holders. In most cases, an IWF is reported to the nearest one percentage point. For companies with multiple
share class lines, a separate IWF is calculated for each share class line.
Maintenance of the SPX
In order to keep the SPX comparable over time S&P engages in an
index maintenance process. The SPX maintenance process involves changing the constituents as discussed above, and also involves maintaining
quality assurance processes and procedures, adjusting the number of shares used to calculate the SPX, monitoring and completing the adjustments
for company additions and deletions, adjusting for stock splits and stock dividends and adjusting for other corporate actions. In addition
to its daily governance of indices and maintenance of the SPX methodology, at least once within any 12 month period, the S&P Index
Committee reviews the SPX methodology to ensure the SPX continues to achieve the stated objective, and that the data and methodology
remain effective. The S&P Index Committee may at times consult with investors, market participants, security issuers included in
or potentially included in the SPX, or investment and financial experts.
Divisor Adjustments
The two types of adjustments primarily used by S&P are divisor
adjustments and adjustments to the number of shares (including float adjustments) used to calculate the SPX. Set forth below under “Adjustments
for Corporate Actions” is a table of certain corporate events and their resulting effect on the divisor and the share count. If
a corporate event requires an adjustment to the divisor, that event has the effect of altering the market value of the affected index
stock and consequently of altering the aggregate market value of the index stocks following the event. In order that the level of the
SPX not be affected by the altered market value (which could be an increase or decrease) of the affected index stock, S&P generally
derives a new divisor by dividing the post-event market value of the index stocks by the pre-event index value, which has the effect
of reducing the SPX’s post-event value to the pre-event level.
Changes to the Number of Shares of a Constituent
The index maintenance process also involves tracking the changes in
the number of shares included for each of the index companies. Changes as a result of mandatory events, such as mergers or acquisition
driven share/IWF changes, stock splits and mandatory distributions are not subject to a minimum threshold for implementation and are
implemented when the transaction occurs. At S&P’s discretion, however, de minimis merger and acquisition changes may be accumulated
and implemented with the updates made with the quarterly share updates as described below. Material share/IWF changes resulting
from certain non-mandatory corporate actions follow the accelerated implementation rule. Non-material share/IWF changes are implemented quarterly.
Material Share/IWF Changes – Accelerated Implementation Rule
1. Public offerings. Public offerings of new company-issued
shares and/or existing shares offered by selling shareholders, including block sales and spot secondaries, will be eligible for accelerated
implementation treatment if the size of the event meets the materiality threshold criteria:
| |
(a) |
at least US $150
million, and |
| |
|
|
| |
(b) |
at least 5% of the pre-event
total shares. |
| |
|
|
In addition to the materiality threshold, public offerings must satisfy
the following conditions:
| |
· |
be underwritten. |
| |
|
|
| |
· |
have a publicly available prospectus, offering document,
or prospectus summary filed with the relevant authorities. |
| |
|
|
| |
· |
have a publicly available confirmation from an official
source that the offering has been completed. |
For public offerings that involve a concurrent combination of new
company shares and existing shares offered by selling shareholders, both events are implemented if either of the public offerings or
the total underwritten public offering represents at least 5% of total shares and US $150 million. Any concurrent share repurchase by
the affected company will also be included in the implementation.
2. Dutch Auctions, self-tender offer buybacks, and split-off exchange
offers. These non-mandatory corporate action types will be eligible for accelerated implementation treatment regardless of size once
the final results are publicly announced and verified by S&P.
For companies with multiple share class lines, the criteria specified
above apply to each individual multiple share class line rather than total company shares.
Accelerated implementation for events less than US $1 billion includes
an adjustment to the company’s IWF only to the extent that such an IWF change helps the new float share total mimic the shares
available in the offering. To minimize unnecessary turnover, these IWF changes do not need to meet any minimum threshold requirement
for implementation. Any IWF change resulting in an IWF of 0.96 or greater is rounded up to 1.00 at the subsequent annual IWF review.
For accelerated implementation of at least US $1 billion, S&P
applies the share change, and any resulting IWF change, using the latest share and ownership information publicly available at the time
of the announcement, even if the offering size is below the 5% threshold. This exception ensures that very large events are recognized
in a timely manner using the latest available information. Any IWF change resulting in an IWF of 0.96 or greater is rounded up to 1.00.
Market Specific Accelerated Implementation Rules
Non-fully paid or non-fully settled offerings, such as subscription
receipts forward sales agreements, are ineligible for accelerated implementation. Share updates resulting from completion of subscription
receipts terms, or the settlement of forward sale agreements, are updated at a future quarterly rebalancing.
Announcement Policy
For accelerated implementation, S&P provides two (2) business
days’ notice for all non-U.S. listed stocks and U.S. listed depositary receipts, and one (1) business days’ notice for all
non-depositary receipt U.S. listed stocks.
Non-Material Share/IWF Changes – Quarterly Implementation
All non-mandatory events not covered or implemented via the accelerated
implementation rule (including but not limited to private placements, acquisition of private companies, and conversion of non-index share
lines) are reviewed quarterly, effective after the close of the third Friday of the third month in each calendar quarter and as per below.
Share Updates
At each quarterly review, shares outstanding are updated to the latest
available information as of the rebalancing reference date.
IWF Updates
At the quarterly review, IWF changes are only made if there is a share
change of at least 5% of total current shares outstanding and if the adjusted IWF absolute change is at least 5, with IWF adjustments
limited to the extent necessary to help reflect the corresponding share change.
For quarterly share change events, unless there is explicit information
stating that the new shares are not available to the market, shares are generally considered to be available to all investors and reflected
in the IWF. Events such as conversion of derivative securities, acquisitions of private companies, or acquisitions of non-index companies
that do not trade on a major exchange are generally implemented as described above.
Other than the situations described above, please note that IWF changes
are only made at the annual IWF review.
Rebalancing Guidelines – Share/IWF Reference Date & Freeze
Period
A reference date, after the market close five weeks prior to the third
Friday in March, June, September, and December, is the cutoff for publicly available information used for quarterly shares outstanding
and IWF changes. All shares outstanding and ownership information contained in public filings and/or official sources dated on or before
the reference date are included in that quarter’s update. In addition, there is a freeze period on a quarterly basis for any changes
that result from the accelerated implementation rules.
Pro-forma files for float-adjusted market capitalization indices are
generally released after the market close on the first Friday, two weeks prior to the rebalancing effective date. Pro-forma files for
capped and alternatively weighted indices are generally released after the market close on the second Friday, one week prior to the rebalancing
effective date. For illustration purposes, if rebalancing pro-forma files are scheduled to be released on Friday, March 5, the share/IWF
freeze period will begin after the close of trading on Tuesday, March 9 and will end after the close of trading the following Friday,
March 19 (i.e. the third Friday of the rebalancing month).
During the share/IWF freeze period, shares and IWFs are not changed
and the accelerated implementation rule is suspended, except for mandatory corporate action events (such as merger activity, stock splits,
and rights offerings). The suspension includes all changes that qualify for accelerated implementation and would typically be announced
or effective during the share/IWF freeze period. At the end of the freeze period all suspended changes will be announced on the third
Friday of the rebalancing month and implemented five business days after the quarterly rebalancing effective date. For these non-mandatory
events, S&P uses shares and IWF data as of the upcoming rebalancing effective date to calculate the size of the event and in turn
assess if the event qualifies the accelerated implementation rule.
Adjustments for Corporate Actions
There is a large range of corporate actions that may affect companies
included in the SPX. Certain corporate actions require S&P to recalculate the share count or the float adjustment or to make an adjustment
to the divisor to prevent the value of the SPX from changing as a result of the corporate action. This helps ensure that the movement
of the SPX does not reflect the corporate actions of individual companies in the SPX.
Spin-Offs
As a general policy, a spin-off security is added to the SPX on the
ex-date at a price of zero (with no divisor adjustment) and will remain in the SPX for at least one trading day. The spin-off security
will remain in the SPX if it meets all eligibility criteria. If the spin-off security is determined ineligible to remain in the SPX,
it will generally be removed after at least one day of regular way trading (with a divisor adjustment). The weight of the spin-off being
deleted is reinvested across all the index components proportionately such that the relative weights of all index components are unchanged.
The net change in index market capitalization will cause a divisor change.
Companies that are spun off from a constituent of the SPX do not need
to meet the eligibility criteria for new constituents, but they should be considered U.S. domiciled for index purposes. At the discretion
of the Index Committee, a spin-off company may be retained in the SPX if the Index Committee determines it has a total market capitalization
representative of the SPX. If the spin-off company’s estimated market capitalization is below the minimum unadjusted company
market capitalization for the SPX but there are other constituent companies in the SPX that have a significantly lower total market
capitalization than the spin-off company, the Index Committee may decide to retain the spin-off company in the SPX.
Several additional types of corporate actions, and their related treatment,
are listed in the table below.
| Corporate
Action |
Treatment |
| Company
addition/deletion |
Addition
Companies are added at the float market capitalization weight.
The net change to the index market capitalization causes a divisor adjustment.
Deletion
The weights of all stocks in the index will proportionally change.
Relative weights will stay the same. The index divisor will change due to the net change in the index market capitalization
|
| Change
in shares outstanding |
Increasing
(decreasing) the shares outstanding increases (decreases) the market capitalization of the index. The change to the index market
capitalization causes a divisor adjustment. |
| Split/reverse
split |
Shares
outstanding are adjusted by split ratio. Stock price is adjusted by split ratio. There is no change to the index market capitalization
and no divisor adjustment. |
| Change
in IWF |
Increasing
(decreasing) the IWF increases (decreases) the market capitalization of the index. A net change to the index market capitalization
causes a divisor adjustment. |
| Ordinary
dividend |
When
a company pays an ordinary cash dividend, the index does not make any adjustments to the price or shares of the stock. As a result
there are no divisor adjustments to the index. |
| Special
dividend |
The
stock price is adjusted by the amount of the dividend. The net change to the index market capitalization causes a divisor adjustment |
| Rights
offering |
All
rights offerings that are in the money on the ex-date are applied under the assumption the rights are fully subscribed. The stock
price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The net change in market
capitalization causes a divisor adjustment. |
Any company that is removed from the SPX, the S&P MidCap 400® Index
or the S&P SmallCap 600® Index must wait a minimum of one year from its removal date before being reconsidered
as a replacement candidate for the SPX.
Recalculation Policy
S&P reserves the right to recalculate and republish the SPX at
its discretion in the event one of the following issues has occurred: (1) incorrect or revised closing price of one or more constituent
securities; (2) missed or misapplied corporate action; (3) incorrect application of an index methodology; (4) late announcement of a
corporate action; or (5) incorrect calculation or data entry error. The decision to recalculate the SPX is made at the discretion
of the index manager and/or index committee, as further discussed below. The potential market impact or disruption resulting from a recalculation
is considered when making any such decision. In the event of an incorrect closing price, a missed or misapplied corporate
action, a late announcement of a corporate action, or an incorrect calculation or data entry error that is discovered within two
trading days of its occurrence, generally the SPX is recalculated. In the event any such event is discovered
beyond the two trading day period, the index committee shall decide whether the SPX should be recalculated. In the event
of an incorrect application of the methodology that results in the incorrect composition and/or weighting of index constituents, the
index committee shall determine whether or not to recalculate the SPX following specified guidelines. In the event that the SPX is recalculated,
it shall be done within a reasonable timeframe following the detection and review of the issue.
Calculations and Pricing Disruptions
Closing levels for the SPX are calculated by S&P based on the
closing price of the individual constituents of the SPX as set by their primary exchange. Closing prices are received by S&P from
one of its third party vendors and verified by comparing them with prices from an alternative vendor. The vendors receive the closing
price from the primary exchanges. Real-time intraday prices are calculated similarly without a second verification. Official end-of-day
calculations are based on each stock’s primary market closing price. Prices used for the calculation of real time index values
are based on the “Consolidated Tape.” The Consolidated Tape is an aggregation of trades for each constituent over all regional
exchanges and trading venues and includes the primary exchange. If there is a failure or interruption on one or more exchanges, real-time
calculations will continue as long as the “Consolidated Tape” is operational.
If an interruption is not resolved prior to the market close, official
closing prices will be determined by following the hierarchy set out in NYSE Rule 123C. A notice is published on the S&P website
at spglobal.com indicating any changes to the prices used in SPX calculations. In extreme circumstances, S&P may decide
to delay index adjustments or not publish the SPX. Real-time indices are not restated.
Unexpected Exchange Closures
An unexpected market/exchange closure occurs when a market/exchange
fully or partially fails to open or trading is temporarily halted. This can apply to a single exchange or to a market as a whole, when
all of the primary exchanges are closed and/or not trading. Unexpected market/exchange closures are usually due to unforeseen circumstances,
such as natural disasters, inclement weather, outages, or other events.
To a large degree, S&P is dependent on the exchanges to provide
guidance in the event of an unexpected exchange closure. S&P’s decision making is dependent on exchange guidance regarding
pricing and mandatory corporate actions.
NYSE Rule 123C provides closing contingency procedures for determining
an official closing price for listed securities if the exchange is unable to conduct a closing transaction in one or more securities
due to a system or technical issue.
3:00 PM ET is the deadline for an exchange to determine its plan of
action regarding an outage scenario. As such, S&P also uses 3:00 PM ET as the cutoff.
If all major exchanges fail to open or unexpectedly halt trading intraday
due to unforeseen circumstances, S&P will take the following actions:
Market Disruption Prior to Open of Trading:
| (i) |
If all exchanges
indicate that trading will not open for a given day, S&P will treat the day as an unscheduled market holiday. The decision will
be communicated to clients as soon as possible through the normal channels. Indices containing multiple markets will be calculated
as normal, provided that at least one market is open that day. Indices which only contain closed markets will not be calculated. |
| |
|
| (ii) |
If exchanges indicate that
trading, although delayed, will open for a given day, S&P will begin index calculation when the exchanges open. |
| |
|
Market Disruption Intraday:
| (i) |
If exchanges indicate
that trading will not resume for a given day, the SPX level will be calculated using prices determined by the exchanges based on
NYSE Rule 123C. Intraday SPX values will continue to use the last traded composite price until the primary exchange publishes official
closing prices. |
License Agreement with S&P
Nomura or one of its affiliates has entered into
a nonexclusive license agreement providing for the license to it, in exchange for a fee, of the right to use indices owned and published
by S&P in connection with some products, including the notes.
Standard & Poor’s® and
S&P® are registered trademarks of Standard & Poor’s. “Standard & Poor’s®,”
“S&P 100®,” “S&P 500®” and “S&P®” are trademarks
of Standard & Poor’s and have been licensed for use by S&P and its affiliates and sublicensed for certain purposes by us.
The SPX is a product of S&P, and has been licensed for use by us.
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones Indices. S&P makes no representation or warranty, express or implied, to the owners of the notes or any member
of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the SPX
to track general market performance. S&P’s only relationship to us is the licensing of the SPX and certain trademarks, service
marks and/or trade names of S&P. The SPX is determined, composed and calculated by S&P without regard to us or the notes. S&P
has no obligation to take the needs of us or the owners of the notes into consideration in determining, composing or calculating the
SPX. S&P is not responsible for and has not participated in the determination of the prices and amount of the notes or the timing
of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into
cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance
that investment products based on the SPX will accurately track index performance or provide positive investment returns. S&P is
not an investment advisor. Inclusion of a security within the SPX is not a recommendation by S&P to buy, sell or hold such security,
nor is it considered to be investment advice.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR
THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS,
OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY US, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL
S&P BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT,
STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND US, OTHER
THAN THE LICENSORS OF S&P.
Historical Performance of the SPX
The following graph sets forth the historical performance of the SPX
based on the daily historical closing levels from January 1, 2019 through December 31, 2024. We obtained the closing levels
below from Bloomberg L.P. (“Bloomberg”). We have not undertaken any independent review of, or made any due diligence inquiry
with respect to, the information obtained from Bloomberg.
The historical levels of the SPX should not be taken as an indication
of future performance, and no assurance can be given as to the closing level of the SPX on any coupon observation date, including the
determination date.
Description of the RTY
FTSE Russell Publishes the RTY
The RTY is an index calculated, published, and disseminated by FTSE
Russell, and measures the composite price performance of stocks of 2,000 companies determined by FTSE Russell to be part of the U.S.
equity market. The RTY was first launched in 1984 based on an initial value of 100 as of December 31, 1978. It is generally considered
to be a “small-cap” index. Additional information about the RTY (including the top ten constituent stocks and sector weights)
is available on the following website: ftse.com/analytics/factsheets/Home/Search#. We are not incorporating by reference the website
or any material it includes in this pricing supplement.
The RTY includes approximately 2,000 of the smallest securities that
form the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S. companies,
or 98% based on market capitalization, of the investable U.S. equity market. The RTY is designed to track the performance of the small
capitalization segment of the U.S. equity market.
Selection of Constituent Stocks of the RTY
The RTY is a sub-index of the Russell 3000® Index.
To be eligible for inclusion in the Russell 3000® Index, and, consequently, the RTY, a company’s stocks must be
listed on the rank day and FTSE Russell must have access to documentation verifying the company’s eligibility for inclusion. The
rank day occurs on the last business day of April with membership eligibility determined using public information available on the
rank day and market capitalizations calculated at market close. Eligible initial public offerings (“IPOs”) are added to Russell
U.S. Indices quarterly, based on total market capitalization rankings within the market-adjusted capitalization breaks established during
the most recent reconstitution. To be added to any Russell U.S. index during a quarter outside of reconstitution, IPOs must meet
additional eligibility criteria.
A company is included in the U.S. equity markets and is eligible for
inclusion in the Russell 3000® Index, and consequently, the RTY, if that company incorporates in the U.S., has its headquarters
in the U.S. and also trades with the highest liquidity in the U.S. If a company does not satisfy all of the above criteria, it can still
be included in the U.S. equity market if any one of the following home country indicators is in the United States: (i) country of
incorporation, (ii) country of headquarters and (iii) country in which the company trades with the highest liquidity (as defined
by a two-year average daily dollar trading volume from all exchanges within the country), and the primary location of that company’s
assets or its revenue, based on an average of two years of assets or revenues data, is also in the United States. In addition, if there
is insufficient information to assign a company to the U.S. equity markets based on its assets or revenue, the company may nonetheless
be assigned to the U.S. equity markets if the headquarters of the company is located in the United States or if the headquarters of the
company is located in certain “benefit-driven incorporation countries”, or “BDIs”, and that company’s most
liquid stock exchange is in the United States. The BDI countries are Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize,
Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curaçao, Faroe Islands, Gibraltar, Guernsey, Isle
of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten and Turks and Caicos Islands. A U.S.-listed company
is not eligible for inclusion within the U.S. equity market if it has been classified by FTSE Russell as a China N share on the rank
date of the index reconstitution. A company will be considered a China N share if the following criteria are satisfied: (i) the
company is incorporated outside of mainland China, (ii) the company is listed on the NYSE, the Nasdaq or the NYSE American, (iii) the
company has a headquarter or principal executive office or its establishment in mainland China, with the majority of its revenue or assets
derived from the People’s Republic of China, and (iv) the company is controlled by a mainland Chinese entity, company or individual
(if the shareholder background cannot be determined with publicly available information, FTSE Russell will consider whether the establishment
and origin of the company are in mainland China and whether the company is headquartered in mainland China). An existing China N Share
which fails one or more of the following criteria will cease to be classified as a China N share: (i) the company is no longer incorporated
outside the People’s Republic of China, (ii) the company is no longer listed on the NYSE, the Nasdaq exchange, or the NYSE
American, (iii) the percentages of revenue and assets derived from the People’s Republic of China have both fallen below 45
percent, or (iv) the company is acquired/a controlling stake is held by a non-Mainland Chinese state entity, company or individual.
Only asset and revenue data from the most recent annual report is considered when evaluating whether a company should be classified a
China N share (i.e., there will be no two year averaging). ADRs and ADSs are not eligible for inclusion in the RTY.
In addition, all securities eligible for inclusion in the Russell
3000® Index, and consequently, the RTY, must trade on an eligible exchange (CBOE, NYSE, NYSE American, NYSE Arca and Nasdaq).
Exclusions from the RTY
FTSE Russell specifically excludes the following companies and securities
from the RTY: (i) preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights,
depositary receipts, installment receipts and trust receipts; (ii) royalty trusts, U.S. limited liability companies, closed-end
investment companies, companies that are required to report Acquired Fund Fees and Expenses (as defined by the SEC), including business
development companies, blank check companies, special-purpose acquisition companies and limited partnerships; (iii) companies with
a total market capitalization less than $30 million; (iv) companies with only a small portion of their shares available in the free-float
as defined by FTSE Russell (companies with less than an absolute 5% of shares available); (v) bulletin board, pink sheets or over-the-counter
traded securities, including securities for which prices are displayed on the FINRA ADF;
(vi) real estate investment trusts and publicly traded partnerships
that generate, or have historically generated, unrelated business taxable income and have not taken steps to block their unrelated business
taxable income to equity holders; and (vii) companies with less than 5% of the company’s voting rights in the hands of unrestricted
shareholders.
Initial List of Eligible Securities
The primary criterion FTSE Russell uses to determine the initial list
of securities eligible for the Russell 3000® Index and, consequently, the RTY, is total market capitalization, which is
calculated by multiplying the total outstanding shares for a company by the market price as of the rank day for those securities being
considered at annual reconstitution. IPOs may be added between constitutions as noted below. All common stock share classes are combined
in determining a company’s total shares outstanding. If multiple share classes have been combined, the number of total shares outstanding
will be multiplied by the primary exchange close price and used to determine the company’s total market capitalization. In cases
where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion
separately. Stocks must have a closing price at or above $1.00 on their primary exchange or an eligible secondary exchange on the last
trading day of May of each year to be eligible for inclusion in the RTY. In order to reduce unnecessary turnover, if an existing
member’s closing price is less than $1.00 on the rank day, it will be considered eligible if the average of the daily closing prices
from their primary exchange during the 30 days prior to the rank day is equal to or greater than $1.00. If an existing member does not
trade on the rank day, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.
Multiple Share Classes
If an eligible company trades under multiple share classes or if a
company distributes shares of an additional share class to its existing shareholders through a mandatory corporate action, each share
class will be reviewed independently for inclusion. Share classes in addition to the primary vehicle (the pricing vehicle) that have
a total market capitalization larger than $30 million, an average daily dollar trading value that exceeds that of the global median,
and a float of 5% or greater of shares available in the free-float as defined by FTSE Russell are eligible for inclusion.
The pricing vehicle will generally be designated as the share class
with the highest two-year trading volume as of the rank day. In the absence of two years’ worth of data, all available data will
be used for this calculation. If the difference between trading volumes for each share class is less than 20%, the share class with the
most available shares outstanding will be used as the pricing vehicle. At least 100 day trading volume is necessary to consider the class
as a pricing vehicle for existing members. New members will be analyzed on all available data, even if that data is for less than 100
days.
Annual Reconstitution
The RTY is reconstituted annually by FTSE Russell to reflect changes
in the marketplace. The list of companies is ranked based on total market capitalization on the last trading day in May, with the actual
reconstitution occurring on the fourth Friday of June each year. A full calendar for reconstitution is published each spring.
A company’s total shares are multiplied by the primary exchange
close price of the pricing vehicle and used to determine the company’s total market capitalization for the purpose of ranking of
companies and determination of index membership. If no volume exists on the primary exchange on the rank day, the last trade price from
an eligible secondary exchange will be used where volume exists (using the lowest trade price above $1.00 if multiple secondary markets
exist). The company’s rank will be determined based on the cumulative market capitalization. As of the June 2016 reconstitution,
any share class not qualifying for eligibility independently will not be aggregated with the pricing vehicle within the available shares
calculation.
For mergers and spin-offs that are effective between the rank day
and the business day immediately before the index lock down takes effect ahead of the annual reconstitution in June, the market capitalizations
of the impacted securities are recalculated and membership is reevaluated as of the effective date of the corporate action. For corporate
events that occur during the reconstitution lock down period (which takes effect from the open on the first day of the lock down period
onwards), market capitalizations and memberships will not be reevaluated. Non index members that have been considered ineligible as of
rank day will not be reevaluated in the event of a subsequent corporate action that occurs between rank day and the reconstitution effective
date.
Index Calculation and Capitalization Adjustments
As a capitalization-weighted index, the RTY reflects changes in the
capitalization, or market value, of the index stocks relative to the capitalization on a base date. This discussion describes the “price
return” calculation of the RTY. The current RTY value is the compounded result of the cumulative daily (or monthly) return percentages,
where the starting value of the RTY is equal to the base value (100) and base date (December 31, 1978). Returns between any two
dates can then be derived by dividing the ending period index value (IV1) by the beginning period
(IV0) index value, so that the return equals [(IV1 / IV0)
–1]*100.
Constituent stocks of the index are weighted in the RTY by their free-float
market capitalization, which is calculated by multiplying the primary closing price by the number of free-float shares. Free-float shares
are shares that are available to the public for purchase as determined by FTSE Russell. Adjustments to shares are reviewed quarterly
(including at reconstitution) and for major corporate actions such as mergers. Total shares and adjustments for available shares are
based on information recorded in SEC corporate filings.
The following are excluded from free float: shares directly owned
by state, regional, municipal and local governments (excluding shares held by independently managed pension schemes for governments);
shares held by directors, senior executives and managers of the company, and by their family and direct relations, and by companies with
which they are affiliated; shares held within employee share plans; shares held by public companies or by non-listed subsidiaries of
public companies; shares held by sovereign wealth funds, founders, promoters, former directors, founding venture capital and private
equity firms, private companies, individuals (including employees) and shares held by several holders acting in concert where the holding
is 10% or greater of the total number of shares in issue; all shares where the holder is subject to a lock-up clause (for the duration
of that clause, after which free float changes resulting from the expiry of a lock-up will be implemented at the next quarterly review
subject to the lock-up expiry date occurring on or prior to the share and float change information cut-off date); shares held by an investor,
investment company or an investment fund that is actively participating in the management of a company or is holding shares for publicly
announced strategic reasons, or has successfully placed a current member to the board of directors of a company; and shares that are
subject to ongoing contractual agreements (such as swaps) where they would ordinarily be treated as restricted. In addition, while portfolio
holdings such as pension funds, insurance funds or investment companies will generally not be considered as restricted from free float,
where a single portfolio holding is 30% or greater it will be regarded as strategic and therefore restricted (and will remain restricted
until the holding falls below 30%).
Corporate Actions Affecting the Index
FTSE Russell adjusts the RTY on a daily basis in response to certain
corporate actions and events. Therefore, a company’s membership in the RTY and its weight in the RTY can be impacted by these corporate
actions. The adjustment is applied based on sources of public information, including press releases and Securities and Exchange Commission
filings. Prior to the completion of a corporate action or event, FTSE Russell estimates the effective date. FTSE Russell will then adjust
the anticipated effective date based on public information until the date is considered final. Depending on the time on a given day that
an action is determined to be final, FTSE Russell will generally either (1) apply the action before the open on the ex-date or (2) apply
the action after providing appropriate notice. If FTSE Russell has confirmed the completion of a corporate action, scheduled to become
effective subsequent to a rebalance, the event may be implemented in conjunction with the rebalance to limit turnover, provided appropriate
notice can be given. FTSE Russell applies the following methodology guidelines when adjusting the RTY in response to corporate actions
and events:
“No Replacement” Rule — Securities that
are deleted from the RTY between reconstitution dates, for any reason (e.g., mergers, acquisitions or other similar corporate activity)
are not replaced. Thus, the number of securities in the RTY over the past year will fluctuate according to corporate activity.
Mergers and Acquisitions
Adjustments due to mergers and acquisitions are applied to the RTY
after the action is determined to be final. In the event that a constituent is being acquired for cash or is delisted subsequent to an
index review, such constituent will be removed from the RTY in conjunction with the index review, assuming that the action is determined
to be final and a minimum of two days’ notice can be provided.
Between constituents: When mergers and acquisitions take place between
companies that are both constituents of a Russell index for cash, the target company is deleted from the RTY at the last traded price.
When mergers and acquisitions take place between companies that are both constituents of a Russell index for stock, the target company
is deleted from the RTY and the shares of the acquiring stock are increased according to the offer terms. When mergers and acquisitions
take place between companies that are both constituents of a Russell index for cash or stock or a combination thereof, the target company
is deleted from the RTY and the shares of the acquiring company are simultaneously increased per the merger terms.
Between a constituent and a non-constituent: If the target company
is a member of the RTY, it is deleted from the RTY and the acquiring company will be included initially in the RTY provided it is eligible
in all other respects at the time of the merger, regardless of previous eligibility screenings. If the acquiring company is deemed eligible
it will be added to the RTY on the effective date and the opening price will be calculated using the offer terms. When the target company
is a FTSE Russell Universe member, the shares of the member acquiring company will be updated to reflect the merger. Any share update
will be made giving appropriate notice.
Given sufficient market hours after the confirmation of a merger or
acquisition, FTSE Russell effects the action after the close on the last day of trading of the target company, or at an appropriate time
once the transaction has been deemed to be final.
Rights Offerings — Rights offered to shareholders are
reflected in the RTY only if the subscription price of the rights is at a discount to the market price of the stock. Provided that FTSE
Russell has been alerted to the rights offer prior to the ex-date, it will adjust the price of the stock for the value of the rights
and increased shares according to the terms of the offering before the open on the ex-date.
Spin-offs— If the spin-off entity meets the eligibility
requirements for the RTY, the spin-off entity will be added to the RTY on the ex-date of the distribution. The spin-off entity will be
retained in the RTY until the next annual reconstitution, when it will be evaluated for inclusion. If the spin-off entity does not meet
the eligibility requirements for the RTY, the spin-off entity
will be added to the RTY on the ex-date of the distribution. It will
remain in the RTY until listing and settlement and then deleted at market price with notice.
Initial Public Offerings — Eligible IPOs are added to
the RTY based on total market capitalization ranking within the market-adjusted capitalization breaks established at the most recent
annual reconstitution.
An IPO of additional share classes will be considered for eligibility
and must meet the same eligibility criteria for all other multiple share classes. If at the time of the IPO the additional share class
does not meet the eligibility criteria for separate index membership, it will not be added to the RTY and will subsequently be reviewed
for index membership during the next annual reconstitution.
Once IPO additions have been announced, an IPO may be added to the
RTY prior to the previously announced schedule, if a corporate action has deemed this to be appropriate and notice can be provided (e.g.
an index member automatically receives shares via a stock distribution into a projected IPO add).
Tender Offers — A company acquired as a result of a tender
offer is removed when (i) (a) offer acceptances reach 90%; (b) shareholders have validly tendered and the shares have
been irrevocably accepted for payment; and (c) all pertinent offer conditions have been reasonably met and the acquirer has not
explicitly stated that it does not intend to acquire the remaining shares; (ii) there is reason to believe that the remaining free
float is under 5% based on information available at the time; or (iii) following completion of the offer the acquirer has stated
intent to finalize the acquisition via a short-form merger, squeeze-out, top-up option or any other compulsory mechanism.
Where the conditions for index deletion are not met, FTSE Russell
may implement a free float change based on the reported acceptance results at the expiration of the initial, subsequent or final offer
period where (i) the minimum acceptance level as stipulated by the acquiror is met; (ii) shareholders have validly tendered
and the shares have been irrevocably accepted for payment; (iii) all pertinent offer conditions have been reasonably met and (iv) the
change to the current float factor is greater than 3%. FTSE Russell uses the published results of the offer to determine the new free
float of the target company. If no information is published in conjunction with the results from which FTSE Russell can determine which
shareholders have and have not tendered, the free float change will reflect the total shares now owned by the acquiring company. A minimum
T+2 notice period of the change is generally provided. . Any subsequent disclosure on the updated shareholder structure will be reviewed
during the quarterly review cycle. If the offer includes a stock consideration, the acquiring company’s shares will be increased
proportionate to the free float change of the target company. If the target company’s free float change is greater than 3%, the
associated change to the acquiring company’s shares will be implemented regardless of size. Additionally, if the change to the
target company is less than 3%, then no change will be implemented to the target or the acquiring company at the time of the event, regardless
of any change to the acquiring company’s shares. The target company will then be deleted as a second-step, if the conditions for
deletion are achieved at the expiration of a subsequent offer period.
In the event that a tender offer results in an additional listed and
active “tendered” line prior to the tendered shares being accepted and exchanged for settlement, FTSE Russell will generally
evaluate the following factors to determine whether to switch to the tendered line: (i) the objective of the offer is to fully acquire
and delist the target company (and FTSE Russell is not aware of any obstacles designed to prevent this objective; e.g. there are no major
shareholders who have publicly disclosed that they will not be tendering); (ii) the offer is deemed to be successful (i.e. the minimum
acceptance threshold has been achieved); (iii) more than 50% of the shares subject to the offer have been tendered; (iv) there
is an additional tender offer period to provide a window for index users to tender into the tendered shares’ line; and (v) there
are outstanding regulatory or other substantive hurdles preventing the transaction completing immediately at the conclusion of the tender
offer, with the results not expected to be known for some time. Index implementation will generally occur immediately after the opening
of the additional offer period (with the provision of appropriate notice) – with an informative notice published announcing the
change, to supplement the information within the applicable tracker files. In the event that the tendered line is halted prior to index
implementation, its close price will be updated to reflect the deal terms until implementation. In the event that the prerequisites for
deletion are not achieved and the target company is retained within the RTY at a reduced weight, the tendered line will be removed at
deal terms (if no active market) with the ordinary line being re-added at a reduced weight at its last close price.
In exceptional circumstances, any review changes due to be effective
for the companies involved in a tender offer may be retracted if FTSE Russell becomes aware of a tender offer which is due to complete
on or around the effective date of such index review changes. Such exceptional circumstances may include undue price pressure being placed
on the companies involved, or if proceeding with the review changes would compromise the replicability of the RTY.
Delisted and Suspended Stocks — A constituent will be
deleted if it is delisted from all eligible exchanges. A constituent will be deleted if FTSE Russell becomes aware (in the country of
assigned nationality) that the stock has become bankrupt, has filed for bankruptcy protection, enters into administration or receivership,
commenced accelerated safeguarding procedures, is insolvent or is liquidated (or local equivalents); or has filed for delisting and no
regulatory or shareholder approvals are outstanding, converts into an ineligible corporate structure or where evidence of a change in
circumstances makes it ineligible for index inclusion. If, however, FTSE Russell becomes aware that a constituent is suspended, index
treatment will be determined as follows:
| · | unless
the circumstances regarding deletions set forth below apply, a constituent will continue
to be included in the RTY for a period of up to 20 business days at its last traded price; |
| · | if
a constituent continues to be suspended at the end of that 20 business day period (the suspension
period), it will be subject to review. FTSE Russell will take into account the stated reasons
for the suspension. These reasons may include announcements made by the company regarding
a pending acquisition or restructuring, and any stated intentions regarding a date for the
resumption of trading. If following review, a decision is taken to remove the constituent,
FTSE Russell will provide notice of 20 business days (the notice period) that it intends
to remove the constituent, at zero value, at the conclusion of the notice period. If the
security has not resumed trading at the conclusion of the notice period, it will be removed
with two days’ notice. If during the notice period further details are disclosed as
to the reason for a company’s suspension, those reasons (and any possible resumption
of trade date) will be taken into account when determining if the company should remain on
notice; |
| · | if
a suspended constituent resumes trading on or before the last business day of the notice
period, the deletion notice will be rescinded and the constituent will be retained in the
RTY. However, where the constituent resumes trading after the 40th business day of suspension,
the constituent will continue to be removed from the RTY as previously announced but in these
circumstance the deletion will be implemented at market value unless there are barriers that
render a market value irreplicable. In this event, the company will continue to be removed
at zero; |
| · | if
the notice period expires in the week preceding an index review, the company will be removed
in conjunction with the index review; |
| · | in
certain limited circumstances where the index weight of the constituent is significant and
FTSE Russell determines that a market-related value can be established for the suspended
constituent, for example because similar company securities continue to trade, deletion may
take place at the market-related value instead. In such circumstances, FTSE Russell will
set out its rationale for the proposed treatment of the constituent at the end of the suspension
period. The company would then be removed at that value at the end of the notice period; |
| · | subject
to the second following paragraph, if a constituent has been removed from the RTY and trading
is subsequently restored, the constituent will only be reconsidered for inclusion after a
period of 12 months from its deletion. For the purposes of index eligibility it will be treated
as a new issue. |
For example, if FTSE Russell becomes aware that a U.S. company has
filed for Chapter 7 bankruptcy, Chapter 11 bankruptcy protection, a receiver is appointed, has filed for delisting under a Form 25,
or a liquidation plan is filed, it will be removed from the RTY with notice. If a constituent is removed pursuant to this rule and
is not trading and there is no express confirmation that shareholders will receive a fixed cash amount per share held, FTSE Russell will
remove the stock at a nominal price of $0.0001. If a price on an ineligible market (e.g. OTC) is available, the constituent may be removed
using this price.
A company emerging from bankruptcy protection or insolvency will be
reconsidered for index inclusion at the next annual reconstitution (i.e., there will be no 12 month exclusion).
A constituent will be deleted if FTSE Russell becomes aware that the
price of the constituent has reached its minimum permissible trade price. The constituent will be removed from the RTY in conjunction
with the next index review subject to it still being at the minimum permissible trade price at the start of the quarterly review lock
down period. The stock will only be reconsidered for index eligibility after a period of 12 months from its deletion. For purposes of
index eligibility it will be evaluated as a new issue.
Stock Distributions and distributions in specie— A price
adjustment for stock distributions is applied on the ex-date of the distribution. Where FTSE Russell is able to value a distribution
in specie prior to the ex-date, a price adjustment is made to the company paying the dividend at the open on the ex-date. If no valuation
of the distribution exists prior to the ex-date, no price adjustment is applied. Where the company whose holders are receiving the distribution
is an index member, its shares will be increased according to the terms of the distribution. If such company is not an index member,
the distributed shares will be added to the RTY until they have been settled and have listed, at which point they will be removed at
the last traded price giving appropriate notice.
Special Cash Dividends — If a constituent pays out a
special cash dividend, the price of the stock is adjusted to deduct the dividend amount before the open on the ex-date. No adjustment
for regular cash dividends is made in the price return calculation of the RTY.
Updates to Shares Outstanding and Free Float — FTSE Russell
reviews the RTY quarterly for updates to shares outstanding and to free floats used in calculating the RTY. The changes are implemented
quarterly in March, June, September and December after the close on the third Friday of such month. The June reconstitution
will be implemented on the fourth Friday of June.
In March, September and December shares outstanding and
free floats are updated to reflect (i) cumulative share changes greater than 1%, (ii) for constituents with a free float less
than or equal to 15%, cumulative free float changes greater than 1%, and (iii) for constituents with a free float greater than 15%,
cumulative free float changes greater than 3%. Updates to shares outstanding and free floats will be implemented each June regardless
of size (i.e., the percentage change
thresholds above will not be applied). FTSE Russell implements the
June updates using data sourced primarily from the companies’ publicly available information filed with the Securities and
Exchange Commission.
Outside of the quarterly update cycle, outstanding shares and free
float will be updated with at least two days’ notice if prompted by primary or secondary offerings if (i) there is a USD $1
billion investable market capitalization change related to a primary/secondary offering measured by multiplying the change to index shares
by the subscription price or (ii) there is a resultant 5% change in index shares related to a primary or secondary offering and
a USD $250 million investable market capitalization change measured by multiplying the change to index shares by the subscription price.
The pricing date will serve as the trigger for implementation; i.e. once FTSE Russell is aware that an offering has priced, the update
will be implemented with two days’ notice from market close (contingent on the thresholds described above being triggered). If
discovery of the pricing date occurs more than two days after the pricing date, the update will be deferred until the next quarterly
review.
In exceptional circumstances, FTSE Russell may defer implementation
until after the new shares are listed and with the provision of two days’ notice. An offering may be deemed exceptional if implementation
prior to the listing of the new shares may cause undue price pressure on the company, or if proceeding with the changes may compromise
the replicability of the index.
If a company distributes shares of an additional share class to its
existing shareholders through a mandatory corporate action, the additional share class will be evaluated for separate index membership.
The new share class will be deemed eligible if the market capitalization of the distributed shares meets the minimum size requirement
(the market capitalization of the smallest member of the Russell 3000E Index from the previous rebalance as adjusted for performance
to date). If the additional share class is not eligible at the time of distribution, it will not be added to the RTY.
License Agreement with FTSE Russell
Nomura or one of its affiliates has entered into a nonexclusive license
agreement providing for the license to it, in exchange for a fee, of the right to use the RTY in connection with some products, including
the notes.
The Russell 2000® Index is a trademark of FTSE Russell.
The notes are not sponsored, endorsed, sold or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or
implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in
the notes particularly or the ability of the RTY to track general stock market performance or a segment of the same. FTSE Russell’s
publication of the RTY in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the
securities upon which the RTY is based. FTSE Russell’s only relationship to us is the licensing of certain trademarks and trade
names of FTSE Russell and of the RTY which is determined, composed and calculated by FTSE Russell without regard to us or the notes.
FTSE Russell is not responsible for and has not reviewed the notes nor any associated literature or publications and FTSE Russell makes
no representation or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right,
at any time and without notice, to alter, amend, terminate or in any way change the notes. FTSE Russell has no obligation or liability
in connection with the administration, marketing or trading of the notes:
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY US, INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER
PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RTY OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT,
OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Historical Performance of the RTY
The following graph sets forth the historical performance of the RTY
based on the daily historical closing levels from January 1, 2019 through December 31, 2024. We obtained the closing levels
below from Bloomberg. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information
obtained from Bloomberg.
The historical levels of the RTY should not be taken as an indication
of future performance, and no assurance can be given as to the closing level of the RTY on any coupon observation date, including the
determination date.
Description of the NDX
Nasdaq, Inc. Publishes the NDX
The NDX is an index that is calculated, maintained and published by
Nasdaq, Inc., and is designed to measure the performance of 100 of the largest Nasdaq listed non-financial stocks. The NDX is a
“price return” index and is calculated using a modified market capitalization-weighted methodology. Additional information
about the Nasdaq-100 Index® (including the top ten constituent stocks and weights and sector weights) is available on the following
website: indexes.nasdaqomx.com/Index/Overview/NDX. We are not incorporating by reference the website or any material it includes in this
pricing supplement.
Security Eligibility Criteria
To qualify for index inclusion, securities must meet the following
Security Eligibility Criteria which are applied as of the reconstitution reference date.
Eligible security types include common stocks, tracking stocks, and
American depositary receipts, including New York registry shares. Real estate investment trusts, special purpose acquisition companies
and “when-issued” securities are not eligible.
Multiple classes of securities issued by the same company are each
eligible, subject to meeting all other security eligibility criteria.
For constituent selection and weighting purposes, the market capitalization
of each company is the combined market capitalization of all eligible share classes. Unless otherwise noted, unlisted share classes are
ineligible and will not be considered in the calculation of a company’s market capitalization. To be eligible for index inclusion,
a company’s primary US listing must be listed exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market. To be
eligible, a company must not be classified as being in the financial industry according to the Industry Classification Benchmark, a product
of FTSE International Limited that is used under license.
Companies classified as being in the real estate industry, according
to the Industry Classification Benchmark, are eligible unless organized as a real estate investment trust.
There is no minimum or maximum market capitalization criterion, although
the security selection process is based in part on a ranking of companies by market capitalization. A security must have a three-month
average daily traded value of at least $5 million (USD).
To be eligible for initial index inclusion, a security must have been
listed and available for trading on an eligible exchange for at least three full calendar months, not including the month of initial
listing. For seasoning purposes, eligible exchanges include Nasdaq (Nasdaq Global Select Market, Nasdaq Global Market, or Nasdaq Capital
Market), NYSE, NYSE American and CBOE BZX. Seasoning eligibility is determined as of the constituent selection reference date and includes
that month, therefore:
| · | To be considered for
inclusion at the annual December reconstitution, a security must have been listed and
available for trading on an eligible exchange no later than the last business day of August,
with seasoning occurring over the months of September, October, and November. |
| · | To be considered for
inclusion as a replacement, a security must be seasoned by the last day of the month preceding
the replacement event. For example, if a replacement event were to occur in July, the required
seasoning period would include all of April, May, and June. |
The trading history of a special purpose acquisition company prior
to its combination with an operating company will not count towards satisfying the seasoning requirement, regardless of whether the special
purpose acquisition company is determined to be the acquirer or the target in the transaction.
Any security that is already a member of the NDX, including those
added as the result of a spin-off event, will be exempt from the seasoning requirement. A security must have a free float of at least
10%.
Companies that have filed for bankruptcy, or equivalent protection
from creditors, will not be considered for initial inclusion in the NDX.
A company that has entered into a definitive agreement or other arrangement
that is expected to make it ineligible will not be considered for initial inclusion in the NDX. Such agreements and arrangements include,
but are not limited to:
| · | An agreement to be
purchased by another entity or to become privately owned. |
| · | A plan to delist or
to transfer to an ineligible exchange. |
| · | A plan to reorganize
as an ineligible security type. |
| · | A decision to liquidate
or otherwise permanently cease operations. |
Constituent Selection
A reconstitution is conducted on an annual basis, at which time all
eligible companies are ranked based on market capitalization, as of the reconstitution reference date.
The market capitalization of each company is the combined market capitalization
of all eligible share classes. For inclusion purposes, the market capitalization of an American depositary receipt will normally be determined
based on the depositary shares outstanding, as reported by the depositary banks. This means that a non-US company represented by an American
depositary receipt may be considered for inclusion in the NDX at less than its full global market capitalization. Notwithstanding the
foregoing, an American depositary receipt that serves as a company’s primary global listing (i.e., the underlying shares are not
listed or available for trading elsewhere) will be considered for inclusion based on its full global market capitalization, in the same
manner as a direct listing.
| 1. | Once ranked, companies are selected for index inclusion based on the
following order of criteria: The top 75 ranked companies are selected for inclusion in the
NDX. |
| 2. | Any other companies that were members of the NDX as of the reconstitution
reference date and are ranked within the top 100 ranked companies are also selected for inclusion
in the NDX. |
| 3. | If fewer than 100 companies are selected based on the first two criteria,
then the remaining positions will first be filled, in rank order, by companies currently
in the NDX as of the reconstitution reference date, which are ranked in positions 101-125,
as long as they were: |
| a. | ranked in the top 100 as of the reference date of the previous reconstitution,
or |
| b. | added as a replacement since the previous reconstitution, or |
| c. | added as the result of a spinoff event since the previous reconstitution. |
| 4. | If fewer than 100 companies are selected based on the first three
criteria, the remaining positions will be filled, in rank order, by any companies ranked
in the top 100 that were not already members of the NDX as of the reconstitution reference
date. |
Constituent Weighting
Constituent Weighting Scheme
The NDX employs a modified capitalization weighting scheme.
Constituent Weighting Process
The quarterly weight process uses company-level weights, which are
derived using the price and total shares outstanding (“TSO”) of each security, as of the rebalance reference date. For any
company represented by more than one eligible share class, the company weight is the combined weight of the eligible securities representing
its share classes. All American depositary receipt securities selected for index inclusion will have their weights assigned according
to the market capitalization of the depositary shares outstanding, as reported by the depositary banks.
For quarterly rebalances in March, June, and September, index shares
for each security are adjusted by the percentage change in that company’s TSO since the previous TSO update. Following those adjustments,
the resulting company weights are evaluated based on two constraints:
| · | No company’s
weight may exceed 24%. |
| | | |
| · | The aggregate weight
of the companies whose weights exceed 4.5% may not exceed 48%. |
If neither constraint is violated, then no further adjustments are
made, and the quarterly constituent weighting process is complete.
Only in cases where either or both of the constraints above are violated,
or when the quarterly rebalance coincides with the annual reconstitution (i.e., December), quarterly weight adjustments are made according
to a two-stage adjustment process described below. This process uses the price and TSO of each security, as of the rebalance reference
date, to derive the initial company-level weights.
Stage 1 adjustment. If no company’s initial weight exceeds
24% of the NDX, initial weights are used as Stage 1 weights without adjustment. Otherwise, initial weights are adjusted such that no
company’s weight may exceed 20% of the NDX.
Stage 2 adjustment. If the aggregate weight of the companies
whose Stage 1 weights exceed 4.5% does not exceed 48%, Stage 1 weights are used as the final weights. Otherwise, Stage 1 weights are
adjusted such that:
| · | The aggregate weight
of the companies whose Stage 1 weights exceeded 4.5% is set to 40%. |
| | | |
| · | Companies with Stage
1 weights below 4.5% may also have their weights adjusted to preserve the initial rank order
of all companies. |
If the two-stage process results in a violation of the weighting constraints
as previously detailed in the this section, then the process is repeated until the company weights meet the constraints.
Annual Weight Adjustment
The annual reconstitution employs an additional two-stage weight adjustment
using security-level constraints. For any company with more than one eligible share class, the securities representing those share classes
are considered separately.
Final security weights from the quarterly weight adjustment are used
as the initial security weights for the annual weight adjustment process.
Stage 1 adjustment. If no security’s initial weight exceeds
15%, initial weights are used as Stage 1 weights. Otherwise, initial weights are adjusted such that no security’s weight may exceed
14% of the NDX.
Stage 2 adjustment. If the aggregate weight of the securities
with the five largest Stage 1 weights does not exceed 40%, Stage 1 weights are used as final weights. Otherwise, Stage 1 weights are
adjusted such that:
| · | The aggregate weight
of the securities with the five largest Stage 1 weights is set to 38.5%. |
| · | In order to preserve
the initial rank order of the securities, the final index weight of any security outside
the five largest will be capped at the lesser of 4.4% or the weight of the fifth largest
security. |
If the two-stage process results in a violation of the weighting constraints
as previously detailed in the this section, then the process is repeated until the security weights meet the constraints.
NDX Calculation
The discussion below describes the “price return” calculation
of the Nasdaq-100 Index®. As compared to the gross total return or net total return
versions of the NDX, the price return version is ordinarily calculated without regard to ordinary cash dividends on the NDX stocks. However,
all NDX calculations reflect special cash dividends.
The NDX is a modified market capitalization-weighted index. The value
of the Nasdaq- 100 Index® equals the NDX market value divided by the NDX divisor.
The overall NDX market value is the aggregate of each NDX stock’s market value, as may be adjusted for any corporate actions. A
NDX stock’s market value is determined by multiplying the last sale price by the number of shares of the index security included
in the NDX. In other words, the value of the
NDX is equal to (i) the sum of the products of (a) the index
shares of each of the NDX stocks multiplied by (b) each such stock’s last sale price (adjusted for corporate actions, if any),
divided by (ii) the divisor of the NDX.
The price return NDX divisor is calculated as the ratio of (i) the
start of day market value of the NDX divided by (ii) the previous day NDX value.
If an index security does not trade on the relevant Nasdaq exchange
on a given day or the relevant Nasdaq exchange has not opened for trading, the previous index calculation day’s closing price for
index security (adjusted for corporate actions occurring prior to market open on the current day, if any) is used. If an index security
is halted during the trading day, the most recent last sale price is used until trading resumes. For securities where the Nasdaq Stock
Market is the relevant Nasdaq exchange, the last sale price may be the Nasdaq Official Closing Price when it is closed.
Index Calendar
| Reconstitution
Frequency |
Annually |
| Rebalance
Frequency |
Quarterly |
| Reconstitution
Reference Dates |
Last
trading day of November |
| Reconstitution
Announcement Dates |
After
the close on the second Friday in December |
| Reconstitution
Effective Dates |
At
market open on the first trading day following the third Friday in December |
| Rebalance
Reference Dates |
Last
trading day of February, May, August, and November, respectively |
| Rebalance
Announcement Dates |
After
the close on the second Friday in March, June, September, and December |
| Rebalance
Effective Dates |
At
market open on the first trading day following the third Friday in March, June, September, and December |
A special rebalance may be triggered, if either of the following weighting
restrictions are violated, based on end-of-day values:
| · | No company’s
weight may exceed 24%. |
| · | The aggregate weight
of the companies whose weights exceed 4.5% may not exceed 48%. |
Notice of a special rebalance, including the effective date and reference
date, will be published in advance through the normal channels, and will follow the quarterly update process described in the constituent
weighting section.
The NDX is calculated Monday through Friday, except on days when the
US markets are closed.
The NDX is calculated during the trading day based on the last sale
price and are disseminated once per second from 09:30:01 to 17:16:00 ET. The closing value of the NDX may change up until 17:15:00 ET
due to corrections to the last sale price of the index securities.
Index Maintenance
Deletion Policy
If, at any time, it is determined that an index security is ineligible
for continued inclusion, it will be removed as soon as practicable. Advanced notice of an index security deletion, including the effective
date, will be announced through the normal channels. Criteria for security removal include, but are not limited to:
| · | Delisting or transferring
to an ineligible exchange. |
| · | Reorganizing as an
ineligible security type (e.g., a real estate investment trust). |
| · | Reclassification as
a financial company, according to the ICB. |
| · | Involvement in a merger,
acquisition, or other major corporate event that would make continued inclusion impossible,
impractical, or inappropriate. |
| · | Failure to maintain
a weight of at least 0.10% for two consecutive month ends. Any security that fails to maintain
a weight of at least 0.10% for two consecutive month-ends will be replaced, subject to the
availability of a replacement security with a larger market capitalization. If no such security
is available, the incumbent security will remain in the NDX until a suitable replacement
can be identified. If its weight increases to above 0.10% before a suitable replacement security
is designated, then the incumbent security will not be replaced. This situation will be evaluated
at the end of each calendar month. |
| · | For a security added
to the NDX as the result of a spin-off event, failure to establish a weight of at least 0.10%
at the end of its second day of regular-way trading as an index member. |
| · | Declaring bankruptcy,
liquidating, or otherwise permanently ceasing operations. |
In circumstances where it is not possible to provide sufficient advanced
notification of the removal event and/or the identity of a replacement, the security being removed may be persisted in the NDX at its
last sale price, or at an appropriate “deal price”, until the effective date of the replacement company’s entry into
the NDX. In such cases, a temporary placeholder security may be utilized, and will be denoted by adding a dollar sign to the beginning
and end of the security’s ticker symbol.
Securities that are added to the NDX as the result of a spin-off event
are normally maintained in the NDX, subject to the removal criteria specified above. Those that are not immediately removed may be removed
at a later date to protect the integrity of the NDX, for example, if a spun-off security demonstrates liquidity characteristics that
diverge materially from the security eligibility criteria.
Replacement Policy
Other than at the index reconstitution, except for spin-offs, additions
to the NDX occur only when there is a deletion that requires replacement. The company with the largest market capitalization that meets
all eligibility criteria as of the prior month-end, and which is not already an index member, will replace the deleted company.
For companies represented by more than one share class, the company
will only be considered deleted when all its share classes have been removed from the NDX. If a security is removed, but other securities
representing the same company remain in the NDX, a replacement event will not be triggered.
A security that was added to the NDX as the result of a spin-off event,
and then removed before the next reconstitution, will not be replaced.
For pending deletions set to occur soon after a reconstitution and/or
rebalance effective date, the removal may be accelerated to occur in conjunction with the reconstitution and/or rebalance event.
Corporate Actions
In the periods between scheduled index reconstitution and rebalancing
events, individual index securities may be subject to a variety of corporate actions and events that require maintenance and adjustments
to the NDX.
At the quarterly rebalancing, no changes are made to the NDX from
the previous month end until the quarterly share change effective date, with the exception of corporate actions with an ex-date.
Special Cash Dividends
A special cash dividend is a cash payment by the issuer of the index
security to shareholders that the issuer does not consider to be part of its regular dividend paying cycle. A dividend is considered
special in the NDX if the information provided by the vendor or the index exchange indicates that the dividend is special. Other nomenclature
for a special dividend may include but not be limited to extra, extraordinary, non-recurring, one-time, unusual, etc.
The start of day price of the index security is adjusted downward
for the amount of the special cash dividend with no adjustment to the index shares resulting in a change to the divisor.
Return of Capital
A return of capital is a cash distribution paid from the company’s
capital surplus rather than its net income or retained earnings. For the purposes of index calculation, Nasdaq will determine the treatment
(regular vs. special) of each return of capital event based on whether the payment fits with the company’s regular pattern of dividend
payments, or if the payment appears to be extraordinary in nature.
Liquidation Distributions
A liquidation distribution, sometimes referred to as a “liquidating
dividend” is a cash distribution made by an issuer in conjunction with the dissolution of its business. Bankruptcy liquidations
rarely result in liquidation payments to equity shareholders. Voluntary liquidations, on the other hand, will generally produce one or
more liquidation payment events. For the purposes of index calculation, Nasdaq treats liquidation distributions in the same manner as
special dividends.
Stock Split / Stock Dividend / Bonus Issue
A stock split, stock dividend and bonus issue are similar transactions
which generally result in no change to the market capitalization of the security. They essentially imply the same event and the only
difference is in the way the terms are quoted. A stock split or bonus issue is quoted in terms of shares received to shares held and
stock dividends are quoted in percentages. This event increases the index shares of the index security based on an adjustment factor,
while simultaneously reducing its per share price by applying a corresponding inverse adjustment factor, such that the weight of the
index security remains similar before and after the event resulting in no change or a minimal change to the divisor.
Cash and Stock Dividend
An issuer of a security may pay a cash and stock dividend on the same
security on the same date. In this case, the cash dividend is processed in the NDX before the stock dividend unless otherwise indicated.
Optional Dividend
An issuer of a security may permit the shareholder to choose between
receiving a dividend in cash or stock. In this case, the adjustment is made to the index security in the manner the dividend is announced.
Reverse Stock Split / Consolidation
A reverse split generally results in no change to the market capitalization
of the security. Reverse splits are quoted in terms of shares received to shares held. This event decreases the number of index shares
of the index security based on an adjustment factor while simultaneously increasing its per share price by applying a corresponding inverse
adjustment factor, such that the weight of the index security remains similar before and after the event resulting in no change or a
minimal change to the divisor.
Rights Offering / Issue
An issuer may offer to existing shareholders the right to participate
in a new issuance of shares in proportion to each shareholder’s existing holdings of the security at a set price (the subscription
price) during a subscription period. Shareholders are allotted rights in accordance with the ratio set by the company. The rights may
trade for a certain period of time during the subscription period, allowing shareholders the opportunity to sell their rights in the
market. Failure to subscribe to the rights prior to the end of the subscription period will result in their expiration and the shareholders
forfeiture of the opportunity to purchase new shares under the rights issuance.
Renounceable rights offering: The rights issued to an existing shareholder
are transferable in the open market and are able to be sold separately from the shares to other investors during the life of the right.
Renounceable rights are referred to as “transferable” or “tradable”.
Non-renounceable rights offering: The rights issued to an existing
shareholder cannot be traded. Shareholders must either subscribe to the rights or they lapse upon expiration of the subscription period.
Whether the rights offering is renounceable or non-renounceable, if
the distribution is of the same index security, the price and index shares are adjusted if the rights have a subscription price on an
equivalent per share basis that is less than its last sale price (in-the money) of the index security. The price is adjusted downward
for the value of the right.
The index shares are increased to reflect the full exercise of the
rights offering. The number of additional index shares is determined by multiplying the number of rights issued per index security by
the current number of index shares, then
dividing that product by the number of rights required to purchase
one new index security. This results in a divisor adjustment.
If the rights have a subscription price on an equivalent per share
basis that is greater than the last sale price (out of the money) of the index security on the day before the ex-distribution date, no
adjustment will be made to the price or index shares of the index security, even if the offering is underwritten or otherwise guaranteed
in some way. If the distribution is not available to all shareholders, then no adjustment is made to either the price or index shares
of the index security.
Stock Distribution of Another Security
An issuer may distribute shares of another pre-existing publicly traded
company to its own shareholders. These events are often announced as “in specie”, “in kind”, or “spinoff”
distributions. Such events generally do not result in the issuance of new shares or the formation of a new corporate entity, and may
not fall within the traditional definition of a spinoff. Nevertheless, regardless of the terminology used to announce the event, this
distribution will be handled as a “spin-off” as described below.
In cases where the distributed security is already a member of the
NDX, its index shares will be increased, on the effective date, to reflect the value of the distribution.
Spin-offs
A spin-off (also known as a de-merger) occurs when the issuer of an
equity security (the parent) “spins off” a business it owns into a separate new issuer (the spinco). Shares of the spinco
are distributed to the shareholders of the parent, on a pro-rata basis, at a ratio established by the parent. Any spinco which does not
meet the traditional definition of a security, or is not expected to be publicly listed, may be disregarded by the NDX. Spinco securities
will be added to the NDX as their parent security on the effective date. Index shares of the spinco are calculated by multiplying the
index shares of the parent times the spinoff ratio. If the parent security’s listing exchange applies a price adjustment to the
parent security, the spinco security will be assigned an initial price consistent with that amount, adjusted according to the spinoff
ratio. If no price adjustment is applied to the parent, the spinco will be assigned a price of zero. In any case, including events involving
multiple spincos, the total value of the parent and spinco(s) reflected within the NDX at the start-of-day on the effective date
will be equal to the value of the parent security at the prior end-of-day. Resulting divisor changes, if any, are not expected to be
meaningful. Passive investors should not expect to take any action at the time the spinoff event becomes effective.
Once the spinoff event has been completed, the spinco will be evaluated
for continued inclusion in the NDX. By default, the security will remain in the NDX until at least the next scheduled reconstitution,
unless there is a specific reason for immediate disqualification. Regardless of the reason(s) for disqualification, a disqualified
spinco will be held in the NDX until regular-way trading is established, and removed only after sufficient advanced notice is provided
through the normal communication channels.
A disqualified spinco is normally removed at the last sale price of
the day prior to the announced removal date. There is no adjustment to the index shares of the parent. This will not result in a divisor
adjustment.
Tracking Stocks
A separate line of stock which is issued for the purpose of “tracking”
the financial performance of a particular business line, division or subsidiary of a company is often referred to as a “tracking
stock.” The pro-rata distribution of a newly issued tracking stock to existing shareholders of the “parent” company
is handled in accordance with the guidelines for spin-offs. A similar distribution of a pre-existing tracking stock is handled as a stock
distribution of another security.
Mergers & Acquisitions (M&A)
A merger/acquisition is the combination of two (or more) companies
into one larger company, involving an exchange of stock and/or cash payment to the shareholders of the acquired company.
If the issuer of the index security is the company being acquired,
the index security is removed the day following the shareholder vote or the expected expiration of the tender offer, provided the acquisition
is not contested. In the event the acquisition is contested, the deletion occurs once results have been received that indicate the acquisition
will likely be successful. If the approval is by written consent, then the removal occurs as soon as reasonably practical thereafter.
When the acquiring company is an index security, it may incur an increase
in its index shares if the acquisition involves an exchange of stock as payment.
Additions / Deletions
The addition or deletion of a security will generally result in a
divisor change. Index securities are added or removed from the NDX at their last sale price on the day prior to the effective date of
the change.
Halted Securities
If an index security, at the time of its removal from the NDX, is
halted from trading on its index exchange and its current last sale price cannot readily be determined, the index security may, at Nasdaq’s
discretion, be removed at a price of
0.00000001 (“zero price”). This price is applied to the
index security after the close of all the trading markets in the NDX but prior to the time the official closing value of the NDX is disseminated.
Index Share and TSO Changes
A security’s index shares may change as a result of events other
than those corporate actions/events noted above. If a change in TSO arising from other corporate events is greater than or equal to 10%,
an adjustment to index shares is made as soon as practicable after being sufficiently verified. If the change in TSO is less than 10%,
then all such changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday
in each of March, June, September and December. The index shares are adjusted by the same percentage amount by which the TSO has
changed.
Bankruptcy
In the event that an existing index constituent files for bankruptcy
or equivalent protection from creditors, affected securities will be removed from their respective indexes, on a best-efforts basis,
as soon as practicable after Nasdaq becomes aware of the filing.
If the index constituent is still available for trading on its primary
exchange, it is removed from the NDX at the security’s last trading price. If the security is no longer trading per its primary
exchange, the constituent may be removed at an OTC price, if judged reliable. When no sufficiently reliable price exists, the security
is removed at a price of zero.
Sanctions
Generally, Nasdaq Indices will approach the treatment of sanctions
through the lens of United States, United Kingdom, and/or European Union based investors. Most sanctions can be thought of as being either
comprehensive or selective:
Comprehensive sanctions programs are geographically oriented, and
often apply broad-based financial restrictions on entire countries. Examples include Cuba, North Korea, Iran, and Syria. Companies
in countries targeted by comprehensive sanctions are not eligible for inclusion in the NDX.
Other sanctions programs are more selective, and target specific companies
and individuals regardless of their locations. Nasdaq consults multiple sources in order to identify and interpret relevant sanctions
on a best-efforts basis.
Because different sanctions programs include a variety of evolving
restrictions and requirements, sanctions generally require a case-by-case review. Any resulting index adjustments, if necessary, will
be made at the sole discretion of the Nasdaq Index Management Committee.
Other Adjustments
Nasdaq may make adjustments in circumstances other than those detailed
in the index methodology, but not limited to adjustments necessary to ensure NDX and/or market integrity. Nasdaq may exercise discretion
or expert judgement (other than that which is purely mechanical and, where relevant, implemented in accordance with the index methodology)
when the situation calls for the interpretation of data in calculating and maintaining the NDX, including application of corporate actions.
The use of expert judgement is overseen by the index governance process and mandates that the discretion or expert judgement would be
exercised (i) in good faith and in a commercially reasonable
manner and (ii) in such a manner as to ensure, as far as commercially reasonable, consistency in the approach it adopts with regard
to the exercise of such discretion or expert judgement.
Index Governance
All Nasdaq Indexes are managed by the governance committee structure
and have transparent governance, oversight, and accountability procedures for the index determination process.
License Agreement with Nasdaq, Inc.
The notes are not sponsored, endorsed, sold or promoted by Nasdaq, Inc.
or its affiliates (NASDAQ, with its affiliates, are referred to as the “Corporations”). The Corporations have not passed
on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The Corporations
make no representation or warranty, express or implied to the owners of the notes or any member of the public regarding the advisability
of investing in securities generally or in the notes particularly, or the ability of the NDX to track general stock market performance.
The Corporations' only relationship to the Issuer (“Licensee”) is in the licensing of the Nasdaq®, NDX trademarks or
service marks, and certain trade names of the Corporations and the use of the NDX which is determined, composed and calculated by NASDAQ
without regard to Licensee or the notes. NASDAQ has no obligation to take the needs of the Licensee or the owners of the notes into consideration
in determining, composing or calculating the NDX. The Corporations are not responsible for and have not participated in the determination
of the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which
the notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading
of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED
CALCULATION OF NDX OR ANY DATA INCLUDED THEREIN, THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED
BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NDX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS
MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR
USE WITH RESPECT TO THE NDX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS
HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED
OF THE POSSIBILITY OF SUCH DAMAGES.
Historical Performance of the NDX
The following graph sets forth the historical
performance of the NDX based on the daily historical closing levels from January 1, 2019 through December 31, 2024. We obtained
the closing levels below from Bloomberg. We have not undertaken any independent review of, or made any due diligence inquiry with respect
to, the information obtained from Bloomberg.
The historical levels of the NDX should not be taken as an indication
of future performance, and no assurance can be given as to the closing level of the NDX on any coupon observation date, including the
determination date.
SUPPLEMENTAL DISCUSSION OF
U.S. FEDERAL INCOME TAX CONSEQUENCES
You should carefully consider the matters set
forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus. The following discussion summarizes the
U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of the notes. This summary supplements the
section “U.S. Federal Income Tax Considerations” in the accompanying prospectus and supersedes it to the extent inconsistent
therewith.
There is no direct legal authority as to the
proper tax treatment of the notes, and therefore significant aspects of the tax treatment of the notes are uncertain as to both the timing
and character of any inclusion in income in respect of the notes. Under one approach, a note should be treated as a contingent income-bearing
pre-paid derivative contract with respect to the underliers. We intend to treat the notes consistent with this approach. Pursuant to
the terms of the notes, you agree to treat the notes under this approach for all U.S. federal income tax purposes. Subject to the limitations
described therein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Mayer
Brown LLP, it is reasonable to treat a note as a contingent income-bearing pre-paid derivative contract with respect to the underliers.
Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S.
federal income tax purposes of securities with terms that are substantially the same as those of the notes, other characterizations and
treatments are possible and the timing and character of income in respect of the notes might differ from the treatment described herein.
U.S. Holders. Please see the discussion
under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — Certain Notes Treated as
a Put Option and a Deposit or a Derivative Contract — Certain Notes Treated as Prepaid Derivative Contracts” in the accompanying
prospectus for a further discussion of U.S. federal income tax considerations applicable to U.S. holders (as defined in the accompanying
prospectus). Pursuant to the approach discussed above, we intend to treat any gain or loss upon maturity or an earlier sale, exchange,
or redemption as capital gain or loss in an amount equal to the difference between the amount you receive at such time (other than with
respect to any contingent coupon) and your tax basis in the note. Any such gain or loss will be long-term capital gain or loss if you
have held the note for more than one year at such time for U.S. federal income tax purposes. Your tax basis in a note generally will
equal your cost of the note. In addition, the tax treatment of the contingent coupons is unclear. Although the tax treatment of the contingent
coupons is unclear, we intend to treat any contingent coupon, including on the maturity date, as ordinary income includible in income
by you at the time it accrues or is received in accordance with your normal method of accounting for U.S. federal income tax purposes.
Non-U.S. Holders. Please see the discussion
under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of Non-U.S. Holders” in the accompanying
prospectus for further discussion of U.S. federal income tax considerations applicable to non-U.S. holders (as defined in the accompanying
prospectus). Because the U.S. federal income tax treatment (including the applicability of withholding) of the contingent coupons is
uncertain, to the extent we have a withholding obligation, we intend to withhold U.S. federal income tax on the entire amount of any
contingent coupons at a 30% rate (or at a lower rate under an applicable income tax treaty). Even if we do not have a withholding obligation,
another withholding agent in the chain of payments may effectuate withholding to the same extent. Any U.S. federal withholding tax should
generally be imposed once. We will not pay any additional amounts in respect of any such withholding.
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 U.S. Treasury Department 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, 2027. Based on the Issuer’s determination that the notes are not “delta-one”
instruments, 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 underliers 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 underliers 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.
PROSPECTIVE PURCHASERS OF NOTES SHOULD CONSULT
THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF
NOTES.
| SUPPLEMENTAL
PLAN OF DISTRIBUTION |
| |
| See “Plan of Distribution (Conflicts of Interest)” in the
accompanying prospectus. |
| |
| Nomura America Finance, LLC will sell to GS&Co., and GS&Co.
will purchase from Nomura America Finance, LLC, the aggregate face amount of the offered notes specified on the front cover of this
pricing supplement. GS&Co. proposes initially to offer the notes to the public at the original issue price set forth on the cover
page of this pricing supplement, and to certain securities dealers at such price less a concession not in excess of up to 0.75%
of the face amount. |
| |
| We will deliver the notes against payment therefor in New York, New
York on the original issue date set forth on the cover page of this pricing supplement. Under Rule 15c6-1 of the Securities
Exchange Act of 1934, trades in the secondary market generally are required to settle in one business day, unless the parties to
any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to one business day before
delivery will be required to specify alternative settlement arrangements to prevent a failed settlement. |
| |
| We have been advised by Nomura Securities International, Inc. that
it intends to make a market in the notes. However, neither Nomura Securities International, Inc. nor any of its other affiliates
that makes a market is obligated to do so and any of them may stop doing so at any time without notice. No assurance can be given
as to the liquidity or trading market for the notes. |
| |
| The notes will not be listed on any securities exchange or interdealer
quotation system. |
Nomura (PK) (USOTC:NRSCF)
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Nomura (PK) (USOTC:NRSCF)
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