Example 3
The Ending Value
is 130.00, or 130.00% of the Starting Value:
|
|
|
|
|
Starting Value:
|
|
100.00
|
|
|
Ending Value:
|
|
130.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$10 +
|
|
[
|
|
$10 × 300% ×
|
|
(
|
|
130 100
|
|
)
|
|
]
|
|
= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $11.70 per unit
|
|
|
|
|
|
100
|
|
|
|
|
|
|
Accelerated Return Notes
®
|
|
TS-4
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more
detailed explanation of risks relating to the notes in the Risk Factors section beginning on page P-4 of product supplement ARN-4, as well as the explanation of certain risks related to SEK contained in Item 3 of our Annual Report
on Form 20-F for the fiscal year ended December 31, 2011, which was filed with the SEC on March 19, 2012 and is incorporated by reference herein. We also urge you to consult your investment, legal, tax, accounting, and other advisors
before you invest in the notes.
|
§
|
|
Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of
principal.
|
|
§
|
|
Your yield may be less than the yield you could earn by owning a conventional debt security of comparable maturity.
|
|
§
|
|
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If
we become insolvent or are unable to pay our obligations, you may lose your entire investment.
|
|
§
|
|
Your investment return, if any, is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks
included in the Index.
|
|
§
|
|
If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for the notes due to, among other things, the
inclusion of fees charged for developing, hedging and distributing the notes, as described on page TS-11 and various credit, market and economic factors that interrelate in complex and unpredictable ways.
|
|
§
|
|
A trading market is not expected to develop for the notes. We, MLPF&S and our respective affiliates are not obligated to make a market for, or to repurchase,
the notes.
|
|
§
|
|
Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international securities markets.
|
|
§
|
|
The business, hedging and trading activities of MLPF&S and its affiliates (including trades in shares of companies included in the Index) and any hedging and
trading activities MLPF&S or its affiliates engage in for their clients accounts may affect the market value and return of the notes and may create conflicts of interest with you.
|
|
§
|
|
The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
|
|
§
|
|
You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or dividends or other
distributions by the issuers of those securities.
|
|
§
|
|
While we, MLPF&S or our respective affiliates may from time to time own shares of companies included in the Index, we, MLPF&S and our respective
affiliates do not control any company included in the Index, and are not responsible for any disclosure made by any other company.
|
|
§
|
|
There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.
|
|
§
|
|
The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See Material Summary Tax
Consequences below and Material U.S. Federal Income Taxation Considerations beginning on page P-19 of product supplement ARN-4.
|
In addition to these risk factors, it is important to bear in mind that the notes are senior debt securities of SEK and are not guaranteed or insured by the FDIC or secured by collateral, nor are they obligations
of, or guaranteed by, the Kingdom of Sweden. The notes will rank equally with all of SEKs unsecured and unsubordinated debt, and any payments due on the notes, including any repayment of principal, will be subject to the credit risk of SEK.
Other Terms of the Notes
Market
Measure Business Day
The following definition shall supersede and replace the definition of a Market Measure Business Day set forth on
page P-14 of product supplement ARN-4.
A Market Measure Business Day means a day on which:
|
(A)
|
the London Stock Exchange, the Frankfurt Stock Exchange, the Paris Bourse, and the Tokyo Stock Exchange (or any successor to the foregoing exchanges) are open for trading; and
|
|
(B)
|
the Index or any successor thereto is calculated and published.
|
|
|
|
Accelerated Return Notes
®
|
|
TS-5
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its makeup, method of calculation, and changes in its components, have been derived from publicly available sources.
Additional information on the Index is available on the MSCI Barra website:
www.mscibarra.com
. We are not incorporating by reference such website or any material included on such website in this term sheet. The information reflects the
policies of, and is subject to change by, MSCI. MSCI, which owns the copyright and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of MSCI discontinuing
publication of the Index are discussed in the section entitled Description of the Notes Discontinuance of the Market Measure beginning on page P-15 of product supplement ARN-4. None of us, the calculation agent, or MLPF&S
accepts any responsibility for the calculation, maintenance, or publication of the Index or any successor index.
The Index is intended to measure
equity market performance in developed market countries, excluding the U.S. and Canada. The Index is a free float-adjusted market capitalization equity index with a base date of December 31, 1969 and an initial value of 100.00. The Index is
calculated daily in U.S. dollars and published in real time every 60 seconds during market trading hours. As of October 31, 2012, the Index consisted of companies from the following 22 developed countries: Australia, Austria, Belgium, Britain,
Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, and Switzerland.
As of October 31, 2012, the five largest country weights were Britain (23.2%), Japan (19.6%), France (9.4%), Australia (9.1%), and Switzerland (8.8%) and the five largest sector weights were Financials
(24.1%), Industrials (12.4%), Consumer Staples (11.9%), Consumer Discretionary (10.2%), and Healthcare (10.1%).
The Index is part of the MSCI Regional
Equity Indices series and is an MSCI Global Investable Market Index, which is a family within the MSCI International Equity Indices.
General - MSCI
Indices
MSCI provides global equity indices intended to measure equity performance in international markets and the MSCI International Equity
Indices are designed to serve as global equity performance benchmarks. In constructing these indices, MSCI applies its index construction and maintenance methodology across developed, emerging, and frontier markets.
MSCI enhanced the methodology used in its MSCI International Equity Indices. The MSCI Standard and MSCI Small Cap Indices, along with the other MSCI equity indices
based on them, transitioned to the global investable market indices methodology described below. The transition was completed at the end of May 2008. The Enhanced MSCI Standard Indices are composed of the MSCI Large Cap and Mid Cap Indices. The MSCI
Global Small Cap Index transitioned to the MSCI Small Cap Index resulting from the Global Investable Market Indices methodology and contains no overlap with constituents of the transitioned MSCI Standard Indices. Together, the relevant MSCI Large
Cap, Mid Cap, and Small Cap Indices will make up the MSCI investable market index for each country, composite, sector, and style index that MSCI offers.
Constructing the MSCI Global Investable Market Indices.
MSCI undertakes an index construction process, which involves:
|
|
|
defining the equity universe;
|
|
|
|
determining the market investable equity universe for each market;
|
|
|
|
determining market capitalization size segments for each market;
|
|
|
|
applying index continuity rules for the MSCI Standard Index;
|
|
|
|
creating style segments within each size segment within each market; and
|
|
|
|
classifying securities under the Global Industry Classification Standard (the GICS).
|
Defining the Equity Universe.
The equity universe is defined by:
|
|
|
Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which
will be classified as either Developed Markets (DM) or Emerging Markets (EM). All listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity
derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real Estate Investment Trusts (REITs) in some countries are also eligible for inclusion.
|
|
|
|
Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified in only one country.
|
|
|
|
Accelerated Return Notes
®
|
|
TS-6
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
Determining the Market Investable Equity Universes.
A market investable equity universe for a market is
derived by applying investability screens to individual companies and securities in the equity universe that are classified in that market. A market is equivalent to a single country, except in DM Europe, where all DM countries in Europe are
aggregated into a single market for index construction purposes. Subsequently, individual DM Europe country indices within the MSCI Europe Index are derived from the constituents of the MSCI Europe Index under the global investable market indices
methodology.
The investability screens used to determine the investable equity universe in each market are as follows:
|
|
|
Equity Universe Minimum Size Requirement:
this investability screen is applied at the company level. In order to be included in a market investable equity
universe, a company must have the required minimum full market capitalization.
|
|
|
|
Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement:
this investability screen is applied at the individual security level. To
be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
|
|
|
|
DM and EM Minimum Liquidity Requirement:
this investability screen is applied at the individual security level. To be eligible for inclusion in a market
investable equity universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (ATVR), a measure that screens out extreme daily trading volumes and takes into account the free
float-adjusted market capitalization size of securities, together with the three-month frequency of trading are used to measure liquidity. In the calculation of the ATVR, the trading volumes in depository receipts associated with that security, such
as ADRs or GDRs, are also considered. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable
equity universe of a DM, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable equity
universe of an EM.
|
|
|
|
Global Minimum Foreign Inclusion Factor Requirement:
this investability screen is applied at the individual security level. To be eligible for inclusion
in a market investable equity universe, a securitys Foreign Inclusion Factor (FIF) must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the
public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger
than 0.15 to be eligible for inclusion in a market investable equity universe.
|
|
|
|
Minimum Length of Trading Requirement:
this investability screen is applied at the individual security level. For an initial public offering
(IPO) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least four months before the implementation of the initial construction of the index or at least three months before
the implementation of a semi-annual index review (as described below). This requirement is applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market
investable equity universe and the MSCI Standard Index outside of a Quarterly or Semi-Annual Index Review (as defined below).
|
Defining Market Capitalization Size Segments for Each Market.
Once a market investable equity universe is defined, it is segmented into the following
size-based indices:
|
|
|
Investable Market Index (Large + Mid + Small);
|
|
|
|
Standard Index (Large + Mid);
|
Creating the size segment
indices in each market involves the following steps:
|
|
|
defining the market coverage target range for each size segment;
|
|
|
|
determining the global minimum size range for each size segment;
|
|
|
|
determining the market size-segment cutoffs and associated segment number of companies;
|
|
|
|
assigning companies to the size segments; and
|
|
|
|
applying final size-segment investability requirements.
|
Index Continuity Rules for the Standard Indices.
In order to achieve index continuity, as well as to provide some basic level of diversification within a market index, and notwithstanding the effect of other
index construction rules described in this section, a minimum number of five constituents will be maintained for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard Index.
|
|
|
Accelerated Return Notes
®
|
|
TS-7
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
Creating Style Indices within Each Size Segment.
All securities in the investable equity universe are
classified into value or growth segments using the MSCI Global Value and Growth methodology.
Classifying Securities under the Global Industry
Classification Standard.
All securities in the global investable equity universe are assigned to the industry that best describes their business activities. To this end, MSCI has designed, in conjunction with Standard & Poors, the
GICS. Under the GICS, each company is assigned to one sub-industry according to its principal business activity. Therefore, a company can belong to only one industry grouping at each of the four levels of the GICS.
Index Maintenance
The MSCI global investable market indices
are maintained with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking to achieve index continuity, continuous investability of constituents and replicability of the indices, and
index stability, and low index turnover. In particular, index maintenance involves:
(i) Semi-Annual Index Reviews (SAIRs)
in May and November of the Size Segment and Global Value and Growth Indices which include:
|
|
|
updating the indices on the basis of a fully refreshed equity universe;
|
|
|
|
taking buffer rules into consideration for migration of securities across size and style segments; and
|
|
|
|
updating FIFs and Number of Shares (NOS).
|
(ii) Quarterly Index Reviews (QIRs) in February and August of the Size Segment Indices aimed at:
|
|
|
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
|
|
|
|
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
|
|
|
|
reflecting the impact of significant market events on FIFs and updating NOS.
|
(iii) Ongoing Event-Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are
included in the indices after the close of the companys tenth day of trading.
Neither we nor any of our affiliates, or MLPF&S, accepts any
responsibility for the calculation, maintenance, or publication of, or for any error, omission, or disruption in, the Index or any successor to the Index. MSCI does not guarantee the accuracy or the completeness of the Index or any data included in
the Index. MSCI assumes no liability for any errors, omissions, or disruption in the calculation and dissemination of the Index. MSCI disclaims all responsibility for any errors or omissions in the calculation and dissemination of the Index, or the
manner in which the Index is applied in determining the amount payable on the notes at maturity.
|
|
|
Accelerated Return Notes
®
|
|
TS-8
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
The following graph shows the monthly historical performance of the Index in the period from January 2007
through October 2012. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On November 26, 2012, the closing level of the Index was
1,535.74.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value
of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the
notes.
Before investing in the notes, you should consult publicly available sources for the levels and trading pattern of the Index.
License Agreement
SEK and MSCI have entered
into or, to the extent required, will enter into a non-exclusive license agreement providing for the license to SEK, in exchange for a fee, for the right to use the Index in connection with the issuance and marketing of securities, including the
notes. The license agreement between MSCI and SEK provides that the following language must be stated in this term sheet:
THE NOTES ARE NOT
SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (MSCI), ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDICES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI
INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY SEK. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY
REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE NOTES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE NOTES PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK
CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDICES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES OR THE
ISSUER OR OWNER OF A NOTE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THE NOTES INTO CONSIDERATION IN
DETERMINING, COMPOSING OR CALCULATING THE MSCI INDICES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS
|
|
|
Accelerated Return Notes
®
|
|
TS-9
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
RESPONSIBLE FOR OR HAS 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 REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THE NOTES IN CONNECTION WITH THE
ADMINISTRATION, MARKETING OR OFFERING OF THE NOTES.
ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI
INDICES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY
MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE,
LICENSEES CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE FINANCIAL SECURITIES, OWNERS OF THE FINANCIAL SECURITIES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED
HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY
MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS
AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED
THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE,
CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
No purchaser, seller, or holder of the
Notes, or any other person or entity, should use or refer to any MSCI trade name, trademark, or service mark to sponsor, endorse, market, or promote the Notes without first contacting MSCI to determine whether MSCIs permission is required.
Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.
|
|
|
Accelerated Return Notes
®
|
|
TS-10
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
Supplement to the Plan of Distribution
We may deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934,
trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement of the notes occurs more than three business days from the
pricing date, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units.
MLPF&S will not receive an underwriting discount for notes sold to certain fee-based trusts and fee-based discretionary accounts managed by U.S.
Trust operating through Bank of America, N.A.
If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in
effecting the transaction for your account.
MLPF&S may repurchase and resell the notes, with repurchases and resales being made at prices related
to then-prevailing market prices or at negotiated prices. MLPF&S may act as principal or agent in these market-making transactions; however it is not obligated to engage in any such transactions.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the
terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding SEK or for any purpose
other than that described in the immediately preceding sentence.
Role of MLPF&S
MLPF&S will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting
discount. The public offering price includes, in addition to the underwriting discount, a charge of approximately $0.075 per unit, reflecting an estimated profit earned by MLPF&S from transactions through which the notes are structured and
resulting obligations hedged. Actual profits or losses from these hedging transactions may be more or less than this amount.
All charges related to the
notes, including the underwriting discount and the hedging related costs and charges, reduce the economic terms of the notes. For further information regarding these charges, our trading and hedging activities and conflicts of interest, see
Risk Factors General beginning on page P-4 and Use of Proceeds and Hedging on page P-22 of product supplement ARN-4.
Material Summary Tax Consequences
You should read carefully the discussion under the section
entitled Material U.S. Federal Income Taxation Considerations beginning on page P-19 of product supplement ARN-4.
An investment in the
notes includes the following U.S. federal income tax consequences:
|
|
|
You agree with us (in the absence of an administrative determination, or judicial ruling to the contrary) to characterize and treat the notes for all tax
purposes as a single financial contract with respect to the Market Measure.
|
|
|
|
Under this characterization and tax treatment of the notes, a U.S. Holder (as defined in product supplement ARN-4) generally will recognize capital gain or loss
upon maturity or upon a sale, exchange, or redemption of the notes prior to maturity, and will not be required to recognize current income prior to maturity or prior to such sale or exchange. Capital gain or loss generally will be long-term capital
gain or loss if you held the notes for more than one year.
|
|
|
|
There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes. Accordingly, no assurance can be given that
the IRS or any court will agree with this characterization and tax treatment. Under alternative characterizations of the notes, it is possible, for example, that the notes could be treated as contingent payment debt instruments, or as including a
debt instrument and a forward contract or two or more options. In addition, proposed changes in law or administrative guidance could materially affect the tax treatment of the notes. As a result, the timing and character of income on the notes could
differ materially from the above description. For example, it is possible that a holder of the notes could be required to accrue income over the term of the notes and/or recognize ordinary gain or loss upon maturity of the notes.
|
You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and
disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.
|
|
|
Accelerated Return Notes
®
|
|
TS-11
|
|
|
|
|
|
Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February , 2014
|
|
|
|
|
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read
the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at
www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S toll-free at 1-866-500-5408.
Market-Linked Investments Classification
MLPF&S classifies certain market-linked investments (the Market-Linked Investments) into categories, each with
different investment characteristics. The following description is meant solely for informational purposes and is not intended to represent any particular Enhanced Return Market-Linked Investment or guarantee any performance.
Enhanced Return Market-Linked Investments are short- to medium-term investments that offer you a way to enhance exposure to a particular market view without taking
on a similarly enhanced level of market downside risk. They can be especially effective in a flat to moderately positive market (or, in the case of bearish investments, a flat to moderately negative market). In exchange for the potential to receive
better-than market returns on the linked asset, you must generally accept market downside risk and capped upside potential. As these investments are not market downside protected, and do not assure full repayment of principal at maturity, you need
to be prepared for the possibility that you may lose all or part of your investment.
Accelerated Return Notes
®
and ARNs
®
are registered service marks of Bank of America Corporation, the parent company of MLPF&S.
|
|
|
Accelerated Return Notes
®
|
|
TS-12
|