Obbligazione America Bank Corporation 0% ( US06053W2017 ) in USD

Emittente America Bank Corporation
Prezzo di mercato 100 USD  ⇌ 
Paese  Stati Uniti
Codice isin  US06053W2017 ( in USD )
Tasso d'interesse 0%
Scadenza 24/03/2017 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Bank of America Corporation US06053W2017 in USD 0%, scaduta


Importo minimo 10 USD
Importo totale 59 980 000 USD
Cusip 06053W201
Standard & Poor's ( S&P ) rating NR
Moody's rating NR
Descrizione dettagliata Bank of America Corporation è una delle maggiori istituzioni finanziarie globali, offrendo una vasta gamma di servizi bancari e finanziari a privati, aziende e istituzioni.

The Obbligazione issued by America Bank Corporation ( United States ) , in USD, with the ISIN code US06053W2017, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 24/03/2017

The Obbligazione issued by America Bank Corporation ( United States ) , in USD, with the ISIN code US06053W2017, was rated NR by Moody's credit rating agency.

The Obbligazione issued by America Bank Corporation ( United States ) , in USD, with the ISIN code US06053W2017, was rated NR by Standard & Poor's ( S&P ) credit rating agency.







424B2
424B2 1 d899668d424b2.htm 424B2
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -1 8 0 4 8 8
(T o Prospe c t us da t e d Fe brua ry 2 4 , 2 0 1 5 , Prospe c t us
Supple m e nt da t e d Fe brua ry 2 4 , 2 0 1 5 a nd Produc t
Supple m e nt EQU I T Y I N DI CES SU N -1 da t e d
Fe brua ry 2 4 , 2 0 1 5 )

T he not e s a re be ing issue d by Ba nk of Am e ric a Corpora t ion ("BAC"). T he re a re im port a nt diffe re nc e s be t w e e n t he not e s a nd
a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l c ost s. Se e "Risk Fa c t ors" a nd
"Addit iona l Risk Fa c t ors" be ginning on pa ge T S-8 of t his t e rm she e t a nd "Risk Fa c t ors" be ginning on pa ge PS-7 of produc t
supple m e nt EQU I T Y I N DI CES SU N -1 .
T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .5 6 pe r unit , w hic h is le ss t ha n t he public offe ring pric e
list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-8 of this term sheet and "Structuring the Notes" on page TS-
14 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has approved or disapproved
of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.



Per Unit
Total

Public offering price

$10.00
$59,980,030.00
Underwriting discount

$0.20
$1,199,600.60
Proceeds, before expenses, to BAC

$9.80
$58,780,429.40

T he not e s:


Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue




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424B2
M e rrill Lync h & Co.
March 26, 2015

5,998,003 Units Pricing Date March 26, 2015 $10 principal amount per unit Settlement Date April
2, 2015 CUSIP No. 06053W201 Maturity Date March 24, 2017 Autocallable Market - Linked Step Up Notes Linked to the S&P
Oil & Gas Exploration
and Production Select Industry Index Maturity of approximately two years if not called prior
to maturity Automatic call of the notes per unit at $10 plus the Call Premium
($1.55 on the Observation Date) if the Index is flat or increases above 100% of the Starting Value on the Observation Date The Observation Date will occur approximately one year after
the pricing date If the notes are not called, at maturity: a return of 30%
if the Index is flat or increases up to the Step Up Value a return equal to the percentage
increase in the Index if the Index increases above the Step Up Value 1 - to - 1 downside exposure to decreases in the Index beyond a 5.00% decline, with up to 95.00% of your principal at risk All payments are subject to the credit risk of Bank of America Corporation No periodic interest payments Limited secondary market liquidity, with no exchange listing
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017



Summary
The Autocallable Market-Linked Step Up Notes Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017 (the
"notes") are our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by
collateral. T he not e s w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt . Any pa ym e nt s due on t he not e s,
inc luding a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of BAC. The notes will be automatically called at the Call Amount if
the Observation Level of the Market Measure, which is the S&P Oil & Gas Exploration and Production Select Industry Index (the "Index"), is equal to or
greater than the Call Level on the Observation Date. If not called, at maturity, the notes provide you with a Step Up Payment if the Ending Value of the
Index is equal to or greater than its Starting Value, but is not greater than the Step Up Value. If the Ending Value is greater than the Step Up Value, you will
participate on a 1-for-1 basis in the increase in the level of the Index above the Starting Value. If the Ending Value is less than the Starting Value but
greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than the Threshold Value, you
will lose a portion, which could be significant, of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity or
upon an automatic call, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit
risk. See "Terms of the Notes" below.
The economic terms of the notes (including the Call Premiums and Call Amounts) are based on our internal funding rate, which is the rate we would pay to
borrow funds through the issuance of market-linked notes and the economic terms of certain related hedging arrangements. Our internal funding rate is
typically lower than the rate we would pay when we issue conventional fixed or floating rate debt securities. This difference in funding rate, as well as the
underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the
notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This initial estimated value was determined based on our
and our affiliates' pricing models, which take into consideration our internal funding rate and the market prices for the hedging arrangements related to the
notes. The notes are subject to an automatic call, and the initial estimated value is based on an assumed tenor of the notes. For more information about the
initial estimated value and the structuring of the notes, see "Structuring the Notes" on page TS-14.
Terms of the Notes

I ssue r:
Bank of America Corporation ("BAC")
Ca ll Se t t le m e nt
Approximately the fifth business day following the


Da t e :
Observation Date, subject to postponement if the
Princ ipa l

Observation Date is postponed, as described on
Am ount :
$10.00 per unit
page PS-19 of product supplement EQUITY


INDICES SUN-1.
T e rm :
Approximately two years, if not called



Ca ll Pre m ium :
$1.55 per unit if called on April 1, 2016 (which
M a rk e t M e a sure : The S&P Oil & Gas Exploration and Production

represents a return of 15.50% over the principal

Select Industry Index (Bloomberg symbol:
amount
"SPSIOP"), a price return index.


Ending V a lue :
The closing level of the Market Measure on the
St a rt ing V a lue :
7,558.59

scheduled calculation day. The calculation day is


subject to postponement in the event of Market
Obse rva t ion
The closing level of the Market Measure on the
Disruption Events, as described beginning on page
Le ve l:
Observation Date.
PS-19 of product supplement EQUITY INDICES


SUN-1.
Obse rva t ion
April 1, 2016, subject to postponement in the event

Da t e :
of Market Disruption Events, as described on page
St e p U p V a lue :
9,826.17 (130% of the Starting Value, rounded to

PS-19 of product supplement EQUITY INDICES

two decimal places).
SUN-1.


St e p U p
$3.00 per unit, which represents a return of 30%
Ca ll Le ve l:
100% of the Starting Value
Pa ym e nt :
over the principal amount.




Ca ll Am ount (pe r $11.55 if called on April 1, 2016
T hre shold V a lue : 7,180.66 (95% of the Starting Value, rounded to
U nit ):


two decimal places).



Ca lc ula t ion Da y: March 17, 2017
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424B2


Fe e s a nd
The underwriting discount of $0.20 per unit listed
Cha rge s:
on the cover page and the hedging related charge

of $0.075 per unit described in "Structuring the
Notes" on page TS-14.

Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith Incorporated
Age nt :
("MLPF&S"), a subsidiary of BAC.





Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


Determining Payment on the Notes
Aut om a t ic Ca ll Provision
The notes will be called automatically on the Observation Date if the Observation Level on the Observation Date is equal to or greater than the Call Level. If
the notes are called, you will receive $10 per unit plus the Call Premium.


Re de m pt ion Am ount De t e rm ina t ion
If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:

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424B2


Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


The terms and risks of the notes are contained in this term sheet and in the following:


Product supplement EQUITY INDICES SUN-1 dated February 24, 2015:
http://www.sec.gov/Archives/edgar/data/70858/000119312515060568/d878212d424b5.htm


Series L MTN prospectus supplement dated February 24, 2015 and prospectus dated February 24, 2015:
http://www.sec.gov/Archives/edgar/data/70858/000119312515060103/d875567d424b3.htm
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without cost, be accessed
on the SEC website as indicated above or obtained from MLPF&S by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus,
including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may
have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product
supplement EQUITY INDICES SUN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us,"
"our," or similar references are to BAC.
Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s if:
T he not e s m a y not be a n a ppropria t e inve st m e nt for you if:



You are willing to receive a return on your investment capped at the

You want to hold your notes for the full term.
return represented by the Call Premium if the Observation Level is


equal to or greater than the Call Level.
You believe that the notes will not be automatically called and the

Index will decrease from the Starting Value to the Ending Value.

You anticipate that the notes will not be automatically called or the


Index will increase from the Starting Value to the Ending Value.
You seek 100% principal repayment or preservation of capital.




You are willing to risk a loss of principal and return if the notes are not
You seek interest payments or other current income on your
automatically called and the Index decreases from the Starting Value
investment.

to the Ending Value that is below the Threshold Value.

You want to receive dividends or other distributions paid on the stocks

included in the Index.
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424B2

You are willing to forgo the interest payments that are paid on

conventional interest bearing debt securities.

You seek an investment for which there will be a liquid secondary


You are willing to forgo dividends or other benefits of owning the
market.

stocks included in the Index.

You are unwilling or are unable to take market risk on the notes or to


You are willing to accept a limited market for sales prior to maturity,
take our credit risk as issuer of the notes.
and understand that the market prices for the notes, if any, will be
affected by various factors, including our actual and perceived
creditworthiness, our internal funding rate and fees and charges on
the notes.


You are willing to assume our credit risk, as issuer of the notes, for all
payments under the notes, including the Redemption Amount.


We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.


Autocallable Market-Linked Step Up Notes
TS-4
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


Hypothetical Payout Profile and Examples of Payments at
Maturity
T he se hypot he t ic a l va lue s w ould only a pply if t he not e s a re not c a lle d on t he Obse rva t ion Da t e , a nd show a pa yout profile a t
m a t urit y.



This graph reflects the returns on the notes, based on the Threshold Value of
95% of the Starting Value, the Step Up Payment of $3.00, and the Step Up Value
of 130% of the Starting Value. The green line reflects the returns on the notes,
while the dotted gray line reflects the returns of a direct investment in the stocks
included in the Index, excluding dividends.

This graph has been prepared for purposes of illustration only.
The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the notes,
assuming the notes are not called on the Observation Date. They illustrate the calculation of the Redemption Amount and total rate of return based on a
hypothetical Starting Value of 100, a Threshold Value of 95, the Step Up Value of 130, the Step Up Payment of $3.00 per unit and a range of hypothetical
Ending Values. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill de pe nd on t he a c t ua l St a rt ing V a lue ,
T hre shold V a lue , Ending V a lue , St e p U p V a lue , w he t he r t he not e s a re c a lle d on t he Obse rva t ion Da t e , a nd w he t he r you hold
t he not e s unt il m a t urit y. The following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending Value will not
include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in
those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.


Autocallable Market-Linked Step Up Notes
TS-5
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424B2
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017



T ot a l Ra t e
Pe rc e nt a ge Cha nge from
t he St a rt ing
of Re t urn on
V a lue t o t he
Re de m pt ion
Ending V a lue
Ending V a lue

Am ount pe r U n
it
t he N ot e s


0.00


-100.00%


$0.50


-95.00%

50.00


-50.00%


$5.50


-45.00%

80.00


-20.00%


$8.50


-15.00%

85.00


-15.00%


$9.00


-10.00%

90.00


-10.00%


$9.50


-5.00%

94.00



-6.00%


$9.90


-1.00%

95.00 (1)



-5.00%


$10.00


0.00%

96.00



-4.00%


$10.00


0.00%

97.00



-3.00%


$10.00


0.00%

100.00 (2)



0.00%


$13.00 (3)

30.00%

102.00



2.00%


$13.00


30.00%

105.00



5.00%


$13.00


30.00%

110.00


10.00%


$13.00


30.00%

120.00


20.00%


$13.00


30.00%

130.00 (4)


30.00%


$13.00


30.00%

140.00


40.00%


$14.00


40.00%

143.00


43.00%


$14.30


43.00%

150.00


50.00%


$15.00


50.00%

160.00


60.00%


$16.00


60.00%

(1) This is the hypothetical Threshold Value.

(2) The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 7,558.59,
which was the closing level of the Market Measure on the pricing date.

(3) This amount represents the sum of the principal amount and the Step Up Payment of $3.00.

(4)
This is the hypot he t ic a l Step Up Value.


Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017



Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s
Ex a m ple 1
The Ending Value is 85.00, or 85.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 95.00
Ending Value: 85.00






$10 ­ [ $10 × ( 95 ­ 85 ) ] = $9.00 Redemption Amount per unit
100









Ex a m ple 2
The Ending Value is 96.00, or 96.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 95.00
Ending Value: 96.00
Redemption Amount per unit = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value, but is equal to or greater than the
Threshold Value.
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424B2
Ex a m ple 3
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 130.00
Ending Value: 110.00

$10.00 + $3.00 = $13.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is equal to or
greater than the Starting Value, but less than the Step Up Value.
Ex a m ple 4
The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 130.00
Ending Value: 143.00






$10 + [ $10 × ( 143 ­ 100 ) ] = $14.30 Redemption Amount per unit
100











Autocallable Market-Linked Step Up Notes
TS-7
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


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" sections beginning on page PS-7
of product supplement EQUITY INDICES SUN-1, page S-5 of the Series L MTN prospectus supplement, and page 9 of the prospectus identified above. We
also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

If the notes are not automatically called, 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 return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate 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.


If the notes are called, your investment return is limited to the return represented by the Call Premium.


Your investment return may be less than a comparable investment directly in the stocks included in the Index.

The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our and our affiliates' pricing
models. These pricing models consider certain assumptions and variables, including our credit spreads, our internal funding rate on the pricing

date, mid-market terms on hedging transactions, expectations on interest rates and volatility, price-sensitivity analysis, and the expected term of the
notes. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect.

The public offering price you pay for the notes exceeds the initial estimated value. If you attempt to sell the notes prior to maturity, their market
value may be lower than the price you paid for them and lower than the initial estimated value. This is due to, among other things, changes in the
level of the Index, our internal funding rate, and the inclusion in the public offering price of the underwriting discount and the hedging related

charge, all as further described in "Structuring the Notes" on page TS-14. These factors, together with various credit, market and economic factors
over the term of the notes, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the
value of the notes in complex and unpredictable ways.

The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S or any of our affiliates would be willing to

purchase your notes in any secondary market (if any exists) at any time. The value of your notes at any time after issuance will vary based on many
factors that cannot be predicted with accuracy, including the performance of the Index, our creditworthiness and changes in market conditions.

A trading market is not expected to develop for the notes. Neither we nor MLPF&S is obligated to make a market for, or to repurchase, the notes.

There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.
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424B2

Our business activities as a full service financial institution, including our commercial and investment banking activities, our hedging and trading

activities (including trades in shares of companies included in the Index) and any hedging and trading activities we engage in for our 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 or our affiliates may from time to time own securities of companies included in the Index we 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 "Summary Tax

Consequences" below and "U.S. Federal Income Tax Summary" beginning on page PS-26 of product supplement EQUITY INDICES SUN-1.


Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


Additional Risk Factors
T he st oc k s inc lude d in t he I nde x a re c onc e nt ra t e d in one se c t or.
All of the stocks included in the Index are issued by companies in the oil and gas exploration and production sector. As a result, the stocks that will
determine the performance of the notes are concentrated in one sector. Although an investment in the notes will not give holders any ownership or other
direct interests in the stocks underlying the Index, the return on an investment in the notes will be subject to certain risks associated with a direct equity
investment in companies in this sector, including those discussed below. Accordingly, by investing in the notes, you will not benefit from the diversification
which could result from an investment linked to companies that operate in multiple sectors.
T he st oc k s of c om pa nie s in t he oil a nd ga s se c t or a re subje c t t o sw ift pric e fluc t ua t ions.
The issuers of the stocks included in the Index develop and produce, among other things, crude oil and natural gas, and provide, among other things, drilling
services and other services related to oil and gas production and distribution. Stock prices for these types of companies are affected by supply and demand
both for their specific product or service and for oil and gas products in general. The price of oil and gas, exploration and production spending, government
regulation, world events and economic conditions will likewise affect the performance of these companies. Correspondingly, the stocks of companies in this
sector are subject to swift price fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects and
tax and other governmental regulatory policies. Weak demand for the companies' products or services or for oil and gas products and services in general, as
well as negative developments in these other areas, would adversely impact the value of the stocks included in the Index and, therefore, the level of the
Index and the value of the notes.


Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its make up, method of calculation, and changes in its
components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, S&P Dow Jones
Indices LLC (the "Index sponsor"). The Index sponsor, 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 the Index sponsor discontinuing publication of the Index are discussed in the section
entitled "Description of the Notes ­ Discontinuance of an Index" on page PS-21 of product supplement EQUITY INDICES SUN-1. 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.
T he I nde x
The Index is an equally-weighted index that is designed to measure the performance of the oil and gas exploration and production sub-industry portion of
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424B2
the S&P Total Market Index ("S&P TMI"), an index that measures the performance of the U.S. equity market. The S&P TMI includes all U.S. common
equities listed on the NYSE (including NYSE Arca), the NYSE MKT, the NASDAQ Global Select Market, and the NASDAQ Capital Market. Each of the
component stocks in the Index is a constituent company within the oil and gas sub-industry portion of the S&P TMI.
To be eligible for inclusion in the Index, companies must be in the S&P TMI, and must be included in the relevant Global Industry Classification Standard
(GICS) sub-industry. The GICS was developed to establish a global standard for categorizing companies into sectors and industries. In addition, companies
must satisfy one of the two following combined size and liquidity criteria:


1.
float-adjusted market capitalization above US$500 million and float-adjusted liquidity ratio above 90%; or


2.
float-adjusted market capitalization above US$400 million and float-adjusted liquidity ratio above 150%.
All U.S. companies satisfying these requirements are included in the Index. The total number of companies in the Index should be at least 35. If there are
fewer than 35 stocks, stocks from a supplementary list of highly correlated sub-industries that meet the market capitalization and liquidity thresholds above
are included in order of their float-adjusted market capitalization to reach 35 constituents. Minimum market capitalization requirements may be relaxed to
ensure there are at least 22 companies in the Index as of each rebalancing effective date.
Eligibility factors include:
Market Capitalization: Float-adjusted market capitalization should be at least US$400 million for inclusion in the Index. Existing index components must have
a float-adjusted market capitalization of US$300 million to remain in the Index at each rebalancing.
Liquidity: The liquidity measurement used is a liquidity ratio, defined as dollar value traded over the previous 12-months divided by the float-adjusted market
capitalization as of the Index rebalancing reference date. Stocks having a float-adjusted market capitalization above US$500 million must have a liquidity
ratio greater than 90% to be eligible for addition to the Index. Stocks having a float-adjusted market capitalization between US$400 and US$500 million must
have a liquidity ratio greater than 150% to be eligible for addition to the Index. Existing index constituents must have a liquidity ratio greater than 50% to
remain in the Index at the quarterly rebalancing. The length of time to evaluate liquidity is reduced to the available trading period for IPOs or spin-offs that do
not have 12 months of trading history.
Domicile: U.S. companies only.
Takeover Restrictions: At the discretion of the Index sponsor, constituents with shareholder ownership restrictions defined in company organizational
documents may be deemed ineligible for inclusion in the Index. Ownership restrictions preventing entities from replicating the index weight of a company may
be excluded from the eligible universe or removed from the Index.
Turnover: At times a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to the
Index, not for continued membership. As a result, an index constituent that appears to violate the criteria for addition to the Index will not be deleted unless
ongoing conditions warrant a change in the composition of the Index.
Com put a t ion of t he I nde x
The Index is equally-weighted, with adjustments to constituent weights to ensure concentration and liquidity requirements, and calculated by the divisor
methodology used in all of the Index sponsor's equity indices.
The initial divisor is set to have a base index value of 1,000 on December 17, 1999. The index value is calculated as the index market value divided by the
index divisor:


Autocallable Market-Linked Step Up Notes
TS-10
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


Index Value = Index Market Value / Divisor
In order to maintain index series continuity, the divisor is also adjusted at each rebalancing.
(Index Value) before rebalancing = (Index Value) after rebalancing
Therefore,
(Divisor) after rebalancing = (Index Market Value) after rebalancing / (Index Value) before rebalancing
At each quarterly rebalancing, the stocks underlying the Index are initially equally-weighted using closing prices as of the second Friday of the last month of
the quarter as the reference price. Adjustments are then made to ensure that there are no stocks whose weight in the Index is more than can be traded in a
single day for a US$ 500 million portfolio.
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424B2
The Index sponsor calculates a maximum basket liquidity weight for each stock in the Index using the ratio of its three-month average daily value traded to
US$500 million. Each stock's weight in the Index is then compared to its maximum basket liquidity weight and is set to the lesser of its maximum basket
liquidity weight or its initial equal weight. All excess weight is redistributed across the Index to the uncapped component stocks. If necessary, a final
adjustment is made to ensure that no stock in the Index has a weight greater that 4.5%. This step of the iterative weighting process may force the weight of
those stocks limited to their maximum basket liquidity weight to exceed that weight. In such cases, the Index sponsor will make no further adjustments. If the
Index contains exactly 22 companies as of the rebalancing effective date, the Index will be equally weighted without basket liquidity constraints.
I nde x M a int e na nc e
Index maintenance will follow that of the S&P TMI. The membership of the Index is reviewed quarterly. Rebalancing occurs after the closing on the third
Friday of the quarter ending month. The reference date for additions and deletions is after the closing of the last trading date of the previous month.
However, a company will be deleted from the Index if the S&P TMI drops the constituent. Unless a constituent deletion causes the number of companies in
the Index to fall below 22, no addition will be made to the Index until the next rebalancing. At that time, the entire Index will be rebalanced based on all
eligibility criteria, including the minimum number of companies. If a constituent deletion causes the number of companies in the Index to fall below 22, an
addition is made assuming the weight of the dropped stock. When a stock is removed from the Index at a price of $0.00, the stock's replacement will be
added to the Index at the weight using the previous day's closing value, or the most immediate prior business day that the deleted stock was not valued at
$0.00. No Index adjustment will be made when there are share changes between quarterly share adjustments. In case of GICS changes, where a company
does not belong to the oil and gas exploration and production sub-industry after the classification change, it is removed from the Index at the next
rebalancing.
The treatment of corporate actions is the same as in the S&P TMI. In case of a spin-off, generally both the parent company and spin-off companies will
remain in the Index until the next rebalancing, regardless of whether they conform to the theme of the Index. When there is no market-determined price
available for the spin-off company, the spin-off company is added to the Index at zero price at the close of the day before the ex-date. In the case of a
rights offering, the price is adjusted to the price of the parent company minus (the price of the rights subscription/rights ratio). The Index Shares change so
that the company's weight remains the same as its weight before the spin-off. In case of stock dividend, stock split or reverse stock split, the Index Shares
are multiplied by and price is divided by the split factor. Share issuance, share repurchase, equity offering or warrant conversion will not cause an Index
adjustment. When special dividends are paid, the price of the stock making the special dividend payment is reduced by the per share special dividend
amount after the close of trading on the day before the dividend ex-date.


Autocallable Market-Linked Step Up Notes
TS-11
Autocallable Market-Linked Step Up Notes


Linked to the S&P Oil & Gas Exploration and Production Select Industry Index, due March 24, 2017


The following graph shows the monthly historical performance of the Index in the period from January 2008 through February 2015. 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 the pricing date, the closing level of the Index was 7,558.59.
H ist oric a l Pe rform a nc e of t he I nde x


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.
http://www.sec.gov/Archives/edgar/data/70858/000119312515112022/d899668d424b2.htm[3/30/2015 5:14:27 PM]


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