Obbligazione Bank of America Corporation 0% ( US06054B6368 ) in USD

Emittente Bank of America Corporation
Prezzo di mercato 100 USD  ▲ 
Paese  Stati Uniti
Codice isin  US06054B6368 ( in USD )
Tasso d'interesse 0%
Scadenza 26/10/2018 - Obbligazione è scaduto



La brochure del prospetto in formato PDF

Importo minimo 10 USD
Importo totale 42 106 318 USD
Cusip 06054B636
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
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 Bank of America Corporation ( United States ) , in USD, with the ISIN code US06054B6368, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 26/10/2018







424B2 1 bac-yb5h7fp7gqms08rg_1673.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 -2 0 2 3 5 4
(T o Prospe c t us da t e d M a y 1 , 2 0 1 5 ,
Prospe c t us Supple m e nt da t e d Oc t obe r 1 7 , 2 0 1 6 a nd
Produc t Supple m e nt EQU I T Y I N DI CES SU N -1
da t e d J a nua ry 2 2 , 2 0 1 6 )
4,213,394 Units
Pricing Date
October 27, 2016
$10 principal amount per unit
Settlement Date
November 3, 2016
CUSIP No. 06054B636
Maturity Date
October 26, 2018
¦ Maturity of approximately two years, if not called prior to maturity
¦ Automatic call of the notes per unit at $10 plus the Call Premium ($1.401 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, with up to 100% of your principal at risk
¦ All payments are subject to the credit risk of Bank of America Corporation
¦ No periodic interest payments
¦ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See
"Structuring the Notes"
¦ Limited secondary market liquidity, with no exchange listing
Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s Link e d
t o t he Ene rgy Se le c t Se c t or I nde x
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 -7 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 .4 8 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-7 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(1)
$10.00
$42,106,318.40
Underwriting discount(1)
$0.20
$815,057.20
Proceeds, before expenses, to BAC
$9.80
$41,291,261.20
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(1) The public offering price and underwriting discount for an aggregate of 552,432 units purchased in a transaction of 500,000
units or more by an individual investor and that investor's household will be 9.95 per unit and 0.15 per unit,
respectively. See "Supplement to the Plan of Distribution; Conflicts of Interest" below.
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
M e rrill Lync h & Co.
October 27, 2016
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
Summary
The Autocallable Market-Linked Step Up Notes Linked to the Energy Select Sector Index, due October 26, 2018 (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 Energy Select Sector 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, you will lose all or a portion 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 Step Up Payment) 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
Observation Date is postponed, as described on page
PS-19 of product supplement EQUITY INDICES SUN-
1.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium :
$1.401 per unit if called on November 3, 2017, which
Am ount :
represents a return of 14.01% over the principal
amount.
T e rm :
Approximately two years, if not called
Ending V a lue :
The closing level of the Market Measure on the
scheduled calculation day. The calculation day is
subject to postponement in the event of Market
Disruption Events, as described beginning on page
PS-19 of product supplement EQUITY INDICES SUN-
1.
M a rk e t
The Energy Select Sector Index (Bloomberg
St e p U p V a lue :
907.37 (130.00% of the Starting Value, rounded to two
M e a sure :
symbol: "IXE"), a price return index
decimal places).
St a rt ing V a lue : 697.98
St e p U p
$3.00 per unit, which represents a return of 30% over
Pa ym e nt :
the principal amount.
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Obse rva t ion
The closing level of the Market Measure on the T hre shold V a lue : 697.98 (100% of the Starting Value).
Le ve l:
Observation Date.
Obse rva t ion
November 3, 2017, subject to postponement in Ca lc ula t ion Da y: October 19, 2018
Da t e :
the event of Market Disruption Events, as
described on page PS-19 of product
supplement EQUITY INDICES SUN-1.
Ca ll Le ve l:
100% of the Starting Value
Fe e s a nd
The underwriting discount of $0.20 per unit listed on
Cha rge s :
the cover page and the hedging related charge of
$0.075 per unit described in "Structuring the Notes" on
page TS-14.
Ca ll Am ount
$11.401 if called on November 3, 2017.
Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith Incorporated
(pe r U nit ):
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 Energy Select Sector Index, due October 26, 2018
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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Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
The terms and risks of the notes are contained in this term sheet and in the following:
¦ Product supplement EQUITY INDICES SUN-1 dated January 22, 2016:
http://www.sec.gov/Archives/edgar/data/70858/000119312516435374/d128816d424b5.htm
¦ Series L MTN prospectus supplement dated October 17, 2016 and prospectus dated May 1, 2015:
http://www.sec.gov/Archives/edgar/data/70858/000119312516739873/d266214d424b3.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. Please note that references in the above product
supplement to the prospectus supplement dated January 20, 2016 shall be deemed to reference the prospectus supplement dated October 17,
2016.
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
¦ You want to hold your notes for the full term.
capped at the return represented by the Call Premium if the
¦ You believe that the notes will not be automatically called
Observation Level is equal to or greater than the Call Level.
and the Index will decrease from the Starting Value to the
¦ You anticipate that the notes will be automatically called or
Ending Value.
the Index will increase from the Starting Value to the Ending
¦ You seek principal repayment or preservation of capital.
Value.
¦ You seek interest payments or other current income on your
¦ You are willing to risk a loss of principal and return if
investment.
the notes are not automatically called and the Index
decreases from the Starting Value to the Ending Value.
¦ You want to receive dividends or other distributions paid on
the stocks included in the Index.
¦ 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 market.
¦ You are willing to forgo dividends or other benefits of
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owning the stocks included in the Index.
¦ You are unwilling or are unable to take market risk on the
notes or to take our credit risk as issuer of the notes.
¦ You are willing to accept a limited or no market for sales
prior to maturity, 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 Call
Amount or the Redemption Amount, as applicable.
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 Energy Select Sector Index, due October 26, 2018
Hypothetical Payout Profile and Examples of Payments at Maturity
T he gra ph be low show s a pa yout profile a t m a t urit y, w hic h 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 .
Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on a Threshold Value
of 100% of a Starting Value, the Step Up Payment of $3.00 per unit 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 100, 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.
Pe rc e nt a ge Cha nge from t he
St a rt ing V a lue t o t he Ending
T ot a l Ra t e of Re t urn on t he
Ending V a lue
V a lue
Re de m pt ion Am ount pe r U nit
N ot e s
0.00
-100.00%
$0.00
-100.00%
50.00
-50.00%
$5.00
-50.00%
80.00
-20.00%
$8.00
-20.00%
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90.00
-10.00%
$9.00
-10.00%
94.00
-6.00%
$9.40
-6.00%
97.00
-3.00%
$9.70
-3.00%
100.00(1)(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) The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value is 697.98, which was the closing level of the Market Measure on the pricing date.
(2) This is the hypothetical Threshold Value.
(3) This amount represents the sum of the principal amount and the Step Up Payment of $3.00.
(4) This is the hypothetical Step Up Value.
Autocallable Market-Linked Step Up Notes
TS-5
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
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 90.00, or 90.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 100.00
Ending Value: 90.00
Redemption Amount per unit
Ex a m ple 2
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
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 3
The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 130.00
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Ending Value: 143.00
Redemption Amount per unit
Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
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.
¦ 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, which is an affiliate of ours. We have the right to
appoint and remove the calculation agent.
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¦ 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-7
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
Additional Risk Factors
M LPF& S, a c t ing a s t he I nde x Com pila t ion Age nt , de t e rm ine s t he c om posit ion of t he I nde x ba se d on t he se c t or
c la ssific a t ion m e t hodology of S& P Dow J one s I ndic e s (a s de fine d be low ).
The stocks included in the Index are selected by MLPF&S (the "Index Compilation Agent"). The Index Compilation Agent assigns a company's
stock to the Index based on S&P Dow Jones Indices's sector classification methodology as set forth in its Global Industry Classification
Standard. S&P Dow Jones Indices has sole control over the removal of stocks from the S&P 500® Index and the selection of replacement
stocks to be added to the S&P 500® Index. The Index Compilation Agent will compile the Index without regard to the notes. The Index
Compilation Agent has no obligation to take the interests of the holders of the notes into consideration in compiling the Index.
S& P Dow J one s I ndic e s m a y c a use a n a djust m e nt t o t he S& P 5 0 0 ® I nde x in a w a y t ha t a ffe c t s it s le ve l, a nd ha s no
obliga t ion t o c onside r your int e re st s.
S&P Dow Jones Indices is responsible for calculating and maintaining the S&P 500® Index, from which the stocks included in the Index are
selected. S&P Dow Jones Indices can add, delete, or substitute the stocks included in the S&P 500® Index or make other methodological
changes that could change the level of the S&P 500® Index and therefore the composition and level of the Index. Changing the companies
included in the Index may affect the level of the Index, as a newly added company may perform significantly better or worse than the company or
companies it replaces. Additionally, S&P Dow Jones Indices may alter, discontinue or suspend calculation or dissemination of the S&P
500® Index, any of which could adversely affect the value of the notes. S&P Dow Jones Indices has no obligation to consider your interests in
calculating or revising the S&P 500® Index.
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 energy 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 the energy sector. 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.
A lim it e d num be r of I nde x c om pone nt s m a y a ffe c t t he I nde x le ve l a nd t he I nde x is not ne c e ssa rily re pre se nt a t ive of
t he e ne rgy se c t or.
As of September 28, 2016, the top three Index components constituted 39.81% of the total weight of the Index. Any reduction in the market
price of those securities is likely to have a substantial adverse impact on the level of the Index and the value of the notes.
While the securities included in the Index are common stocks of companies generally considered to be involved in various segments of the
energy sector, the securities included in the Index may not follow the price movements of the entire energy sector generally. If the securities
included in the Index decline in value, the Index will decline in value even if security prices in the energy sector generally increase in value.
T he st oc k s of c om pa nie s in t he e ne rgy 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 energy resources 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 energy 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 the energy 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 energy 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.
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Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
The Index
All disclosures contained in this term sheet regarding the Index, the Select Sector Indices, and the S&P 500® Index, including, without limitation,
their make-up, method of their calculation, and changes in their 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 and MLPF&S, as described in this section and in
the sections "Risk Factors" and "Additional Risk Factors" above. The consequences of any discontinuance of the Index are discussed in the
section entitled "Description of the Notes -- Discontinuance of an Index" beginning 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 Se le c t Se c t or I ndic e s
The Index is one of the Select Sector Indices. The Select Sector Indices are sub-indices of the S&P 500® Index. Each stock in the S&P
500® Index is allocated to only one Select Sector Index, and the combined companies of the eleven Select Sector Indices represent all of the
companies in the S&P 500® Index. The industry indices are sub-categories within each Select Sector Index and represent a specific industry
segment of the overall Select Sector Index. The eleven Select Sector Indices seek to represent the ten S&P 500® Index sectors. The S&P
500® Index sectors, with the approximate percentage of the market capitalization of the S&P 500® Index included in each sector as
of September 30, 2016 indicated in parentheses: Consumer Discretionary (12.5%); Consumer Staples (9.9%); Energy (7.3%); Financials
(12.8%); Health Care (14.7%); Industrials (9.7%); Information Technology (21.2%); Materials (2.9%); Telecommunication Services (3.1%); and
Utilities (2.6%). MLPF&S, acting as the Index Compilation Agent, determines the composition of the Select Sector Indices based on S&P's
sector classification methodology.
Each Select Sector Index was developed and is maintained in accordance with the following criteria:
? Each of the component stocks in a Select Sector Index (the "Component Stocks") is a constituent company of the S&P
500® Index.
? The nine Select Sector Indices together will include all of the companies represented in the S&P 500® Index and each of the
stocks in the S&P 500® Index will be allocated to one and only one of the Select Sector Indices.
? The Index Compilation Agent assigns each constituent stock of the S&P 500® Index to a Select Sector Index. The Index
Compilation Agent assigns a company's stock to a particular Select Sector Index based on S&P Dow Jones Indices's sector
classification methodology as set forth in its Global Industry Classification Standard.
? Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified "market capitalization" methodology. This
design ensures that each of the component stocks within a Select Sector Index is represented in a proportion consistent with its
percentage with respect to the total market capitalization of that Select Sector Index. However, under certain conditions, the
number of shares of a component stock within the Select Sector Index may be adjusted to conform to Internal Revenue Code
requirements.
? For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the second to last
calculation day of March, June, September and December using the following procedures: (1) The rebalancing reference date
is two business days prior to the last calculation day of each quarter; (2) With prices reflected on the rebalancing reference
date, and membership, shares outstanding, additional weight factor (capping factor) and investable weight factors (as
described in the section "Computation of the S&P 500 Index®" below) as of the rebalancing effective date, each company is
weighted using the modified market capitalization methodology. Modifications are made as defined below.
(i) The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v)
below. If any of the allowable limits are breached, the component stocks are reweighted based on their float-adjusted market
capitalization weights.
(ii) If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight
capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of the quarter-end
diversification requirement date.
(iii) All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index.
(iv) After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%,
the process is repeated iteratively until no component stock s breaches the 23% weight cap.
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(v) The sum of the component stocks with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are
set to allow for a buffer below the 5% limit.
(vi) If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market
capitalization weights and the first component stock that causes the 50% limit to be breached has its weight reduced to 4.6%.
(vii) This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated
iteratively until step (v) is satisfied.
Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
(viii) Index share amounts are assigned to each component stock to arrive at the weights calculated above. Since index shares
are assigned based on prices one business day prior to rebalancing, the actual weight of each component stock at the rebalancing
differs somewhat from these weights due to market movements.
(ix) If necessary, the reweighting process may take place more than once prior to the close on the last business day of March,
June, September or December to ensure conformity with all diversification requirements.
Each Select Sector Index is calculated using the same methodology utilized by S&P Dow Jones Indices in calculating the S&P 500® Index,
using a base-weighted aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value
of the companies in the Select Sector Index by a number called the index divisor.
The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has
undergone such a transformation in the composition of its business, and should be removed from that Select Sector Index and assigned to a
different Select Sector Index. In the event that the Index Compilation Agent notifies S&P Dow Jones Indices that a Component Stock's Select
Sector Index assignment should be changed, S&P Dow Jones Indices will disseminate notice of the change following its standard procedure for
announcing index changes and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial
dissemination of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change
sectors frequently.
Component Stocks removed from and added to the S&P 500® Index will be deleted from and added to the appropriate Select Sector Index on
the same schedule used by S&P Dow Jones Indices for additions and deletions from the S&P 500® Index insofar as practicable.
T he I nde x
The Index (Index symbol: "IXE") is a modified market capitalization-based index. The Index is intended to track the movements of companies
that are components of the S&P 500® Index and are involved in the development or production of energy products. The Index includes
companies from the oil, gas and consumable fuels industry, as well as the energy equipment and services industry. The Index, which serves as
a benchmark for the Energy Select Sector SPDR Fund (Index fund symbol: "XLE"), was established with a value of 250 on June 30, 1998.
T he S& P 5 0 0 ® I nde x
The S&P 500® Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of
the S&P 500® Index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular
time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941
through 1943.
S&P Dow Jones Indices chooses companies for inclusion in the S&P 500® Index with the aim of achieving a distribution by broad industry
groupings that approximates the distribution of these groupings in the common stock population of its Stock Guide Database of over 10,000
companies, which S&P Dow Jones Indices uses as an assumed model for the composition of the total market. Relevant criteria employed
by S&P Dow Jones Indices include the viability of the particular company, the extent to which that company represents the industry group to
which it is assigned, the extent to which the market price of that company's common stock generally is responsive to changes in the affairs of
the respective industry, and the market value and trading activity of the common stock of that company. S&P Dow Jones Indices from time to
time, in its sole discretion, may add companies to, or delete companies from, the S&P 500® Index to achieve the objectives stated above.
S&P Dow Jones Indices calculates the S&P 500® Index by reference to the prices of the constituent stocks of the S&P 500® Index without
taking account of the value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if
you actually owned the S&P 500® Index constituent stocks and received the dividends paid on those stocks.
Com put a t ion of t he S& P 5 0 0 ® I nde x
While S&P Dow Jones Indices currently employs the following methodology to calculate the S&P 500® Index, no assurance can be given
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