Obbligazione UBSL 0% ( US90276BAN38 ) in USD

Emittente UBSL
Prezzo di mercato refresh price now   114.55 USD  ⇌ 
Paese  Svizzera
Codice isin  US90276BAN38 ( in USD )
Tasso d'interesse 0%
Scadenza 09/04/2026



Prospetto opuscolo dell'obbligazione UBS (London Branch) US90276BAN38 en USD 0%, scadenza 09/04/2026


Importo minimo 1 000 USD
Importo totale 3 243 000 USD
Cusip 90276BAN3
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata La filiale londinese di UBS offre una vasta gamma di servizi finanziari, tra cui gestione patrimoniale, investimenti bancari e finanziamenti alle imprese.

Le bond UBS (London Branch) con codice ISIN US90276BAN38, denominato in USD, presenta un prezzo di mercato attuale del 114,55%, un tasso di interesse dello 0%, una scadenza al 09/04/2026, una dimensione totale dell'emissione di 3.243.000 unità con un taglio minimo di 1.000 unità e una frequenza di pagamento semestrale.







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424B2 1 ub54928418-424b2.htm FORM 424B2
PRICING SUPPLEMENT

Dated April 3, 2020
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-225551
(To Prospectus dated October 31, 2018,
Index Supplement dated October 31, 2018
and Product Supplement dated October 31, 2018)
UBS AG $3,243,000 Trigger Contingent Yield Notes
Linked to the least performing of the Dow Jones Industrial Average® and the Russell 2000® Index due April 9, 2026
Investment Description
UBS AG Trigger Contingent Yield Notes (the "Notes") are unsubordinated, unsecured debt securities issued by UBS AG ("UBS" or the "issuer") linked to
the least performing of the Dow Jones Industrial Average® and the Russel 2000® Index (each an "underlying index" and together the "underlying
indices"). If the closing level of each underlying index is equal to or greater than its coupon barrier on the applicable coupon observation date, UBS wil
pay you a contingent coupon on the related coupon payment date. If the closing level of any underlying index is less than its coupon barrier, no
contingent coupon wil be paid for that coupon payment date. At maturity, if a trigger event has not occurred, UBS wil pay you a cash payment equal to
the principal amount of your Notes, in addition to any contingent coupon otherwise due. If, however, a trigger event has occurred, at maturity UBS wil pay
you less than the principal amount, if anything, resulting in a loss on your initial investment that is proportionate to the decline in the closing level of the
underlying index with the lowest underlying index return (the "least performing underlying index") from its initial level to its final level over the term of the
Notes and, in extreme situations, you could lose al of your initial investment. A "trigger event" is deemed to have occurred if the closing level of any
underlying index is less than its downside threshold on the "trigger observation date", which is the final valuation date. Investing in the Notes involves
significant risks. You will lose a significant portion or all of your initial investment if a trigger event occurs. You may receive few or no
contingent coupons during the term of the Notes. You will be exposed to the market risk of each underlying index on each coupon observation
date and on the final valuation date and any decline in the level of one underlying index may negatively affect your return and will not be offset
or mitigated by a lesser decline or any potential increase in the levels of any other underlying index. Higher contingent coupon rates are
generally associated with a greater risk of loss. The contingent repayment of principal applies only if you hold the Notes until the maturity
date. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of UBS. If UBS were to default on its
payment obligations you may not receive any amounts owed to you under the Notes and you could lose all of your initial investment.
Features
Key Dates*
q Potential for Periodic Contingent Coupons -- UBS wil pay a
Trade Date*
April 3, 2020
contingent coupon on a coupon payment date if the closing level of
Settlement Date*
April 9, 2020
each underlying index is equal to or greater than its coupon barrier on
Coupon Observation
Semi-annual y (see page 4)
the applicable coupon observation date (including the final valuation
Dates**
date). Otherwise, if the closing level of any underlying index is less
Final Valuation Date**
April 6, 2026
than its coupon barrier on the applicable coupon observation date, no
Maturity Date**
April 9, 2026


contingent coupon wil be paid for the relevant coupon payment date.


q Contingent Repayment of Principal Amount at Maturity with
* We expect to deliver the Notes against payment on the fourth
Potential for Full Downside Market Exposure -- If, by maturity, a
business day fol owing the trade date. Under Rule 15c6-1 of the
trigger event has not occurred, UBS wil repay you the principal
Securities Exchange Act of 1934, as amended, trades in the
amount per Note at maturity. If, however, a trigger event has occurred,
secondary market general y are required to settle in two business
UBS wil pay you a cash payment per Note that is less than the
days (T+2), unless the parties to a trade expressly agree otherwise.
principal amount, if anything, resulting in a percentage loss on your
Accordingly, purchasers who wish to trade the Notes in the
initial investment equal to the underlying index return of the least
secondary market on any date prior to two business days before
performing underlying index and, in extreme situations, you could lose
delivery of the Notes wil be required, by virtue of the fact that each
al of your initial investment. The contingent repayment of principal
Note initial y wil settle in four business days (T+4), to specify
applies only if you hold the Notes to maturity. Any payment on the
alternative settlement arrangements to prevent a failed settlement
Notes, including any repayment of principal, is subject to the
of the secondary market trade.
creditworthiness of UBS.

** Subject to postponement in the event of a market disruption event,
as described in the accompanying product supplement.
Notice to investors: the Notes are significantly riskier than conventional debt instruments. The issuer is not necessarily obligated to repay all
of your initial investment in the Notes at maturity, and the Notes may have the same downside market risk as the least performing underlying
index. This market risk is in addition to the credit risk inherent in purchasing a debt obligation of UBS. You should not purchase the Notes if
you do not understand or are not comfortable with the significant risks involved in investing in the Notes.
You should carefully consider the risks described under "Key Risks" beginning on page 5 and under "Risk Factors" beginning on page PS-9
of the accompanying product supplement before purchasing any Notes. Events relating to any of those risks, or other risks and uncertainties,
could adversely affect the market value of, and the return on, your Notes. You may lose a significant portion or all of your initial investment in
the Notes. The Notes will not be listed or displayed on any securities exchange or any electronics communications network.
Note Offering
These terms relate to the Notes.
Bloomberg
Contingent
Initial
Underlying Index
Ticker
Coupon Rate
Level
Downside Threshold
Coupon Barrier
CUSIP
ISIN
Dow Jones Industrial
INDU
21,052.53
14,736.77, which is
14,736.77, which is
Average®
70% of its Initial Level 70% of its Initial Level
13.00%
90276BAN3 US90276BAN38
Russel 2000® Index
RTY
1,052.053
736.437, which is
736.437, which is
70% of its Initial Level 70% of its Initial Level
The estimated initial value of the Notes as of the trade date is $887.80. The estimated initial value of the Notes was determined as of the close of the
relevant markets on the date hereof by reference to UBS' internal pricing models, inclusive of the internal funding rate. For more information about
secondary market offers and the estimated initial value of the Notes, see "Key Risks -- Fair value considerations" and "Key Risks -- Limited or no
secondary market and secondary market price considerations" on pages 6 and 7 herein.
See "Additional Information about UBS and the Notes" on page ii. The Notes will have the terms set forth in the accompanying product
supplement relating to the Notes, dated October 31, 2018, the accompanying prospectus and this document.
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these Notes or passed upon
the adequacy or accuracy of this document, the product supplement, the index supplement or the accompanying prospectus. Any
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representation to the contrary is a criminal offense.
The Notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency.
Underwriting
Offering of Notes
Issue Price to Public
Commissions and Fees(1)
Proceeds to UBS AG(1)

Total
Per Note
Total
Per Note
Total
Per Note
Notes linked to the least performing of the Dow Jones
$3,243,000.00
$1,000.00
$0.00
$0.00
$3,243,000.00
$1,000.00
Industrial Average® and the Russel 2000® Index
(1)
Our affiliate, UBS Securities LLC, wil pay one or more unaffiliated third-party dealers a structuring fee of $5.00 per Note with respect to
$1,748,000.00 aggregate principal amount of the Notes. This amount wil be deducted from amounts remitted to UBS. Al sales of the Notes wil be
made to certain fee-based advisory accounts for which an unaffiliated third-party is an advisor.
UBS Securities LLC
UBS Investment Bank
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Additional Information about UBS and the Notes
UBS has filed a registration statement (including a prospectus, as supplemented by an index supplement and a product supplement for
the Notes) with the Securities and Exchange Commission (the "SEC"), for the offering to which this document relates. You should read
these documents and any other documents related to the Notes that UBS has filed with the SEC for more complete information about
UBS and this offering. You may obtain these documents for free from the SEC website at www.sec.gov. Our Central Index Key, or CIK,
on the SEC website is 0001114446.
You may access these documents on the SEC website at www.sec.gov as follows:
¨ Market-Linked Securities product supplement dated October 31, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000091412118002085/ub47016353-424b2.htm
¨ Index Supplement dated October 31, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000091412118002083/ub46174419-424b2.htm
¨ Prospectus dated October 31, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000119312518314003/d612032d424b3.htm
References to "UBS", "we", "our" and "us" refer only to UBS AG and not to its consolidated subsidiaries. In this document, "Trigger
Contingent Yield Notes" or the "Notes" refer to the Notes that are offered hereby. Also, references to the "accompanying product
supplement" or "Market-Linked Securities product supplement" mean the UBS product supplement, dated October 31, 2018, references
to the "index supplement" mean the UBS index supplement, dated October 31, 2018 and references to the "accompanying prospectus"
mean the UBS prospectus, titled "Debt Securities and Warrants", dated October 31, 2018.
This document, together with the documents listed above, contains the terms of the Notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including all other prior pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider,
among other things, the matters set forth in "Key Risks" herein and in "Risk Factors" beginning on page PS-9 of the accompanying
product supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisors before deciding to invest in the Notes.
If there is any inconsistency between the terms of the Notes described in the accompanying prospectus, the accompanying product
supplement , the index supplement and this document, the following hierarchy will govern: first, this document; second, the
accompanying product supplement; third, the index supplement; and last, the accompanying prospectus.
UBS reserves the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the event of any
changes to the terms of the Notes, UBS will notify you and you will be asked to accept such changes in connection with your purchase.
You may also choose to reject such changes in which case UBS may reject your offer to purchase.
i
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Investor Suitability
The Notes may be suitable for you if:
The Notes may not be suitable for you if:
¨ You fully understand the risks inherent in an investment in the
¨ You do not fully understand the risks inherent in an investment
Notes, including the risk of loss of a significant portion or all of
in the Notes, including the risk of loss of a significant portion or
your initial investment.
all of your initial investment.
¨ You understand and accept that an investment in the Notes is
¨ You do not understand or are unwilling to accept that an
linked to the performance of the least performing underlying
investment in the Notes is linked to the performance of the
index and not a basket of the underlying indices, that you will
least performing underlying index and not a basket of the
be exposed to the individual market risk of each underlying
underlying indices, that you will be exposed to the individual
index on the specified coupon observation dates and that you
market risk of each underlying index on the specified coupon
may lose a significant portion or all of your initial investment if
observation dates and that you may lose a significant portion
the closing level of any underlying index is less than its
or all of your initial investment if the closing level of any
downside threshold on the trigger observation date.
underlying index is less than its downside threshold on the
trigger observation date.
¨ You can tolerate a loss of a significant portion or all of your
initial investment and you are willing to make an investment
¨ You are not willing to make an investment that may have the
that may have the same downside market risk as a
same downside market risk as a hypothetical investment in the
hypothetical investment in the least performing underlying
least performing underlying index or underlying constituents of
index or the stocks comprising the least performing underlying
the least performing underlying index.
index.
¨ You are unwilling to receive no contingent coupons during the
¨ You are willing to receive no contingent coupons and believe
term of the Notes and believe that the closing level of at least
the closing level of each underlying index will be equal to or
one of the underlying indices will decline during the term of the
greater than its coupon barrier on each coupon observation
Notes and is likely to be less than its coupon barrier on each
date and that the closing level of each underlying index will be
coupon observation date or that the closing level of any
equal to or greater than its downside threshold on the trigger
underlying index will be less than its downside threshold on the
observation date.
trigger observation date.
¨ You understand and accept that you will not participate in any
¨ You seek an investment that participates in the full
appreciation in the level of any of the underlying indices and
appreciation in the levels of the underlying indices or that has
that your potential return is limited to any contingent coupons.
unlimited return potential.
¨ You can tolerate fluctuations in the price of the Notes prior to
¨ You cannot tolerate fluctuations in the price of the Notes prior
maturity that may be similar to or exceed the downside
to maturity that may be similar to or exceed the downside
fluctuations in the levels of the underlying indices.
fluctuations in the levels of the underlying indices.
¨ You are willing to invest in the Notes based on the contingent
¨ You are unwilling to invest in the Notes based on the
coupon rate, coupon barriers and downside thresholds
contingent coupon rate, coupon barriers or downside
specified on the cover hereof.
thresholds specified on the cover hereof.
¨ You do not seek guaranteed current income from your
¨ You seek guaranteed current income from your investment or
investment and are willing to forgo any dividends paid on any
you prefer to receive any dividends paid on any underlying
stocks constituting the underlying indices (the "underlying
constituents.
constituents").
¨ You are unable or unwilling to hold your Notes to maturity or
¨ You are willing to hold your Notes to maturity and accept that
you seek an investment for which there will be an active
there may be little or no secondary market for the Notes.
secondary market.
¨ You understand and are willing to accept the risks associated
¨ You do not understand or are not willing to accept the risks
with the underlying indices.
associated with the underlying indices.
¨ You are willing to assume the credit risk of UBS for all
¨ You are not willing to assume the credit risk of UBS for all
payments under the Notes, and understand that if UBS
payments under the Notes, including any repayment of
defaults on its obligations you may not receive any amounts
principal.
due to you including any repayment of principal.
¨ You understand that the estimated initial value of the Notes
determined by our internal pricing models is lower than the
issue price and that should UBS Securities LLC or any affiliate
make secondary markets for the Notes, the price (not including
their customary bid-ask spreads) will temporarily exceed the
internal pricing model price.
The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you
will depend on your individual circumstances and you should reach an investment decision only after you and your
investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Notes in
light of your particular circumstances. You should review "Information About the Underlying Indices" herein for more
information on the underlying indices. You should also review carefully the "Key Risks" section herein for risks related to an
investment in the Notes.
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Final Terms
Issuer
UBS AG London Branch
Trigger
The final valuation date.
Observation
Principal
$1,000.00 per Note
Amount
Date(s)(1)
Term
Approximately 6 years.
Payment at If a trigger event does not occur, UBS will pay
Maturity
you a cash payment equal to:
Underlying The Dow Jones Industrial Average® and the
(per Note)
Principal Amount of $1,000
Indices
Russell 2000® Index.
If a trigger event occurs, UBS will pay you a
Contingent If the closing level of each underlying index is
cash payment that is less than the principal
Coupon & equal to or greater than its coupon barrier on
amount, if anything, equal to:
Contingent any coupon observation date (including the
$1,000 x (1 + Underlying Index Return of the
Coupon
final valuation date), UBS will pay you the
Least Performing Underlying Index)
Rate
contingent coupon applicable to such coupon
observation date.
In this case, you will suffer a percentage loss
on your initial investment equal to the
If the closing level of any underlying index is
underlying index return of the least
less than its coupon barrier on any coupon
performing underlying index, regardless of the
observation date (including the final valuation
underlying index return of any other
date), the contingent coupon applicable to such
underlying index and, in extreme situations,
coupon observation date will not accrue or be
you could lose all of your initial investment.
payable and UBS will not make any payment to
Underlying
you on the relevant coupon payment date.
With respect to each underlying index, the
Index
quotient, expressed as a percentage, of the
The contingent coupon is a fixed amount payable
Return
following formula:
in arrears in equal installments based on a per
annum rate (the "contingent coupon rate"). The
Final Level ­ Initial Level
table below sets forth the contingent coupon
Initial Level
amount that would be applicable to each coupon
Least
The underlying index with the lowest underlying
observation date on which the closing level of each
Performing
index return as compared to any other underlying
underlying index is equal to or greater than its
Underlying
index.
coupon barrier.
Index

Contingent Coupon
13.00%
Downside
A specified level of each underlying index that is
Rate
Threshold(2) less than its respective initial level, equal to a

Contingent Coupon
$65.00
percentage of its initial level, as specified on the
cover hereof.

Contingent coupons on the Notes are not
guaranteed. UBS will not pay you the contingent
Coupon
A specified level of each underlying index that is
coupon for any coupon observation date on
Barrier(2)
less than its respective initial level, equal to a
which the closing level of any underlying index
percentage of its initial level, as specified on the
is less than its coupon barrier.
cover hereof.
Trigger
A trigger event is deemed to have occurred if the
Initial
The closing level of each underlying index on the
Event
closing level of any underlying index is less than its
Level(2)
trade date, as specified on the cover hereof.
downside threshold on the trigger observation date.
Final
The closing level of each underlying index on the
In this case, you will be exposed to the
final valuation date.
underlying index return of the least performing
Level(2)
underlying index and, in extreme situations, you
Closing
The closing level of the Russell 2000® Index as
could lose all of your initial investment.
Level
reported on Bloomberg Professional® service
("Bloomberg") is published to fewer decimal
places than the level published by its index
sponsor and, as a result, its closing level (as
reported by Bloomberg) may be lower or higher
than the closing level published by its index
sponsor.
(1)
Subject to the market disruption event provisions set forth in the accompanying product supplement.
(2)
As determined by the calculation agent and as may be adjusted as described under "General Terms of the Securities --
Discontinuance of or Adjustment to an Underlying Index; Alteration of Method of Calculation", as described in the accompanying
product supplement.
2
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Investment Timeline
Trade Date
The initial level of each underlying index is observed,
and the terms of the Notes are set.
¯


If the closing level of each underlying index is
equal to or greater than its coupon barrier on
any coupon observation date (including the
final valuation date), UBS will pay you the
contingent coupon applicable to such coupon
Coupon
observation date.
Observation Dates
If the closing level of any underlying index is
(Semi-annual)
less than its coupon barrier on any coupon
observation date (including the final valuation
date), the contingent coupon applicable to such
coupon observation date will not accrue or be
payable and UBS will not make any payment to you
on the relevant coupon payment date.
¯


The final level of each underlying index is observed
on the final valuation date (which is also the trigger
observation date) and the underlying return of each
underlying index is calculated.
If a trigger event does not occur, UBS will pay
you a cash payment equal to:
Principal Amount of $1,000
If a trigger event occurs, UBS will pay you a cash
payment that is less than the principal amount, if
Maturity Date
anything, equal to:

$1,000 x (1 + Underlying Index Return of the Least
Performing Underlying Index)
In this case, you will suffer a percentage loss
on your initial investment equal to the
underlying index return of the least performing
underlying index, regardless of the underlying
index return of any other underlying index and,
in extreme situations, you could lose all of your
initial investment.
Investing in the Notes involves significant risks. You may lose a significant portion or all of your initial investment. Any
payment on the Notes, including any repayment of principal, is subject to the creditworthiness of UBS. If UBS were to default
on its payment obligations, you may not receive any amounts owed to you under the Notes and you could lose all of your
initial investment. You will lose a significant portion or all of your initial investment if a trigger event occurs. You may receive
few or no contingent coupons during the term of the Notes. You will be exposed to the market risk of each underlying index on
each coupon observation date and on the final valuation date and any decline in the level of one underlying index may
negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase in the level of any
other underlying index. If a trigger event occurs, you will lose a significant portion or all of your initial investment at maturity.
3
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Coupon Observation Dates(1) and Coupon Payment Dates(1)(2)
Coupon Observation Dates
Coupon Payment Dates
October 5, 2020
October 8, 2020
April 5, 2021
April 8, 2021
October 4, 2021
October 7, 2021
April 4, 2022
April 7, 2022
October 3, 2022
October 6, 2022
April 3, 2023
April 6, 2023
October 3, 2023
October 6, 2023
April 3, 2024
April 8, 2024
October 3, 2024
October 8, 2024
April 3, 2025
April 8, 2025
October 3, 2025
October 8, 2025
Final Valuation Date
Maturity Date
(1)
Subject to the market disruption event provisions set forth in the accompanying product supplement.
(2)
Three business days following each coupon observation date, except that the coupon payment date for the final valuation date is
the maturity date.
4
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Key Risks
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing in the underlying indices. Some
of the key risks that apply to the Notes are summarized below, but we urge you to read the more detailed explanation of risks relating to
the Notes in the "Risk Factors" section of the accompanying product supplement. We also urge you to consult your investment, legal,
tax, accounting and other advisors regarding an investment in the Notes.
¨ Risk of loss at maturity -- The Notes differ from ordinary debt securities in that UBS will not necessarily repay the principal amount
of the Notes at maturity. UBS will repay you the principal amount of your Notes in cash only if a trigger event does not occur and will
only make such payment at maturity. If a trigger event occurs, you will lose a percentage of your principal amount equal to the
underlying index return of the least performing underlying index and, in extreme situations, you could lose all of your initial investment.
¨ The stated payout from the issuer applies only if you hold your Notes to maturity -- You should be willing to hold your Notes to
maturity. If you are able to sell your Notes prior to maturity in the secondary market, you may have to sell them at a loss relative to
your initial investment even if the level of each underlying index at such time is equal to or greater than its downside threshold.
¨ You may not receive any contingent coupons with respect to your Notes -- UBS will not necessarily make periodic coupon
payments on the Notes. If the closing level of any underlying index is less than its respective coupon barrier on a coupon observation
date, UBS will not pay you the contingent coupon applicable to such coupon observation date. This will be the case even if the closing
levels of the other underlying indices are equal to or greater than their respective coupon barriers on that coupon observation date. If
the closing level of any underlying index is less than its coupon barrier on each coupon observation date, UBS will not pay you any
contingent coupons during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the
contingent coupons coincides with a period of greater risk of principal loss on your Notes.
¨ Your potential return on the Notes is limited to any contingent coupons, you will not participate in any appreciation of any
underlying index and you will not have the same rights as holders of any underlying constituents -- The return potential of the
Notes is limited to the pre-specified contingent coupon rate, regardless of the appreciation of the underlying indices. In addition, your
return on the Notes will vary based on the number of coupon observation dates, if any, on which the requirements of the contingent
coupon have been met prior to maturity. At maturity, you may be subject to the decline of the least performing underlying index even
though you cannot participate in any appreciation in the level of any underlying index. As a result, the return on an investment in the
Notes could be less than the return on a hypothetical investment in the underlying indices or a direct investment in any or all of the
underlying constituents. In addition, as an owner of the Notes, you will not have voting rights or any other rights of a holder of any
underlying constituents.
¨ A higher contingent coupon rate or lower downside thresholds or coupon barriers may reflect greater expected volatility of
each of the underlying indices, and greater expected volatility generally indicates an increased risk of loss at maturity -- The
economic terms for the Notes, including the contingent coupon rate, coupon barriers and downside thresholds, are based, in part, on
the expected volatility of each underlying index at the time the terms of the Notes are set. "Volatility" refers to the frequency and
magnitude of changes in the level of each underlying index. The greater the expected volatility of each of the underlying indices as of
the trade date, the greater the expectation is as of that date that the closing level of an underlying index could be less than its coupon
barrier on the coupon observation dates and that the final level of an underlying index could be less than its respective downside
threshold on the trigger observation date and, as a consequence, indicates an increased risk of not receiving a contingent coupon and
an increased risk of loss, respectively. All things being equal, this greater expected volatility will generally be reflected in a higher
contingent coupon rate than the yield payable on our conventional debt securities with a similar maturity or on otherwise comparable
securities, and/or lower downside thresholds and/or coupon barriers than those terms on otherwise comparable securities. Therefore,
a relatively higher contingent coupon rate may indicate an increased risk of loss. Further, relatively lower downside thresholds and/or
coupon barriers may not necessarily indicate that the Notes have a greater likelihood of a return of principal at maturity and/or paying
contingent coupons. You should be willing to accept the downside market risk of the least performing underlying index and the
potential to lose a significant portion or all of your initial investment.
¨ You are exposed to the market risk of each underlying index -- Your return on the Notes is not linked to a basket consisting of the
underlying indices. Rather, it will be contingent upon the performance of each underlying index. Unlike an instrument with a return
linked to a basket of indices, in which risk is mitigated and diversified among all of the components of the basket, you will be exposed
equally to the risks related to each underlying index. Poor performance by any one of the underlying indices over the term of the
Notes will negatively affect your return and will not be offset or mitigated by a positive performance by any other underlying index. For
instance, you may receive a negative return equal to the underlying index return of the least performing underlying index if the closing
level of one underlying index is less than its downside threshold on the trigger observation date, even if the underlying index return of
another underlying index is positive or has not declined as much. Accordingly, your investment is subject to the market risk of each
underlying index.
¨ Because the Notes are linked to the least performing underlying index, you are exposed to a greater risk of no contingent
coupons and losing a significant portion or all of your initial investment at maturity than if the Notes were linked to a single
underlying index -- The risk that you will not receive any contingent coupons and lose a significant portion or all of your initial
investment in the Notes is greater if you invest in the Notes than the risk of investing in substantially similar securities that are linked to
the performance of only one underlying index. With more underlying indices, it is more likely that the closing level or final level of an
underlying index will be less than its coupon barrier or downside threshold on any coupon observation date or the final valuation date
(which is also the trigger observation date), respectively, than if the Notes were linked to a single underlying index.
In addition, the lower the correlation is between a pair of underlying indices, the greater the likelihood that one underlying index will
decline to a closing level or final level that is less than its coupon barrier or downside threshold, as applicable. Although the correlation
of the underlying indices' performance may change over the term of the Notes, the economic terms of the Notes, including the
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contingent coupon rate, downside thresholds and coupon barriers are determined, in part, based on the correlation of the underlying
indices' performance calculated using our internal models at the time when the terms of the Notes are finalized. All things being equal,
a higher contingent coupon rate and lower downside thresholds and coupon barriers are generally associated with lower correlation of
the underlying indices. Therefore, if the performance of a pair of underlying indices is not correlated to each other or is negatively
correlated, the risk that you will not receive any contingent coupons or a trigger event will occur is even greater despite a lower
downside threshold and coupon barrier. Therefore, it is more likely that you will not receive any contingent coupons and that you will
lose a significant portion or all of your initial investment at maturity.
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