CALCULATION OF REGISTRATION FEE
| Title of Each Class of Securities Offered |
Maximum Aggregate Offering Price |
Amount of Registration Fee(1) |
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Global Medium-Term Notes, Series A |
$72,909,180 (2) |
$9,390.70 |
(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
(2) Calculated on the basis of 7,290,918 units each having a $10 principal amount per unit.
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Pricing Supplement (To the Prospectus dated July 19, 2013, the Prospectus Supplement dated July 19, 2013, and the Product Supplement EQUITY INDICES ARN-1 dated July 31, 2013) |
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Filed Pursuant to Rule 424(b)(2) |
The notes are being issued by Barclays Bank PLC (“Barclays”). There are important differences between the notes and a conventional debt security, including different investment risks. See “Risk Factors” beginning on page TS-6 of this term sheet and beginning on page PS-6 of product supplement EQUITY INDICES ARN-1.
Our initial estimated value of the notes, based on our internal pricing models, is $9.68 per unit on the pricing date, which is less than the public offering price listed below. See “Summary” on the following page, “Risk Factors” beginning on page TS-6 of this term sheet and “Structuring the Notes” on page TS-10 of this term sheet.
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None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
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Per Unit |
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Total |
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Public offering price |
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$ 10.00 |
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$ 72,909,180.00 |
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Underwriting discount |
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$ 0.20 |
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$ 1,458,183.60 |
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Proceeds, before expenses, to Barclays |
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$ 9.80 |
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$ 71,450,996.40 |
The notes:
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Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
Merrill Lynch & Co.
July 8, 2014
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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The Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 (the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction or secured by collateral. The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit risk of Barclays. The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the EURO STOXX 50® Index (the “Index”), is greater than its 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, will be calculated based on the $10 principal amount per unit and will depend on our credit risk and the performance of the Index. See “Terms of the Notes” below.
On the cover page of this term sheet, we have provided the estimated value for the notes. This estimated value was determined based on our internal pricing models, which take into account a number of variables, including our internal funding rates, which are our internally published borrowing rates we use to issue market-linked investments, and the economic terms of certain related hedging arrangements. This estimated value is less than the public offering price.
The economic terms of the notes (including the Capped Value) are based on our internal funding rates, which may vary from the rates at which our benchmark debt securities trade in the secondary market, and the economic terms of certain related hedging arrangements. The difference between these rates, as well as the underwriting discount, the hedging-related charge and other amounts described below, reduced the economic terms of the notes. For more information about the estimated value and structuring the notes, see “Structuring the Notes” on page TS-10.
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Terms of the Notes |
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Redemption Amount Determination | |
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Issuer: |
Barclays Bank PLC (“Barclays”) |
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On the maturity date, you will receive a cash payment per unit determined as follows: |
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Principal Amount: |
$10.00 per unit |
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Term: |
Approximately 14 months |
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Market Measure: |
EURO STOXX 50® Index (Bloomberg symbol: “SX5E”), a price return index. |
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Starting Value: |
3,184.38 |
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Ending Value: |
The average of the closing levels of the Market Measure on each scheduled calculation day occurring during the maturity valuation period. The calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-18 of product supplement EQUITY INDICES ARN-1. |
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Participation Rate: |
300% |
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Capped Value: |
$11.38 per unit of the notes, which represents a return of 13.80% over the principal amount. |
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Maturity Valuation Period: |
August 19, 2015, August 20, 2015, August 21, 2015, August 24, 2015 and August 25, 2015 |
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Fees Charged: |
The public offering price of the notes includes the underwriting discount of $0.20 per unit as listed on the cover page and an additional charge of $0.075 per unit more fully described on page TS-10. |
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Calculation Agents: |
Barclays and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”). |
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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The terms and risks of the notes are contained in this term sheet and the documents listed below (together, the “Note Prospectus”). The documents have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated below or obtained from MLPF&S by calling 1-866-500-5408:
¡ Product supplement EQUITY INDICES ARN-1 dated July 31, 2013:
http://www.sec.gov/Archives/edgar/data/312070/000119312513311888/d576655d424b2.htm
¡ Series A MTN prospectus supplement dated July 19, 2013:
http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm
¡ Prospectus dated July 19, 2013:
http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm
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 ARN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to Barclays.
Investor Considerations
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You may wish to consider an investment in the notes if: |
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The notes may not be an appropriate investment for you if: |
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¡ You anticipate that the Index will increase moderately from the Starting Value to the Ending Value. ¡ You are willing to risk a loss of principal and return if the Index decreases from the Starting Value to the Ending Value. ¡ You accept that the return on the notes, if any, will be capped. ¡ You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities. ¡ You are willing to forgo dividends or other benefits of owning the stocks included in the Index. ¡ You are willing to accept a limited 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, the inclusion in the public offering price of the underwriting discount, the hedging-related charge and other amounts, as described on page TS-2. ¡ You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount. |
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¡ You believe that the Index will decrease from the Starting Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return. ¡ You seek principal protection or preservation of capital. ¡ You seek an uncapped return on your investment. ¡ You seek interest payments or other current income on your investment. ¡ You want to receive dividends or other distributions paid on the stocks included in the Index. ¡ You seek an investment for which there will be a liquid secondary market. ¡ You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes. |
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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Accelerated Return Notes®
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This graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $11.38. 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. |
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Hypothetical Payments at Maturity
The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the notes. The actual amount you receive and the resulting total rate of return will depend on the actual Starting Value, Ending Value, and term of your investment.
The following table is based on a Starting Value of 100, the Participation Rate of 300% and the Capped Value of $11.38 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.
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Ending Value |
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Percentage Change from |
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Redemption Amount per Unit |
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Total Rate of Return on the | ||||
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0.00 |
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-100.00% |
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$0.00 |
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-100.00% |
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50.00 |
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-50.00% |
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$5.00 |
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-50.00% |
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80.00 |
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-20.00% |
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$8.00 |
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-20.00% |
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90.00 |
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-10.00% |
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$9.00 |
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-10.00% |
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94.00 |
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-6.00% |
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$9.40 |
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-6.00% |
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97.00 |
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-3.00% |
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$9.70 |
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-3.00% |
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100.00 |
(1) |
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0.00% |
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$10.00 |
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0.00% |
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102.00 |
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2.00% |
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$10.60 |
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6.00% |
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105.00 |
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5.00% |
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$11.38 |
(2) |
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13.80% |
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110.00 |
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10.00% |
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$11.38 |
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13.80% |
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120.00 |
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20.00% |
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$11.38 |
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13.80% |
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130.00 |
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30.00% |
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$11.38 |
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13.80% |
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140.00 |
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40.00% |
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$11.38 |
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13.80% |
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150.00 |
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50.00% |
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$11.38 |
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13.80% |
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160.00 |
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60.00% |
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$11.38 |
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13.80% |
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(1) The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 3,184.38, which was the closing level of the Market Measure on the pricing date.
(2) The Redemption Amount per unit cannot exceed the Capped Value.
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.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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Redemption Amount Calculation Examples
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Example 1 | |
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The Ending Value is 80.00, or 80.00% of the Starting Value: | |
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Starting Value: 100.00 | |
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Ending Value: 80.00 | |
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= $8.00 Redemption Amount per unit |
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Example 2 | |
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The Ending Value is 102.00, or 102.00% of the Starting Value: | |
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Starting Value: 100.00 | |
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Ending Value: 102.00 | |
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= $10.60 Redemption Amount per unit |
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Example 3 | |
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The Ending Value is 130.00, or 130.00% of the Starting Value: | |
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Starting Value: 100.00 | |
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Ending Value: 130.00 | |
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= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $11.38 per unit |
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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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-6 of product supplement EQUITY INDICES ARN-1, and page S-6 of the Series A MTN prospectus supplement identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
¡ Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
¡ Your 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.
¡ Your investment return, if any, is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
¡ The estimated value of your notes is based on our internal pricing models. Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates, and our internal funding rates. These variables and assumptions are not evaluated or verified on an independent basis and may prove to be inaccurate. Different pricing models and assumptions of different financial institutions could provide valuations for the notes that are different from our estimated value.
¡ The estimated value is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value referenced in this term sheet may be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.
¡ The estimated value of your notes is lower than the public offering price of your notes. This difference is a result of certain factors, such as the inclusion in the public offering price of the underwriting discount, the hedging-related charge, the estimated profit, if any, that we or any of our affiliates expect to earn in connection with structuring the notes, and the estimated cost which we may incur in hedging our obligations under the notes, as further described in “Structuring the Notes” on page TS-10. If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for the notes and lower than the estimated value because the secondary market prices do not include such fees, charges and other amounts, and take into consideration the levels at which our debt securities trade in the secondary market.
¡ The estimated value of the notes will not be a prediction of the prices at which MLPF&S or its affiliates, or any of our affiliates or any other third parties may be willing to purchase the notes from you in secondary market transactions. The price at which you may be able to sell your notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any trading commissions, and may be substantially less than our estimated value of the notes. Any sale prior to the maturity date could result in a substantial loss to you.
¡ A trading market is not expected to develop for the notes. We, MLPF&S and our respective affiliates are not obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.
¡ Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international securities markets. Specifically, the stocks included in the Index are issued by companies located within the Eurozone. The Eurozone is and has been undergoing severe financial stress, and the political, legal and regulatory ramifications are impossible to predict. Changes within the Eurozone could adversely affect the performance of the Index and, consequently, the value of the notes.
¡ Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in shares of companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates 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, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, we, MLPF&S and our respective affiliates do not control any company included in the Index, and are not responsible for any disclosure made by any other company.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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¡ There may be potential conflicts of interest involving the calculation agents, including the calculation agents’ roles in establishing the economic terms of the notes and determining the estimated value of the notes. We have the right to appoint and remove the calculation agents.
¡ The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Material U.S. Federal Income Tax Considerations” below and “Material U.S. Federal Income Tax Considerations” beginning on page PS-25 of product supplement EQUITY INDICES ARN-1.
The following definition shall supersede and replace the definition of “Market Measure Business Day” set forth in product supplement EQUITY INDICES ARN-1.
Market Measure Business Day
A “Market Measure Business Day” means a day on which:
(A) the Eurex (or any successor) is open for trading; and
(B) the Index or any successor thereto is calculated and published.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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All disclosures contained in this term sheet regarding the Market Measure, including, without limitation, its makeup, 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 STOXX Limited (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 Market Measure. The consequences of the Index sponsor discontinuing publication of the Index are discussed in the section entitled “Description of ARNs - Discontinuance of an Index” beginning on page PS-20 of product supplement EQUITY INDICES ARN-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.
The Market Measure is composed of 50 European blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stock traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure; and utilities.
Publication of the Market Measure was introduced on February 26, 1998, with a base value of 1,000 as of December 31, 1991.
The Market Measure is compiled and calculated as follows. It is calculated with the “Laspeyres formula”, which measures price changes against a fixed base quantity weight. The Market Measure is weighted by free float market capitalization. Each component’s weight is capped at 10% of the Market Measure’s total free float market capitalization. Free float weights are reviewed quarterly, and the Market Measure’s composition is reviewed annually in September.
Within each of the 19 EURO STOXX Supersector indices, the component stocks are ranked by free float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free float market capitalization of the corresponding EURO STOXX Total Market Index (TMI) Supersector index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. Any remaining stocks that are current components of the Market Measure are added to the selection list. The stocks on the selection list are ranked by free float market capitalization. In exceptional cases, the STOXX Limited Supervisory Board may make additions and deletions to the selection list.
The 40 largest stocks on the selection list are chosen as components. Any remaining current components of the Market Measure ranked between 41 and 60 are added as index components. If the component number is still below 50, then the largest remaining stocks on the selection list are added until the Market Measure contains 50 stocks.
The Market Measure has an index divisor, which is adjusted to maintain the continuity of the Market Measure’s value across changes due to corporate actions such as:
¡ the issuance of dividends;
¡ the occurrence of stock splits;
¡ the stock repurchase by the issuer; and
¡ other reasons.
Additional information on the Market Measure is available on the following website: http://www.stoxx.com. Information on that website is not included or incorporated by reference into this term sheet.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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The following graph shows the monthly historical performance of the Index in the period from January 2008 through June 2014. 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 3,184.38.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels and trading pattern of the Index.
License Agreement
We have entered into a non-exclusive license agreement with the Index sponsor whereby we, in exchange for a fee, are permitted to use the Market Measure in connection with certain securities, including the notes. We are not affiliated with the Index sponsor; the only relationship between the Index sponsor and us is any licensing of the use of the Index sponsor’s indices and trademarks relating to them.
The license agreement between the Index sponsor and us provides that the following language must be set forth herein:
The Index sponsor and its licensors (the “Licensors”) have no relationship to us, other than the licensing of the Index and the related trademarks for use in connection with the notes.
The Index sponsors and its Licensors do not:
¡ Sponsor, endorse, sell or promote the notes.
¡ Recommend that any person invest in the notes or any other securities.
¡ Have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes.
¡ Have any responsibility or liability for the administration, management or marketing of the notes.
¡ Consider the needs of the notes or the owners of the notes in determining, composing or calculating the Index or have any obligation to do so.
The Index sponsor and its Licensors will not have any liability in connection with the notes. Specifically,
¡ The Index sponsor and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:
¡ The results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the Index and the data included in the Index;
¡ The accuracy or completeness of the Index and its data; and
¡ The merchantability and the fitness for a particular purpose or use of the Index and its data.
The Index sponsor and its Licensors will have no liability for any errors, omissions or interruptions in the Index or its data.
Under no circumstances will the Index sponsor or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if the Index sponsor or its Licensors knows that they might occur.
The licensing agreement between us and the Index sponsor is solely for our respective benefit and not for the benefit of the owners of the notes or any other third parties.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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Supplement to the Plan of Distribution
Under our distribution agreement with MLPF&S, MLPF&S will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
We will deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.
MLPF&S may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these will include MLPF&S’s trading commissions and mark-ups. MLPF&S may act as principal or agent in these market-making transactions; however, it is not obligated to engage in any such transactions. MLPF&S has advised us that, at its discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes. Any price offered by MLPF&S for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index and the remaining term of the notes. However, neither we nor any of our affiliates is obligated to purchase your notes at any price, or at any time, and we cannot assure you that we, MLPF&S or our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
The value of the notes shown on your account statement produced by MLPF&S will be based on MLPF&S’s estimate of the value of the notes if MLPF&S or another of its affiliates were to make a market in the notes, which it is not obligated to do. That estimate will be based upon the price that MLPF&S may pay for the notes in light of then-prevailing market conditions, and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding Barclays or for any purpose other than that described in the immediately preceding sentence.
The notes are our debt securities, the return on which is linked to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. The economic terms of the notes are based on our internal funding rates, which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the pricing date will be based on our internal funding rates. Our estimated value of the notes may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Payments on the notes, including the amount you receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index. In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with MLPF&S or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, including MLPF&S and its affiliates or our affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Index, the tenor of the note and the tenor of the hedging arrangements. The economic terms of the notes and their estimated value depend in part on the terms of these hedging arrangements, any estimated profit that we or any of our affiliates expect to earn in connection with structuring the notes, and estimated costs which we may incur in hedging our obligations under the notes.
MLPF&S has advised us that the hedging arrangements will include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to MLPF&S from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by MLPF&S or any third party hedge providers.
For further information, see “Risk Factors—General Risks Relating to ARNs” beginning on page PS-6 and “Use of Proceeds and Hedging” on page PS-16 of product supplement EQUITY INDICES ARN-1.
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Accelerated Return Notes® |
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Accelerated Return Notes® Linked to the EURO STOXX 50® Index, due August 28, 2015 |
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Material U.S. Federal Income Tax Considerations
The material tax consequences of your investment in the notes are summarized below. The discussion below supplements the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement and the discussion under “Material U.S. Federal Income Tax Considerations” in the accompanying product supplement EQUITY INDICES ARN-1. This section applies to you only if you are a U.S. holder (as defined in product supplement EQUITY INDICES ARN-1) and you hold your notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise excluded from the discussion in product supplement EQUITY INDICES ARN-1 (for example, if you did not purchase your notes in the initial issuance of the notes).
There is no judicial or administrative authority discussing how your notes should be treated for U.S. federal income tax purposes. Pursuant to the terms of the notes, you agree with us, in the absence of a change in law or an administrative or judicial ruling to the contrary, to characterize your notes as a pre-paid cash-settled derivative contract with respect to the Market Measure. If your notes are so treated, you should generally recognize capital gain or loss upon the sale or maturity of your notes in an amount equal to the difference between the amount you receive at such time and the amount you paid for your notes. Such gain or loss should generally be long-term capital gain or loss if you have held your notes for more than one year.
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, your notes should be treated in the manner described above. No assurance can be given that the Internal Revenue Service or any court will agree with this characterization and tax treatment. There are other possible treatments that are described in a detailed discussion of tax considerations under the section entitled “Material U.S. Federal Income Tax Considerations” beginning on page PS-25 of product supplement EQUITY INDICES ARN-1 and one or more of these might ultimately govern the tax treatment of the notes.
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the notes in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S toll-free at 1-866-500-5408.
Market-Linked Investments Classification
MLPF&S classifies certain market-linked investments (the “Market-Linked Investments”) into categories, each with different investment characteristics. The following description is meant solely for informational purposes and is not intended to represent any particular Enhanced Return Market-Linked Investment or guarantee any performance.
Enhanced Return Market-Linked Investments are short- to medium-term investments that offer you a way to enhance exposure to a particular market view without taking on a similarly enhanced level of market downside risk. They can be especially effective in a flat to moderately positive market (or, in the case of bearish investments, a flat to moderately negative market). In exchange for the potential to receive better-than market returns on the linked asset, you must generally accept market downside risk and capped upside potential. As these investments are not market downside protected, and do not assure full repayment of principal at maturity, you need to be prepared for the possibility that you may lose all or part of your investment.
"Accelerated Return Notes®" and "ARNs®" are registered service marks of Bank of America Corporation, the parent company of MLPF&S.
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Accelerated Return Notes® |
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